Implement a small subset of Alvarez2017 features

miplearn/features.py

@@ -5,6 +5,7 @@
 import collections
 import numbers
 from dataclasses import dataclass
+from math import log, isfinite
 from typing import TYPE_CHECKING, Dict, Optional, Set, List, Hashable
 
 from miplearn.types import Solution, VariableName, Category
@@ -53,6 +54,10 @@ class Variable:
     user_features: Optional[List[float]] = None
     value: Optional[float] = None
 
+    # Alvarez, A. M., Louveaux, Q., & Wehenkel, L. (2017). A machine learning-based
+    # approximation of strong branching. INFORMS Journal on Computing, 29(1), 185-195.
+    alvarez_2017: Optional[List[float]] = None
+
 
 @dataclass
 class Constraint:
@@ -89,6 +94,7 @@ class FeaturesExtractor:
         self._extract_user_features_vars(instance)
         self._extract_user_features_constrs(instance)
         self._extract_user_features_instance(instance)
+        self._extract_alvarez_2017(instance)
 
     def _extract_user_features_vars(self, instance: "Instance"):
         for (var_name, var) in instance.features.variables.items():
@@ -164,3 +170,68 @@ class FeaturesExtractor:
             user_features=user_features,
             lazy_constraint_count=lazy_count,
         )
+
+    def _extract_alvarez_2017(self, instance: "Instance"):
+        assert instance.features is not None
+        assert instance.features.variables is not None
+
+        pos_obj_coeff_sum = 0.0
+        neg_obj_coeff_sum = 0.0
+        for (varname, var) in instance.features.variables.items():
+            if var.obj_coeff is not None:
+                if var.obj_coeff > 0:
+                    pos_obj_coeff_sum += var.obj_coeff
+                if var.obj_coeff < 0:
+                    neg_obj_coeff_sum += -var.obj_coeff
+
+        for (varname, var) in instance.features.variables.items():
+            assert isinstance(var, Variable)
+            features = []
+            if var.obj_coeff is not None:
+                # Feature 1
+                features.append(np.sign(var.obj_coeff))
+
+                # Feature 2
+                if pos_obj_coeff_sum > 0:
+                    features.append(abs(var.obj_coeff) / pos_obj_coeff_sum)
+                else:
+                    features.append(0.0)
+
+                # Feature 3
+                if neg_obj_coeff_sum > 0:
+                    features.append(abs(var.obj_coeff) / neg_obj_coeff_sum)
+                else:
+                    features.append(0.0)
+
+            if var.value is not None:
+                # Feature 37
+                features.append(
+                    min(
+                        var.value - np.floor(var.value),
+                        np.ceil(var.value) - var.value,
+                    )
+                )
+
+            if var.sa_obj_up is not None:
+                assert var.sa_obj_down is not None
+                csign = np.sign(var.obj_coeff)
+
+                # Features 44 and 46
+                features.append(np.sign(var.sa_obj_up))
+                features.append(np.sign(var.sa_obj_down))
+
+                # Feature 47
+                f47 = log((var.obj_coeff - var.sa_obj_down) / csign)
+                if isfinite(f47):
+                    features.append(f47)
+                else:
+                    features.append(0.0)
+
+                # Feature 48
+                f48 = log((var.sa_obj_up - var.obj_coeff) / csign)
+                if isfinite(f48):
+                    features.append(f48)
+                else:
+                    features.append(0.0)
+
+            var.alvarez_2017 = features

miplearn/solvers/tests/__init__.py

@@ -3,6 +3,7 @@
 #  Released under the modified BSD license. See COPYING.md for more details.
 
 from typing import Any, Dict
+import numpy as np
 
 from miplearn.features import Constraint, Variable
 from miplearn.solvers.internal import InternalSolver
@@ -38,6 +39,8 @@ def _round_variables(vars: Dict[str, Variable]) -> Dict[str, Variable]:
         ]:
             if getattr(c, attr) is not None:
                 setattr(c, attr, round(getattr(c, attr), 6))
+        if c.alvarez_2017 is not None:
+            c.alvarez_2017 = list(np.round(c.alvarez_2017, 6))
     return vars
 
 
@@ -395,4 +398,4 @@ def run_lazy_cb_tests(solver: InternalSolver) -> None:
 
 
 def assert_equals(left: Any, right: Any) -> None:
-    assert left == right, f"{left} != {right}"
+    assert left == right, f"left:\n{left}\nright:\n{right}"

tests/test_features.py

@@ -9,7 +9,9 @@ from miplearn.features import (
     Constraint,
 )
 from miplearn.solvers.gurobi import GurobiSolver
-from miplearn.solvers.tests import assert_equals
+from miplearn.solvers.tests import assert_equals, _round_variables, _round_constraints
+
+inf = float("inf")
 
 
 def test_knapsack() -> None:
@@ -17,58 +19,127 @@ def test_knapsack() -> None:
     instance = solver.build_test_instance_knapsack()
     model = instance.to_model()
     solver.set_instance(instance, model)
+    solver.solve_lp()
+
     FeaturesExtractor(solver).extract(instance)
     assert_equals(
-        instance.features.variables,
+        _round_variables(instance.features.variables),
         {
             "x[0]": Variable(
+                basis_status="U",
                 category="default",
                 lower_bound=0.0,
                 obj_coeff=505.0,
-                type="B",
+                reduced_cost=193.615385,
+                sa_lb_down=-inf,
+                sa_lb_up=1.0,
+                sa_obj_down=311.384615,
+                sa_obj_up=inf,
+                sa_ub_down=0.913043,
+                sa_ub_up=2.043478,
+                type="C",
                 upper_bound=1.0,
                 user_features=[23.0, 505.0],
+                value=1.0,
+                alvarez_2017=[1.0, 0.32899, 0.0, 0.0, 1.0, 1.0, 5.265874, 0.0],
             ),
             "x[1]": Variable(
+                basis_status="B",
                 category="default",
                 lower_bound=0.0,
                 obj_coeff=352.0,
-                type="B",
+                reduced_cost=0.0,
+                sa_lb_down=-inf,
+                sa_lb_up=0.923077,
+                sa_obj_down=317.777778,
+                sa_obj_up=570.869565,
+                sa_ub_down=0.923077,
+                sa_ub_up=inf,
+                type="C",
                 upper_bound=1.0,
                 user_features=[26.0, 352.0],
+                value=0.923077,
+                alvarez_2017=[
+                    1.0,
+                    0.229316,
+                    0.0,
+                    0.076923,
+                    1.0,
+                    1.0,
+                    3.532875,
+                    5.388476,
+                ],
             ),
             "x[2]": Variable(
+                basis_status="U",
                 category="default",
                 lower_bound=0.0,
                 obj_coeff=458.0,
-                type="B",
+                reduced_cost=187.230769,
+                sa_lb_down=-inf,
+                sa_lb_up=1.0,
+                sa_obj_down=270.769231,
+                sa_obj_up=inf,
+                sa_ub_down=0.9,
+                sa_ub_up=2.2,
+                type="C",
                 upper_bound=1.0,
                 user_features=[20.0, 458.0],
+                value=1.0,
+                alvarez_2017=[
+                    1.0,
+                    0.298371,
+                    0.0,
+                    0.0,
+                    1.0,
+                    1.0,
+                    5.232342,
+                    0.0,
+                ],
             ),
             "x[3]": Variable(
+                basis_status="L",
                 category="default",
                 lower_bound=0.0,
                 obj_coeff=220.0,
-                type="B",
+                reduced_cost=-23.692308,
+                sa_lb_down=-0.111111,
+                sa_lb_up=1.0,
+                sa_obj_down=-inf,
+                sa_obj_up=243.692308,
+                sa_ub_down=0.0,
+                sa_ub_up=inf,
+                type="C",
                 upper_bound=1.0,
                 user_features=[18.0, 220.0],
+                value=0.0,
+                alvarez_2017=[
+                    1.0,
+                    0.143322,
+                    0.0,
+                    0.0,
+                    1.0,
+                    -1.0,
+                    0.0,
+                    3.16515,
+                ],
             ),
         },
     )
     assert_equals(
-        instance.features.constraints,
+        _round_constraints(instance.features.constraints),
         {
             "eq_capacity": Constraint(
-                lhs={
-                    "x[0]": 23.0,
-                    "x[1]": 26.0,
-                    "x[2]": 20.0,
-                    "x[3]": 18.0,
-                },
-                sense="<",
-                rhs=67.0,
-                lazy=False,
+                basis_status="N",
                 category="eq_capacity",
+                dual_value=13.538462,
+                lazy=False,
+                lhs={"x[0]": 23.0, "x[1]": 26.0, "x[2]": 20.0, "x[3]": 18.0},
+                rhs=67.0,
+                sa_rhs_down=43.0,
+                sa_rhs_up=69.0,
+                sense="<",
+                slack=0.0,
                 user_features=[0.0],
             )
         },