# 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 from copy import deepcopy from tqdm import tqdm from miplearn import Component from miplearn.classifiers.counting import CountingClassifier from miplearn.components import classifier_evaluation_dict from miplearn.components.lazy_static import LazyConstraint from miplearn.extractors import InstanceIterator logger = logging.getLogger(__name__) class DropRedundantInequalitiesStep(Component): """ Component that predicts which inequalities are likely loose in the LP and removes them. Optionally, double checks after the problem is solved that all dropped inequalities were in fact redundant, and, if not, re-adds them to the problem. This component does not work on MIPs. All integrality constraints must be relaxed before this component is used. """ def __init__( self, classifier=CountingClassifier(), threshold=0.95, slack_tolerance=1e-5, check_dropped=False, violation_tolerance=1e-5, max_iterations=3, ): self.classifiers = {} self.classifier_prototype = classifier self.threshold = threshold self.slack_tolerance = slack_tolerance self.pool = [] self.check_dropped = check_dropped self.violation_tolerance = violation_tolerance self.max_iterations = max_iterations self.current_iteration = 0 def before_solve(self, solver, instance, _): self.current_iteration = 0 logger.info("Predicting redundant LP constraints...") cids = solver.internal_solver.get_constraint_ids() x, constraints = self.x( [instance], constraint_ids=cids, return_constraints=True, ) y = self.predict(x) for category in y.keys(): for i in range(len(y[category])): if y[category][i][0] == 1: cid = constraints[category][i] c = LazyConstraint( cid=cid, obj=solver.internal_solver.extract_constraint(cid), ) self.pool += [c] logger.info("Extracted %d predicted constraints" % len(self.pool)) def after_solve(self, solver, instance, model, results): instance.slacks = solver.internal_solver.get_inequality_slacks() def fit(self, training_instances): logger.debug("Extracting x and y...") x = self.x(training_instances) y = self.y(training_instances) logger.debug("Fitting...") for category in tqdm(x.keys(), desc="Fit (rlx:drop_ineq)"): if category not in self.classifiers: self.classifiers[category] = deepcopy(self.classifier_prototype) self.classifiers[category].fit(x[category], y[category]) def x(self, instances, constraint_ids=None, return_constraints=False): x = {} constraints = {} for instance in tqdm( InstanceIterator(instances), desc="Extract (rlx:drop_ineq:x)", disable=len(instances) < 5, ): if constraint_ids is not None: cids = constraint_ids else: cids = instance.slacks.keys() for cid in cids: category = instance.get_constraint_category(cid) if category is None: continue if category not in x: x[category] = [] constraints[category] = [] x[category] += [instance.get_constraint_features(cid)] constraints[category] += [cid] if return_constraints: return x, constraints else: return x def y(self, instances): y = {} for instance in tqdm( InstanceIterator(instances), desc="Extract (rlx:drop_ineq:y)", disable=len(instances) < 5, ): for (cid, slack) in instance.slacks.items(): category = instance.get_constraint_category(cid) if category is None: continue if category not in y: y[category] = [] if slack > self.slack_tolerance: y[category] += [[1]] else: y[category] += [[0]] return y def predict(self, x): y = {} for (category, x_cat) in x.items(): if category not in self.classifiers: continue y[category] = [] # x_cat = np.array(x_cat) proba = self.classifiers[category].predict_proba(x_cat) for i in range(len(proba)): if proba[i][1] >= self.threshold: y[category] += [[1]] else: y[category] += [[0]] return y def evaluate(self, instance): x = self.x([instance]) y_true = self.y([instance]) y_pred = self.predict(x) tp, tn, fp, fn = 0, 0, 0, 0 for category in y_true.keys(): for i in range(len(y_true[category])): if y_pred[category][i][0] == 1: if y_true[category][i][0] == 1: tp += 1 else: fp += 1 else: if y_true[category][i][0] == 1: fn += 1 else: tn += 1 return classifier_evaluation_dict(tp, tn, fp, fn) def iteration_cb(self, solver, instance, model): if not self.check_dropped: return False if self.current_iteration >= self.max_iterations: return False self.current_iteration += 1 logger.debug("Checking that dropped constraints are satisfied...") constraints_to_add = [] for c in self.pool: if not solver.internal_solver.is_constraint_satisfied( c.obj, self.violation_tolerance, ): constraints_to_add.append(c) for c in constraints_to_add: self.pool.remove(c) solver.internal_solver.add_constraint(c.obj) if len(constraints_to_add) > 0: logger.info( "%8d constraints %8d in the pool" % (len(constraints_to_add), len(self.pool)) ) return True else: return False