Add user cut callbacks; begin rewrite of UserCutsComponent

miplearn/components/component.py

@@ -198,6 +198,14 @@ class Component:
     ) -> None:
         return
 
+    def user_cut_cb(
+        self,
+        solver: "LearningSolver",
+        instance: Instance,
+        model: Any,
+    ) -> None:
+        return
+
     def evaluate(self, instances: List[Instance]) -> List:
         ev = []
         for instance in instances:

miplearn/components/user_cuts.py

@@ -0,0 +1,64 @@
+#  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 typing import Any, TYPE_CHECKING, Hashable, Set
+
+from miplearn import Component, Instance
+
+import logging
+
+from miplearn.features import Features, TrainingSample
+from miplearn.types import LearningSolveStats
+
+logger = logging.getLogger(__name__)
+
+if TYPE_CHECKING:
+    from miplearn.solvers.learning import LearningSolver
+
+
+class UserCutsComponentNG(Component):
+    def __init__(self) -> None:
+        self.enforced: Set[Hashable] = set()
+
+    def before_solve_mip(
+        self,
+        solver: "LearningSolver",
+        instance: Instance,
+        model: Any,
+        stats: LearningSolveStats,
+        features: Features,
+        training_data: TrainingSample,
+    ) -> None:
+        self.enforced.clear()
+
+    def after_solve_mip(
+        self,
+        solver: "LearningSolver",
+        instance: Instance,
+        model: Any,
+        stats: LearningSolveStats,
+        features: Features,
+        training_data: TrainingSample,
+    ) -> None:
+        training_data.user_cuts_enforced = set(self.enforced)
+
+    def user_cut_cb(
+        self,
+        solver: "LearningSolver",
+        instance: Instance,
+        model: Any,
+    ) -> None:
+        assert solver.internal_solver is not None
+        logger.debug("Finding violated user cuts...")
+        cids = instance.find_violated_user_cuts(model)
+        logger.debug(f"Found {len(cids)} violated user cuts")
+        logger.debug("Building violated user cuts...")
+        for cid in cids:
+            assert isinstance(cid, Hashable)
+            cobj = instance.build_user_cut(model, cid)
+            assert cobj is not None
+            solver.internal_solver.add_cut(cobj)
+            self.enforced.add(cid)
+        if len(cids) > 0:
+            logger.info(f"Added {len(cids)} violated user cuts")

miplearn/features.py

@@ -24,6 +24,7 @@ class TrainingSample:
     solution: Optional[Solution] = None
     upper_bound: Optional[float] = None
     slacks: Optional[Dict[str, float]] = None
+    user_cuts_enforced: Optional[Set[Hashable]] = None
 
 
 @dataclass

miplearn/instance.py

@@ -170,11 +170,14 @@ class Instance(ABC):
         """
         pass
 
-    def find_violated_user_cuts(self, model):
+    def has_user_cuts(self) -> bool:
+        return False
+
+    def find_violated_user_cuts(self, model: Any) -> List[Hashable]:
         return []
 
-    def build_user_cut(self, model, violation):
-        pass
+    def build_user_cut(self, model: Any, violation: Hashable) -> Any:
+        return None
 
     def flush(self) -> None:
         """

miplearn/problems/tsp.py

@@ -185,9 +185,3 @@ class TravelingSalesmanInstance(Instance):
             or (e[0] not in component and e[1] in component)
         ]
         return model.eq_subtour.add(sum(model.x[e] for e in cut_edges) >= 2)
-
-    def find_violated_user_cuts(self, model):
-        return self.find_violated_lazy_constraints(model)
-
-    def build_user_cut(self, model, violation):
-        return self.build_lazy_constraint(model, violation)

miplearn/solvers/gurobi.py

@@ -17,7 +17,7 @@ from miplearn.solvers.internal import (
     LazyCallback,
     MIPSolveStats,
 )
-from miplearn.types import VarIndex, SolverParams, Solution
+from miplearn.types import VarIndex, SolverParams, Solution, UserCutCallback
 
 logger = logging.getLogger(__name__)
 
@@ -153,41 +153,49 @@ class GurobiSolver(InternalSolver):
         tee: bool = False,
         iteration_cb: IterationCallback = None,
         lazy_cb: LazyCallback = None,
+        user_cut_cb: UserCutCallback = None,
     ) -> MIPSolveStats:
         self._raise_if_callback()
         assert self.model is not None
+        if iteration_cb is None:
+            iteration_cb = lambda: False
 
+        # Create callback wrapper
         def cb_wrapper(cb_model, cb_where):
             try:
                 self.cb_where = cb_where
-                if cb_where in self.lazy_cb_where:
+                if lazy_cb is not None and cb_where in self.lazy_cb_where:
                     lazy_cb(self, self.model)
+                if user_cut_cb is not None and cb_where == self.gp.GRB.Callback.MIPNODE:
+                    user_cut_cb(self, self.model)
             except:
                 logger.exception("callback error")
             finally:
                 self.cb_where = None
 
-        if lazy_cb:
+        # Configure Gurobi
+        if lazy_cb is not None:
             self.params["LazyConstraints"] = 1
+        if user_cut_cb is not None:
+            self.params["PreCrush"] = 1
+
+        # Solve problem
         total_wallclock_time = 0
         total_nodes = 0
         streams: List[Any] = [StringIO()]
         if tee:
             streams += [sys.stdout]
         self._apply_params(streams)
-        if iteration_cb is None:
-            iteration_cb = lambda: False
         while True:
             with _RedirectOutput(streams):
-                if lazy_cb is None:
-                    self.model.optimize()
-                else:
                 self.model.optimize(cb_wrapper)
             total_wallclock_time += self.model.runtime
             total_nodes += int(self.model.nodeCount)
             should_repeat = iteration_cb()
             if not should_repeat:
                 break
+
+        # Fetch results and stats
         log = streams[0].getvalue()
         ub, lb = None, None
         sense = "min" if self.model.modelSense == 1 else "max"
@@ -313,6 +321,11 @@ class GurobiSolver(InternalSolver):
             else:
                 self.model.addConstr(constraint, name=name)
 
+    def add_cut(self, cobj: Any) -> None:
+        assert self.model is not None
+        assert self.cb_where == self.gp.GRB.Callback.MIPNODE
+        self.model.cbCut(cobj)
+
     def _clear_warm_start(self) -> None:
         for (varname, vardict) in self._all_vars.items():
             for (idx, var) in vardict.items():
@@ -421,7 +434,6 @@ class GurobiSolver(InternalSolver):
         }
 
     def __setstate__(self, state):
-
         self.params = state["params"]
         self.lazy_cb_where = state["lazy_cb_where"]
         self.instance = None

miplearn/solvers/internal.py

@@ -16,6 +16,7 @@ from miplearn.types import (
     Solution,
     BranchPriorities,
     Constraint,
+    UserCutCallback,
 )
 
 logger = logging.getLogger(__name__)
@@ -51,6 +52,7 @@ class InternalSolver(ABC):
         tee: bool = False,
         iteration_cb: IterationCallback = None,
         lazy_cb: LazyCallback = None,
+        user_cut_cb: UserCutCallback = None,
     ) -> MIPSolveStats:
         """
         Solves the currently loaded instance. After this method finishes,
@@ -72,6 +74,9 @@ class InternalSolver(ABC):
                 - Querying if a constraint is satisfied
                 - Adding a new constraint to the problem
             Additional operations may be allowed by specific subclasses.
+        user_cut_cb: UserCutCallback
+            This function is called whenever the solver found a new integer-infeasible
+            solution and needs to generate cutting planes to cut it off.
         tee: bool
             If true, prints the solver log to the screen.
         """
@@ -146,7 +151,7 @@ class InternalSolver(ABC):
         `get_solution`. Missing values indicate variables whose priorities
         should not be modified.
         """
-        raise Exception("Not implemented")
+        raise NotImplementedError()
 
     @abstractmethod
     def get_constraint_ids(self) -> List[str]:
@@ -180,6 +185,13 @@ class InternalSolver(ABC):
         """
         pass
 
+    def add_cut(self, cobj: Any) -> None:
+        """
+        Adds a cutting plane to the model. This function can only be called from a user
+        cut callback.
+        """
+        raise NotImplementedError()
+
     @abstractmethod
     def extract_constraint(self, cid: str) -> Constraint:
         """

miplearn/solvers/learning.py

@@ -125,18 +125,22 @@ class LearningSolver:
     ) -> LearningSolveStats:
 
         # Generate model
+        # -------------------------------------------------------
         if model is None:
             with _RedirectOutput([]):
                 model = instance.to_model()
 
         # Initialize training sample
+        # -------------------------------------------------------
         training_sample = TrainingSample()
         instance.training_data += [training_sample]
 
         # Initialize stats
+        # -------------------------------------------------------
         stats: LearningSolveStats = {}
 
         # Initialize internal solver
+        # -------------------------------------------------------
         self.tee = tee
         self.internal_solver = self.solver_factory()
         assert self.internal_solver is not None
@@ -144,6 +148,7 @@ class LearningSolver:
         self.internal_solver.set_instance(instance, model)
 
         # Extract features
+        # -------------------------------------------------------
         FeaturesExtractor(self.internal_solver).extract(instance)
 
         callback_args = (
@@ -156,6 +161,7 @@ class LearningSolver:
         )
 
         # Solve root LP relaxation
+        # -------------------------------------------------------
         if self.solve_lp:
             logger.debug("Running before_solve_lp callbacks...")
             for component in self.components.values():
@@ -172,37 +178,50 @@ class LearningSolver:
             for component in self.components.values():
                 component.after_solve_lp(*callback_args)
 
-        # Define wrappers
+        # Callback wrappers
+        # -------------------------------------------------------
         def iteration_cb_wrapper() -> bool:
             should_repeat = False
-            assert isinstance(instance, Instance)
             for comp in self.components.values():
                 if comp.iteration_cb(self, instance, model):
                     should_repeat = True
             return should_repeat
 
         def lazy_cb_wrapper(
-            cb_solver: LearningSolver,
+            cb_solver: InternalSolver,
             cb_model: Any,
         ) -> None:
-            assert isinstance(instance, Instance)
             for comp in self.components.values():
                 comp.lazy_cb(self, instance, model)
 
+        def user_cut_cb_wrapper(
+            cb_solver: InternalSolver,
+            cb_model: Any,
+        ) -> None:
+            for comp in self.components.values():
+                comp.user_cut_cb(self, instance, model)
+
         lazy_cb = None
         if self.use_lazy_cb:
             lazy_cb = lazy_cb_wrapper
 
+        user_cut_cb = None
+        if instance.has_user_cuts():
+            user_cut_cb = user_cut_cb_wrapper
+
         # Before-solve callbacks
+        # -------------------------------------------------------
         logger.debug("Running before_solve_mip callbacks...")
         for component in self.components.values():
             component.before_solve_mip(*callback_args)
 
         # Solve MIP
+        # -------------------------------------------------------
         logger.info("Solving MIP...")
         mip_stats = self.internal_solver.solve(
             tee=tee,
             iteration_cb=iteration_cb_wrapper,
+            user_cut_cb=user_cut_cb,
             lazy_cb=lazy_cb,
         )
         stats.update(cast(LearningSolveStats, mip_stats))
@@ -216,17 +235,20 @@ class LearningSolver:
         stats["Mode"] = self.mode
 
         # Add some information to training_sample
+        # -------------------------------------------------------
         training_sample.lower_bound = stats["Lower bound"]
         training_sample.upper_bound = stats["Upper bound"]
         training_sample.mip_log = stats["MIP log"]
         training_sample.solution = self.internal_solver.get_solution()
 
         # After-solve callbacks
+        # -------------------------------------------------------
         logger.debug("Calling after_solve_mip callbacks...")
         for component in self.components.values():
             component.after_solve_mip(*callback_args)
 
-        # Write to file, if necessary
+        # Flush
+        # -------------------------------------------------------
         if not discard_output:
             instance.flush()
 

miplearn/solvers/pyomo/base.py

@@ -23,7 +23,7 @@ from miplearn.solvers.internal import (
     LazyCallback,
     MIPSolveStats,
 )
-from miplearn.types import VarIndex, SolverParams, Solution
+from miplearn.types import VarIndex, SolverParams, Solution, UserCutCallback
 
 logger = logging.getLogger(__name__)
 
@@ -81,9 +81,12 @@ class BasePyomoSolver(InternalSolver):
         tee: bool = False,
         iteration_cb: IterationCallback = None,
         lazy_cb: LazyCallback = None,
+        user_cut_cb: UserCutCallback = None,
     ) -> MIPSolveStats:
         if lazy_cb is not None:
-            raise Exception("lazy callback not supported")
+            raise Exception("lazy callback not currently supported")
+        if user_cut_cb is not None:
+            raise Exception("user cut callback not currently supported")
         total_wallclock_time = 0
         streams: List[Any] = [StringIO()]
         if tee:
@@ -318,19 +321,19 @@ class BasePyomoSolver(InternalSolver):
         return {}
 
     def set_constraint_sense(self, cid: str, sense: str) -> None:
-        raise Exception("Not implemented")
+        raise NotImplementedError()
 
     def extract_constraint(self, cid: str) -> Constraint:
-        raise Exception("Not implemented")
+        raise NotImplementedError()
 
     def is_constraint_satisfied(self, cobj: Constraint, tol: float = 1e-6) -> bool:
-        raise Exception("Not implemented")
+        raise NotImplementedError()
 
     def is_infeasible(self) -> bool:
         return self._termination_condition == TerminationCondition.infeasible
 
     def get_dual(self, cid):
-        raise Exception("Not implemented")
+        raise NotImplementedError()
 
     def get_sense(self) -> str:
         return self._obj_sense

miplearn/types.py

@@ -2,10 +2,13 @@
 #  Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
 #  Released under the modified BSD license. See COPYING.md for more details.
 
-from typing import Optional, Dict, Callable, Any, Union, Tuple
+from typing import Optional, Dict, Callable, Any, Union, Tuple, TYPE_CHECKING
 
 from mypy_extensions import TypedDict
 
+if TYPE_CHECKING:
+    from miplearn.solvers.learning import InternalSolver
+
 VarIndex = Union[str, int, Tuple[Union[str, int]]]
 
 Solution = Dict[str, Dict[VarIndex, Optional[float]]]
@@ -64,6 +67,8 @@ IterationCallback = Callable[[], bool]
 
 LazyCallback = Callable[[Any, Any], None]
 
+UserCutCallback = Callable[["InternalSolver", Any], None]
+
 SolverParams = Dict[str, Any]
 
 BranchPriorities = Solution

tests/components/test_user_cuts.py

@@ -1,31 +1,77 @@
 #  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 typing import Any, List
 
+import logging
+from typing import Any, FrozenSet, Hashable
+
+import gurobipy as gp
+import networkx as nx
 import pytest
+from gurobipy import GRB
 from networkx import Graph
-import networkx as nx
-from scipy.stats import randint
 
-from miplearn import Instance
-from miplearn.problems.stab import MaxWeightStableSetGenerator
+from miplearn import Instance, LearningSolver, GurobiSolver
+from miplearn.components.user_cuts import UserCutsComponentNG
+
+logger = logging.getLogger(__name__)
 
 
 class GurobiStableSetProblem(Instance):
     def __init__(self, graph: Graph) -> None:
         super().__init__()
         self.graph = graph
+        self.nodes = list(self.graph.nodes)
 
     def to_model(self) -> Any:
-        pass
+        model = gp.Model()
+        x = [model.addVar(vtype=GRB.BINARY) for _ in range(len(self.nodes))]
+        model.setObjective(gp.quicksum(x), GRB.MAXIMIZE)
+        for e in list(self.graph.edges):
+            model.addConstr(x[e[0]] + x[e[1]] <= 1)
+        return model
+
+    def has_user_cuts(self) -> bool:
+        return True
+
+    def find_violated_user_cuts(self, model):
+        assert isinstance(model, gp.Model)
+        vals = model.cbGetNodeRel(model.getVars())
+        violations = []
+        for clique in nx.find_cliques(self.graph):
+            lhs = sum(vals[i] for i in clique)
+            if lhs > 1:
+                violations += [frozenset(clique)]
+        return violations
+
+    def build_user_cut(self, model: Any, violation: Hashable) -> Any:
+        assert isinstance(violation, FrozenSet)
+        x = model.getVars()
+        cut = gp.quicksum([x[i] for i in violation]) <= 1
+        return cut
 
 
 @pytest.fixture
-def instance() -> Instance:
-    graph = nx.generators.random_graphs.binomial_graph(50, 0.5)
+def stab_instance() -> Instance:
+    graph = nx.generators.random_graphs.binomial_graph(50, 0.50, seed=42)
     return GurobiStableSetProblem(graph)
 
 
-def test_usage(instance: Instance) -> None:
-    pass
+@pytest.fixture
+def solver() -> LearningSolver:
+    return LearningSolver(
+        solver=lambda: GurobiSolver(),
+        components=[
+            UserCutsComponentNG(),
+        ],
+    )
+
+
+def test_usage(
+    stab_instance: Instance,
+    solver: LearningSolver,
+) -> None:
+    solver.solve(stab_instance)
+    sample = stab_instance.training_data[0]
+    assert sample.user_cuts_enforced is not None
+    assert len(sample.user_cuts_enforced) > 0