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Update 0.3 docs
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0.3/tutorials/getting-started-gurobipy.ipynb
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0.3/tutorials/getting-started-gurobipy.ipynb
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"cells": [
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{
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"cell_type": "markdown",
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"id": "6b8983b1",
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"metadata": {
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"tags": []
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},
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"source": [
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"# Getting started (Gurobipy)\n",
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"\n",
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"## Introduction\n",
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"\n",
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"**MIPLearn** is an open source framework that uses machine learning (ML) to accelerate the performance of mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS). In this tutorial, we will:\n",
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"\n",
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"1. Install the Python/Gurobipy version of MIPLearn\n",
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"2. Model a simple optimization problem using Gurobipy\n",
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"3. Generate training data and train the ML models\n",
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"4. Use the ML models together Gurobi to solve new instances\n",
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"\n",
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"<div class=\"alert alert-info\">\n",
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"Note\n",
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" \n",
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"The Python/Gurobipy version of MIPLearn is only compatible with the Gurobi Optimizer. For broader solver compatibility, see the Python/Pyomo and Julia/JuMP versions of the package.\n",
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"</div>\n",
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"\n",
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"<div class=\"alert alert-warning\">\n",
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"Warning\n",
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" \n",
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"MIPLearn is still in early development stage. If run into any bugs or issues, please submit a bug report in our GitHub repository. Comments, suggestions and pull requests are also very welcome!\n",
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" \n",
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"</div>\n"
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]
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},
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{
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"cell_type": "markdown",
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"id": "02f0a927",
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"metadata": {},
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"source": [
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"## Installation\n",
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"\n",
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"MIPLearn is available in two versions:\n",
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"\n",
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"- Python version, compatible with the Pyomo and Gurobipy modeling languages,\n",
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"- Julia version, compatible with the JuMP modeling language.\n",
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"\n",
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"In this tutorial, we will demonstrate how to use and install the Python/Gurobipy version of the package. The first step is to install Python 3.8+ in your computer. See the [official Python website for more instructions](https://www.python.org/downloads/). After Python is installed, we proceed to install MIPLearn using `pip`:"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 1,
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"id": "cd8a69c1",
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"metadata": {
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||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:18:02.381829278Z",
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"start_time": "2023-06-06T20:18:02.381532300Z"
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}
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},
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"outputs": [],
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"source": [
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"# !pip install MIPLearn==0.3.0"
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]
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},
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{
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"cell_type": "markdown",
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"id": "e8274543",
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"metadata": {},
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"source": [
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"In addition to MIPLearn itself, we will also install Gurobi 10.0, a state-of-the-art commercial MILP solver. This step also install a demo license for Gurobi, which should able to solve the small optimization problems in this tutorial. A license is required for solving larger-scale problems."
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"id": "dcc8756c",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2023-06-06T20:18:15.537811992Z",
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"start_time": "2023-06-06T20:18:13.449177860Z"
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}
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Requirement already satisfied: gurobipy<10.1,>=10 in /home/axavier/Software/anaconda3/envs/miplearn/lib/python3.8/site-packages (10.0.1)\n"
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]
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}
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],
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"source": [
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"!pip install 'gurobipy>=10,<10.1'"
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]
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},
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{
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"cell_type": "markdown",
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"id": "a14e4550",
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"metadata": {},
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"source": [
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"<div class=\"alert alert-info\">\n",
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" \n",
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"Note\n",
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" \n",
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"In the code above, we install specific version of all packages to ensure that this tutorial keeps running in the future, even when newer (and possibly incompatible) versions of the packages are released. This is usually a recommended practice for all Python projects.\n",
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" \n",
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"</div>"
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]
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},
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{
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"cell_type": "markdown",
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"id": "16b86823",
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"metadata": {},
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"source": [
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"## Modeling a simple optimization problem\n",
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"\n",
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"To illustrate how can MIPLearn be used, we will model and solve a small optimization problem related to power systems optimization. The problem we discuss below is a simplification of the **unit commitment problem,** a practical optimization problem solved daily by electric grid operators around the world. \n",
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"\n",
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"Suppose that a utility company needs to decide which electrical generators should be online at each hour of the day, as well as how much power should each generator produce. More specifically, assume that the company owns $n$ generators, denoted by $g_1, \\ldots, g_n$. Each generator can either be online or offline. An online generator $g_i$ can produce between $p^\\text{min}_i$ to $p^\\text{max}_i$ megawatts of power, and it costs the company $c^\\text{fix}_i + c^\\text{var}_i y_i$, where $y_i$ is the amount of power produced. An offline generator produces nothing and costs nothing. The total amount of power to be produced needs to be exactly equal to the total demand $d$ (in megawatts).\n",
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"\n",
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"This simple problem can be modeled as a *mixed-integer linear optimization* problem as follows. For each generator $g_i$, let $x_i \\in \\{0,1\\}$ be a decision variable indicating whether $g_i$ is online, and let $y_i \\geq 0$ be a decision variable indicating how much power does $g_i$ produce. The problem is then given by:"
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]
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},
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{
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"cell_type": "markdown",
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"id": "f12c3702",
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"metadata": {},
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"source": [
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"$$\n",
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"\\begin{align}\n",
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"\\text{minimize } \\quad & \\sum_{i=1}^n \\left( c^\\text{fix}_i x_i + c^\\text{var}_i y_i \\right) \\\\\n",
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"\\text{subject to } \\quad & y_i \\leq p^\\text{max}_i x_i & i=1,\\ldots,n \\\\\n",
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"& y_i \\geq p^\\text{min}_i x_i & i=1,\\ldots,n \\\\\n",
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"& \\sum_{i=1}^n y_i = d \\\\\n",
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"& x_i \\in \\{0,1\\} & i=1,\\ldots,n \\\\\n",
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"& y_i \\geq 0 & i=1,\\ldots,n\n",
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"\\end{align}\n",
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"$$"
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]
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},
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{
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"cell_type": "markdown",
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"id": "be3989ed",
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"metadata": {},
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"source": [
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"<div class=\"alert alert-info\">\n",
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"\n",
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"Note\n",
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"\n",
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"We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem.\n",
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"\n",
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"</div>"
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]
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},
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{
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"cell_type": "markdown",
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"id": "a5fd33f6",
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"metadata": {},
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"source": [
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"Next, let us convert this abstract mathematical formulation into a concrete optimization model, using Python and Pyomo. We start by defining a data class `UnitCommitmentData`, which holds all the input data."
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"id": "22a67170-10b4-43d3-8708-014d91141e73",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2023-06-06T20:18:25.442346786Z",
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"start_time": "2023-06-06T20:18:25.329017476Z"
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},
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"tags": []
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},
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"outputs": [],
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"source": [
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"from dataclasses import dataclass\n",
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"from typing import List\n",
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"\n",
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"import numpy as np\n",
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"\n",
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"\n",
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"@dataclass\n",
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"class UnitCommitmentData:\n",
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" demand: float\n",
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" pmin: List[float]\n",
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" pmax: List[float]\n",
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" cfix: List[float]\n",
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" cvar: List[float]"
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]
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},
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{
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"cell_type": "markdown",
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||||
"id": "29f55efa-0751-465a-9b0a-a821d46a3d40",
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"metadata": {},
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"source": [
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"Next, we write a `build_uc_model` function, which converts the input data into a concrete Pyomo model. The function accepts `UnitCommitmentData`, the data structure we previously defined, or the path to a compressed pickle file containing this data."
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"id": "2f67032f-0d74-4317-b45c-19da0ec859e9",
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"metadata": {
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||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:48:05.953902842Z",
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||||
"start_time": "2023-06-06T20:48:05.909747925Z"
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}
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},
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"outputs": [],
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||||
"source": [
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||||
"import gurobipy as gp\n",
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"from gurobipy import GRB, quicksum\n",
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"from typing import Union\n",
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"from miplearn.io import read_pkl_gz\n",
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"from miplearn.solvers.gurobi import GurobiModel\n",
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"\n",
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||||
"def build_uc_model(data: Union[str, UnitCommitmentData]) -> GurobiModel:\n",
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" if isinstance(data, str):\n",
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" data = read_pkl_gz(data)\n",
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"\n",
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" model = gp.Model()\n",
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" n = len(data.pmin)\n",
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" x = model._x = model.addVars(n, vtype=GRB.BINARY, name=\"x\")\n",
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" y = model._y = model.addVars(n, name=\"y\")\n",
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" model.setObjective(\n",
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" quicksum(\n",
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" data.cfix[i] * x[i] + data.cvar[i] * y[i] for i in range(n)\n",
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" )\n",
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" )\n",
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" model.addConstrs(y[i] <= data.pmax[i] * x[i] for i in range(n))\n",
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" model.addConstrs(y[i] >= data.pmin[i] * x[i] for i in range(n))\n",
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" model.addConstr(quicksum(y[i] for i in range(n)) == data.demand)\n",
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" return GurobiModel(model)"
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]
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},
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{
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||||
"cell_type": "markdown",
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||||
"id": "c22714a3",
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||||
"metadata": {},
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||||
"source": [
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||||
"At this point, we can already use Pyomo and any mixed-integer linear programming solver to find optimal solutions to any instance of this problem. To illustrate this, let us solve a small instance with three generators:"
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]
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||||
},
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{
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||||
"cell_type": "code",
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"execution_count": 5,
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"id": "2a896f47",
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||||
"metadata": {
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||||
"ExecuteTime": {
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||||
"end_time": "2023-06-06T20:49:14.266758244Z",
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"start_time": "2023-06-06T20:49:14.223514806Z"
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}
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Restricted license - for non-production use only - expires 2024-10-28\n",
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"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
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"\n",
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"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
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"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
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"\n",
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"Optimize a model with 7 rows, 6 columns and 15 nonzeros\n",
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"Model fingerprint: 0x58dfdd53\n",
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"Variable types: 3 continuous, 3 integer (3 binary)\n",
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"Coefficient statistics:\n",
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" Matrix range [1e+00, 7e+01]\n",
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" Objective range [2e+00, 7e+02]\n",
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" Bounds range [1e+00, 1e+00]\n",
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" RHS range [1e+02, 1e+02]\n",
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"Presolve removed 2 rows and 1 columns\n",
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"Presolve time: 0.00s\n",
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"Presolved: 5 rows, 5 columns, 13 nonzeros\n",
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"Variable types: 0 continuous, 5 integer (3 binary)\n",
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"Found heuristic solution: objective 1400.0000000\n",
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"\n",
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"Root relaxation: objective 1.035000e+03, 3 iterations, 0.00 seconds (0.00 work units)\n",
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"\n",
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" Nodes | Current Node | Objective Bounds | Work\n",
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" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
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"\n",
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" 0 0 1035.00000 0 1 1400.00000 1035.00000 26.1% - 0s\n",
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" 0 0 1105.71429 0 1 1400.00000 1105.71429 21.0% - 0s\n",
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"* 0 0 0 1320.0000000 1320.00000 0.00% - 0s\n",
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"\n",
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"Explored 1 nodes (5 simplex iterations) in 0.01 seconds (0.00 work units)\n",
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"Thread count was 12 (of 12 available processors)\n",
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"\n",
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"Solution count 2: 1320 1400 \n",
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"\n",
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"Optimal solution found (tolerance 1.00e-04)\n",
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"Best objective 1.320000000000e+03, best bound 1.320000000000e+03, gap 0.0000%\n",
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"obj = 1320.0\n",
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"x = [-0.0, 1.0, 1.0]\n",
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"y = [0.0, 60.0, 40.0]\n"
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]
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}
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],
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"source": [
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"model = build_uc_model(\n",
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" UnitCommitmentData(\n",
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" demand=100.0,\n",
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" pmin=[10, 20, 30],\n",
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" pmax=[50, 60, 70],\n",
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" cfix=[700, 600, 500],\n",
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" cvar=[1.5, 2.0, 2.5],\n",
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" )\n",
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")\n",
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"\n",
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"model.optimize()\n",
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"print(\"obj =\", model.inner.objVal)\n",
|
||||
"print(\"x =\", [model.inner._x[i].x for i in range(3)])\n",
|
||||
"print(\"y =\", [model.inner._y[i].x for i in range(3)])"
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||||
]
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||||
},
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||||
{
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||||
"cell_type": "markdown",
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||||
"id": "41b03bbc",
|
||||
"metadata": {},
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||||
"source": [
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||||
"Running the code above, we found that the optimal solution for our small problem instance costs \\$1320. It is achieve by keeping generators 2 and 3 online and producing, respectively, 60 MW and 40 MW of power."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
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||||
"id": "01f576e1-1790-425e-9e5c-9fa07b6f4c26",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
" \n",
|
||||
"Note\n",
|
||||
"\n",
|
||||
"- In the example above, `GurobiModel` is just a thin wrapper around a standard Gurobi model. This wrapper allows MIPLearn to be solver- and modeling-language-agnostic. The wrapper provides only a few basic methods, such as `optimize`. For more control, and to query the solution, the original Gurobi model can be accessed through `model.inner`, as illustrated above.\n",
|
||||
"- To ensure training data consistency, MIPLearn requires all decision variables to have names.\n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
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"id": "cf60c1dd",
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||||
"metadata": {},
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||||
"source": [
|
||||
"## Generating training data\n",
|
||||
"\n",
|
||||
"Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a **trained** solver, which can optimize new instances (similar to the ones it was trained on) faster.\n",
|
||||
"\n",
|
||||
"In the following, we will use MIPLearn to train machine learning models that is able to predict the optimal solution for instances that follow a given probability distribution, then it will provide this predicted solution to Gurobi as a warm start. Before we can train the model, we need to collect training data by solving a large number of instances. In real-world situations, we may construct these training instances based on historical data. In this tutorial, we will construct them using a random instance generator:"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
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||||
"execution_count": 6,
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||||
"id": "5eb09fab",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:22.758192368Z",
|
||||
"start_time": "2023-06-06T20:49:22.724784572Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from scipy.stats import uniform\n",
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||||
"from typing import List\n",
|
||||
"import random\n",
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||||
"\n",
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||||
"\n",
|
||||
"def random_uc_data(samples: int, n: int, seed: int = 42) -> List[UnitCommitmentData]:\n",
|
||||
" random.seed(seed)\n",
|
||||
" np.random.seed(seed)\n",
|
||||
" pmin = uniform(loc=100_000.0, scale=400_000.0).rvs(n)\n",
|
||||
" pmax = pmin * uniform(loc=2.0, scale=2.5).rvs(n)\n",
|
||||
" cfix = pmin * uniform(loc=100.0, scale=25.0).rvs(n)\n",
|
||||
" cvar = uniform(loc=1.25, scale=0.25).rvs(n)\n",
|
||||
" return [\n",
|
||||
" UnitCommitmentData(\n",
|
||||
" demand=pmax.sum() * uniform(loc=0.5, scale=0.25).rvs(),\n",
|
||||
" pmin=pmin,\n",
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||||
" pmax=pmax,\n",
|
||||
" cfix=cfix,\n",
|
||||
" cvar=cvar,\n",
|
||||
" )\n",
|
||||
" for _ in range(samples)\n",
|
||||
" ]"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "3a03a7ac",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In this example, for simplicity, only the demands change from one instance to the next. We could also have randomized the costs, production limits or even the number of units. The more randomization we have in the training data, however, the more challenging it is for the machine learning models to learn solution patterns.\n",
|
||||
"\n",
|
||||
"Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially on multiple machines. The code below generates the files `uc/train/00000.pkl.gz`, `uc/train/00001.pkl.gz`, etc., which contain the input data in compressed (gzipped) pickle format."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 7,
|
||||
"id": "6156752c",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:24.811192929Z",
|
||||
"start_time": "2023-06-06T20:49:24.575639142Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from miplearn.io import write_pkl_gz\n",
|
||||
"\n",
|
||||
"data = random_uc_data(samples=500, n=500)\n",
|
||||
"train_data = write_pkl_gz(data[0:450], \"uc/train\")\n",
|
||||
"test_data = write_pkl_gz(data[450:500], \"uc/test\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "b17af877",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Finally, we use `BasicCollector` to collect the optimal solutions and other useful training data for all training instances. The data is stored in HDF5 files `uc/train/00000.h5`, `uc/train/00001.h5`, etc. The optimization models are also exported to compressed MPS files `uc/train/00000.mps.gz`, `uc/train/00001.mps.gz`, etc."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"id": "7623f002",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:34.936729253Z",
|
||||
"start_time": "2023-06-06T20:49:25.936126612Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from miplearn.collectors.basic import BasicCollector\n",
|
||||
"\n",
|
||||
"bc = BasicCollector()\n",
|
||||
"bc.collect(train_data, build_uc_model, n_jobs=4)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "c42b1be1-9723-4827-82d8-974afa51ef9f",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Training and solving test instances"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a33c6aa4-f0b8-4ccb-9935-01f7d7de2a1c",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"With training data in hand, we can now design and train a machine learning model to accelerate solver performance. In this tutorial, for illustration purposes, we will use ML to generate a good warm start using $k$-nearest neighbors. More specifically, the strategy is to:\n",
|
||||
"\n",
|
||||
"1. Memorize the optimal solutions of all training instances;\n",
|
||||
"2. Given a test instance, find the 25 most similar training instances, based on constraint right-hand sides;\n",
|
||||
"3. Merge their optimal solutions into a single partial solution; specifically, only assign values to the binary variables that agree unanimously.\n",
|
||||
"4. Provide this partial solution to the solver as a warm start.\n",
|
||||
"\n",
|
||||
"This simple strategy can be implemented as shown below, using `MemorizingPrimalComponent`. For more advanced strategies, and for the usage of more advanced classifiers, see the user guide."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 9,
|
||||
"id": "435f7bf8-4b09-4889-b1ec-b7b56e7d8ed2",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:38.997939600Z",
|
||||
"start_time": "2023-06-06T20:49:38.968261432Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from sklearn.neighbors import KNeighborsClassifier\n",
|
||||
"from miplearn.components.primal.actions import SetWarmStart\n",
|
||||
"from miplearn.components.primal.mem import (\n",
|
||||
" MemorizingPrimalComponent,\n",
|
||||
" MergeTopSolutions,\n",
|
||||
")\n",
|
||||
"from miplearn.extractors.fields import H5FieldsExtractor\n",
|
||||
"\n",
|
||||
"comp = MemorizingPrimalComponent(\n",
|
||||
" clf=KNeighborsClassifier(n_neighbors=25),\n",
|
||||
" extractor=H5FieldsExtractor(\n",
|
||||
" instance_fields=[\"static_constr_rhs\"],\n",
|
||||
" ),\n",
|
||||
" constructor=MergeTopSolutions(25, [0.0, 1.0]),\n",
|
||||
" action=SetWarmStart(),\n",
|
||||
")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "9536e7e4-0b0d-49b0-bebd-4a848f839e94",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Having defined the ML strategy, we next construct `LearningSolver`, train the ML component and optimize one of the test instances."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 10,
|
||||
"id": "9d13dd50-3dcf-4673-a757-6f44dcc0dedf",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:42.072345411Z",
|
||||
"start_time": "2023-06-06T20:49:41.294040974Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0xa8b70287\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 6.6166537e+09 5.648803e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2906219e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 8.290621916e+09\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x4ccd7ae3\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 8.30129e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29184e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29146e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29146e+09 (0.01s)\n",
|
||||
"Loaded user MIP start with objective 8.29146e+09\n",
|
||||
"\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 8.290622e+09, 512 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 8.2906e+09 0 1 8.2915e+09 8.2906e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Cover: 1\n",
|
||||
" Flow cover: 2\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (512 simplex iterations) in 0.07 seconds (0.01 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 3: 8.29146e+09 8.29184e+09 8.30129e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 8.291459497797e+09, best bound 8.290645029670e+09, gap 0.0098%\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"from miplearn.solvers.learning import LearningSolver\n",
|
||||
"\n",
|
||||
"solver_ml = LearningSolver(components=[comp])\n",
|
||||
"solver_ml.fit(train_data)\n",
|
||||
"solver_ml.optimize(test_data[0], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "61da6dad-7f56-4edb-aa26-c00eb5f946c0",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"By examining the solve log above, specifically the line `Loaded user MIP start with objective...`, we can see that MIPLearn was able to construct an initial solution which turned out to be very close to the optimal solution to the problem. Now let us repeat the code above, but a solver which does not apply any ML strategies. Note that our previously-defined component is not provided."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 11,
|
||||
"id": "2ff391ed-e855-4228-aa09-a7641d8c2893",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:49:44.012782276Z",
|
||||
"start_time": "2023-06-06T20:49:43.813974362Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0xa8b70287\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 6.6166537e+09 5.648803e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2906219e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 8.290621916e+09\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x4cbbf7c7\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Found heuristic solution: objective 9.757128e+09\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 8.290622e+09, 512 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 8.2906e+09 0 1 9.7571e+09 8.2906e+09 15.0% - 0s\n",
|
||||
"H 0 0 8.298273e+09 8.2906e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 1 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
"H 0 0 8.293980e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 5 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 1 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 2 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 1 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
"H 0 0 8.291465e+09 8.2908e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Gomory: 2\n",
|
||||
" MIR: 1\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (1031 simplex iterations) in 0.07 seconds (0.03 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 4: 8.29147e+09 8.29398e+09 8.29827e+09 9.75713e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 8.291465302389e+09, best bound 8.290781665333e+09, gap 0.0082%\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"solver_baseline = LearningSolver(components=[])\n",
|
||||
"solver_baseline.fit(train_data)\n",
|
||||
"solver_baseline.optimize(test_data[0], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "b6d37b88-9fcc-43ee-ac1e-2a7b1e51a266",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In the log above, the `MIP start` line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time, but the difference can be significant for larger problems."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "eec97f06",
|
||||
"metadata": {
|
||||
"tags": []
|
||||
},
|
||||
"source": [
|
||||
"## Accessing the solution\n",
|
||||
"\n",
|
||||
"In the example above, we used `LearningSolver.solve` together with data files to solve both the training and the test instances. The optimal solutions were saved to HDF5 files in the train/test folders, and could be retrieved by reading theses files, but that is not very convenient. In the following example, we show how to build and solve a Pyomo model entirely in-memory, using our trained solver."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 12,
|
||||
"id": "67a6cd18",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:50:12.869892930Z",
|
||||
"start_time": "2023-06-06T20:50:12.509410473Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x19042f12\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 6.5917580e+09 5.627453e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2535968e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 8.253596777e+09\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x8ee64638\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 8.25814e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.25512e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.25459e+09 (0.04s)\n",
|
||||
"User MIP start produced solution with objective 8.25459e+09 (0.04s)\n",
|
||||
"Loaded user MIP start with objective 8.25459e+09\n",
|
||||
"\n",
|
||||
"Presolve time: 0.01s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 8.253597e+09, 512 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 8.2536e+09 0 1 8.2546e+09 8.2536e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 3 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 1 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 4 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 5 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 6 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Cover: 1\n",
|
||||
" MIR: 2\n",
|
||||
" StrongCG: 1\n",
|
||||
" Flow cover: 1\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (575 simplex iterations) in 0.12 seconds (0.01 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 3: 8.25459e+09 8.25512e+09 8.25814e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 8.254590409970e+09, best bound 8.253768093811e+09, gap 0.0100%\n",
|
||||
"obj = 8254590409.969726\n",
|
||||
"x = [1.0, 1.0, 0.0]\n",
|
||||
"y = [935662.0949263407, 1604270.0218116897, 0.0]\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"data = random_uc_data(samples=1, n=500)[0]\n",
|
||||
"model = build_uc_model(data)\n",
|
||||
"solver_ml.optimize(model)\n",
|
||||
"print(\"obj =\", model.inner.objVal)\n",
|
||||
"print(\"x =\", [model.inner._x[i].x for i in range(3)])\n",
|
||||
"print(\"y =\", [model.inner._y[i].x for i in range(3)])"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "5593d23a-83bd-4e16-8253-6300f5e3f63b",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": []
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3 (ipykernel)",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 3
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.9.16"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 5
|
||||
}
|
||||
885
0.3/tutorials/getting-started-gurobipy/index.html
Normal file
885
0.3/tutorials/getting-started-gurobipy/index.html
Normal file
@@ -0,0 +1,885 @@
|
||||
|
||||
<!DOCTYPE html>
|
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|
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|
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|
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<meta charset="utf-8" />
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<link rel="preload" as="font" type="font/woff2" crossorigin
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<link rel="index" title="Index" href="../../genindex/" />
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<link rel="search" title="Search" href="../../search/" />
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<link rel="next" title="3. Getting started (JuMP)" href="../getting-started-jump/" />
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<link rel="prev" title="1. Getting started (Pyomo)" href="../getting-started-pyomo/" />
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</p>
|
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<ul class="current nav bd-sidenav">
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<li class="toctree-l1">
|
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<a class="reference internal" href="../getting-started-pyomo/">
|
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1. Getting started (Pyomo)
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1 current active">
|
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<a class="current reference internal" href="#">
|
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2. Getting started (Gurobipy)
|
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</a>
|
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</li>
|
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<li class="toctree-l1">
|
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<a class="reference internal" href="../getting-started-jump/">
|
||||
3. Getting started (JuMP)
|
||||
</a>
|
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</li>
|
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</ul>
|
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<p class="caption">
|
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<span class="caption-text">
|
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User Guide
|
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</span>
|
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</p>
|
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<ul class="nav bd-sidenav">
|
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<li class="toctree-l1">
|
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<a class="reference internal" href="../../guide/problems/">
|
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4. Benchmark Problems
|
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</a>
|
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</li>
|
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<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/collectors/">
|
||||
5. Training Data Collectors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/features/">
|
||||
6. Feature Extractors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/primal/">
|
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7. Primal Components
|
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</a>
|
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</li>
|
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<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/solvers/">
|
||||
8. Solvers
|
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</a>
|
||||
</li>
|
||||
</ul>
|
||||
<p class="caption">
|
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<span class="caption-text">
|
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Python API Reference
|
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</span>
|
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</p>
|
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<ul class="nav bd-sidenav">
|
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<li class="toctree-l1">
|
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<a class="reference internal" href="../../api/problems/">
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9. Benchmark Problems
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/collectors/">
|
||||
10. Collectors & Extractors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/components/">
|
||||
11. Components
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/solvers/">
|
||||
12. Solvers
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/helpers/">
|
||||
13. Helpers
|
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</a>
|
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</li>
|
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</ul>
|
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|
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</div>
|
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</nav> <!-- To handle the deprecated key -->
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<div class="tocsection onthispage pt-5 pb-3">
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<i class="fas fa-list"></i> Contents
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</div>
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<nav id="bd-toc-nav">
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<ul class="visible nav section-nav flex-column">
|
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<li class="toc-h2 nav-item toc-entry">
|
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<a class="reference internal nav-link" href="#Introduction">
|
||||
2.1. Introduction
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Installation">
|
||||
2.2. Installation
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Modeling-a-simple-optimization-problem">
|
||||
2.3. Modeling a simple optimization problem
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Generating-training-data">
|
||||
2.4. Generating training data
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Training-and-solving-test-instances">
|
||||
2.5. Training and solving test instances
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Accessing-the-solution">
|
||||
2.6. Accessing the solution
|
||||
</a>
|
||||
</li>
|
||||
</ul>
|
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|
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</nav>
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</div>
|
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</div>
|
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<div id="main-content" class="row">
|
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<div class="col-12 col-md-9 pl-md-3 pr-md-0">
|
||||
|
||||
<div>
|
||||
|
||||
<div class="section" id="Getting-started-(Gurobipy)">
|
||||
<h1><span class="section-number">2. </span>Getting started (Gurobipy)<a class="headerlink" href="#Getting-started-(Gurobipy)" title="Permalink to this headline">¶</a></h1>
|
||||
<div class="section" id="Introduction">
|
||||
<h2><span class="section-number">2.1. </span>Introduction<a class="headerlink" href="#Introduction" title="Permalink to this headline">¶</a></h2>
|
||||
<p><strong>MIPLearn</strong> is an open source framework that uses machine learning (ML) to accelerate the performance of mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS). In this tutorial, we will:</p>
|
||||
<ol class="arabic simple">
|
||||
<li><p>Install the Python/Gurobipy version of MIPLearn</p></li>
|
||||
<li><p>Model a simple optimization problem using Gurobipy</p></li>
|
||||
<li><p>Generate training data and train the ML models</p></li>
|
||||
<li><p>Use the ML models together Gurobi to solve new instances</p></li>
|
||||
</ol>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<p>The Python/Gurobipy version of MIPLearn is only compatible with the Gurobi Optimizer. For broader solver compatibility, see the Python/Pyomo and Julia/JuMP versions of the package.</p>
|
||||
</div>
|
||||
<div class="admonition warning">
|
||||
<p class="admonition-title">Warning</p>
|
||||
<p>MIPLearn is still in early development stage. If run into any bugs or issues, please submit a bug report in our GitHub repository. Comments, suggestions and pull requests are also very welcome!</p>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Installation">
|
||||
<h2><span class="section-number">2.2. </span>Installation<a class="headerlink" href="#Installation" title="Permalink to this headline">¶</a></h2>
|
||||
<p>MIPLearn is available in two versions:</p>
|
||||
<ul class="simple">
|
||||
<li><p>Python version, compatible with the Pyomo and Gurobipy modeling languages,</p></li>
|
||||
<li><p>Julia version, compatible with the JuMP modeling language.</p></li>
|
||||
</ul>
|
||||
<p>In this tutorial, we will demonstrate how to use and install the Python/Gurobipy version of the package. The first step is to install Python 3.8+ in your computer. See the <a class="reference external" href="https://www.python.org/downloads/">official Python website for more instructions</a>. After Python is installed, we proceed to install MIPLearn using <code class="docutils literal notranslate"><span class="pre">pip</span></code>:</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[1]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="c1"># !pip install MIPLearn==0.3.0</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>In addition to MIPLearn itself, we will also install Gurobi 10.0, a state-of-the-art commercial MILP solver. This step also install a demo license for Gurobi, which should able to solve the small optimization problems in this tutorial. A license is required for solving larger-scale problems.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[2]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="o">!</span>pip install <span class="s1">'gurobipy>=10,<10.1'</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Requirement already satisfied: gurobipy<10.1,>=10 in /home/axavier/Software/anaconda3/envs/miplearn/lib/python3.8/site-packages (10.0.1)
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<p>In the code above, we install specific version of all packages to ensure that this tutorial keeps running in the future, even when newer (and possibly incompatible) versions of the packages are released. This is usually a recommended practice for all Python projects.</p>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Modeling-a-simple-optimization-problem">
|
||||
<h2><span class="section-number">2.3. </span>Modeling a simple optimization problem<a class="headerlink" href="#Modeling-a-simple-optimization-problem" title="Permalink to this headline">¶</a></h2>
|
||||
<p>To illustrate how can MIPLearn be used, we will model and solve a small optimization problem related to power systems optimization. The problem we discuss below is a simplification of the <strong>unit commitment problem,</strong> a practical optimization problem solved daily by electric grid operators around the world.</p>
|
||||
<p>Suppose that a utility company needs to decide which electrical generators should be online at each hour of the day, as well as how much power should each generator produce. More specifically, assume that the company owns <span class="math notranslate nohighlight">\(n\)</span> generators, denoted by <span class="math notranslate nohighlight">\(g_1, \ldots, g_n\)</span>. Each generator can either be online or offline. An online generator <span class="math notranslate nohighlight">\(g_i\)</span> can produce between <span class="math notranslate nohighlight">\(p^\text{min}_i\)</span> to <span class="math notranslate nohighlight">\(p^\text{max}_i\)</span> megawatts of power, and it costs the company
|
||||
<span class="math notranslate nohighlight">\(c^\text{fix}_i + c^\text{var}_i y_i\)</span>, where <span class="math notranslate nohighlight">\(y_i\)</span> is the amount of power produced. An offline generator produces nothing and costs nothing. The total amount of power to be produced needs to be exactly equal to the total demand <span class="math notranslate nohighlight">\(d\)</span> (in megawatts).</p>
|
||||
<p>This simple problem can be modeled as a <em>mixed-integer linear optimization</em> problem as follows. For each generator <span class="math notranslate nohighlight">\(g_i\)</span>, let <span class="math notranslate nohighlight">\(x_i \in \{0,1\}\)</span> be a decision variable indicating whether <span class="math notranslate nohighlight">\(g_i\)</span> is online, and let <span class="math notranslate nohighlight">\(y_i \geq 0\)</span> be a decision variable indicating how much power does <span class="math notranslate nohighlight">\(g_i\)</span> produce. The problem is then given by:</p>
|
||||
<div class="math notranslate nohighlight">
|
||||
\[\begin{split}\begin{align}
|
||||
\text{minimize } \quad & \sum_{i=1}^n \left( c^\text{fix}_i x_i + c^\text{var}_i y_i \right) \\
|
||||
\text{subject to } \quad & y_i \leq p^\text{max}_i x_i & i=1,\ldots,n \\
|
||||
& y_i \geq p^\text{min}_i x_i & i=1,\ldots,n \\
|
||||
& \sum_{i=1}^n y_i = d \\
|
||||
& x_i \in \{0,1\} & i=1,\ldots,n \\
|
||||
& y_i \geq 0 & i=1,\ldots,n
|
||||
\end{align}\end{split}\]</div>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<p>We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem.</p>
|
||||
</div>
|
||||
<p>Next, let us convert this abstract mathematical formulation into a concrete optimization model, using Python and Pyomo. We start by defining a data class <code class="docutils literal notranslate"><span class="pre">UnitCommitmentData</span></code>, which holds all the input data.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[3]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">dataclasses</span> <span class="kn">import</span> <span class="n">dataclass</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">List</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
|
||||
|
||||
<span class="nd">@dataclass</span>
|
||||
<span class="k">class</span> <span class="nc">UnitCommitmentData</span><span class="p">:</span>
|
||||
<span class="n">demand</span><span class="p">:</span> <span class="nb">float</span>
|
||||
<span class="n">pmin</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="nb">float</span><span class="p">]</span>
|
||||
<span class="n">pmax</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="nb">float</span><span class="p">]</span>
|
||||
<span class="n">cfix</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="nb">float</span><span class="p">]</span>
|
||||
<span class="n">cvar</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="nb">float</span><span class="p">]</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Next, we write a <code class="docutils literal notranslate"><span class="pre">build_uc_model</span></code> function, which converts the input data into a concrete Pyomo model. The function accepts <code class="docutils literal notranslate"><span class="pre">UnitCommitmentData</span></code>, the data structure we previously defined, or the path to a compressed pickle file containing this data.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[4]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">gurobipy</span> <span class="k">as</span> <span class="nn">gp</span>
|
||||
<span class="kn">from</span> <span class="nn">gurobipy</span> <span class="kn">import</span> <span class="n">GRB</span><span class="p">,</span> <span class="n">quicksum</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Union</span>
|
||||
<span class="kn">from</span> <span class="nn">miplearn.io</span> <span class="kn">import</span> <span class="n">read_pkl_gz</span>
|
||||
<span class="kn">from</span> <span class="nn">miplearn.solvers.gurobi</span> <span class="kn">import</span> <span class="n">GurobiModel</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">build_uc_model</span><span class="p">(</span><span class="n">data</span><span class="p">:</span> <span class="n">Union</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">UnitCommitmentData</span><span class="p">])</span> <span class="o">-></span> <span class="n">GurobiModel</span><span class="p">:</span>
|
||||
<span class="k">if</span> <span class="nb">isinstance</span><span class="p">(</span><span class="n">data</span><span class="p">,</span> <span class="nb">str</span><span class="p">):</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="n">read_pkl_gz</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
|
||||
|
||||
<span class="n">model</span> <span class="o">=</span> <span class="n">gp</span><span class="o">.</span><span class="n">Model</span><span class="p">()</span>
|
||||
<span class="n">n</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">pmin</span><span class="p">)</span>
|
||||
<span class="n">x</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">_x</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">addVars</span><span class="p">(</span><span class="n">n</span><span class="p">,</span> <span class="n">vtype</span><span class="o">=</span><span class="n">GRB</span><span class="o">.</span><span class="n">BINARY</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s2">"x"</span><span class="p">)</span>
|
||||
<span class="n">y</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">_y</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">addVars</span><span class="p">(</span><span class="n">n</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s2">"y"</span><span class="p">)</span>
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">setObjective</span><span class="p">(</span>
|
||||
<span class="n">quicksum</span><span class="p">(</span>
|
||||
<span class="n">data</span><span class="o">.</span><span class="n">cfix</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">*</span> <span class="n">x</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">+</span> <span class="n">data</span><span class="o">.</span><span class="n">cvar</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">*</span> <span class="n">y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
||||
<span class="p">)</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">addConstrs</span><span class="p">(</span><span class="n">y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o"><=</span> <span class="n">data</span><span class="o">.</span><span class="n">pmax</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">*</span> <span class="n">x</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n</span><span class="p">))</span>
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">addConstrs</span><span class="p">(</span><span class="n">y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">>=</span> <span class="n">data</span><span class="o">.</span><span class="n">pmin</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">*</span> <span class="n">x</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n</span><span class="p">))</span>
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">addConstr</span><span class="p">(</span><span class="n">quicksum</span><span class="p">(</span><span class="n">y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n</span><span class="p">))</span> <span class="o">==</span> <span class="n">data</span><span class="o">.</span><span class="n">demand</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">GurobiModel</span><span class="p">(</span><span class="n">model</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>At this point, we can already use Pyomo and any mixed-integer linear programming solver to find optimal solutions to any instance of this problem. To illustrate this, let us solve a small instance with three generators:</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[5]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">model</span> <span class="o">=</span> <span class="n">build_uc_model</span><span class="p">(</span>
|
||||
<span class="n">UnitCommitmentData</span><span class="p">(</span>
|
||||
<span class="n">demand</span><span class="o">=</span><span class="mf">100.0</span><span class="p">,</span>
|
||||
<span class="n">pmin</span><span class="o">=</span><span class="p">[</span><span class="mi">10</span><span class="p">,</span> <span class="mi">20</span><span class="p">,</span> <span class="mi">30</span><span class="p">],</span>
|
||||
<span class="n">pmax</span><span class="o">=</span><span class="p">[</span><span class="mi">50</span><span class="p">,</span> <span class="mi">60</span><span class="p">,</span> <span class="mi">70</span><span class="p">],</span>
|
||||
<span class="n">cfix</span><span class="o">=</span><span class="p">[</span><span class="mi">700</span><span class="p">,</span> <span class="mi">600</span><span class="p">,</span> <span class="mi">500</span><span class="p">],</span>
|
||||
<span class="n">cvar</span><span class="o">=</span><span class="p">[</span><span class="mf">1.5</span><span class="p">,</span> <span class="mf">2.0</span><span class="p">,</span> <span class="mf">2.5</span><span class="p">],</span>
|
||||
<span class="p">)</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">optimize</span><span class="p">()</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"obj ="</span><span class="p">,</span> <span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">objVal</span><span class="p">)</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"x ="</span><span class="p">,</span> <span class="p">[</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">_x</span><span class="p">[</span><span class="n">i</span><span class="p">]</span><span class="o">.</span><span class="n">x</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">3</span><span class="p">)])</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"y ="</span><span class="p">,</span> <span class="p">[</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">_y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span><span class="o">.</span><span class="n">x</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">3</span><span class="p">)])</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Restricted license - for non-production use only - expires 2024-10-28
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 7 rows, 6 columns and 15 nonzeros
|
||||
Model fingerprint: 0x58dfdd53
|
||||
Variable types: 3 continuous, 3 integer (3 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 7e+01]
|
||||
Objective range [2e+00, 7e+02]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [1e+02, 1e+02]
|
||||
Presolve removed 2 rows and 1 columns
|
||||
Presolve time: 0.00s
|
||||
Presolved: 5 rows, 5 columns, 13 nonzeros
|
||||
Variable types: 0 continuous, 5 integer (3 binary)
|
||||
Found heuristic solution: objective 1400.0000000
|
||||
|
||||
Root relaxation: objective 1.035000e+03, 3 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 1035.00000 0 1 1400.00000 1035.00000 26.1% - 0s
|
||||
0 0 1105.71429 0 1 1400.00000 1105.71429 21.0% - 0s
|
||||
* 0 0 0 1320.0000000 1320.00000 0.00% - 0s
|
||||
|
||||
Explored 1 nodes (5 simplex iterations) in 0.01 seconds (0.00 work units)
|
||||
Thread count was 12 (of 12 available processors)
|
||||
|
||||
Solution count 2: 1320 1400
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 1.320000000000e+03, best bound 1.320000000000e+03, gap 0.0000%
|
||||
obj = 1320.0
|
||||
x = [-0.0, 1.0, 1.0]
|
||||
y = [0.0, 60.0, 40.0]
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>Running the code above, we found that the optimal solution for our small problem instance costs $1320. It is achieve by keeping generators 2 and 3 online and producing, respectively, 60 MW and 40 MW of power.</p>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<ul class="simple">
|
||||
<li><p>In the example above, <code class="docutils literal notranslate"><span class="pre">GurobiModel</span></code> is just a thin wrapper around a standard Gurobi model. This wrapper allows MIPLearn to be solver- and modeling-language-agnostic. The wrapper provides only a few basic methods, such as <code class="docutils literal notranslate"><span class="pre">optimize</span></code>. For more control, and to query the solution, the original Gurobi model can be accessed through <code class="docutils literal notranslate"><span class="pre">model.inner</span></code>, as illustrated above.</p></li>
|
||||
<li><p>To ensure training data consistency, MIPLearn requires all decision variables to have names.</p></li>
|
||||
</ul>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Generating-training-data">
|
||||
<h2><span class="section-number">2.4. </span>Generating training data<a class="headerlink" href="#Generating-training-data" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a <strong>trained</strong> solver, which can optimize new instances (similar to the ones it was trained on) faster.</p>
|
||||
<p>In the following, we will use MIPLearn to train machine learning models that is able to predict the optimal solution for instances that follow a given probability distribution, then it will provide this predicted solution to Gurobi as a warm start. Before we can train the model, we need to collect training data by solving a large number of instances. In real-world situations, we may construct these training instances based on historical data. In this tutorial, we will construct them using a
|
||||
random instance generator:</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[6]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">scipy.stats</span> <span class="kn">import</span> <span class="n">uniform</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">List</span>
|
||||
<span class="kn">import</span> <span class="nn">random</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">random_uc_data</span><span class="p">(</span><span class="n">samples</span><span class="p">:</span> <span class="nb">int</span><span class="p">,</span> <span class="n">n</span><span class="p">:</span> <span class="nb">int</span><span class="p">,</span> <span class="n">seed</span><span class="p">:</span> <span class="nb">int</span> <span class="o">=</span> <span class="mi">42</span><span class="p">)</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">UnitCommitmentData</span><span class="p">]:</span>
|
||||
<span class="n">random</span><span class="o">.</span><span class="n">seed</span><span class="p">(</span><span class="n">seed</span><span class="p">)</span>
|
||||
<span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">seed</span><span class="p">(</span><span class="n">seed</span><span class="p">)</span>
|
||||
<span class="n">pmin</span> <span class="o">=</span> <span class="n">uniform</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mf">100_000.0</span><span class="p">,</span> <span class="n">scale</span><span class="o">=</span><span class="mf">400_000.0</span><span class="p">)</span><span class="o">.</span><span class="n">rvs</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
||||
<span class="n">pmax</span> <span class="o">=</span> <span class="n">pmin</span> <span class="o">*</span> <span class="n">uniform</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mf">2.0</span><span class="p">,</span> <span class="n">scale</span><span class="o">=</span><span class="mf">2.5</span><span class="p">)</span><span class="o">.</span><span class="n">rvs</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
||||
<span class="n">cfix</span> <span class="o">=</span> <span class="n">pmin</span> <span class="o">*</span> <span class="n">uniform</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mf">100.0</span><span class="p">,</span> <span class="n">scale</span><span class="o">=</span><span class="mf">25.0</span><span class="p">)</span><span class="o">.</span><span class="n">rvs</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
||||
<span class="n">cvar</span> <span class="o">=</span> <span class="n">uniform</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mf">1.25</span><span class="p">,</span> <span class="n">scale</span><span class="o">=</span><span class="mf">0.25</span><span class="p">)</span><span class="o">.</span><span class="n">rvs</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="n">UnitCommitmentData</span><span class="p">(</span>
|
||||
<span class="n">demand</span><span class="o">=</span><span class="n">pmax</span><span class="o">.</span><span class="n">sum</span><span class="p">()</span> <span class="o">*</span> <span class="n">uniform</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mf">0.5</span><span class="p">,</span> <span class="n">scale</span><span class="o">=</span><span class="mf">0.25</span><span class="p">)</span><span class="o">.</span><span class="n">rvs</span><span class="p">(),</span>
|
||||
<span class="n">pmin</span><span class="o">=</span><span class="n">pmin</span><span class="p">,</span>
|
||||
<span class="n">pmax</span><span class="o">=</span><span class="n">pmax</span><span class="p">,</span>
|
||||
<span class="n">cfix</span><span class="o">=</span><span class="n">cfix</span><span class="p">,</span>
|
||||
<span class="n">cvar</span><span class="o">=</span><span class="n">cvar</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="k">for</span> <span class="n">_</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">samples</span><span class="p">)</span>
|
||||
<span class="p">]</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>In this example, for simplicity, only the demands change from one instance to the next. We could also have randomized the costs, production limits or even the number of units. The more randomization we have in the training data, however, the more challenging it is for the machine learning models to learn solution patterns.</p>
|
||||
<p>Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially on multiple
|
||||
machines. The code below generates the files <code class="docutils literal notranslate"><span class="pre">uc/train/00000.pkl.gz</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00001.pkl.gz</span></code>, etc., which contain the input data in compressed (gzipped) pickle format.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[7]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">miplearn.io</span> <span class="kn">import</span> <span class="n">write_pkl_gz</span>
|
||||
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="n">random_uc_data</span><span class="p">(</span><span class="n">samples</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span> <span class="n">n</span><span class="o">=</span><span class="mi">500</span><span class="p">)</span>
|
||||
<span class="n">train_data</span> <span class="o">=</span> <span class="n">write_pkl_gz</span><span class="p">(</span><span class="n">data</span><span class="p">[</span><span class="mi">0</span><span class="p">:</span><span class="mi">450</span><span class="p">],</span> <span class="s2">"uc/train"</span><span class="p">)</span>
|
||||
<span class="n">test_data</span> <span class="o">=</span> <span class="n">write_pkl_gz</span><span class="p">(</span><span class="n">data</span><span class="p">[</span><span class="mi">450</span><span class="p">:</span><span class="mi">500</span><span class="p">],</span> <span class="s2">"uc/test"</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Finally, we use <code class="docutils literal notranslate"><span class="pre">BasicCollector</span></code> to collect the optimal solutions and other useful training data for all training instances. The data is stored in HDF5 files <code class="docutils literal notranslate"><span class="pre">uc/train/00000.h5</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00001.h5</span></code>, etc. The optimization models are also exported to compressed MPS files <code class="docutils literal notranslate"><span class="pre">uc/train/00000.mps.gz</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00001.mps.gz</span></code>, etc.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[8]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">miplearn.collectors.basic</span> <span class="kn">import</span> <span class="n">BasicCollector</span>
|
||||
|
||||
<span class="n">bc</span> <span class="o">=</span> <span class="n">BasicCollector</span><span class="p">()</span>
|
||||
<span class="n">bc</span><span class="o">.</span><span class="n">collect</span><span class="p">(</span><span class="n">train_data</span><span class="p">,</span> <span class="n">build_uc_model</span><span class="p">,</span> <span class="n">n_jobs</span><span class="o">=</span><span class="mi">4</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Training-and-solving-test-instances">
|
||||
<h2><span class="section-number">2.5. </span>Training and solving test instances<a class="headerlink" href="#Training-and-solving-test-instances" title="Permalink to this headline">¶</a></h2>
|
||||
<p>With training data in hand, we can now design and train a machine learning model to accelerate solver performance. In this tutorial, for illustration purposes, we will use ML to generate a good warm start using <span class="math notranslate nohighlight">\(k\)</span>-nearest neighbors. More specifically, the strategy is to:</p>
|
||||
<ol class="arabic simple">
|
||||
<li><p>Memorize the optimal solutions of all training instances;</p></li>
|
||||
<li><p>Given a test instance, find the 25 most similar training instances, based on constraint right-hand sides;</p></li>
|
||||
<li><p>Merge their optimal solutions into a single partial solution; specifically, only assign values to the binary variables that agree unanimously.</p></li>
|
||||
<li><p>Provide this partial solution to the solver as a warm start.</p></li>
|
||||
</ol>
|
||||
<p>This simple strategy can be implemented as shown below, using <code class="docutils literal notranslate"><span class="pre">MemorizingPrimalComponent</span></code>. For more advanced strategies, and for the usage of more advanced classifiers, see the user guide.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[9]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.neighbors</span> <span class="kn">import</span> <span class="n">KNeighborsClassifier</span>
|
||||
<span class="kn">from</span> <span class="nn">miplearn.components.primal.actions</span> <span class="kn">import</span> <span class="n">SetWarmStart</span>
|
||||
<span class="kn">from</span> <span class="nn">miplearn.components.primal.mem</span> <span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="n">MemorizingPrimalComponent</span><span class="p">,</span>
|
||||
<span class="n">MergeTopSolutions</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="kn">from</span> <span class="nn">miplearn.extractors.fields</span> <span class="kn">import</span> <span class="n">H5FieldsExtractor</span>
|
||||
|
||||
<span class="n">comp</span> <span class="o">=</span> <span class="n">MemorizingPrimalComponent</span><span class="p">(</span>
|
||||
<span class="n">clf</span><span class="o">=</span><span class="n">KNeighborsClassifier</span><span class="p">(</span><span class="n">n_neighbors</span><span class="o">=</span><span class="mi">25</span><span class="p">),</span>
|
||||
<span class="n">extractor</span><span class="o">=</span><span class="n">H5FieldsExtractor</span><span class="p">(</span>
|
||||
<span class="n">instance_fields</span><span class="o">=</span><span class="p">[</span><span class="s2">"static_constr_rhs"</span><span class="p">],</span>
|
||||
<span class="p">),</span>
|
||||
<span class="n">constructor</span><span class="o">=</span><span class="n">MergeTopSolutions</span><span class="p">(</span><span class="mi">25</span><span class="p">,</span> <span class="p">[</span><span class="mf">0.0</span><span class="p">,</span> <span class="mf">1.0</span><span class="p">]),</span>
|
||||
<span class="n">action</span><span class="o">=</span><span class="n">SetWarmStart</span><span class="p">(),</span>
|
||||
<span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Having defined the ML strategy, we next construct <code class="docutils literal notranslate"><span class="pre">LearningSolver</span></code>, train the ML component and optimize one of the test instances.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[10]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">miplearn.solvers.learning</span> <span class="kn">import</span> <span class="n">LearningSolver</span>
|
||||
|
||||
<span class="n">solver_ml</span> <span class="o">=</span> <span class="n">LearningSolver</span><span class="p">(</span><span class="n">components</span><span class="o">=</span><span class="p">[</span><span class="n">comp</span><span class="p">])</span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">train_data</span><span class="p">)</span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">test_data</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">build_uc_model</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0xa8b70287
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
Presolve removed 1000 rows and 500 columns
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1 rows, 500 columns, 500 nonzeros
|
||||
|
||||
Iteration Objective Primal Inf. Dual Inf. Time
|
||||
0 6.6166537e+09 5.648803e+04 0.000000e+00 0s
|
||||
1 8.2906219e+09 0.000000e+00 0.000000e+00 0s
|
||||
|
||||
Solved in 1 iterations and 0.01 seconds (0.00 work units)
|
||||
Optimal objective 8.290621916e+09
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0x4ccd7ae3
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
|
||||
User MIP start produced solution with objective 8.30129e+09 (0.01s)
|
||||
User MIP start produced solution with objective 8.29184e+09 (0.01s)
|
||||
User MIP start produced solution with objective 8.29146e+09 (0.01s)
|
||||
User MIP start produced solution with objective 8.29146e+09 (0.01s)
|
||||
Loaded user MIP start with objective 8.29146e+09
|
||||
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
|
||||
Root relaxation: objective 8.290622e+09, 512 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 8.2906e+09 0 1 8.2915e+09 8.2906e+09 0.01% - 0s
|
||||
|
||||
Cutting planes:
|
||||
Cover: 1
|
||||
Flow cover: 2
|
||||
|
||||
Explored 1 nodes (512 simplex iterations) in 0.07 seconds (0.01 work units)
|
||||
Thread count was 12 (of 12 available processors)
|
||||
|
||||
Solution count 3: 8.29146e+09 8.29184e+09 8.30129e+09
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 8.291459497797e+09, best bound 8.290645029670e+09, gap 0.0098%
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>By examining the solve log above, specifically the line <code class="docutils literal notranslate"><span class="pre">Loaded</span> <span class="pre">user</span> <span class="pre">MIP</span> <span class="pre">start</span> <span class="pre">with</span> <span class="pre">objective...</span></code>, we can see that MIPLearn was able to construct an initial solution which turned out to be very close to the optimal solution to the problem. Now let us repeat the code above, but a solver which does not apply any ML strategies. Note that our previously-defined component is not provided.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[11]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">solver_baseline</span> <span class="o">=</span> <span class="n">LearningSolver</span><span class="p">(</span><span class="n">components</span><span class="o">=</span><span class="p">[])</span>
|
||||
<span class="n">solver_baseline</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">train_data</span><span class="p">)</span>
|
||||
<span class="n">solver_baseline</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">test_data</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">build_uc_model</span><span class="p">);</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0xa8b70287
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
Presolve removed 1000 rows and 500 columns
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1 rows, 500 columns, 500 nonzeros
|
||||
|
||||
Iteration Objective Primal Inf. Dual Inf. Time
|
||||
0 6.6166537e+09 5.648803e+04 0.000000e+00 0s
|
||||
1 8.2906219e+09 0.000000e+00 0.000000e+00 0s
|
||||
|
||||
Solved in 1 iterations and 0.01 seconds (0.00 work units)
|
||||
Optimal objective 8.290621916e+09
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0x4cbbf7c7
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Found heuristic solution: objective 9.757128e+09
|
||||
|
||||
Root relaxation: objective 8.290622e+09, 512 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 8.2906e+09 0 1 9.7571e+09 8.2906e+09 15.0% - 0s
|
||||
H 0 0 8.298273e+09 8.2906e+09 0.09% - 0s
|
||||
0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s
|
||||
0 0 8.2907e+09 0 1 8.2983e+09 8.2907e+09 0.09% - 0s
|
||||
0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s
|
||||
H 0 0 8.293980e+09 8.2907e+09 0.04% - 0s
|
||||
0 0 8.2907e+09 0 5 8.2940e+09 8.2907e+09 0.04% - 0s
|
||||
0 0 8.2907e+09 0 1 8.2940e+09 8.2907e+09 0.04% - 0s
|
||||
0 0 8.2907e+09 0 2 8.2940e+09 8.2907e+09 0.04% - 0s
|
||||
0 0 8.2908e+09 0 1 8.2940e+09 8.2908e+09 0.04% - 0s
|
||||
0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s
|
||||
0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s
|
||||
H 0 0 8.291465e+09 8.2908e+09 0.01% - 0s
|
||||
|
||||
Cutting planes:
|
||||
Gomory: 2
|
||||
MIR: 1
|
||||
|
||||
Explored 1 nodes (1031 simplex iterations) in 0.07 seconds (0.03 work units)
|
||||
Thread count was 12 (of 12 available processors)
|
||||
|
||||
Solution count 4: 8.29147e+09 8.29398e+09 8.29827e+09 9.75713e+09
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 8.291465302389e+09, best bound 8.290781665333e+09, gap 0.0082%
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>In the log above, the <code class="docutils literal notranslate"><span class="pre">MIP</span> <span class="pre">start</span></code> line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time, but the difference can be significant for larger problems.</p>
|
||||
</div>
|
||||
<div class="section" id="Accessing-the-solution">
|
||||
<h2><span class="section-number">2.6. </span>Accessing the solution<a class="headerlink" href="#Accessing-the-solution" title="Permalink to this headline">¶</a></h2>
|
||||
<p>In the example above, we used <code class="docutils literal notranslate"><span class="pre">LearningSolver.solve</span></code> together with data files to solve both the training and the test instances. The optimal solutions were saved to HDF5 files in the train/test folders, and could be retrieved by reading theses files, but that is not very convenient. In the following example, we show how to build and solve a Pyomo model entirely in-memory, using our trained solver.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[12]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">data</span> <span class="o">=</span> <span class="n">random_uc_data</span><span class="p">(</span><span class="n">samples</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">n</span><span class="o">=</span><span class="mi">500</span><span class="p">)[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">model</span> <span class="o">=</span> <span class="n">build_uc_model</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">model</span><span class="p">)</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"obj ="</span><span class="p">,</span> <span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">objVal</span><span class="p">)</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"x ="</span><span class="p">,</span> <span class="p">[</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">_x</span><span class="p">[</span><span class="n">i</span><span class="p">]</span><span class="o">.</span><span class="n">x</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">3</span><span class="p">)])</span>
|
||||
<span class="nb">print</span><span class="p">(</span><span class="s2">"y ="</span><span class="p">,</span> <span class="p">[</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="o">.</span><span class="n">_y</span><span class="p">[</span><span class="n">i</span><span class="p">]</span><span class="o">.</span><span class="n">x</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">3</span><span class="p">)])</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0x19042f12
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
Presolve removed 1000 rows and 500 columns
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1 rows, 500 columns, 500 nonzeros
|
||||
|
||||
Iteration Objective Primal Inf. Dual Inf. Time
|
||||
0 6.5917580e+09 5.627453e+04 0.000000e+00 0s
|
||||
1 8.2535968e+09 0.000000e+00 0.000000e+00 0s
|
||||
|
||||
Solved in 1 iterations and 0.01 seconds (0.00 work units)
|
||||
Optimal objective 8.253596777e+09
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]
|
||||
Thread count: 6 physical cores, 12 logical processors, using up to 12 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0x8ee64638
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 2e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [1e+00, 1e+00]
|
||||
RHS range [3e+08, 3e+08]
|
||||
|
||||
User MIP start produced solution with objective 8.25814e+09 (0.01s)
|
||||
User MIP start produced solution with objective 8.25512e+09 (0.01s)
|
||||
User MIP start produced solution with objective 8.25459e+09 (0.04s)
|
||||
User MIP start produced solution with objective 8.25459e+09 (0.04s)
|
||||
Loaded user MIP start with objective 8.25459e+09
|
||||
|
||||
Presolve time: 0.01s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
|
||||
Root relaxation: objective 8.253597e+09, 512 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 8.2536e+09 0 1 8.2546e+09 8.2536e+09 0.01% - 0s
|
||||
0 0 8.2537e+09 0 3 8.2546e+09 8.2537e+09 0.01% - 0s
|
||||
0 0 8.2537e+09 0 1 8.2546e+09 8.2537e+09 0.01% - 0s
|
||||
0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s
|
||||
0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s
|
||||
0 0 8.2538e+09 0 4 8.2546e+09 8.2538e+09 0.01% - 0s
|
||||
0 0 8.2538e+09 0 5 8.2546e+09 8.2538e+09 0.01% - 0s
|
||||
0 0 8.2538e+09 0 6 8.2546e+09 8.2538e+09 0.01% - 0s
|
||||
|
||||
Cutting planes:
|
||||
Cover: 1
|
||||
MIR: 2
|
||||
StrongCG: 1
|
||||
Flow cover: 1
|
||||
|
||||
Explored 1 nodes (575 simplex iterations) in 0.12 seconds (0.01 work units)
|
||||
Thread count was 12 (of 12 available processors)
|
||||
|
||||
Solution count 3: 8.25459e+09 8.25512e+09 8.25814e+09
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 8.254590409970e+09, best bound 8.253768093811e+09, gap 0.0100%
|
||||
obj = 8254590409.969726
|
||||
x = [1.0, 1.0, 0.0]
|
||||
y = [935662.0949263407, 1604270.0218116897, 0.0]
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[ ]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-ipython3 notranslate"><div class="highlight"><pre><span></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
|
||||
</div>
|
||||
|
||||
|
||||
<div class='prev-next-bottom'>
|
||||
|
||||
<a class='left-prev' id="prev-link" href="../getting-started-pyomo/" title="previous page"><span class="section-number">1. </span>Getting started (Pyomo)</a>
|
||||
<a class='right-next' id="next-link" href="../getting-started-jump/" title="next page"><span class="section-number">3. </span>Getting started (JuMP)</a>
|
||||
|
||||
</div>
|
||||
|
||||
</div>
|
||||
</div>
|
||||
<footer class="footer mt-5 mt-md-0">
|
||||
<div class="container">
|
||||
<p>
|
||||
|
||||
© Copyright 2020-2023, UChicago Argonne, LLC.<br/>
|
||||
</p>
|
||||
</div>
|
||||
</footer>
|
||||
</main>
|
||||
|
||||
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<script src="../../_static/js/index.1c5a1a01449ed65a7b51.js"></script>
|
||||
|
||||
|
||||
</body>
|
||||
</html>
|
||||
680
0.3/tutorials/getting-started-jump.ipynb
Normal file
680
0.3/tutorials/getting-started-jump.ipynb
Normal file
@@ -0,0 +1,680 @@
|
||||
{
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "6b8983b1",
|
||||
"metadata": {
|
||||
"tags": []
|
||||
},
|
||||
"source": [
|
||||
"# Getting started (JuMP)\n",
|
||||
"\n",
|
||||
"## Introduction\n",
|
||||
"\n",
|
||||
"**MIPLearn** is an open source framework that uses machine learning (ML) to accelerate the performance of mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS). In this tutorial, we will:\n",
|
||||
"\n",
|
||||
"1. Install the Julia/JuMP version of MIPLearn\n",
|
||||
"2. Model a simple optimization problem using JuMP\n",
|
||||
"3. Generate training data and train the ML models\n",
|
||||
"4. Use the ML models together Gurobi to solve new instances\n",
|
||||
"\n",
|
||||
"<div class=\"alert alert-warning\">\n",
|
||||
"Warning\n",
|
||||
" \n",
|
||||
"MIPLearn is still in early development stage. If run into any bugs or issues, please submit a bug report in our GitHub repository. Comments, suggestions and pull requests are also very welcome!\n",
|
||||
" \n",
|
||||
"</div>\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "02f0a927",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Installation\n",
|
||||
"\n",
|
||||
"MIPLearn is available in two versions:\n",
|
||||
"\n",
|
||||
"- Python version, compatible with the Pyomo and Gurobipy modeling languages,\n",
|
||||
"- Julia version, compatible with the JuMP modeling language.\n",
|
||||
"\n",
|
||||
"In this tutorial, we will demonstrate how to use and install the Python/Pyomo version of the package. The first step is to install Julia in your machine. See the [official Julia website for more instructions](https://julialang.org/downloads/). After Julia is installed, launch the Julia REPL, type `]` to enter package mode, then install MIPLearn:\n",
|
||||
"\n",
|
||||
"```\n",
|
||||
"pkg> add MIPLearn@0.3\n",
|
||||
"```"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "e8274543",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In addition to MIPLearn itself, we will also install:\n",
|
||||
"\n",
|
||||
"- the JuMP modeling language\n",
|
||||
"- Gurobi, a state-of-the-art commercial MILP solver\n",
|
||||
"- Distributions, to generate random data\n",
|
||||
"- PyCall, to access ML model from Scikit-Learn\n",
|
||||
"- Suppressor, to make the output cleaner\n",
|
||||
"\n",
|
||||
"```\n",
|
||||
"pkg> add JuMP@1, Gurobi@1, Distributions@0.25, PyCall@1, Suppressor@0.2\n",
|
||||
"```"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a14e4550",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
" \n",
|
||||
"Note\n",
|
||||
"\n",
|
||||
"- If you do not have a Gurobi license available, you can also follow the tutorial by installing an open-source solver, such as `HiGHS`, and replacing `Gurobi.Optimizer` by `HiGHS.Optimizer` in all the code examples.\n",
|
||||
"- In the code above, we install specific version of all packages to ensure that this tutorial keeps running in the future, even when newer (and possibly incompatible) versions of the packages are released. This is usually a recommended practice for all Julia projects.\n",
|
||||
" \n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "16b86823",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Modeling a simple optimization problem\n",
|
||||
"\n",
|
||||
"To illustrate how can MIPLearn be used, we will model and solve a small optimization problem related to power systems optimization. The problem we discuss below is a simplification of the **unit commitment problem,** a practical optimization problem solved daily by electric grid operators around the world. \n",
|
||||
"\n",
|
||||
"Suppose that a utility company needs to decide which electrical generators should be online at each hour of the day, as well as how much power should each generator produce. More specifically, assume that the company owns $n$ generators, denoted by $g_1, \\ldots, g_n$. Each generator can either be online or offline. An online generator $g_i$ can produce between $p^\\text{min}_i$ to $p^\\text{max}_i$ megawatts of power, and it costs the company $c^\\text{fix}_i + c^\\text{var}_i y_i$, where $y_i$ is the amount of power produced. An offline generator produces nothing and costs nothing. The total amount of power to be produced needs to be exactly equal to the total demand $d$ (in megawatts).\n",
|
||||
"\n",
|
||||
"This simple problem can be modeled as a *mixed-integer linear optimization* problem as follows. For each generator $g_i$, let $x_i \\in \\{0,1\\}$ be a decision variable indicating whether $g_i$ is online, and let $y_i \\geq 0$ be a decision variable indicating how much power does $g_i$ produce. The problem is then given by:"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "f12c3702",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"$$\n",
|
||||
"\\begin{align}\n",
|
||||
"\\text{minimize } \\quad & \\sum_{i=1}^n \\left( c^\\text{fix}_i x_i + c^\\text{var}_i y_i \\right) \\\\\n",
|
||||
"\\text{subject to } \\quad & y_i \\leq p^\\text{max}_i x_i & i=1,\\ldots,n \\\\\n",
|
||||
"& y_i \\geq p^\\text{min}_i x_i & i=1,\\ldots,n \\\\\n",
|
||||
"& \\sum_{i=1}^n y_i = d \\\\\n",
|
||||
"& x_i \\in \\{0,1\\} & i=1,\\ldots,n \\\\\n",
|
||||
"& y_i \\geq 0 & i=1,\\ldots,n\n",
|
||||
"\\end{align}\n",
|
||||
"$$"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "be3989ed",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
"\n",
|
||||
"Note\n",
|
||||
"\n",
|
||||
"We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem.\n",
|
||||
"\n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a5fd33f6",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Next, let us convert this abstract mathematical formulation into a concrete optimization model, using Julia and JuMP. We start by defining a data class `UnitCommitmentData`, which holds all the input data."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 1,
|
||||
"id": "c62ebff1-db40-45a1-9997-d121837f067b",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"struct UnitCommitmentData\n",
|
||||
" demand::Float64\n",
|
||||
" pmin::Vector{Float64}\n",
|
||||
" pmax::Vector{Float64}\n",
|
||||
" cfix::Vector{Float64}\n",
|
||||
" cvar::Vector{Float64}\n",
|
||||
"end;"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "29f55efa-0751-465a-9b0a-a821d46a3d40",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Next, we write a `build_uc_model` function, which converts the input data into a concrete JuMP model. The function accepts `UnitCommitmentData`, the data structure we previously defined, or the path to a JLD2 file containing this data."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "79ef7775-18ca-4dfa-b438-49860f762ad0",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"using MIPLearn\n",
|
||||
"using JuMP\n",
|
||||
"using Gurobi\n",
|
||||
"\n",
|
||||
"function build_uc_model(data)\n",
|
||||
" if data isa String\n",
|
||||
" data = read_jld2(data)\n",
|
||||
" end\n",
|
||||
" model = Model(Gurobi.Optimizer)\n",
|
||||
" G = 1:length(data.pmin)\n",
|
||||
" @variable(model, x[G], Bin)\n",
|
||||
" @variable(model, y[G] >= 0)\n",
|
||||
" @objective(model, Min, sum(data.cfix[g] * x[g] + data.cvar[g] * y[g] for g in G))\n",
|
||||
" @constraint(model, eq_max_power[g in G], y[g] <= data.pmax[g] * x[g])\n",
|
||||
" @constraint(model, eq_min_power[g in G], y[g] >= data.pmin[g] * x[g])\n",
|
||||
" @constraint(model, eq_demand, sum(y[g] for g in G) == data.demand)\n",
|
||||
" return JumpModel(model)\n",
|
||||
"end;"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "c22714a3",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"At this point, we can already use Gurobi to find optimal solutions to any instance of this problem. To illustrate this, let us solve a small instance with three generators:"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 3,
|
||||
"id": "dd828d68-fd43-4d2a-a058-3e2628d99d9e",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:01:10.993801745Z",
|
||||
"start_time": "2023-06-06T20:01:10.887580927Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 32 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 7 rows, 6 columns and 15 nonzeros\n",
|
||||
"Model fingerprint: 0x55e33a07\n",
|
||||
"Variable types: 3 continuous, 3 integer (3 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 7e+01]\n",
|
||||
" Objective range [2e+00, 7e+02]\n",
|
||||
" Bounds range [0e+00, 0e+00]\n",
|
||||
" RHS range [1e+02, 1e+02]\n",
|
||||
"Presolve removed 2 rows and 1 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 5 rows, 5 columns, 13 nonzeros\n",
|
||||
"Variable types: 0 continuous, 5 integer (3 binary)\n",
|
||||
"Found heuristic solution: objective 1400.0000000\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 1.035000e+03, 3 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 1035.00000 0 1 1400.00000 1035.00000 26.1% - 0s\n",
|
||||
" 0 0 1105.71429 0 1 1400.00000 1105.71429 21.0% - 0s\n",
|
||||
"* 0 0 0 1320.0000000 1320.00000 0.00% - 0s\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (5 simplex iterations) in 0.00 seconds (0.00 work units)\n",
|
||||
"Thread count was 32 (of 32 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 2: 1320 1400 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 1.320000000000e+03, best bound 1.320000000000e+03, gap 0.0000%\n",
|
||||
"\n",
|
||||
"User-callback calls 371, time in user-callback 0.00 sec\n",
|
||||
"objective_value(model.inner) = 1320.0\n",
|
||||
"Vector(value.(model.inner[:x])) = [-0.0, 1.0, 1.0]\n",
|
||||
"Vector(value.(model.inner[:y])) = [0.0, 60.0, 40.0]\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"model = build_uc_model(\n",
|
||||
" UnitCommitmentData(\n",
|
||||
" 100.0, # demand\n",
|
||||
" [10, 20, 30], # pmin\n",
|
||||
" [50, 60, 70], # pmax\n",
|
||||
" [700, 600, 500], # cfix\n",
|
||||
" [1.5, 2.0, 2.5], # cvar\n",
|
||||
" )\n",
|
||||
")\n",
|
||||
"model.optimize()\n",
|
||||
"@show objective_value(model.inner)\n",
|
||||
"@show Vector(value.(model.inner[:x]))\n",
|
||||
"@show Vector(value.(model.inner[:y]));"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "41b03bbc",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Running the code above, we found that the optimal solution for our small problem instance costs \\$1320. It is achieve by keeping generators 2 and 3 online and producing, respectively, 60 MW and 40 MW of power."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "01f576e1-1790-425e-9e5c-9fa07b6f4c26",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
" \n",
|
||||
"Notes\n",
|
||||
" \n",
|
||||
"- In the example above, `JumpModel` is just a thin wrapper around a standard JuMP model. This wrapper allows MIPLearn to be solver- and modeling-language-agnostic. The wrapper provides only a few basic methods, such as `optimize`. For more control, and to query the solution, the original JuMP model can be accessed through `model.inner`, as illustrated above.\n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "cf60c1dd",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Generating training data\n",
|
||||
"\n",
|
||||
"Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a **trained** solver, which can optimize new instances (similar to the ones it was trained on) faster.\n",
|
||||
"\n",
|
||||
"In the following, we will use MIPLearn to train machine learning models that is able to predict the optimal solution for instances that follow a given probability distribution, then it will provide this predicted solution to Gurobi as a warm start. Before we can train the model, we need to collect training data by solving a large number of instances. In real-world situations, we may construct these training instances based on historical data. In this tutorial, we will construct them using a random instance generator:"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 4,
|
||||
"id": "1326efd7-3869-4137-ab6b-df9cb609a7e0",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"using Distributions\n",
|
||||
"using Random\n",
|
||||
"\n",
|
||||
"function random_uc_data(; samples::Int, n::Int, seed::Int=42)::Vector\n",
|
||||
" Random.seed!(seed)\n",
|
||||
" pmin = rand(Uniform(100_000, 500_000), n)\n",
|
||||
" pmax = pmin .* rand(Uniform(2, 2.5), n)\n",
|
||||
" cfix = pmin .* rand(Uniform(100, 125), n)\n",
|
||||
" cvar = rand(Uniform(1.25, 1.50), n)\n",
|
||||
" return [\n",
|
||||
" UnitCommitmentData(\n",
|
||||
" sum(pmax) * rand(Uniform(0.5, 0.75)),\n",
|
||||
" pmin,\n",
|
||||
" pmax,\n",
|
||||
" cfix,\n",
|
||||
" cvar,\n",
|
||||
" )\n",
|
||||
" for _ in 1:samples\n",
|
||||
" ]\n",
|
||||
"end;"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "3a03a7ac",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In this example, for simplicity, only the demands change from one instance to the next. We could also have randomized the costs, production limits or even the number of units. The more randomization we have in the training data, however, the more challenging it is for the machine learning models to learn solution patterns.\n",
|
||||
"\n",
|
||||
"Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially on multiple machines. The code below generates the files `uc/train/00001.jld2`, `uc/train/00002.jld2`, etc., which contain the input data in JLD2 format."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 5,
|
||||
"id": "6156752c",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:03:04.782830561Z",
|
||||
"start_time": "2023-06-06T20:03:04.530421396Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"data = random_uc_data(samples=500, n=500)\n",
|
||||
"train_data = write_jld2(data[1:450], \"uc/train\")\n",
|
||||
"test_data = write_jld2(data[451:500], \"uc/test\");"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "b17af877",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Finally, we use `BasicCollector` to collect the optimal solutions and other useful training data for all training instances. The data is stored in HDF5 files `uc/train/00001.h5`, `uc/train/00002.h5`, etc. The optimization models are also exported to compressed MPS files `uc/train/00001.mps.gz`, `uc/train/00002.mps.gz`, etc."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 6,
|
||||
"id": "7623f002",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:03:35.571497019Z",
|
||||
"start_time": "2023-06-06T20:03:25.804104036Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"using Suppressor\n",
|
||||
"@suppress_out begin\n",
|
||||
" bc = BasicCollector()\n",
|
||||
" bc.collect(train_data, build_uc_model)\n",
|
||||
"end"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "c42b1be1-9723-4827-82d8-974afa51ef9f",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Training and solving test instances"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a33c6aa4-f0b8-4ccb-9935-01f7d7de2a1c",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"With training data in hand, we can now design and train a machine learning model to accelerate solver performance. In this tutorial, for illustration purposes, we will use ML to generate a good warm start using $k$-nearest neighbors. More specifically, the strategy is to:\n",
|
||||
"\n",
|
||||
"1. Memorize the optimal solutions of all training instances;\n",
|
||||
"2. Given a test instance, find the 25 most similar training instances, based on constraint right-hand sides;\n",
|
||||
"3. Merge their optimal solutions into a single partial solution; specifically, only assign values to the binary variables that agree unanimously.\n",
|
||||
"4. Provide this partial solution to the solver as a warm start.\n",
|
||||
"\n",
|
||||
"This simple strategy can be implemented as shown below, using `MemorizingPrimalComponent`. For more advanced strategies, and for the usage of more advanced classifiers, see the user guide."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 7,
|
||||
"id": "435f7bf8-4b09-4889-b1ec-b7b56e7d8ed2",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:20.497772794Z",
|
||||
"start_time": "2023-06-06T20:05:20.484821405Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# Load kNN classifier from Scikit-Learn\n",
|
||||
"using PyCall\n",
|
||||
"KNeighborsClassifier = pyimport(\"sklearn.neighbors\").KNeighborsClassifier\n",
|
||||
"\n",
|
||||
"# Build the MIPLearn component\n",
|
||||
"comp = MemorizingPrimalComponent(\n",
|
||||
" clf=KNeighborsClassifier(n_neighbors=25),\n",
|
||||
" extractor=H5FieldsExtractor(\n",
|
||||
" instance_fields=[\"static_constr_rhs\"],\n",
|
||||
" ),\n",
|
||||
" constructor=MergeTopSolutions(25, [0.0, 1.0]),\n",
|
||||
" action=SetWarmStart(),\n",
|
||||
");"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "9536e7e4-0b0d-49b0-bebd-4a848f839e94",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Having defined the ML strategy, we next construct `LearningSolver`, train the ML component and optimize one of the test instances."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 8,
|
||||
"id": "9d13dd50-3dcf-4673-a757-6f44dcc0dedf",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:22.672002339Z",
|
||||
"start_time": "2023-06-06T20:05:21.447466634Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 32 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0xd2378195\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 1e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [0e+00, 0e+00]\n",
|
||||
" RHS range [2e+08, 2e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 1.02165e+10 (0.00s)\n",
|
||||
"Loaded user MIP start with objective 1.02165e+10\n",
|
||||
"\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 1.021568e+10, 510 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 1.0216e+10 0 1 1.0217e+10 1.0216e+10 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (510 simplex iterations) in 0.01 seconds (0.00 work units)\n",
|
||||
"Thread count was 32 (of 32 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 1: 1.02165e+10 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 1.021651058978e+10, best bound 1.021567971257e+10, gap 0.0081%\n",
|
||||
"\n",
|
||||
"User-callback calls 169, time in user-callback 0.00 sec\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"solver_ml = LearningSolver(components=[comp])\n",
|
||||
"solver_ml.fit(train_data)\n",
|
||||
"solver_ml.optimize(test_data[1], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "61da6dad-7f56-4edb-aa26-c00eb5f946c0",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"By examining the solve log above, specifically the line `Loaded user MIP start with objective...`, we can see that MIPLearn was able to construct an initial solution which turned out to be very close to the optimal solution to the problem. Now let us repeat the code above, but a solver which does not apply any ML strategies. Note that our previously-defined component is not provided."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 9,
|
||||
"id": "2ff391ed-e855-4228-aa09-a7641d8c2893",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:46.969575966Z",
|
||||
"start_time": "2023-06-06T20:05:46.420803286Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 32 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0xb45c0594\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 1e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [0e+00, 0e+00]\n",
|
||||
" RHS range [2e+08, 2e+08]\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Found heuristic solution: objective 1.071463e+10\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 1.021568e+10, 510 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 1.0216e+10 0 1 1.0715e+10 1.0216e+10 4.66% - 0s\n",
|
||||
"H 0 0 1.025162e+10 1.0216e+10 0.35% - 0s\n",
|
||||
" 0 0 1.0216e+10 0 1 1.0252e+10 1.0216e+10 0.35% - 0s\n",
|
||||
"H 0 0 1.023090e+10 1.0216e+10 0.15% - 0s\n",
|
||||
"H 0 0 1.022335e+10 1.0216e+10 0.07% - 0s\n",
|
||||
"H 0 0 1.022281e+10 1.0216e+10 0.07% - 0s\n",
|
||||
"H 0 0 1.021753e+10 1.0216e+10 0.02% - 0s\n",
|
||||
"H 0 0 1.021752e+10 1.0216e+10 0.02% - 0s\n",
|
||||
" 0 0 1.0216e+10 0 3 1.0218e+10 1.0216e+10 0.02% - 0s\n",
|
||||
" 0 0 1.0216e+10 0 1 1.0218e+10 1.0216e+10 0.02% - 0s\n",
|
||||
"H 0 0 1.021651e+10 1.0216e+10 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (764 simplex iterations) in 0.03 seconds (0.02 work units)\n",
|
||||
"Thread count was 32 (of 32 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 7: 1.02165e+10 1.02175e+10 1.02228e+10 ... 1.07146e+10\n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 1.021651058978e+10, best bound 1.021573363741e+10, gap 0.0076%\n",
|
||||
"\n",
|
||||
"User-callback calls 204, time in user-callback 0.00 sec\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"solver_baseline = LearningSolver(components=[])\n",
|
||||
"solver_baseline.fit(train_data)\n",
|
||||
"solver_baseline.optimize(test_data[1], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "b6d37b88-9fcc-43ee-ac1e-2a7b1e51a266",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In the log above, the `MIP start` line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time, but the difference can be significant for larger problems."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "eec97f06",
|
||||
"metadata": {
|
||||
"tags": []
|
||||
},
|
||||
"source": [
|
||||
"## Accessing the solution\n",
|
||||
"\n",
|
||||
"In the example above, we used `LearningSolver.solve` together with data files to solve both the training and the test instances. The optimal solutions were saved to HDF5 files in the train/test folders, and could be retrieved by reading theses files, but that is not very convenient. In the following example, we show how to build and solve a JuMP model entirely in-memory, using our trained solver."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 10,
|
||||
"id": "67a6cd18",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:06:26.913448568Z",
|
||||
"start_time": "2023-06-06T20:06:26.169047914Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 32 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x974a7fba\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 1e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [0e+00, 0e+00]\n",
|
||||
" RHS range [2e+08, 2e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 9.86729e+09 (0.00s)\n",
|
||||
"User MIP start produced solution with objective 9.86675e+09 (0.00s)\n",
|
||||
"User MIP start produced solution with objective 9.86654e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 9.8661e+09 (0.01s)\n",
|
||||
"Loaded user MIP start with objective 9.8661e+09\n",
|
||||
"\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 9.865344e+09, 510 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 9.8653e+09 0 1 9.8661e+09 9.8653e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (510 simplex iterations) in 0.02 seconds (0.01 work units)\n",
|
||||
"Thread count was 32 (of 32 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 4: 9.8661e+09 9.86654e+09 9.86675e+09 9.86729e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 9.866096485614e+09, best bound 9.865343669936e+09, gap 0.0076%\n",
|
||||
"\n",
|
||||
"User-callback calls 182, time in user-callback 0.00 sec\n",
|
||||
"objective_value(model.inner) = 9.866096485613789e9\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"data = random_uc_data(samples=1, n=500)[1]\n",
|
||||
"model = build_uc_model(data)\n",
|
||||
"solver_ml.optimize(model)\n",
|
||||
"@show objective_value(model.inner);"
|
||||
]
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Julia 1.9.0",
|
||||
"language": "julia",
|
||||
"name": "julia-1.9"
|
||||
},
|
||||
"language_info": {
|
||||
"file_extension": ".jl",
|
||||
"mimetype": "application/julia",
|
||||
"name": "julia",
|
||||
"version": "1.9.0"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 5
|
||||
}
|
||||
756
0.3/tutorials/getting-started-jump/index.html
Normal file
756
0.3/tutorials/getting-started-jump/index.html
Normal file
@@ -0,0 +1,756 @@
|
||||
|
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|
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|
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<meta charset="utf-8" />
|
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|
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|
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|
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|
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<link rel="search" title="Search" href="../../search/" />
|
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<link rel="next" title="4. Benchmark Problems" href="../../guide/problems/" />
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<h1 class="site-logo" id="site-title">MIPLearn 0.3</h1>
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Tutorials
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</span>
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</p>
|
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<ul class="current nav bd-sidenav">
|
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<li class="toctree-l1">
|
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<a class="reference internal" href="../getting-started-pyomo/">
|
||||
1. Getting started (Pyomo)
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../getting-started-gurobipy/">
|
||||
2. Getting started (Gurobipy)
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1 current active">
|
||||
<a class="current reference internal" href="#">
|
||||
3. Getting started (JuMP)
|
||||
</a>
|
||||
</li>
|
||||
</ul>
|
||||
<p class="caption">
|
||||
<span class="caption-text">
|
||||
User Guide
|
||||
</span>
|
||||
</p>
|
||||
<ul class="nav bd-sidenav">
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/problems/">
|
||||
4. Benchmark Problems
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/collectors/">
|
||||
5. Training Data Collectors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/features/">
|
||||
6. Feature Extractors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/primal/">
|
||||
7. Primal Components
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../guide/solvers/">
|
||||
8. Solvers
|
||||
</a>
|
||||
</li>
|
||||
</ul>
|
||||
<p class="caption">
|
||||
<span class="caption-text">
|
||||
Python API Reference
|
||||
</span>
|
||||
</p>
|
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<ul class="nav bd-sidenav">
|
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<li class="toctree-l1">
|
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<a class="reference internal" href="../../api/problems/">
|
||||
9. Benchmark Problems
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/collectors/">
|
||||
10. Collectors & Extractors
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/components/">
|
||||
11. Components
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/solvers/">
|
||||
12. Solvers
|
||||
</a>
|
||||
</li>
|
||||
<li class="toctree-l1">
|
||||
<a class="reference internal" href="../../api/helpers/">
|
||||
13. Helpers
|
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</a>
|
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|
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|
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|
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|
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<i class="fas fa-list"></i> Contents
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<li class="toc-h2 nav-item toc-entry">
|
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<a class="reference internal nav-link" href="#Introduction">
|
||||
3.1. Introduction
|
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</a>
|
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</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Installation">
|
||||
3.2. Installation
|
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</a>
|
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</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Modeling-a-simple-optimization-problem">
|
||||
3.3. Modeling a simple optimization problem
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Generating-training-data">
|
||||
3.4. Generating training data
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Training-and-solving-test-instances">
|
||||
3.5. Training and solving test instances
|
||||
</a>
|
||||
</li>
|
||||
<li class="toc-h2 nav-item toc-entry">
|
||||
<a class="reference internal nav-link" href="#Accessing-the-solution">
|
||||
3.6. Accessing the solution
|
||||
</a>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
</nav>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
<div id="main-content" class="row">
|
||||
<div class="col-12 col-md-9 pl-md-3 pr-md-0">
|
||||
|
||||
<div>
|
||||
|
||||
<div class="section" id="Getting-started-(JuMP)">
|
||||
<h1><span class="section-number">3. </span>Getting started (JuMP)<a class="headerlink" href="#Getting-started-(JuMP)" title="Permalink to this headline">¶</a></h1>
|
||||
<div class="section" id="Introduction">
|
||||
<h2><span class="section-number">3.1. </span>Introduction<a class="headerlink" href="#Introduction" title="Permalink to this headline">¶</a></h2>
|
||||
<p><strong>MIPLearn</strong> is an open source framework that uses machine learning (ML) to accelerate the performance of mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS). In this tutorial, we will:</p>
|
||||
<ol class="arabic simple">
|
||||
<li><p>Install the Julia/JuMP version of MIPLearn</p></li>
|
||||
<li><p>Model a simple optimization problem using JuMP</p></li>
|
||||
<li><p>Generate training data and train the ML models</p></li>
|
||||
<li><p>Use the ML models together Gurobi to solve new instances</p></li>
|
||||
</ol>
|
||||
<div class="admonition warning">
|
||||
<p class="admonition-title">Warning</p>
|
||||
<p>MIPLearn is still in early development stage. If run into any bugs or issues, please submit a bug report in our GitHub repository. Comments, suggestions and pull requests are also very welcome!</p>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Installation">
|
||||
<h2><span class="section-number">3.2. </span>Installation<a class="headerlink" href="#Installation" title="Permalink to this headline">¶</a></h2>
|
||||
<p>MIPLearn is available in two versions:</p>
|
||||
<ul class="simple">
|
||||
<li><p>Python version, compatible with the Pyomo and Gurobipy modeling languages,</p></li>
|
||||
<li><p>Julia version, compatible with the JuMP modeling language.</p></li>
|
||||
</ul>
|
||||
<p>In this tutorial, we will demonstrate how to use and install the Python/Pyomo version of the package. The first step is to install Julia in your machine. See the <a class="reference external" href="https://julialang.org/downloads/">official Julia website for more instructions</a>. After Julia is installed, launch the Julia REPL, type <code class="docutils literal notranslate"><span class="pre">]</span></code> to enter package mode, then install MIPLearn:</p>
|
||||
<div class="highlight-none notranslate"><div class="highlight"><pre><span></span>pkg> add MIPLearn@0.3
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>In addition to MIPLearn itself, we will also install:</p>
|
||||
<ul class="simple">
|
||||
<li><p>the JuMP modeling language</p></li>
|
||||
<li><p>Gurobi, a state-of-the-art commercial MILP solver</p></li>
|
||||
<li><p>Distributions, to generate random data</p></li>
|
||||
<li><p>PyCall, to access ML model from Scikit-Learn</p></li>
|
||||
<li><p>Suppressor, to make the output cleaner</p></li>
|
||||
</ul>
|
||||
<div class="highlight-none notranslate"><div class="highlight"><pre><span></span>pkg> add JuMP@1, Gurobi@1, Distributions@0.25, PyCall@1, Suppressor@0.2
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<ul class="simple">
|
||||
<li><p>If you do not have a Gurobi license available, you can also follow the tutorial by installing an open-source solver, such as <code class="docutils literal notranslate"><span class="pre">HiGHS</span></code>, and replacing <code class="docutils literal notranslate"><span class="pre">Gurobi.Optimizer</span></code> by <code class="docutils literal notranslate"><span class="pre">HiGHS.Optimizer</span></code> in all the code examples.</p></li>
|
||||
<li><p>In the code above, we install specific version of all packages to ensure that this tutorial keeps running in the future, even when newer (and possibly incompatible) versions of the packages are released. This is usually a recommended practice for all Julia projects.</p></li>
|
||||
</ul>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Modeling-a-simple-optimization-problem">
|
||||
<h2><span class="section-number">3.3. </span>Modeling a simple optimization problem<a class="headerlink" href="#Modeling-a-simple-optimization-problem" title="Permalink to this headline">¶</a></h2>
|
||||
<p>To illustrate how can MIPLearn be used, we will model and solve a small optimization problem related to power systems optimization. The problem we discuss below is a simplification of the <strong>unit commitment problem,</strong> a practical optimization problem solved daily by electric grid operators around the world.</p>
|
||||
<p>Suppose that a utility company needs to decide which electrical generators should be online at each hour of the day, as well as how much power should each generator produce. More specifically, assume that the company owns <span class="math notranslate nohighlight">\(n\)</span> generators, denoted by <span class="math notranslate nohighlight">\(g_1, \ldots, g_n\)</span>. Each generator can either be online or offline. An online generator <span class="math notranslate nohighlight">\(g_i\)</span> can produce between <span class="math notranslate nohighlight">\(p^\text{min}_i\)</span> to <span class="math notranslate nohighlight">\(p^\text{max}_i\)</span> megawatts of power, and it costs the company
|
||||
<span class="math notranslate nohighlight">\(c^\text{fix}_i + c^\text{var}_i y_i\)</span>, where <span class="math notranslate nohighlight">\(y_i\)</span> is the amount of power produced. An offline generator produces nothing and costs nothing. The total amount of power to be produced needs to be exactly equal to the total demand <span class="math notranslate nohighlight">\(d\)</span> (in megawatts).</p>
|
||||
<p>This simple problem can be modeled as a <em>mixed-integer linear optimization</em> problem as follows. For each generator <span class="math notranslate nohighlight">\(g_i\)</span>, let <span class="math notranslate nohighlight">\(x_i \in \{0,1\}\)</span> be a decision variable indicating whether <span class="math notranslate nohighlight">\(g_i\)</span> is online, and let <span class="math notranslate nohighlight">\(y_i \geq 0\)</span> be a decision variable indicating how much power does <span class="math notranslate nohighlight">\(g_i\)</span> produce. The problem is then given by:</p>
|
||||
<div class="math notranslate nohighlight">
|
||||
\[\begin{split}\begin{align}
|
||||
\text{minimize } \quad & \sum_{i=1}^n \left( c^\text{fix}_i x_i + c^\text{var}_i y_i \right) \\
|
||||
\text{subject to } \quad & y_i \leq p^\text{max}_i x_i & i=1,\ldots,n \\
|
||||
& y_i \geq p^\text{min}_i x_i & i=1,\ldots,n \\
|
||||
& \sum_{i=1}^n y_i = d \\
|
||||
& x_i \in \{0,1\} & i=1,\ldots,n \\
|
||||
& y_i \geq 0 & i=1,\ldots,n
|
||||
\end{align}\end{split}\]</div>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<p>We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem.</p>
|
||||
</div>
|
||||
<p>Next, let us convert this abstract mathematical formulation into a concrete optimization model, using Julia and JuMP. We start by defining a data class <code class="docutils literal notranslate"><span class="pre">UnitCommitmentData</span></code>, which holds all the input data.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[1]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="k">struct</span> <span class="kt">UnitCommitmentData</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">demand</span><span class="o">::</span><span class="kt">Float64</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmin</span><span class="o">::</span><span class="kt">Vector</span><span class="p">{</span><span class="kt">Float64</span><span class="p">}</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmax</span><span class="o">::</span><span class="kt">Vector</span><span class="p">{</span><span class="kt">Float64</span><span class="p">}</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cfix</span><span class="o">::</span><span class="kt">Vector</span><span class="p">{</span><span class="kt">Float64</span><span class="p">}</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cvar</span><span class="o">::</span><span class="kt">Vector</span><span class="p">{</span><span class="kt">Float64</span><span class="p">}</span><span class="w"></span>
|
||||
<span class="k">end</span><span class="p">;</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Next, we write a <code class="docutils literal notranslate"><span class="pre">build_uc_model</span></code> function, which converts the input data into a concrete JuMP model. The function accepts <code class="docutils literal notranslate"><span class="pre">UnitCommitmentData</span></code>, the data structure we previously defined, or the path to a JLD2 file containing this data.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[2]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="k">using</span><span class="w"> </span><span class="n">MIPLearn</span><span class="w"></span>
|
||||
<span class="k">using</span><span class="w"> </span><span class="n">JuMP</span><span class="w"></span>
|
||||
<span class="k">using</span><span class="w"> </span><span class="n">Gurobi</span><span class="w"></span>
|
||||
|
||||
<span class="k">function</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">(</span><span class="n">data</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="k">if</span><span class="w"> </span><span class="n">data</span><span class="w"> </span><span class="k">isa</span><span class="w"> </span><span class="kt">String</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">data</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">read_jld2</span><span class="p">(</span><span class="n">data</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="k">end</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">model</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">Model</span><span class="p">(</span><span class="n">Gurobi</span><span class="o">.</span><span class="n">Optimizer</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">G</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="mi">1</span><span class="o">:</span><span class="n">length</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">pmin</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@variable</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">x</span><span class="p">[</span><span class="n">G</span><span class="p">],</span><span class="w"> </span><span class="n">Bin</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@variable</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">y</span><span class="p">[</span><span class="n">G</span><span class="p">]</span><span class="w"> </span><span class="o">>=</span><span class="w"> </span><span class="mi">0</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@objective</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">Min</span><span class="p">,</span><span class="w"> </span><span class="n">sum</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">cfix</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">*</span><span class="w"> </span><span class="n">x</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">+</span><span class="w"> </span><span class="n">data</span><span class="o">.</span><span class="n">cvar</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">*</span><span class="w"> </span><span class="n">y</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="k">for</span><span class="w"> </span><span class="n">g</span><span class="w"> </span><span class="k">in</span><span class="w"> </span><span class="n">G</span><span class="p">))</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@constraint</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">eq_max_power</span><span class="p">[</span><span class="n">g</span><span class="w"> </span><span class="k">in</span><span class="w"> </span><span class="n">G</span><span class="p">],</span><span class="w"> </span><span class="n">y</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o"><=</span><span class="w"> </span><span class="n">data</span><span class="o">.</span><span class="n">pmax</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">*</span><span class="w"> </span><span class="n">x</span><span class="p">[</span><span class="n">g</span><span class="p">])</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@constraint</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">eq_min_power</span><span class="p">[</span><span class="n">g</span><span class="w"> </span><span class="k">in</span><span class="w"> </span><span class="n">G</span><span class="p">],</span><span class="w"> </span><span class="n">y</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">>=</span><span class="w"> </span><span class="n">data</span><span class="o">.</span><span class="n">pmin</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="o">*</span><span class="w"> </span><span class="n">x</span><span class="p">[</span><span class="n">g</span><span class="p">])</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="nd">@constraint</span><span class="p">(</span><span class="n">model</span><span class="p">,</span><span class="w"> </span><span class="n">eq_demand</span><span class="p">,</span><span class="w"> </span><span class="n">sum</span><span class="p">(</span><span class="n">y</span><span class="p">[</span><span class="n">g</span><span class="p">]</span><span class="w"> </span><span class="k">for</span><span class="w"> </span><span class="n">g</span><span class="w"> </span><span class="k">in</span><span class="w"> </span><span class="n">G</span><span class="p">)</span><span class="w"> </span><span class="o">==</span><span class="w"> </span><span class="n">data</span><span class="o">.</span><span class="n">demand</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="k">return</span><span class="w"> </span><span class="n">JumpModel</span><span class="p">(</span><span class="n">model</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="k">end</span><span class="p">;</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>At this point, we can already use Gurobi to find optimal solutions to any instance of this problem. To illustrate this, let us solve a small instance with three generators:</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[3]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="n">model</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">(</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">UnitCommitmentData</span><span class="p">(</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="mf">100.0</span><span class="p">,</span><span class="w"> </span><span class="c"># demand</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">[</span><span class="mi">10</span><span class="p">,</span><span class="w"> </span><span class="mi">20</span><span class="p">,</span><span class="w"> </span><span class="mi">30</span><span class="p">],</span><span class="w"> </span><span class="c"># pmin</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">[</span><span class="mi">50</span><span class="p">,</span><span class="w"> </span><span class="mi">60</span><span class="p">,</span><span class="w"> </span><span class="mi">70</span><span class="p">],</span><span class="w"> </span><span class="c"># pmax</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">[</span><span class="mi">700</span><span class="p">,</span><span class="w"> </span><span class="mi">600</span><span class="p">,</span><span class="w"> </span><span class="mi">500</span><span class="p">],</span><span class="w"> </span><span class="c"># cfix</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">[</span><span class="mf">1.5</span><span class="p">,</span><span class="w"> </span><span class="mf">2.0</span><span class="p">,</span><span class="w"> </span><span class="mf">2.5</span><span class="p">],</span><span class="w"> </span><span class="c"># cvar</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">)</span><span class="w"></span>
|
||||
<span class="p">)</span><span class="w"></span>
|
||||
<span class="n">model</span><span class="o">.</span><span class="n">optimize</span><span class="p">()</span><span class="w"></span>
|
||||
<span class="nd">@show</span><span class="w"> </span><span class="n">objective_value</span><span class="p">(</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="nd">@show</span><span class="w"> </span><span class="kt">Vector</span><span class="p">(</span><span class="n">value</span><span class="o">.</span><span class="p">(</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="p">[</span><span class="ss">:x</span><span class="p">]))</span><span class="w"></span>
|
||||
<span class="nd">@show</span><span class="w"> </span><span class="kt">Vector</span><span class="p">(</span><span class="n">value</span><span class="o">.</span><span class="p">(</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="p">[</span><span class="ss">:y</span><span class="p">]));</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]
|
||||
Thread count: 16 physical cores, 32 logical processors, using up to 32 threads
|
||||
|
||||
Optimize a model with 7 rows, 6 columns and 15 nonzeros
|
||||
Model fingerprint: 0x55e33a07
|
||||
Variable types: 3 continuous, 3 integer (3 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 7e+01]
|
||||
Objective range [2e+00, 7e+02]
|
||||
Bounds range [0e+00, 0e+00]
|
||||
RHS range [1e+02, 1e+02]
|
||||
Presolve removed 2 rows and 1 columns
|
||||
Presolve time: 0.00s
|
||||
Presolved: 5 rows, 5 columns, 13 nonzeros
|
||||
Variable types: 0 continuous, 5 integer (3 binary)
|
||||
Found heuristic solution: objective 1400.0000000
|
||||
|
||||
Root relaxation: objective 1.035000e+03, 3 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 1035.00000 0 1 1400.00000 1035.00000 26.1% - 0s
|
||||
0 0 1105.71429 0 1 1400.00000 1105.71429 21.0% - 0s
|
||||
* 0 0 0 1320.0000000 1320.00000 0.00% - 0s
|
||||
|
||||
Explored 1 nodes (5 simplex iterations) in 0.00 seconds (0.00 work units)
|
||||
Thread count was 32 (of 32 available processors)
|
||||
|
||||
Solution count 2: 1320 1400
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 1.320000000000e+03, best bound 1.320000000000e+03, gap 0.0000%
|
||||
|
||||
User-callback calls 371, time in user-callback 0.00 sec
|
||||
objective_value(model.inner) = 1320.0
|
||||
Vector(value.(model.inner[:x])) = [-0.0, 1.0, 1.0]
|
||||
Vector(value.(model.inner[:y])) = [0.0, 60.0, 40.0]
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>Running the code above, we found that the optimal solution for our small problem instance costs $1320. It is achieve by keeping generators 2 and 3 online and producing, respectively, 60 MW and 40 MW of power.</p>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Notes</p>
|
||||
<ul class="simple">
|
||||
<li><p>In the example above, <code class="docutils literal notranslate"><span class="pre">JumpModel</span></code> is just a thin wrapper around a standard JuMP model. This wrapper allows MIPLearn to be solver- and modeling-language-agnostic. The wrapper provides only a few basic methods, such as <code class="docutils literal notranslate"><span class="pre">optimize</span></code>. For more control, and to query the solution, the original JuMP model can be accessed through <code class="docutils literal notranslate"><span class="pre">model.inner</span></code>, as illustrated above.</p></li>
|
||||
</ul>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Generating-training-data">
|
||||
<h2><span class="section-number">3.4. </span>Generating training data<a class="headerlink" href="#Generating-training-data" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a <strong>trained</strong> solver, which can optimize new instances (similar to the ones it was trained on) faster.</p>
|
||||
<p>In the following, we will use MIPLearn to train machine learning models that is able to predict the optimal solution for instances that follow a given probability distribution, then it will provide this predicted solution to Gurobi as a warm start. Before we can train the model, we need to collect training data by solving a large number of instances. In real-world situations, we may construct these training instances based on historical data. In this tutorial, we will construct them using a
|
||||
random instance generator:</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[4]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="k">using</span><span class="w"> </span><span class="n">Distributions</span><span class="w"></span>
|
||||
<span class="k">using</span><span class="w"> </span><span class="n">Random</span><span class="w"></span>
|
||||
|
||||
<span class="k">function</span><span class="w"> </span><span class="n">random_uc_data</span><span class="p">(;</span><span class="w"> </span><span class="n">samples</span><span class="o">::</span><span class="kt">Int</span><span class="p">,</span><span class="w"> </span><span class="n">n</span><span class="o">::</span><span class="kt">Int</span><span class="p">,</span><span class="w"> </span><span class="n">seed</span><span class="o">::</span><span class="kt">Int</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span><span class="o">::</span><span class="kt">Vector</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">Random</span><span class="o">.</span><span class="n">seed!</span><span class="p">(</span><span class="n">seed</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmin</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">rand</span><span class="p">(</span><span class="n">Uniform</span><span class="p">(</span><span class="mi">100_000</span><span class="p">,</span><span class="w"> </span><span class="mi">500_000</span><span class="p">),</span><span class="w"> </span><span class="n">n</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmax</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">pmin</span><span class="w"> </span><span class="o">.*</span><span class="w"> </span><span class="n">rand</span><span class="p">(</span><span class="n">Uniform</span><span class="p">(</span><span class="mi">2</span><span class="p">,</span><span class="w"> </span><span class="mf">2.5</span><span class="p">),</span><span class="w"> </span><span class="n">n</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cfix</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">pmin</span><span class="w"> </span><span class="o">.*</span><span class="w"> </span><span class="n">rand</span><span class="p">(</span><span class="n">Uniform</span><span class="p">(</span><span class="mi">100</span><span class="p">,</span><span class="w"> </span><span class="mi">125</span><span class="p">),</span><span class="w"> </span><span class="n">n</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cvar</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">rand</span><span class="p">(</span><span class="n">Uniform</span><span class="p">(</span><span class="mf">1.25</span><span class="p">,</span><span class="w"> </span><span class="mf">1.50</span><span class="p">),</span><span class="w"> </span><span class="n">n</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="k">return</span><span class="w"> </span><span class="p">[</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">UnitCommitmentData</span><span class="p">(</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">sum</span><span class="p">(</span><span class="n">pmax</span><span class="p">)</span><span class="w"> </span><span class="o">*</span><span class="w"> </span><span class="n">rand</span><span class="p">(</span><span class="n">Uniform</span><span class="p">(</span><span class="mf">0.5</span><span class="p">,</span><span class="w"> </span><span class="mf">0.75</span><span class="p">)),</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmin</span><span class="p">,</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">pmax</span><span class="p">,</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cfix</span><span class="p">,</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">cvar</span><span class="p">,</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">)</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="k">for</span><span class="w"> </span><span class="n">_</span><span class="w"> </span><span class="k">in</span><span class="w"> </span><span class="mi">1</span><span class="o">:</span><span class="n">samples</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">]</span><span class="w"></span>
|
||||
<span class="k">end</span><span class="p">;</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>In this example, for simplicity, only the demands change from one instance to the next. We could also have randomized the costs, production limits or even the number of units. The more randomization we have in the training data, however, the more challenging it is for the machine learning models to learn solution patterns.</p>
|
||||
<p>Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially on multiple
|
||||
machines. The code below generates the files <code class="docutils literal notranslate"><span class="pre">uc/train/00001.jld2</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00002.jld2</span></code>, etc., which contain the input data in JLD2 format.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[5]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="n">data</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">random_uc_data</span><span class="p">(</span><span class="n">samples</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span><span class="w"> </span><span class="n">n</span><span class="o">=</span><span class="mi">500</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="n">train_data</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">write_jld2</span><span class="p">(</span><span class="n">data</span><span class="p">[</span><span class="mi">1</span><span class="o">:</span><span class="mi">450</span><span class="p">],</span><span class="w"> </span><span class="s">"uc/train"</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="n">test_data</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">write_jld2</span><span class="p">(</span><span class="n">data</span><span class="p">[</span><span class="mi">451</span><span class="o">:</span><span class="mi">500</span><span class="p">],</span><span class="w"> </span><span class="s">"uc/test"</span><span class="p">);</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Finally, we use <code class="docutils literal notranslate"><span class="pre">BasicCollector</span></code> to collect the optimal solutions and other useful training data for all training instances. The data is stored in HDF5 files <code class="docutils literal notranslate"><span class="pre">uc/train/00001.h5</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00002.h5</span></code>, etc. The optimization models are also exported to compressed MPS files <code class="docutils literal notranslate"><span class="pre">uc/train/00001.mps.gz</span></code>, <code class="docutils literal notranslate"><span class="pre">uc/train/00002.mps.gz</span></code>, etc.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[6]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="k">using</span><span class="w"> </span><span class="n">Suppressor</span><span class="w"></span>
|
||||
<span class="nd">@suppress_out</span><span class="w"> </span><span class="k">begin</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">bc</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">BasicCollector</span><span class="p">()</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">bc</span><span class="o">.</span><span class="n">collect</span><span class="p">(</span><span class="n">train_data</span><span class="p">,</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="k">end</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="Training-and-solving-test-instances">
|
||||
<h2><span class="section-number">3.5. </span>Training and solving test instances<a class="headerlink" href="#Training-and-solving-test-instances" title="Permalink to this headline">¶</a></h2>
|
||||
<p>With training data in hand, we can now design and train a machine learning model to accelerate solver performance. In this tutorial, for illustration purposes, we will use ML to generate a good warm start using <span class="math notranslate nohighlight">\(k\)</span>-nearest neighbors. More specifically, the strategy is to:</p>
|
||||
<ol class="arabic simple">
|
||||
<li><p>Memorize the optimal solutions of all training instances;</p></li>
|
||||
<li><p>Given a test instance, find the 25 most similar training instances, based on constraint right-hand sides;</p></li>
|
||||
<li><p>Merge their optimal solutions into a single partial solution; specifically, only assign values to the binary variables that agree unanimously.</p></li>
|
||||
<li><p>Provide this partial solution to the solver as a warm start.</p></li>
|
||||
</ol>
|
||||
<p>This simple strategy can be implemented as shown below, using <code class="docutils literal notranslate"><span class="pre">MemorizingPrimalComponent</span></code>. For more advanced strategies, and for the usage of more advanced classifiers, see the user guide.</p>
|
||||
<div class="nbinput nblast docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[7]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="c"># Load kNN classifier from Scikit-Learn</span><span class="w"></span>
|
||||
<span class="k">using</span><span class="w"> </span><span class="n">PyCall</span><span class="w"></span>
|
||||
<span class="n">KNeighborsClassifier</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">pyimport</span><span class="p">(</span><span class="s">"sklearn.neighbors"</span><span class="p">)</span><span class="o">.</span><span class="n">KNeighborsClassifier</span><span class="w"></span>
|
||||
|
||||
<span class="c"># Build the MIPLearn component</span><span class="w"></span>
|
||||
<span class="n">comp</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">MemorizingPrimalComponent</span><span class="p">(</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">clf</span><span class="o">=</span><span class="n">KNeighborsClassifier</span><span class="p">(</span><span class="n">n_neighbors</span><span class="o">=</span><span class="mi">25</span><span class="p">),</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">extractor</span><span class="o">=</span><span class="n">H5FieldsExtractor</span><span class="p">(</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">instance_fields</span><span class="o">=</span><span class="p">[</span><span class="s">"static_constr_rhs"</span><span class="p">],</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="p">),</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">constructor</span><span class="o">=</span><span class="n">MergeTopSolutions</span><span class="p">(</span><span class="mi">25</span><span class="p">,</span><span class="w"> </span><span class="p">[</span><span class="mf">0.0</span><span class="p">,</span><span class="w"> </span><span class="mf">1.0</span><span class="p">]),</span><span class="w"></span>
|
||||
<span class="w"> </span><span class="n">action</span><span class="o">=</span><span class="n">SetWarmStart</span><span class="p">(),</span><span class="w"></span>
|
||||
<span class="p">);</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<p>Having defined the ML strategy, we next construct <code class="docutils literal notranslate"><span class="pre">LearningSolver</span></code>, train the ML component and optimize one of the test instances.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[8]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="n">solver_ml</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">LearningSolver</span><span class="p">(</span><span class="n">components</span><span class="o">=</span><span class="p">[</span><span class="n">comp</span><span class="p">])</span><span class="w"></span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">train_data</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">test_data</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">);</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]
|
||||
Thread count: 16 physical cores, 32 logical processors, using up to 32 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0xd2378195
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 1e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [0e+00, 0e+00]
|
||||
RHS range [2e+08, 2e+08]
|
||||
|
||||
User MIP start produced solution with objective 1.02165e+10 (0.00s)
|
||||
Loaded user MIP start with objective 1.02165e+10
|
||||
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
|
||||
Root relaxation: objective 1.021568e+10, 510 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 1.0216e+10 0 1 1.0217e+10 1.0216e+10 0.01% - 0s
|
||||
|
||||
Explored 1 nodes (510 simplex iterations) in 0.01 seconds (0.00 work units)
|
||||
Thread count was 32 (of 32 available processors)
|
||||
|
||||
Solution count 1: 1.02165e+10
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 1.021651058978e+10, best bound 1.021567971257e+10, gap 0.0081%
|
||||
|
||||
User-callback calls 169, time in user-callback 0.00 sec
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>By examining the solve log above, specifically the line <code class="docutils literal notranslate"><span class="pre">Loaded</span> <span class="pre">user</span> <span class="pre">MIP</span> <span class="pre">start</span> <span class="pre">with</span> <span class="pre">objective...</span></code>, we can see that MIPLearn was able to construct an initial solution which turned out to be very close to the optimal solution to the problem. Now let us repeat the code above, but a solver which does not apply any ML strategies. Note that our previously-defined component is not provided.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[9]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="n">solver_baseline</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">LearningSolver</span><span class="p">(</span><span class="n">components</span><span class="o">=</span><span class="p">[])</span><span class="w"></span>
|
||||
<span class="n">solver_baseline</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">train_data</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="n">solver_baseline</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">test_data</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">);</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]
|
||||
Thread count: 16 physical cores, 32 logical processors, using up to 32 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0xb45c0594
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 1e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [0e+00, 0e+00]
|
||||
RHS range [2e+08, 2e+08]
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Found heuristic solution: objective 1.071463e+10
|
||||
|
||||
Root relaxation: objective 1.021568e+10, 510 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 1.0216e+10 0 1 1.0715e+10 1.0216e+10 4.66% - 0s
|
||||
H 0 0 1.025162e+10 1.0216e+10 0.35% - 0s
|
||||
0 0 1.0216e+10 0 1 1.0252e+10 1.0216e+10 0.35% - 0s
|
||||
H 0 0 1.023090e+10 1.0216e+10 0.15% - 0s
|
||||
H 0 0 1.022335e+10 1.0216e+10 0.07% - 0s
|
||||
H 0 0 1.022281e+10 1.0216e+10 0.07% - 0s
|
||||
H 0 0 1.021753e+10 1.0216e+10 0.02% - 0s
|
||||
H 0 0 1.021752e+10 1.0216e+10 0.02% - 0s
|
||||
0 0 1.0216e+10 0 3 1.0218e+10 1.0216e+10 0.02% - 0s
|
||||
0 0 1.0216e+10 0 1 1.0218e+10 1.0216e+10 0.02% - 0s
|
||||
H 0 0 1.021651e+10 1.0216e+10 0.01% - 0s
|
||||
|
||||
Explored 1 nodes (764 simplex iterations) in 0.03 seconds (0.02 work units)
|
||||
Thread count was 32 (of 32 available processors)
|
||||
|
||||
Solution count 7: 1.02165e+10 1.02175e+10 1.02228e+10 ... 1.07146e+10
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 1.021651058978e+10, best bound 1.021573363741e+10, gap 0.0076%
|
||||
|
||||
User-callback calls 204, time in user-callback 0.00 sec
|
||||
</pre></div></div>
|
||||
</div>
|
||||
<p>In the log above, the <code class="docutils literal notranslate"><span class="pre">MIP</span> <span class="pre">start</span></code> line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time, but the difference can be significant for larger problems.</p>
|
||||
</div>
|
||||
<div class="section" id="Accessing-the-solution">
|
||||
<h2><span class="section-number">3.6. </span>Accessing the solution<a class="headerlink" href="#Accessing-the-solution" title="Permalink to this headline">¶</a></h2>
|
||||
<p>In the example above, we used <code class="docutils literal notranslate"><span class="pre">LearningSolver.solve</span></code> together with data files to solve both the training and the test instances. The optimal solutions were saved to HDF5 files in the train/test folders, and could be retrieved by reading theses files, but that is not very convenient. In the following example, we show how to build and solve a JuMP model entirely in-memory, using our trained solver.</p>
|
||||
<div class="nbinput docutils container">
|
||||
<div class="prompt highlight-none notranslate"><div class="highlight"><pre><span></span>[10]:
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="input_area highlight-julia notranslate"><div class="highlight"><pre><span></span><span class="n">data</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">random_uc_data</span><span class="p">(</span><span class="n">samples</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span><span class="w"> </span><span class="n">n</span><span class="o">=</span><span class="mi">500</span><span class="p">)[</span><span class="mi">1</span><span class="p">]</span><span class="w"></span>
|
||||
<span class="n">model</span><span class="w"> </span><span class="o">=</span><span class="w"> </span><span class="n">build_uc_model</span><span class="p">(</span><span class="n">data</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="n">solver_ml</span><span class="o">.</span><span class="n">optimize</span><span class="p">(</span><span class="n">model</span><span class="p">)</span><span class="w"></span>
|
||||
<span class="nd">@show</span><span class="w"> </span><span class="n">objective_value</span><span class="p">(</span><span class="n">model</span><span class="o">.</span><span class="n">inner</span><span class="p">);</span><span class="w"></span>
|
||||
</pre></div>
|
||||
</div>
|
||||
</div>
|
||||
<div class="nboutput nblast docutils container">
|
||||
<div class="prompt empty docutils container">
|
||||
</div>
|
||||
<div class="output_area docutils container">
|
||||
<div class="highlight"><pre>
|
||||
Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)
|
||||
|
||||
CPU model: AMD Ryzen 9 7950X 16-Core Processor, instruction set [SSE2|AVX|AVX2|AVX512]
|
||||
Thread count: 16 physical cores, 32 logical processors, using up to 32 threads
|
||||
|
||||
Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros
|
||||
Model fingerprint: 0x974a7fba
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
Coefficient statistics:
|
||||
Matrix range [1e+00, 1e+06]
|
||||
Objective range [1e+00, 6e+07]
|
||||
Bounds range [0e+00, 0e+00]
|
||||
RHS range [2e+08, 2e+08]
|
||||
|
||||
User MIP start produced solution with objective 9.86729e+09 (0.00s)
|
||||
User MIP start produced solution with objective 9.86675e+09 (0.00s)
|
||||
User MIP start produced solution with objective 9.86654e+09 (0.01s)
|
||||
User MIP start produced solution with objective 9.8661e+09 (0.01s)
|
||||
Loaded user MIP start with objective 9.8661e+09
|
||||
|
||||
Presolve time: 0.00s
|
||||
Presolved: 1001 rows, 1000 columns, 2500 nonzeros
|
||||
Variable types: 500 continuous, 500 integer (500 binary)
|
||||
|
||||
Root relaxation: objective 9.865344e+09, 510 iterations, 0.00 seconds (0.00 work units)
|
||||
|
||||
Nodes | Current Node | Objective Bounds | Work
|
||||
Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time
|
||||
|
||||
0 0 9.8653e+09 0 1 9.8661e+09 9.8653e+09 0.01% - 0s
|
||||
|
||||
Explored 1 nodes (510 simplex iterations) in 0.02 seconds (0.01 work units)
|
||||
Thread count was 32 (of 32 available processors)
|
||||
|
||||
Solution count 4: 9.8661e+09 9.86654e+09 9.86675e+09 9.86729e+09
|
||||
|
||||
Optimal solution found (tolerance 1.00e-04)
|
||||
Best objective 9.866096485614e+09, best bound 9.865343669936e+09, gap 0.0076%
|
||||
|
||||
User-callback calls 182, time in user-callback 0.00 sec
|
||||
objective_value(model.inner) = 9.866096485613789e9
|
||||
</pre></div></div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
|
||||
</div>
|
||||
|
||||
|
||||
<div class='prev-next-bottom'>
|
||||
|
||||
<a class='left-prev' id="prev-link" href="../getting-started-gurobipy/" title="previous page"><span class="section-number">2. </span>Getting started (Gurobipy)</a>
|
||||
<a class='right-next' id="next-link" href="../../guide/problems/" title="next page"><span class="section-number">4. </span>Benchmark Problems</a>
|
||||
|
||||
</div>
|
||||
|
||||
</div>
|
||||
</div>
|
||||
<footer class="footer mt-5 mt-md-0">
|
||||
<div class="container">
|
||||
<p>
|
||||
|
||||
© Copyright 2020-2023, UChicago Argonne, LLC.<br/>
|
||||
</p>
|
||||
</div>
|
||||
</footer>
|
||||
</main>
|
||||
|
||||
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<script src="../../_static/js/index.1c5a1a01449ed65a7b51.js"></script>
|
||||
|
||||
|
||||
</body>
|
||||
</html>
|
||||
@@ -11,17 +11,17 @@
|
||||
"\n",
|
||||
"## Introduction\n",
|
||||
"\n",
|
||||
"**MIPLearn** is an open source framework that uses machine learning (ML) to accelerate the performance of both commercial and open source mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS, Cbc or SCIP). In this tutorial, we will:\n",
|
||||
"**MIPLearn** is an open source framework that uses machine learning (ML) to accelerate the performance of mixed-integer programming solvers (e.g. Gurobi, CPLEX, XPRESS). In this tutorial, we will:\n",
|
||||
"\n",
|
||||
"1. Install the Python/Pyomo version of MIPLearn\n",
|
||||
"2. Model a simple optimization problem using JuMP\n",
|
||||
"2. Model a simple optimization problem using Pyomo\n",
|
||||
"3. Generate training data and train the ML models\n",
|
||||
"4. Use the ML models together Gurobi to solve new instances\n",
|
||||
"\n",
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
"Note\n",
|
||||
" \n",
|
||||
"The Python/Pyomo version of MIPLearn is currently only compatible with with Gurobi, CPLEX and XPRESS. For broader solver compatibility, see the Julia/JuMP version of the package.\n",
|
||||
"The Python/Pyomo version of MIPLearn is currently only compatible with Pyomo persistent solvers (Gurobi, CPLEX and XPRESS). For broader solver compatibility, see the Julia/JuMP version of the package.\n",
|
||||
"</div>\n",
|
||||
"\n",
|
||||
"<div class=\"alert alert-warning\">\n",
|
||||
@@ -41,7 +41,7 @@
|
||||
"\n",
|
||||
"MIPLearn is available in two versions:\n",
|
||||
"\n",
|
||||
"- Python version, compatible with the Pyomo modeling language,\n",
|
||||
"- Python version, compatible with the Pyomo and Gurobipy modeling languages,\n",
|
||||
"- Julia version, compatible with the JuMP modeling language.\n",
|
||||
"\n",
|
||||
"In this tutorial, we will demonstrate how to use and install the Python/Pyomo version of the package. The first step is to install Python 3.8+ in your computer. See the [official Python website for more instructions](https://www.python.org/downloads/). After Python is installed, we proceed to install MIPLearn using `pip`:"
|
||||
@@ -51,10 +51,15 @@
|
||||
"cell_type": "code",
|
||||
"execution_count": 1,
|
||||
"id": "cd8a69c1",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T19:57:33.202580815Z",
|
||||
"start_time": "2023-06-06T19:57:33.198341886Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# !pip install MIPLearn==0.2.0.dev13"
|
||||
"# !pip install MIPLearn==0.3.0"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -62,26 +67,30 @@
|
||||
"id": "e8274543",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In addition to MIPLearn itself, we will also install Gurobi 9.5, a state-of-the-art commercial MILP solver. This step also install a demo license for Gurobi, which should able to solve the small optimization problems in this tutorial. A paid license is required for solving large-scale problems."
|
||||
"In addition to MIPLearn itself, we will also install Gurobi 10.0, a state-of-the-art commercial MILP solver. This step also install a demo license for Gurobi, which should able to solve the small optimization problems in this tutorial. A license is required for solving larger-scale problems."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 2,
|
||||
"id": "dcc8756c",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T19:57:35.756831801Z",
|
||||
"start_time": "2023-06-06T19:57:33.201767088Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Looking in indexes: https://pypi.gurobi.com\n",
|
||||
"Requirement already satisfied: gurobipy<9.6,>=9.5 in /opt/anaconda3/envs/miplearn/lib/python3.8/site-packages (9.5.1)\n"
|
||||
"Requirement already satisfied: gurobipy<10.1,>=10 in /home/axavier/Software/anaconda3/envs/miplearn/lib/python3.8/site-packages (10.0.1)\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"!pip install --upgrade -i https://pypi.gurobi.com 'gurobipy>=9.5,<9.6'"
|
||||
"!pip install 'gurobipy>=10,<10.1'"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -107,10 +116,16 @@
|
||||
"\n",
|
||||
"To illustrate how can MIPLearn be used, we will model and solve a small optimization problem related to power systems optimization. The problem we discuss below is a simplification of the **unit commitment problem,** a practical optimization problem solved daily by electric grid operators around the world. \n",
|
||||
"\n",
|
||||
"Suppose that you work at a utility company, and that it is your job to decide which electrical generators should be online at a certain hour of the day, as well as how much power should each generator produce. More specifically, assume that your company owns $n$ generators, denoted by $g_1, \\ldots, g_n$. Each generator can either be online or offline. An online generator $g_i$ can produce between $p^\\text{min}_i$ to $p^\\text{max}_i$ megawatts of power, and it costs your company $c^\\text{fix}_i + c^\\text{var}_i y_i$, where $y_i$ is the amount of power produced. An offline generator produces nothing and costs nothing. You also know that the total amount of power to be produced needs to be exactly equal to the total demand $d$ (in megawatts). To minimize the costs to your company, which generators should be online, and how much power should they produce?\n",
|
||||
"\n",
|
||||
"This simple problem can be modeled as a *mixed-integer linear optimization* problem as follows. For each generator $g_i$, let $x_i \\in \\{0,1\\}$ be a decision variable indicating whether $g_i$ is online, and let $y_i \\geq 0$ be a decision variable indicating how much power does $g_i$ produce. The problem is then given by:\n",
|
||||
"Suppose that a utility company needs to decide which electrical generators should be online at each hour of the day, as well as how much power should each generator produce. More specifically, assume that the company owns $n$ generators, denoted by $g_1, \\ldots, g_n$. Each generator can either be online or offline. An online generator $g_i$ can produce between $p^\\text{min}_i$ to $p^\\text{max}_i$ megawatts of power, and it costs the company $c^\\text{fix}_i + c^\\text{var}_i y_i$, where $y_i$ is the amount of power produced. An offline generator produces nothing and costs nothing. The total amount of power to be produced needs to be exactly equal to the total demand $d$ (in megawatts).\n",
|
||||
"\n",
|
||||
"This simple problem can be modeled as a *mixed-integer linear optimization* problem as follows. For each generator $g_i$, let $x_i \\in \\{0,1\\}$ be a decision variable indicating whether $g_i$ is online, and let $y_i \\geq 0$ be a decision variable indicating how much power does $g_i$ produce. The problem is then given by:"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "f12c3702",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"$$\n",
|
||||
"\\begin{align}\n",
|
||||
"\\text{minimize } \\quad & \\sum_{i=1}^n \\left( c^\\text{fix}_i x_i + c^\\text{var}_i y_i \\right) \\\\\n",
|
||||
@@ -120,16 +135,28 @@
|
||||
"& x_i \\in \\{0,1\\} & i=1,\\ldots,n \\\\\n",
|
||||
"& y_i \\geq 0 & i=1,\\ldots,n\n",
|
||||
"\\end{align}\n",
|
||||
"$$\n",
|
||||
"\n",
|
||||
"$$"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "be3989ed",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
" \n",
|
||||
"Note\n",
|
||||
" \n",
|
||||
"We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem. See benchmarks for more details.\n",
|
||||
" \n",
|
||||
"</div>\n",
|
||||
"\n",
|
||||
"Note\n",
|
||||
"\n",
|
||||
"We use a simplified version of the unit commitment problem in this tutorial just to make it easier to follow. MIPLearn can also handle realistic, large-scale versions of this problem.\n",
|
||||
"\n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a5fd33f6",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Next, let us convert this abstract mathematical formulation into a concrete optimization model, using Python and Pyomo. We start by defining a data class `UnitCommitmentData`, which holds all the input data."
|
||||
]
|
||||
},
|
||||
@@ -138,20 +165,27 @@
|
||||
"execution_count": 3,
|
||||
"id": "22a67170-10b4-43d3-8708-014d91141e73",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:00:03.278853343Z",
|
||||
"start_time": "2023-06-06T20:00:03.123324067Z"
|
||||
},
|
||||
"tags": []
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from dataclasses import dataclass\n",
|
||||
"from typing import List\n",
|
||||
"\n",
|
||||
"import numpy as np\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"@dataclass\n",
|
||||
"class UnitCommitmentData:\n",
|
||||
" demand: float\n",
|
||||
" pmin: np.ndarray\n",
|
||||
" pmax: np.ndarray\n",
|
||||
" cfix: np.ndarray\n",
|
||||
" cvar: np.ndarray"
|
||||
" pmin: List[float]\n",
|
||||
" pmax: List[float]\n",
|
||||
" cfix: List[float]\n",
|
||||
" cvar: List[float]"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -159,28 +193,38 @@
|
||||
"id": "29f55efa-0751-465a-9b0a-a821d46a3d40",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Next, we write a `build_uc_model` function, which converts the input data into a concrete Pyomo model."
|
||||
"Next, we write a `build_uc_model` function, which converts the input data into a concrete Pyomo model. The function accepts `UnitCommitmentData`, the data structure we previously defined, or the path to a compressed pickle file containing this data."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 4,
|
||||
"id": "2f67032f-0d74-4317-b45c-19da0ec859e9",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:00:45.890126754Z",
|
||||
"start_time": "2023-06-06T20:00:45.637044282Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import pyomo.environ as pe\n",
|
||||
"from typing import Union\n",
|
||||
"from miplearn.io import read_pkl_gz\n",
|
||||
"from miplearn.solvers.pyomo import PyomoModel\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"def build_uc_model(data: Union[str, UnitCommitmentData]) -> PyomoModel:\n",
|
||||
" if isinstance(data, str):\n",
|
||||
" data = read_pkl_gz(data)\n",
|
||||
"\n",
|
||||
"def build_uc_model(data: UnitCommitmentData) -> pe.ConcreteModel:\n",
|
||||
" model = pe.ConcreteModel()\n",
|
||||
" n = len(data.pmin)\n",
|
||||
" model.x = pe.Var(range(n), domain=pe.Binary)\n",
|
||||
" model.y = pe.Var(range(n), domain=pe.NonNegativeReals)\n",
|
||||
" model.obj = pe.Objective(\n",
|
||||
" expr=sum(\n",
|
||||
" data.cfix[i] * model.x[i] +\n",
|
||||
" data.cvar[i] * model.y[i]\n",
|
||||
" for i in range(n)\n",
|
||||
" data.cfix[i] * model.x[i] + data.cvar[i] * model.y[i] for i in range(n)\n",
|
||||
" )\n",
|
||||
" )\n",
|
||||
" model.eq_max_power = pe.ConstraintList()\n",
|
||||
@@ -191,7 +235,7 @@
|
||||
" model.eq_demand = pe.Constraint(\n",
|
||||
" expr=sum(model.y[i] for i in range(n)) == data.demand,\n",
|
||||
" )\n",
|
||||
" return model"
|
||||
" return PyomoModel(model, \"gurobi_persistent\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -206,15 +250,56 @@
|
||||
"cell_type": "code",
|
||||
"execution_count": 5,
|
||||
"id": "2a896f47",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:01:10.993801745Z",
|
||||
"start_time": "2023-06-06T20:01:10.887580927Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Set parameter Threads to value 1\n",
|
||||
"Set parameter Seed to value 42\n",
|
||||
"Restricted license - for non-production use only - expires 2023-10-25\n",
|
||||
"Restricted license - for non-production use only - expires 2024-10-28\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 7 rows, 6 columns and 15 nonzeros\n",
|
||||
"Model fingerprint: 0x15c7a953\n",
|
||||
"Variable types: 3 continuous, 3 integer (3 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 7e+01]\n",
|
||||
" Objective range [2e+00, 7e+02]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [1e+02, 1e+02]\n",
|
||||
"Presolve removed 2 rows and 1 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 5 rows, 5 columns, 13 nonzeros\n",
|
||||
"Variable types: 0 continuous, 5 integer (3 binary)\n",
|
||||
"Found heuristic solution: objective 1400.0000000\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 1.035000e+03, 3 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 1035.00000 0 1 1400.00000 1035.00000 26.1% - 0s\n",
|
||||
" 0 0 1105.71429 0 1 1400.00000 1105.71429 21.0% - 0s\n",
|
||||
"* 0 0 0 1320.0000000 1320.00000 0.00% - 0s\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (5 simplex iterations) in 0.01 seconds (0.00 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 2: 1320 1400 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 1.320000000000e+03, best bound 1.320000000000e+03, gap 0.0000%\n",
|
||||
"WARNING: Cannot get reduced costs for MIP.\n",
|
||||
"WARNING: Cannot get duals for MIP.\n",
|
||||
"obj = 1320.0\n",
|
||||
"x = [-0.0, 1.0, 1.0]\n",
|
||||
"y = [0.0, 60.0, 40.0]\n"
|
||||
@@ -224,20 +309,18 @@
|
||||
"source": [
|
||||
"model = build_uc_model(\n",
|
||||
" UnitCommitmentData(\n",
|
||||
" demand = 100.0,\n",
|
||||
" pmin = [10, 20, 30],\n",
|
||||
" pmax = [50, 60, 70],\n",
|
||||
" cfix = [700, 600, 500],\n",
|
||||
" cvar = [1.5, 2.0, 2.5],\n",
|
||||
" demand=100.0,\n",
|
||||
" pmin=[10, 20, 30],\n",
|
||||
" pmax=[50, 60, 70],\n",
|
||||
" cfix=[700, 600, 500],\n",
|
||||
" cvar=[1.5, 2.0, 2.5],\n",
|
||||
" )\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"solver = pe.SolverFactory(\"gurobi_persistent\")\n",
|
||||
"solver.set_instance(model)\n",
|
||||
"solver.solve()\n",
|
||||
"print(\"obj =\", model.obj())\n",
|
||||
"print(\"x =\", [model.x[i].value for i in range(3)])\n",
|
||||
"print(\"y =\", [model.y[i].value for i in range(3)])"
|
||||
"model.optimize()\n",
|
||||
"print(\"obj =\", model.inner.obj())\n",
|
||||
"print(\"x =\", [model.inner.x[i].value for i in range(3)])\n",
|
||||
"print(\"y =\", [model.inner.y[i].value for i in range(3)])"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -248,6 +331,20 @@
|
||||
"Running the code above, we found that the optimal solution for our small problem instance costs \\$1320. It is achieve by keeping generators 2 and 3 online and producing, respectively, 60 MW and 40 MW of power."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "01f576e1-1790-425e-9e5c-9fa07b6f4c26",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
" \n",
|
||||
"Notes\n",
|
||||
" \n",
|
||||
"- In the example above, `PyomoModel` is just a thin wrapper around a standard Pyomo model. This wrapper allows MIPLearn to be solver- and modeling-language-agnostic. The wrapper provides only a few basic methods, such as `optimize`. For more control, and to query the solution, the original Pyomo model can be accessed through `model.inner`, as illustrated above. \n",
|
||||
"- To use CPLEX or XPRESS, instead of Gurobi, replace `gurobi_persistent` by `cplex_persistent` or `xpress_persistent` in the `build_uc_model`. Note that only persistent Pyomo solvers are currently supported. Pull requests adding support for other types of solver are very welcome.\n",
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "cf60c1dd",
|
||||
@@ -255,7 +352,7 @@
|
||||
"source": [
|
||||
"## Generating training data\n",
|
||||
"\n",
|
||||
"Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a **trained** version of Gurobi, which can solve new instances (similar to the ones it was trained on) faster.\n",
|
||||
"Although Gurobi could solve the small example above in a fraction of a second, it gets slower for larger and more complex versions of the problem. If this is a problem that needs to be solved frequently, as it is often the case in practice, it could make sense to spend some time upfront generating a **trained** solver, which can optimize new instances (similar to the ones it was trained on) faster.\n",
|
||||
"\n",
|
||||
"In the following, we will use MIPLearn to train machine learning models that is able to predict the optimal solution for instances that follow a given probability distribution, then it will provide this predicted solution to Gurobi as a warm start. Before we can train the model, we need to collect training data by solving a large number of instances. In real-world situations, we may construct these training instances based on historical data. In this tutorial, we will construct them using a random instance generator:"
|
||||
]
|
||||
@@ -264,13 +361,19 @@
|
||||
"cell_type": "code",
|
||||
"execution_count": 6,
|
||||
"id": "5eb09fab",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:02:27.324208900Z",
|
||||
"start_time": "2023-06-06T20:02:26.990044230Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from scipy.stats import uniform\n",
|
||||
"from typing import List\n",
|
||||
"import random\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"def random_uc_data(samples: int, n: int, seed: int = 42) -> List[UnitCommitmentData]:\n",
|
||||
" random.seed(seed)\n",
|
||||
" np.random.seed(seed)\n",
|
||||
@@ -280,13 +383,13 @@
|
||||
" cvar = uniform(loc=1.25, scale=0.25).rvs(n)\n",
|
||||
" return [\n",
|
||||
" UnitCommitmentData(\n",
|
||||
" demand = pmax.sum() * uniform(loc=0.5, scale=0.25).rvs(),\n",
|
||||
" pmin = pmin,\n",
|
||||
" pmax = pmax,\n",
|
||||
" cfix = cfix,\n",
|
||||
" cvar = cvar,\n",
|
||||
" demand=pmax.sum() * uniform(loc=0.5, scale=0.25).rvs(),\n",
|
||||
" pmin=pmin,\n",
|
||||
" pmax=pmax,\n",
|
||||
" cfix=cfix,\n",
|
||||
" cvar=cvar,\n",
|
||||
" )\n",
|
||||
" for i in range(samples)\n",
|
||||
" for _ in range(samples)\n",
|
||||
" ]"
|
||||
]
|
||||
},
|
||||
@@ -297,20 +400,26 @@
|
||||
"source": [
|
||||
"In this example, for simplicity, only the demands change from one instance to the next. We could also have randomized the costs, production limits or even the number of units. The more randomization we have in the training data, however, the more challenging it is for the machine learning models to learn solution patterns.\n",
|
||||
"\n",
|
||||
"Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially even on multiple machines. We will cover parallel and distributed computing in a future tutorial. The code below generates the files `uc/train/00000.pkl.gz`, `uc/train/00001.pkl.gz`, etc., which contain the input data in compressed (gzipped) pickle format."
|
||||
"Now we generate 500 instances of this problem, each one with 50 generators, and we use 450 of these instances for training. After generating the instances, we write them to individual files. MIPLearn uses files during the training process because, for large-scale optimization problems, it is often impractical to hold in memory the entire training data, as well as the concrete Pyomo models. Files also make it much easier to solve multiple instances simultaneously, potentially on multiple machines. The code below generates the files `uc/train/00000.pkl.gz`, `uc/train/00001.pkl.gz`, etc., which contain the input data in compressed (gzipped) pickle format."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 7,
|
||||
"id": "6156752c",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:03:04.782830561Z",
|
||||
"start_time": "2023-06-06T20:03:04.530421396Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from miplearn import save\n",
|
||||
"data = random_uc_data(samples=500, n=50)\n",
|
||||
"train_files = save(data[0:450], \"uc/train/\")\n",
|
||||
"test_files = save(data[450:500], \"uc/test/\")"
|
||||
"from miplearn.io import write_pkl_gz\n",
|
||||
"\n",
|
||||
"data = random_uc_data(samples=500, n=500)\n",
|
||||
"train_data = write_pkl_gz(data[0:450], \"uc/train\")\n",
|
||||
"test_data = write_pkl_gz(data[450:500], \"uc/test\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -318,115 +427,180 @@
|
||||
"id": "b17af877",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Finally, we use `LearningSolver` to solve all the training instances. `LearningSolver` is the main component provided by MIPLearn, which integrates MIP solvers and ML. The optimal solutions, along with other useful training data, are stored in HDF5 files `uc/train/00000.h5`, `uc/train/00001.h5`, etc."
|
||||
"Finally, we use `BasicCollector` to collect the optimal solutions and other useful training data for all training instances. The data is stored in HDF5 files `uc/train/00000.h5`, `uc/train/00001.h5`, etc. The optimization models are also exported to compressed MPS files `uc/train/00000.mps.gz`, `uc/train/00001.mps.gz`, etc."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 12,
|
||||
"execution_count": 8,
|
||||
"id": "7623f002",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:03:35.571497019Z",
|
||||
"start_time": "2023-06-06T20:03:25.804104036Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from miplearn import LearningSolver\n",
|
||||
"solver = LearningSolver()\n",
|
||||
"solver.solve(train_files, build_uc_model);"
|
||||
"from miplearn.collectors.basic import BasicCollector\n",
|
||||
"\n",
|
||||
"bc = BasicCollector()\n",
|
||||
"bc.collect(train_data, build_uc_model, n_jobs=4)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "2f24ee83",
|
||||
"id": "c42b1be1-9723-4827-82d8-974afa51ef9f",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## Solving test instances\n",
|
||||
"## Training and solving test instances"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "a33c6aa4-f0b8-4ccb-9935-01f7d7de2a1c",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"With training data in hand, we can now design and train a machine learning model to accelerate solver performance. In this tutorial, for illustration purposes, we will use ML to generate a good warm start using $k$-nearest neighbors. More specifically, the strategy is to:\n",
|
||||
"\n",
|
||||
"With training data in hand, we can now fit the ML models, using the `LearningSolver.fit` method, then solve the test instances with `LearningSolver.solve`, as shown below. The `tee=True` parameter asks MIPLearn to print the solver log to the screen."
|
||||
"1. Memorize the optimal solutions of all training instances;\n",
|
||||
"2. Given a test instance, find the 25 most similar training instances, based on constraint right-hand sides;\n",
|
||||
"3. Merge their optimal solutions into a single partial solution; specifically, only assign values to the binary variables that agree unanimously.\n",
|
||||
"4. Provide this partial solution to the solver as a warm start.\n",
|
||||
"\n",
|
||||
"This simple strategy can be implemented as shown below, using `MemorizingPrimalComponent`. For more advanced strategies, and for the usage of more advanced classifiers, see the user guide."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 9,
|
||||
"id": "c8385030",
|
||||
"id": "435f7bf8-4b09-4889-b1ec-b7b56e7d8ed2",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:20.497772794Z",
|
||||
"start_time": "2023-06-06T20:05:20.484821405Z"
|
||||
}
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from sklearn.neighbors import KNeighborsClassifier\n",
|
||||
"from miplearn.components.primal.actions import SetWarmStart\n",
|
||||
"from miplearn.components.primal.mem import (\n",
|
||||
" MemorizingPrimalComponent,\n",
|
||||
" MergeTopSolutions,\n",
|
||||
")\n",
|
||||
"from miplearn.extractors.fields import H5FieldsExtractor\n",
|
||||
"\n",
|
||||
"comp = MemorizingPrimalComponent(\n",
|
||||
" clf=KNeighborsClassifier(n_neighbors=25),\n",
|
||||
" extractor=H5FieldsExtractor(\n",
|
||||
" instance_fields=[\"static_constr_rhs\"],\n",
|
||||
" ),\n",
|
||||
" constructor=MergeTopSolutions(25, [0.0, 1.0]),\n",
|
||||
" action=SetWarmStart(),\n",
|
||||
")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "9536e7e4-0b0d-49b0-bebd-4a848f839e94",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Having defined the ML strategy, we next construct `LearningSolver`, train the ML component and optimize one of the test instances."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 10,
|
||||
"id": "9d13dd50-3dcf-4673-a757-6f44dcc0dedf",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:22.672002339Z",
|
||||
"start_time": "2023-06-06T20:05:21.447466634Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Set parameter LogFile to value \"/tmp/tmpvbaqbyty.log\"\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 9.5.1 build v9.5.1rc2 (linux64)\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 1 threads\n",
|
||||
"Optimize a model with 101 rows, 100 columns and 250 nonzeros\n",
|
||||
"Model fingerprint: 0x8de73876\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x5e67c6ee\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [2e+07, 2e+07]\n",
|
||||
"Presolve removed 100 rows and 50 columns\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1 rows, 50 columns, 50 nonzeros\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 5.7349081e+08 1.044003e+04 0.000000e+00 0s\n",
|
||||
" 1 6.8268465e+08 0.000000e+00 0.000000e+00 0s\n",
|
||||
" 0 6.6166537e+09 5.648803e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2906219e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.00 seconds (0.00 work units)\n",
|
||||
"Optimal objective 6.826846503e+08\n",
|
||||
"Set parameter LogFile to value \"\"\n",
|
||||
"Set parameter LogFile to value \"/tmp/tmp48j6n35b.log\"\n",
|
||||
"Gurobi Optimizer version 9.5.1 build v9.5.1rc2 (linux64)\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 1 threads\n",
|
||||
"Optimize a model with 101 rows, 100 columns and 250 nonzeros\n",
|
||||
"Model fingerprint: 0x200d64ba\n",
|
||||
"Variable types: 50 continuous, 50 integer (50 binary)\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 8.290621916e+09\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0xa4a7961e\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [2e+07, 2e+07]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 6.84841e+08 (0.00s)\n",
|
||||
"Loaded user MIP start with objective 6.84841e+08\n",
|
||||
"User MIP start produced solution with objective 8.30129e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29184e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29146e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.29146e+09 (0.02s)\n",
|
||||
"Loaded user MIP start with objective 8.29146e+09\n",
|
||||
"\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 101 rows, 100 columns, 250 nonzeros\n",
|
||||
"Variable types: 50 continuous, 50 integer (50 binary)\n",
|
||||
"Presolve time: 0.01s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 6.826847e+08, 56 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"Root relaxation: objective 8.290622e+09, 512 iterations, 0.01 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 6.8268e+08 0 1 6.8484e+08 6.8268e+08 0.31% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 3 6.8484e+08 6.8315e+08 0.25% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 1 6.8484e+08 6.8315e+08 0.25% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 3 6.8484e+08 6.8315e+08 0.25% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 4 6.8484e+08 6.8315e+08 0.25% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 4 6.8484e+08 6.8315e+08 0.25% - 0s\n",
|
||||
" 0 2 6.8327e+08 0 4 6.8484e+08 6.8327e+08 0.23% - 0s\n",
|
||||
" 0 0 8.2906e+09 0 1 8.2915e+09 8.2906e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Flow cover: 3\n",
|
||||
" Cover: 1\n",
|
||||
" Flow cover: 2\n",
|
||||
"\n",
|
||||
"Explored 32 nodes (155 simplex iterations) in 0.02 seconds (0.00 work units)\n",
|
||||
"Thread count was 1 (of 32 available processors)\n",
|
||||
"Explored 1 nodes (512 simplex iterations) in 0.09 seconds (0.01 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 1: 6.84841e+08 \n",
|
||||
"Solution count 3: 8.29146e+09 8.29184e+09 8.30129e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 6.848411655488e+08, best bound 6.848411655488e+08, gap 0.0000%\n",
|
||||
"Set parameter LogFile to value \"\"\n",
|
||||
"Best objective 8.291459497797e+09, best bound 8.290645029670e+09, gap 0.0098%\n",
|
||||
"WARNING: Cannot get reduced costs for MIP.\n",
|
||||
"WARNING: Cannot get duals for MIP.\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"solver_ml = LearningSolver()\n",
|
||||
"solver_ml.fit(train_files, build_uc_model)\n",
|
||||
"solver_ml.solve(test_files[0:1], build_uc_model, tee=True);"
|
||||
"from miplearn.solvers.learning import LearningSolver\n",
|
||||
"\n",
|
||||
"solver_ml = LearningSolver(components=[comp])\n",
|
||||
"solver_ml.fit(train_data)\n",
|
||||
"solver_ml.optimize(test_data[0], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -434,100 +608,105 @@
|
||||
"id": "61da6dad-7f56-4edb-aa26-c00eb5f946c0",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"By examining the solve log above, specifically the line `Loaded user MIP start with objective...`, we can see that MIPLearn was able to construct an initial solution which turned out to be the optimal solution to the problem. Now let us repeat the code above, but using an untrained solver. Note that the `fit` line is omitted."
|
||||
"By examining the solve log above, specifically the line `Loaded user MIP start with objective...`, we can see that MIPLearn was able to construct an initial solution which turned out to be very close to the optimal solution to the problem. Now let us repeat the code above, but a solver which does not apply any ML strategies. Note that our previously-defined component is not provided."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 10,
|
||||
"id": "33d15d6c-6db4-477f-bd4b-fe8e84e5f023",
|
||||
"metadata": {},
|
||||
"execution_count": 11,
|
||||
"id": "2ff391ed-e855-4228-aa09-a7641d8c2893",
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:05:46.969575966Z",
|
||||
"start_time": "2023-06-06T20:05:46.420803286Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Set parameter LogFile to value \"/tmp/tmp3uhhdurw.log\"\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 9.5.1 build v9.5.1rc2 (linux64)\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 1 threads\n",
|
||||
"Optimize a model with 101 rows, 100 columns and 250 nonzeros\n",
|
||||
"Model fingerprint: 0x8de73876\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x5e67c6ee\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [2e+07, 2e+07]\n",
|
||||
"Presolve removed 100 rows and 50 columns\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 1 rows, 50 columns, 50 nonzeros\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.01s\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 5.7349081e+08 1.044003e+04 0.000000e+00 0s\n",
|
||||
" 1 6.8268465e+08 0.000000e+00 0.000000e+00 0s\n",
|
||||
" 0 6.6166537e+09 5.648803e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2906219e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 6.826846503e+08\n",
|
||||
"Set parameter LogFile to value \"\"\n",
|
||||
"Set parameter LogFile to value \"/tmp/tmp18aqg2ic.log\"\n",
|
||||
"Gurobi Optimizer version 9.5.1 build v9.5.1rc2 (linux64)\n",
|
||||
"Thread count: 16 physical cores, 32 logical processors, using up to 1 threads\n",
|
||||
"Optimize a model with 101 rows, 100 columns and 250 nonzeros\n",
|
||||
"Model fingerprint: 0xb90d1075\n",
|
||||
"Variable types: 50 continuous, 50 integer (50 binary)\n",
|
||||
"Optimal objective 8.290621916e+09\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x8a0f9587\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [2e+07, 2e+07]\n",
|
||||
"Found heuristic solution: objective 8.056576e+08\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve time: 0.00s\n",
|
||||
"Presolved: 101 rows, 100 columns, 250 nonzeros\n",
|
||||
"Variable types: 50 continuous, 50 integer (50 binary)\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Found heuristic solution: objective 9.757128e+09\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 6.826847e+08, 56 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"Root relaxation: objective 8.290622e+09, 512 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 6.8268e+08 0 1 8.0566e+08 6.8268e+08 15.3% - 0s\n",
|
||||
"H 0 0 7.099498e+08 6.8268e+08 3.84% - 0s\n",
|
||||
" 0 0 6.8315e+08 0 3 7.0995e+08 6.8315e+08 3.78% - 0s\n",
|
||||
"H 0 0 6.883227e+08 6.8315e+08 0.75% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8832e+08 6.8352e+08 0.70% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8832e+08 6.8352e+08 0.70% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 1 6.8832e+08 6.8352e+08 0.70% - 0s\n",
|
||||
"H 0 0 6.862582e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 1 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 3 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 0 6.8352e+08 0 4 6.8626e+08 6.8352e+08 0.40% - 0s\n",
|
||||
" 0 2 6.8354e+08 0 4 6.8626e+08 6.8354e+08 0.40% - 0s\n",
|
||||
"* 18 5 6 6.849018e+08 6.8413e+08 0.11% 3.1 0s\n",
|
||||
"H 24 1 6.848412e+08 6.8426e+08 0.09% 3.2 0s\n",
|
||||
" 0 0 8.2906e+09 0 1 9.7571e+09 8.2906e+09 15.0% - 0s\n",
|
||||
"H 0 0 8.298273e+09 8.2906e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 1 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 4 8.2983e+09 8.2907e+09 0.09% - 0s\n",
|
||||
"H 0 0 8.293980e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 5 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 1 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2907e+09 0 2 8.2940e+09 8.2907e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 1 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
" 0 0 8.2908e+09 0 4 8.2940e+09 8.2908e+09 0.04% - 0s\n",
|
||||
"H 0 0 8.291465e+09 8.2908e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Gomory: 1\n",
|
||||
" Flow cover: 2\n",
|
||||
" Gomory: 2\n",
|
||||
" MIR: 1\n",
|
||||
"\n",
|
||||
"Explored 30 nodes (217 simplex iterations) in 0.02 seconds (0.00 work units)\n",
|
||||
"Thread count was 1 (of 32 available processors)\n",
|
||||
"Explored 1 nodes (1025 simplex iterations) in 0.08 seconds (0.03 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 6: 6.84841e+08 6.84902e+08 6.86258e+08 ... 8.05658e+08\n",
|
||||
"Solution count 4: 8.29147e+09 8.29398e+09 8.29827e+09 9.75713e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 6.848411655488e+08, best bound 6.848411655488e+08, gap 0.0000%\n",
|
||||
"Set parameter LogFile to value \"\"\n",
|
||||
"Best objective 8.291465302389e+09, best bound 8.290781665333e+09, gap 0.0082%\n",
|
||||
"WARNING: Cannot get reduced costs for MIP.\n",
|
||||
"WARNING: Cannot get duals for MIP.\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"solver_baseline = LearningSolver()\n",
|
||||
"solver_baseline.solve(test_files[0:1], build_uc_model, tee=True);"
|
||||
"solver_baseline = LearningSolver(components=[])\n",
|
||||
"solver_baseline.fit(train_data)\n",
|
||||
"solver_baseline.optimize(test_data[0], build_uc_model);"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -535,19 +714,7 @@
|
||||
"id": "b6d37b88-9fcc-43ee-ac1e-2a7b1e51a266",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"In the log above, the `MIP start` line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time. For larger problems, however, the difference can be significant. See benchmarks for more details.\n",
|
||||
"\n",
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
"Note\n",
|
||||
" \n",
|
||||
"In addition to partial initial solutions, MIPLearn is also able to predict lazy constraints, cutting planes and branching priorities. See the next tutorials for more details.\n",
|
||||
"</div>\n",
|
||||
"\n",
|
||||
"<div class=\"alert alert-info\">\n",
|
||||
"Note\n",
|
||||
" \n",
|
||||
"It is not necessary to specify what ML models to use. MIPLearn, by default, will try a number of classical ML models and will choose the one that performs the best, based on k-fold cross validation. MIPLearn is also able to automatically collect features based on the MIP formulation of the problem and the solution to the LP relaxation, among other things, so it does not require handcrafted features. If you do want to customize the models and features, however, that is also possible, as we will see in a later tutorial.\n",
|
||||
"</div>"
|
||||
"In the log above, the `MIP start` line is missing, and Gurobi had to start with a significantly inferior initial solution. The solver was still able to find the optimal solution at the end, but it required using its own internal heuristic procedures. In this example, because we solve very small optimization problems, there was almost no difference in terms of running time, but the difference can be significant for larger problems."
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -564,32 +731,109 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 11,
|
||||
"execution_count": 12,
|
||||
"id": "67a6cd18",
|
||||
"metadata": {},
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2023-06-06T20:06:26.913448568Z",
|
||||
"start_time": "2023-06-06T20:06:26.169047914Z"
|
||||
}
|
||||
},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"obj = 903865807.3536932\n",
|
||||
" x = [1.0, 1.0, 1.0, 1.0, 1.0]\n",
|
||||
" y = [1105176.593734543, 1891284.5155055337, 1708177.4224033852, 1438329.610189608, 535496.3347187206]\n"
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x2dfe4e1c\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"Presolve removed 1000 rows and 500 columns\n",
|
||||
"Presolve time: 0.01s\n",
|
||||
"Presolved: 1 rows, 500 columns, 500 nonzeros\n",
|
||||
"\n",
|
||||
"Iteration Objective Primal Inf. Dual Inf. Time\n",
|
||||
" 0 6.5917580e+09 5.627453e+04 0.000000e+00 0s\n",
|
||||
" 1 8.2535968e+09 0.000000e+00 0.000000e+00 0s\n",
|
||||
"\n",
|
||||
"Solved in 1 iterations and 0.01 seconds (0.00 work units)\n",
|
||||
"Optimal objective 8.253596777e+09\n",
|
||||
"Set parameter QCPDual to value 1\n",
|
||||
"Gurobi Optimizer version 10.0.1 build v10.0.1rc0 (linux64)\n",
|
||||
"\n",
|
||||
"CPU model: Intel(R) Core(TM) i7-8750H CPU @ 2.20GHz, instruction set [SSE2|AVX|AVX2]\n",
|
||||
"Thread count: 6 physical cores, 12 logical processors, using up to 12 threads\n",
|
||||
"\n",
|
||||
"Optimize a model with 1001 rows, 1000 columns and 2500 nonzeros\n",
|
||||
"Model fingerprint: 0x20637200\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"Coefficient statistics:\n",
|
||||
" Matrix range [1e+00, 2e+06]\n",
|
||||
" Objective range [1e+00, 6e+07]\n",
|
||||
" Bounds range [1e+00, 1e+00]\n",
|
||||
" RHS range [3e+08, 3e+08]\n",
|
||||
"\n",
|
||||
"User MIP start produced solution with objective 8.25814e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.25512e+09 (0.01s)\n",
|
||||
"User MIP start produced solution with objective 8.25459e+09 (0.04s)\n",
|
||||
"User MIP start produced solution with objective 8.25459e+09 (0.04s)\n",
|
||||
"Loaded user MIP start with objective 8.25459e+09\n",
|
||||
"\n",
|
||||
"Presolve time: 0.01s\n",
|
||||
"Presolved: 1001 rows, 1000 columns, 2500 nonzeros\n",
|
||||
"Variable types: 500 continuous, 500 integer (500 binary)\n",
|
||||
"\n",
|
||||
"Root relaxation: objective 8.253597e+09, 512 iterations, 0.00 seconds (0.00 work units)\n",
|
||||
"\n",
|
||||
" Nodes | Current Node | Objective Bounds | Work\n",
|
||||
" Expl Unexpl | Obj Depth IntInf | Incumbent BestBd Gap | It/Node Time\n",
|
||||
"\n",
|
||||
" 0 0 8.2536e+09 0 1 8.2546e+09 8.2536e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 3 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 1 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2537e+09 0 4 8.2546e+09 8.2537e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 4 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 5 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
" 0 0 8.2538e+09 0 6 8.2546e+09 8.2538e+09 0.01% - 0s\n",
|
||||
"\n",
|
||||
"Cutting planes:\n",
|
||||
" Cover: 1\n",
|
||||
" MIR: 2\n",
|
||||
" StrongCG: 1\n",
|
||||
" Flow cover: 1\n",
|
||||
"\n",
|
||||
"Explored 1 nodes (575 simplex iterations) in 0.11 seconds (0.01 work units)\n",
|
||||
"Thread count was 12 (of 12 available processors)\n",
|
||||
"\n",
|
||||
"Solution count 3: 8.25459e+09 8.25512e+09 8.25814e+09 \n",
|
||||
"\n",
|
||||
"Optimal solution found (tolerance 1.00e-04)\n",
|
||||
"Best objective 8.254590409970e+09, best bound 8.253768093811e+09, gap 0.0100%\n",
|
||||
"WARNING: Cannot get reduced costs for MIP.\n",
|
||||
"WARNING: Cannot get duals for MIP.\n",
|
||||
"obj = 8254590409.96973\n",
|
||||
" x = [1.0, 1.0, 0.0, 1.0, 1.0]\n",
|
||||
" y = [935662.0949263407, 1604270.0218116897, 0.0, 1369560.835229226, 602828.5321028307]\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"# Construct model using previously defined functions\n",
|
||||
"data = random_uc_data(samples=1, n=50)[0]\n",
|
||||
"data = random_uc_data(samples=1, n=500)[0]\n",
|
||||
"model = build_uc_model(data)\n",
|
||||
"\n",
|
||||
"# Solve model using ML + Gurobi\n",
|
||||
"solver_ml.solve(model)\n",
|
||||
"\n",
|
||||
"# Print part of the optimal solution\n",
|
||||
"print(\"obj =\", model.obj())\n",
|
||||
"print(\" x =\", [model.x[i].value for i in range(5)])\n",
|
||||
"print(\" y =\", [model.y[i].value for i in range(5)])"
|
||||
"solver_ml.optimize(model)\n",
|
||||
"print(\"obj =\", model.inner.obj())\n",
|
||||
"print(\" x =\", [model.inner.x[i].value for i in range(5)])\n",
|
||||
"print(\" y =\", [model.inner.y[i].value for i in range(5)])"
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -603,7 +847,7 @@
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"display_name": "Python 3 (ipykernel)",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
|
||||
File diff suppressed because it is too large
Load Diff
Reference in New Issue
Block a user