# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization # Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved. # Released under the modified BSD license. See COPYING.md for more details. import logging import re import sys from io import StringIO from random import randint from typing import List, Any, Dict, Union, Tuple, Optional from miplearn.instance import Instance from miplearn.solvers import RedirectOutput from miplearn.solvers.internal import ( InternalSolver, LPSolveStats, IterationCallback, LazyCallback, MIPSolveStats, ) from miplearn.types import VarIndex logger = logging.getLogger(__name__) class GurobiSolver(InternalSolver): def __init__( self, params=None, lazy_cb_frequency=1, ): """ An InternalSolver backed by Gurobi's Python API (without Pyomo). Parameters ---------- params Parameters to pass to Gurobi. For example, params={"MIPGap": 1e-3} sets the gap tolerance to 1e-3. lazy_cb_frequency If 1, calls lazy constraint callbacks whenever an integer solution is found. If 2, calls it also at every node, after solving the LP relaxation of that node. """ if params is None: params = {} params["InfUnbdInfo"] = True import gurobipy self.gp = gurobipy self.GRB = gurobipy.GRB self.instance = None self.model = None self.params = params self._all_vars: Dict = {} self._bin_vars = None self.cb_where = None assert lazy_cb_frequency in [1, 2] if lazy_cb_frequency == 1: self.lazy_cb_where = [self.GRB.Callback.MIPSOL] else: self.lazy_cb_where = [self.GRB.Callback.MIPSOL, self.GRB.Callback.MIPNODE] def set_instance( self, instance: Instance, model: Any = None, ) -> None: self._raise_if_callback() if model is None: model = instance.to_model() assert isinstance(model, self.gp.Model) self.instance = instance self.model = model self.model.update() self._update_vars() def _raise_if_callback(self) -> None: if self.cb_where is not None: raise Exception("method cannot be called from a callback") def _update_vars(self) -> None: self._all_vars = {} self._bin_vars = {} idx: Union[Tuple, List[int], int] for var in self.model.getVars(): m = re.search(r"([^[]*)\[(.*)]", var.varName) if m is None: name = var.varName idx = [0] else: name = m.group(1) idx = tuple( int(k) if k.isdecimal() else k for k in m.group(2).split(",") ) if len(idx) == 1: idx = idx[0] if name not in self._all_vars: self._all_vars[name] = {} self._all_vars[name][idx] = var if var.vtype != "C": if name not in self._bin_vars: self._bin_vars[name] = {} self._bin_vars[name][idx] = var def _apply_params(self, streams: List[Any]) -> None: with RedirectOutput(streams): for (name, value) in self.params.items(): self.model.setParam(name, value) if "seed" not in [k.lower() for k in self.params.keys()]: self.model.setParam("Seed", randint(0, 1_000_000)) def solve_lp( self, tee: bool = False, ) -> LPSolveStats: self._raise_if_callback() streams: List[Any] = [StringIO()] if tee: streams += [sys.stdout] self._apply_params(streams) for (varname, vardict) in self._bin_vars.items(): for (idx, var) in vardict.items(): var.vtype = self.GRB.CONTINUOUS var.lb = 0.0 var.ub = 1.0 with RedirectOutput(streams): self.model.optimize() for (varname, vardict) in self._bin_vars.items(): for (idx, var) in vardict.items(): var.vtype = self.GRB.BINARY log = streams[0].getvalue() opt_value = None if not self.is_infeasible(): opt_value = self.model.objVal return { "Optimal value": opt_value, "Log": log, } def solve( self, tee: bool = False, iteration_cb: IterationCallback = None, lazy_cb: LazyCallback = None, ) -> MIPSolveStats: self._raise_if_callback() def cb_wrapper(cb_model, cb_where): try: self.cb_where = cb_where if cb_where in self.lazy_cb_where: lazy_cb(self, self.model) except: logger.exception("callback error") finally: self.cb_where = None if lazy_cb: self.params["LazyConstraints"] = 1 total_wallclock_time = 0 total_nodes = 0 streams: List[Any] = [StringIO()] if tee: streams += [sys.stdout] self._apply_params(streams) if iteration_cb is None: iteration_cb = lambda: False while True: with RedirectOutput(streams): if lazy_cb is None: self.model.optimize() else: self.model.optimize(cb_wrapper) total_wallclock_time += self.model.runtime total_nodes += int(self.model.nodeCount) should_repeat = iteration_cb() if not should_repeat: break log = streams[0].getvalue() ub, lb = None, None sense = "min" if self.model.modelSense == 1 else "max" if self.model.solCount > 0: if self.model.modelSense == 1: lb = self.model.objBound ub = self.model.objVal else: lb = self.model.objVal ub = self.model.objBound ws_value = self._extract_warm_start_value(log) stats: MIPSolveStats = { "Lower bound": lb, "Upper bound": ub, "Wallclock time": total_wallclock_time, "Nodes": total_nodes, "Sense": sense, "Log": log, "Warm start value": ws_value, "LP value": None, } return stats def get_solution(self) -> Optional[Dict]: self._raise_if_callback() if self.model.solCount == 0: return None solution: Dict = {} for (varname, vardict) in self._all_vars.items(): solution[varname] = {} for (idx, var) in vardict.items(): solution[varname][idx] = var.x return solution def set_warm_start(self, solution: Dict) -> None: self._raise_if_callback() self._clear_warm_start() count_fixed, count_total = 0, 0 for (varname, vardict) in solution.items(): for (idx, value) in vardict.items(): count_total += 1 if value is not None: count_fixed += 1 self._all_vars[varname][idx].start = value logger.info( "Setting start values for %d variables (out of %d)" % (count_fixed, count_total) ) def get_sense(self): if self.model.modelSense == 1: return "min" else: return "max" def get_value(self, var_name: str, index: VarIndex) -> Optional[float]: var = self._all_vars[var_name][index] return self._get_value(var) def is_infeasible(self) -> bool: return self.model.status in [self.GRB.INFEASIBLE, self.GRB.INF_OR_UNBD] def get_dual(self, cid): c = self.model.getConstrByName(cid) if self.is_infeasible(): return c.farkasDual else: return c.pi def _get_value(self, var: Any) -> Optional[float]: if self.cb_where == self.GRB.Callback.MIPSOL: return self.model.cbGetSolution(var) elif self.cb_where == self.GRB.Callback.MIPNODE: return self.model.cbGetNodeRel(var) elif self.cb_where is None: if self.is_infeasible(): return None else: return var.x else: raise Exception( "get_value cannot be called from cb_where=%s" % self.cb_where ) def get_empty_solution(self) -> Dict: self._raise_if_callback() solution: Dict = {} for (varname, vardict) in self._all_vars.items(): solution[varname] = {} for (idx, var) in vardict.items(): solution[varname][idx] = None return solution def add_constraint(self, constraint, name=""): if type(constraint) is tuple: lhs, sense, rhs, name = constraint if self.cb_where in [self.GRB.Callback.MIPSOL, self.GRB.Callback.MIPNODE]: self.model.cbLazy(lhs, sense, rhs) else: self.model.addConstr(lhs, sense, rhs, name) else: if self.cb_where in [self.GRB.Callback.MIPSOL, self.GRB.Callback.MIPNODE]: self.model.cbLazy(constraint) else: self.model.addConstr(constraint, name=name) def _clear_warm_start(self) -> None: for (varname, vardict) in self._all_vars.items(): for (idx, var) in vardict.items(): var.start = self.GRB.UNDEFINED def fix(self, solution): self._raise_if_callback() for (varname, vardict) in solution.items(): for (idx, value) in vardict.items(): if value is None: continue var = self._all_vars[varname][idx] var.vtype = self.GRB.CONTINUOUS var.lb = value var.ub = value def get_constraint_ids(self): self._raise_if_callback() self.model.update() return [c.ConstrName for c in self.model.getConstrs()] def extract_constraint(self, cid): self._raise_if_callback() constr = self.model.getConstrByName(cid) cobj = (self.model.getRow(constr), constr.sense, constr.RHS, constr.ConstrName) self.model.remove(constr) return cobj def is_constraint_satisfied(self, cobj, tol=1e-5): lhs, sense, rhs, name = cobj if self.cb_where is not None: lhs_value = lhs.getConstant() for i in range(lhs.size()): var = lhs.getVar(i) coeff = lhs.getCoeff(i) lhs_value += self._get_value(var) * coeff else: lhs_value = lhs.getValue() if sense == "<": return lhs_value <= rhs + tol elif sense == ">": return lhs_value >= rhs - tol elif sense == "=": return abs(rhs - lhs_value) < abs(tol) else: raise Exception("Unknown sense: %s" % sense) def get_inequality_slacks(self) -> Dict[str, float]: ineqs = [c for c in self.model.getConstrs() if c.sense != "="] return {c.ConstrName: c.Slack for c in ineqs} def set_constraint_sense(self, cid, sense): c = self.model.getConstrByName(cid) c.Sense = sense def get_constraint_sense(self, cid): c = self.model.getConstrByName(cid) return c.Sense def set_constraint_rhs(self, cid, rhs): c = self.model.getConstrByName(cid) c.RHS = rhs def relax(self) -> None: self.model = self.model.relax() self._update_vars() def _extract_warm_start_value(self, log: str) -> Optional[float]: ws = self.__extract(log, "MIP start with objective ([0-9.e+-]*)") if ws is None: return None return float(ws) @staticmethod def __extract( log: str, regexp: str, default: Optional[str] = None, ) -> Optional[str]: value = default for line in log.splitlines(): matches = re.findall(regexp, line) if len(matches) == 0: continue value = matches[0] return value def __getstate__(self): return { "params": self.params, "lazy_cb_where": self.lazy_cb_where, } def __setstate__(self, state): from gurobipy import GRB self.params = state["params"] self.lazy_cb_where = state["lazy_cb_where"] self.GRB = GRB self.instance = None self.model = None self._all_vars = None self._bin_vars = None self.cb_where = None