Implement MultiKnapsackGenerator and MultiKnapsackInstance

Makefile

@@ -1,5 +1,7 @@
 PYTEST_ARGS := -W ignore::DeprecationWarning -vv
 
+all: docs test
+
 docs:
 	mkdocs build
 

docs/problems.md

@@ -26,7 +26,7 @@ All experiments presented here were performed on a Linux server (Ubuntu Linux 18
 
 Given a simple undirected graph $G=(V,E)$ and weights $w \in \mathbb{R}^V$, the problem is to find a stable set $S \subseteq V$ that maximizes $ \sum_{v \in V} w_v$. We recall that a subset $S \subseteq V$ is a *stable set* if no two vertices of $S$ are adjacent. This is one of Karp's 21 NP-complete problems.
 
-### Random instance generators
+### Random instance generator
 
 The class `MaxWeightStableSetGenerator` can be used to generate random instances of this problem, with user-specified probability distributions. When the constructor parameter `fix_graph=True` is provided, one random Erdős-Rényi graph $G_{n,p}$ is generated during the constructor, where $n$ and $p$ are sampled from user-provided probability distributions `n` and `p`. To generate each instance, the generator independently samples each $w_v$ from the user-provided probability distribution `w`. When `fix_graph=False`, a new random graph is generated for each instance, while the remaining parameters are sampled in the same way.
 
@@ -50,3 +50,42 @@ MaxWeightStableSetGenerator(w=uniform(loc=100., scale=50.),
 #### Challenge A
 
 ![alt](figures/mwss.png)
+
+## Multidimensional 0-1 Knapsack Problem
+
+### Problem definition
+
+Given a set of $n$ items and $m$ types of resources (also called *knapsacks*), the problem is to find a subset of items that maximizes profit without consuming more resources than it is available. More precisely, the problem is:
+
+\begin{align*}
+    \text{maximize}
+        & \sum_{j=1}^n p_j x_j
+        \\
+    \text{subject to}
+        & \sum_{j=1}^n w_{ij} x_j \leq b_i
+        & \forall i=1,\ldots,m \\
+    & x_j \in \{0,1\}
+        & \forall j=1,\ldots,n
+\end{align*}
+
+### Random instance generator
+
+The class `MultiKnapsackGenerator` can be used to generate random instances of this problem. The number of items $n$ and knapsacks $m$ are sampled from the user-provided probability distributions `n` and `m`. The weights $w_{ij}$ are sampled independently from the provided distribution `w`. The capacity of knapsack $i$ is set to
+
+$$
+    \alpha_i \sum_{j=1}^n w_{ij}
+$$
+
+where $\alpha_i$, the tightness ratio, is sampled from the provided probability
+distribution `alpha`. To make the instances more challenging, the costs of the items
+are linearly correlated to their average weights. More specifically, the weight of each
+item $j$ is set to:
+
+$$
+    \sum_{i=1}^m \frac{w_{ij}}{m} + K  u_j,
+$$
+
+where $K$, the correlation coefficient, and $u_j$, the correlation multiplier, are sampled
+from the provided probability distributions `K` and `u`. Note that $K$ is only sample once for the entire instance.
+
+This random generation procedure was developed by A. Freville and G. Plateau (*An efficient preprocessing procedure for the multidimensional knapsack problem*, Discrete Applied Mathematics 49 (1994) 189–212).

miplearn/problems/__init__.py

@@ -0,0 +1,3 @@
+# MIPLearn, an extensible framework for Learning-Enhanced Mixed-Integer Optimization
+# Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
+# Written by Alinson S. Xavier <axavier@anl.gov>

miplearn/problems/knapsack.py

@@ -3,51 +3,135 @@
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
 import miplearn
+from miplearn import Instance
 import numpy as np
 import pyomo.environ as pe
+from scipy.stats import uniform, randint, bernoulli
+from scipy.stats.distributions import rv_frozen
 
 
-class KnapsackInstance(miplearn.Instance):
-    def __init__(self, weights, prices, capacity):
-        self.weights = weights
+class MultiKnapsackInstance(Instance):
+    """Representation of the Multidimensional 0-1 Knapsack Problem.
+    
+    Given a set of n items and m knapsacks, the problem is to find a subset of items S maximizing
+    sum(prices[i] for i in S). If selected, each item i occupies weights[i,j] units of space in
+    each knapsack j. Furthermore, each knapsack j has limited storage space, given by capacities[j].
+    
+    This implementation assigns a different category for each decision variable, and therefore
+    trains one ML model per variable. It is only suitable when training and test instances have
+    same size and items don't shuffle around.
+    """
+    
+    def __init__(self,
+                 prices,
+                 capacities,
+                 weights):
+        assert isinstance(prices, np.ndarray)
+        assert isinstance(capacities, np.ndarray)
+        assert isinstance(weights, np.ndarray)
+        assert len(weights.shape) == 2
+        self.m, self.n = weights.shape
+        assert prices.shape == (self.n,)
+        assert capacities.shape == (self.m,)
         self.prices = prices
-        self.capacity = capacity
-
+        self.capacities = capacities
+        self.weights = weights
+        
     def to_model(self):
         model = pe.ConcreteModel()
-        items = range(len(self.weights))
-        model.x = pe.Var(items, domain=pe.Binary)
-        model.OBJ = pe.Objective(rule=lambda m: sum(m.x[v] * self.prices[v] for v in items),
+        model.x = pe.Var(range(self.n), domain=pe.Binary)
+        model.OBJ = pe.Objective(rule=lambda model: sum(model.x[j] * self.prices[j]
+                                                        for j in range(self.n)),
                                  sense=pe.maximize)
-        model.eq_capacity = pe.Constraint(rule=lambda m: sum(m.x[v] * self.weights[v]
-                                                             for v in items) <= self.capacity)
+        model.eq_capacity = pe.ConstraintList()
+        for i in range(self.m):
+            model.eq_capacity.add(sum(model.x[j] * self.weights[i,j]
+                                      for j in range(self.n)) <= self.capacities[i])
+        
         return model
-
+        
     def get_instance_features(self):
-        return np.array([
-            self.capacity,
-            np.average(self.weights),
+        return np.hstack([
+            self.prices,
+            self.capacities,
+            self.weights.ravel(),
         ])
 
     def get_variable_features(self, var, index):
-        return np.array([
-            self.weights[index],
-            self.prices[index],
-        ])
-
-
-class KnapsackInstance2(KnapsackInstance):
-    """
-    Alternative implementation of the Knapsack Problem, which assigns a different category for each
-    decision variable, and therefore trains one machine learning model per variable.
-    """
-
-    def get_instance_features(self):
-        return np.hstack([self.weights, self.prices])
-
-    def get_variable_features(self, var, index):
-        return np.array([
-        ])
+        return np.array([])
 
     def get_variable_category(self, var, index):
         return index
+
+
+class MultiKnapsackGenerator:
+    def __init__(self,
+                 n=randint(low=100, high=101),
+                 m=randint(low=30, high=31),
+                 w=randint(low=0, high=1000),
+                 K=randint(low=500, high=500),
+                 u=uniform(loc=0.0, scale=1.0),
+                 alpha=uniform(loc=0.25, scale=0.0),
+                ):
+        """Initialize the problem generator.
+        
+        Instances have a random number of items (or variables) and a random number of knapsacks
+        (or constraints), as specified by the provided probability distributions `n` and `m`,
+        respectively. The weight of each item `i` on knapsack `j` is sampled independently from
+        the provided distribution `w`. The capacity of knapsack `j` is set to:
+        
+            alpha_j * sum(w[i,j] for i in range(n)),
+            
+        where `alpha_j`, the tightness ratio, is sampled from the provided probability
+        distribution `alpha`. To make the instances more challenging, the costs of the items
+        are linearly correlated to their average weights. More specifically, the weight of each
+        item `i` is set to:
+        
+            sum(w[i,j]/m for j in range(m)) + K * u_i,
+            
+        where `K`, the correlation coefficient, and `u_i`, the correlation multiplier, are sampled
+        from the provided probability distributions. Note that `K` is only sample once for the
+        entire instance.
+        
+        Parameters
+        ----------
+        n: rv_discrete
+            Probability distribution for the number of items (or variables)
+        m: rv_discrete
+            Probability distribution for the number of knapsacks (or constraints)
+        w: rv_discrete
+            Probability distribution for the item weights
+        K: rv_discrete
+            Probability distribution for the profit correlation coefficient
+        u: rv_continuous
+            Probability distribution for the profit multiplier
+        alpha: rv_continuous
+            Probability distribution for the tightness ratio
+        """
+        assert isinstance(n, rv_frozen), "n should be a SciPy probability distribution"
+        assert isinstance(m, rv_frozen), "m should be a SciPy probability distribution"
+        assert isinstance(w, rv_frozen), "w should be a SciPy probability distribution"
+        assert isinstance(K, rv_frozen), "K should be a SciPy probability distribution"
+        assert isinstance(u, rv_frozen), "u should be a SciPy probability distribution"
+        assert isinstance(alpha, rv_frozen), "alpha should be a SciPy probability distribution"
+        self.n = n
+        self.m = m
+        self.w = w
+        self.K = K
+        self.u = u
+        self.alpha = alpha
+    
+    def generate(self, n_samples):
+        def _sample():
+            n = self.n.rvs()
+            m = self.m.rvs()
+            K = self.K.rvs()
+            u = self.u.rvs(n)
+            alpha = self.alpha.rvs(m)
+            weights = np.array([self.w.rvs(n) for _ in range(m)])
+            prices = np.array([weights[:,j].sum() / m + K * u[j] for j in range(n)])
+            capacities = np.array([weights[i,:].sum() * alpha[i] for i in range(m)])
+            return MultiKnapsackInstance(prices, capacities, weights)
+        return [_sample() for _ in range(n_samples)]
+    
+    

miplearn/problems/tests/test_knapsack.py

@@ -0,0 +1,44 @@
+# MIPLearn, an extensible framework for Learning-Enhanced Mixed-Integer Optimization
+# Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
+# Written by Alinson S. Xavier <axavier@anl.gov>
+
+from miplearn import LearningSolver
+from miplearn.problems.knapsack import MultiKnapsackGenerator, MultiKnapsackInstance
+from scipy.stats import uniform, randint
+import numpy as np
+
+
+def test_knapsack_generator():
+    gen = MultiKnapsackGenerator(n=randint(low=100, high=101),
+                                 m=randint(low=30, high=31),
+                                 w=randint(low=0, high=1000),
+                                 K=randint(low=500, high=501),
+                                 u=uniform(loc=1.0, scale=1.0),
+                                 alpha=uniform(loc=0.50, scale=0.0),
+                                )
+    instances = gen.generate(100)
+    w_sum = sum(instance.weights for instance in instances) / len(instances)
+    p_sum = sum(instance.prices for instance in instances) / len(instances)
+    b_sum = sum(instance.capacities for instance in instances) / len(instances)
+    assert round(np.mean(w_sum), -1) == 500.
+    assert round(np.mean(p_sum), -1) == 1250.
+    assert round(np.mean(b_sum), -3) == 25000.
+
+    
+def test_knapsack_instance():
+    instance = MultiKnapsackInstance(
+        prices=np.array([5.0, 10.0, 15.0]),
+        capacities=np.array([20.0, 30.0]),
+        weights=np.array([
+            [5.0,  5.0,  5.0],
+            [5.0, 10.0, 15.0],
+        ])
+    )
+    
+    assert (instance.get_instance_features() == np.array([
+        5.0, 10.0, 15.0, 20.0, 30.0, 5.0, 5.0, 5.0, 5.0, 10.0, 15.0
+    ])).all()
+    
+    solver = LearningSolver()
+    results = solver.solve(instance)
+    assert results["Problem"][0]["Lower bound"] == 30.0

miplearn/tests/test_solver.py

@@ -3,25 +3,28 @@
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
 from miplearn import LearningSolver
-from miplearn.problems.knapsack import KnapsackInstance2
+from miplearn.problems.knapsack import MultiKnapsackInstance
 from miplearn.branching import BranchPriorityComponent
 from miplearn.warmstart import WarmStartComponent
 import numpy as np
 
 
+def _get_instance():
+    return MultiKnapsackInstance(
+        weights=np.array([[23., 26., 20., 18.]]),
+        prices=np.array([505., 352., 458., 220.]),
+        capacities=np.array([67.])
+    )
+
 def test_solver():
-    instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
-                                 prices=[505., 352., 458., 220.],
-                                 capacity=67.)
+    instance = _get_instance()
     solver = LearningSolver()
     solver.solve(instance)
     solver.fit()
     solver.solve(instance)
 
 def test_solve_save_load_state():
-    instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
-                                 prices=[505., 352., 458., 220.],
-                                 capacity=67.)
+    instance = _get_instance()
     components_before = {
         "warm-start": WarmStartComponent(),
         "branch-priority": BranchPriorityComponent(),
@@ -43,10 +46,7 @@ def test_solve_save_load_state():
     assert len(solver.components["warm-start"].y_train) == prev_y_train_len
 
 def test_parallel_solve():
-    instances = [KnapsackInstance2(weights=np.random.rand(5),
-                                   prices=np.random.rand(5),
-                                   capacity=3.0)
-                 for _ in range(10)]
+    instances = [_get_instance() for _ in range(10)]
     solver = LearningSolver()
     results = solver.parallel_solve(instances, n_jobs=3)
     assert len(results) == 10
@@ -54,9 +54,7 @@ def test_parallel_solve():
     assert len(solver.components["warm-start"].y_train[0]) == 10
     
 def test_solver_random_branch_priority():
-    instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
-                                 prices=[505., 352., 458., 220.],
-                                 capacity=67.)
+    instance = _get_instance()
     components = {
         "warm-start": BranchPriorityComponent(initial_priority=np.array([1, 2, 3, 4])),
     }

miplearn/tests/test_transformer.py

@@ -2,59 +2,19 @@
 # Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
+from miplearn import LearningSolver
 from miplearn.transformers import PerVariableTransformer
-from miplearn.problems.knapsack import KnapsackInstance, KnapsackInstance2
+from miplearn.problems.knapsack import MultiKnapsackInstance
 import numpy as np
 import pyomo.environ as pe
 
-
-def test_transform():
-    transformer = PerVariableTransformer()
-    instance = KnapsackInstance(weights=[23., 26., 20., 18.],
-                                prices=[505., 352., 458., 220.],
-                                capacity=67.)
-    model = instance.to_model()
-    solver = pe.SolverFactory('gurobi')
-    solver.options["threads"] = 1
-    solver.solve(model)
-
-    var_split = transformer.split_variables(instance, model)
-    var_split_expected = {
-        "default": [
-            (model.x, 0),
-            (model.x, 1),
-            (model.x, 2),
-            (model.x, 3)
-        ]
-    }
-    assert var_split == var_split_expected
-    var_index_pairs = [(model.x, i) for i in range(4)]
-
-    x_actual = transformer.transform_instance(instance, var_index_pairs)
-    x_expected = np.array([
-        [67., 21.75, 23., 505.],
-        [67., 21.75, 26., 352.],
-        [67., 21.75, 20., 458.],
-        [67., 21.75, 18., 220.],
-    ])
-    assert x_expected.tolist() == np.round(x_actual, decimals=2).tolist()
-
-    solver.solve(model)
-    y_actual = transformer.transform_solution(var_index_pairs)
-    y_expected = np.array([
-        [0., 1.],
-        [1., 0.],
-        [0., 1.],
-        [0., 1.],
-    ])
-    assert y_actual.tolist() == y_expected.tolist()
-
-
 def test_transform_with_categories():
     transformer = PerVariableTransformer()
-    instance = KnapsackInstance2(weights=[23., 26., 20., 18.],
-                                 prices=[505., 352., 458., 220.],
-                                 capacity=67.)
+    instance = MultiKnapsackInstance(
+        weights=np.array([[23., 26., 20., 18.]]),
+        prices=np.array([505., 352., 458., 220.]),
+        capacities=np.array([67.])
+    )
     model = instance.to_model()
     solver = pe.SolverFactory('gurobi')
     solver.options["threads"] = 1
@@ -71,10 +31,11 @@ def test_transform_with_categories():
 
     var_index_pairs = var_split[0]
     x_actual = transformer.transform_instance(instance, var_index_pairs)
-    x_expected = np.array([
-        [23., 26., 20., 18., 505., 352., 458., 220.]
+    x_expected = np.hstack([
+        instance.get_instance_features(),
+        instance.get_variable_features(model.x, 0),
     ])
-    assert x_expected.tolist() == np.round(x_actual, decimals=2).tolist()
+    assert (x_expected == x_actual).all()
 
     solver.solve(model)
 

requirements.txt

@@ -5,3 +5,4 @@ sklearn
 networkx
 tqdm
 pandas
+pytest-watch