Add missing files

miplearn/components/primal.py

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+#  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
+#  Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
+#  Released under the modified BSD license. See COPYING.md for more details.
+
+from .component import Component
+from ..extractors import *
+
+from abc import ABC, abstractmethod
+from copy import deepcopy
+import numpy as np
+from sklearn.pipeline import make_pipeline
+from sklearn.linear_model import LogisticRegression
+from sklearn.preprocessing import StandardScaler
+from sklearn.model_selection import cross_val_score
+from sklearn.metrics import roc_curve
+from sklearn.neighbors import KNeighborsClassifier
+from tqdm.auto import tqdm
+import pyomo.environ as pe
+import logging
+logger = logging.getLogger(__name__)
+
+
+class AdaptivePredictor:
+    def __init__(self,
+                 predictor=None,
+                 min_samples_predict=1,
+                 min_samples_cv=100,
+                 thr_fix=0.999,
+                 thr_alpha=0.50,
+                 thr_balance=0.95,
+                ):
+        self.min_samples_predict = min_samples_predict
+        self.min_samples_cv = min_samples_cv
+        self.thr_fix = thr_fix
+        self.thr_alpha = thr_alpha
+        self.thr_balance = thr_balance
+        self.predictor_factory = predictor
+        
+    def fit(self, x_train, y_train):
+        n_samples = x_train.shape[0]
+        
+        # If number of samples is too small, don't predict anything.
+        if n_samples < self.min_samples_predict:
+            logger.debug("    Too few samples (%d); always predicting false" % n_samples)
+            self.predictor = 0
+            return
+        
+        # If vast majority of observations are false, always return false.
+        y_train_avg = np.average(y_train)
+        if y_train_avg <= 1.0 - self.thr_fix:
+            logger.debug("    Most samples are negative (%.3f); always returning false" % y_train_avg)
+            self.predictor = 0
+            return
+        
+        # If vast majority of observations are true, always return true.
+        if y_train_avg >= self.thr_fix:
+            logger.debug("    Most samples are positive (%.3f); always returning true" % y_train_avg)
+            self.predictor = 1
+            return
+        
+        # If classes are too unbalanced, don't predict anything.
+        if y_train_avg < (1 - self.thr_balance) or y_train_avg > self.thr_balance:
+            logger.debug("    Classes are too unbalanced (%.3f); always returning false" % y_train_avg)
+            self.predictor = 0
+            return
+
+        # Select ML model if none is provided
+        if self.predictor_factory is None:
+            if n_samples < 30:
+                self.predictor_factory = KNeighborsClassifier(n_neighbors=n_samples)
+            else:
+                self.predictor_factory = make_pipeline(StandardScaler(), LogisticRegression())
+        
+        # Create predictor
+        if callable(self.predictor_factory):
+            pred = self.predictor_factory()
+        else:
+            pred = deepcopy(self.predictor_factory)
+        
+        # Skip cross-validation if number of samples is too small
+        if n_samples < self.min_samples_cv:
+            logger.debug("    Too few samples (%d); skipping cross validation" % n_samples)
+            self.predictor = pred
+            self.predictor.fit(x_train, y_train)
+            return
+        
+        # Calculate cross-validation score
+        cv_score = np.mean(cross_val_score(pred, x_train, y_train, cv=5))
+        dummy_score = max(y_train_avg, 1 - y_train_avg)
+        cv_thr = 1. * self.thr_alpha + dummy_score * (1 - self.thr_alpha)
+
+        # If cross-validation score is too low, don't predict anything.
+        if cv_score < cv_thr:
+            logger.debug("    Score is too low (%.3f < %.3f); always returning false" % (cv_score, cv_thr))
+            self.predictor = 0
+        else:
+            logger.debug("    Score is acceptable (%.3f > %.3f); training classifier" % (cv_score, cv_thr))
+            self.predictor = pred
+            self.predictor.fit(x_train, y_train)
+        
+    def predict_proba(self, x_test):
+        if isinstance(self.predictor, int):
+            y_pred = np.zeros((x_test.shape[0], 2))
+            y_pred[:, self.predictor] = 1.0
+            return y_pred
+        else:
+            return self.predictor.predict_proba(x_test)
+
+        
+class PrimalSolutionComponent(Component):
+    """
+    A component that predicts primal solutions.
+    """
+    
+    def __init__(self,
+                 predictor=AdaptivePredictor(),
+                 mode="exact",
+                 max_fpr=[1e-3, 1e-3],
+                 min_threshold=[0.75, 0.75],
+                 dynamic_thresholds=True,
+                ):
+        self.mode = mode
+        self.predictors = {}
+        self.is_warm_start_available = False
+        self.max_fpr = max_fpr
+        self.min_threshold = min_threshold
+        self.thresholds = {}
+        self.predictor_factory = predictor
+        self.dynamic_thresholds = dynamic_thresholds
+    
+    def before_solve(self, solver, instance, model):
+        solution = self.predict(instance, model)
+        if self.mode == "heuristic":
+            solver.internal_solver.fix(solution)
+        else:
+            solver.internal_solver.set_warm_start(solution)
+        
+    def after_solve(self, solver, instance, model):
+        pass
+                
+    def fit(self, training_instances):
+        features = VariableFeaturesExtractor().extract(training_instances)
+        solutions = SolutionExtractor().extract(training_instances)
+        
+        for category in tqdm(features.keys(), desc="Fit (Primal)"):
+            x_train = features[category]
+            y_train = solutions[category]
+            for label in [0, 1]:
+                logger.debug("Fitting predictors[%s, %s]:" % (category, label))
+                
+                if callable(self.predictor_factory):
+                    pred = self.predictor_factory(category, label)
+                else:
+                    pred = deepcopy(self.predictor_factory)
+                self.predictors[category, label] = pred
+                y = y_train[:, label].astype(int)
+                pred.fit(x_train, y)
+
+                # If y is either always one or always zero, set fixed threshold
+                y_avg = np.average(y)
+                if (not self.dynamic_thresholds) or y_avg <= 0.001 or y_avg >= 0.999:
+                    self.thresholds[category, label] = self.min_threshold[label]
+                    logger.debug("    Setting threshold to %.4f" % self.min_threshold[label])
+                    continue
+                
+                # Calculate threshold dynamically using ROC curve
+                y_scores = pred.predict_proba(x_train)[:, 1]
+                fpr, tpr, thresholds = roc_curve(y, y_scores)
+                k = 0
+                while True:
+                    if (k + 1) > len(fpr):
+                        break
+                    if fpr[k + 1] > self.max_fpr[label]:
+                        break
+                    if thresholds[k + 1] < self.min_threshold[label]:
+                        break
+                    k = k + 1
+                logger.debug("    Setting threshold to %.4f (fpr=%.4f, tpr=%.4f)"%
+                             (thresholds[k], fpr[k], tpr[k]))
+                self.thresholds[category, label] = thresholds[k]
+                
+                
+    def predict(self, instance, model=None):
+        if model is None:
+            model = instance.to_model()
+        x_test = VariableFeaturesExtractor().extract([instance], [model])
+        solution = {}
+        var_split = Extractor.split_variables(instance, model)
+        for category in var_split.keys():
+            for (i, (var, index)) in enumerate(var_split[category]):
+                if var not in solution.keys():
+                    solution[var] = {}
+                solution[var][index] = None
+                for label in [0, 1]:
+                    if (category, label) not in self.predictors.keys():
+                        continue
+                    ws = self.predictors[category, label].predict_proba(x_test[category])
+                    logger.debug("%s[%s] ws=%.6f threshold=%.6f" %
+                                 (var, index, ws[i, 1], self.thresholds[category, label]))
+                    if ws[i, 1] >= self.thresholds[category, label]:
+                        solution[var][index] = label
+        return solution
+
+    def merge(self, other_components):
+        pass

miplearn/components/tests/test_primal.py

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+#  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
+#  Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
+#  Released under the modified BSD license. See COPYING.md for more details.
+
+from miplearn import LearningSolver, PrimalSolutionComponent
+from miplearn.problems.knapsack import KnapsackInstance
+import numpy as np
+import tempfile
+
+
+def _get_instances():
+    instances = [
+        KnapsackInstance(
+            weights=[23., 26., 20., 18.],
+            prices=[505., 352., 458., 220.],
+            capacity=67.,
+        ),
+    ] * 5
+    models = [inst.to_model() for inst in instances]
+    solver = LearningSolver()
+    for i in range(len(instances)):
+        solver.solve(instances[i], models[i])
+    return instances, models
+
+
+def test_predict():
+    instances, models = _get_instances()
+    comp = PrimalSolutionComponent()
+    comp.fit(instances)
+    solution = comp.predict(instances[0], models[0])
+    assert models[0].x in solution.keys()
+    assert solution[models[0].x][0] == 1
+    assert solution[models[0].x][1] == 1
+    assert solution[models[0].x][2] == 1
+    assert solution[models[0].x][3] == 1
+
+# def test_warm_start_save_load():
+#     state_file = tempfile.NamedTemporaryFile(mode="r")
+#     solver = LearningSolver(components={"warm-start": WarmStartComponent()})
+#     solver.parallel_solve(_get_instances(), n_jobs=2)
+#     solver.fit()
+#     comp = solver.components["warm-start"]
+#     assert comp.x_train["default"].shape == (8, 6)
+#     assert comp.y_train["default"].shape == (8, 2)
+#     assert ("default", 0) in comp.predictors.keys()
+#     assert ("default", 1) in comp.predictors.keys()
+#     solver.save_state(state_file.name)
+    
+#     solver.solve(_get_instances()[0])
+    
+#     solver = LearningSolver(components={"warm-start": WarmStartComponent()})
+#     solver.load_state(state_file.name)
+#     comp = solver.components["warm-start"]
+#     assert comp.x_train["default"].shape == (8, 6)
+#     assert comp.y_train["default"].shape == (8, 2)
+#     assert ("default", 0) in comp.predictors.keys()
+#     assert ("default", 1) in comp.predictors.keys()