# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization # Copyright (C) 2020-2021, 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, Optional, Hashable from overrides import overrides from miplearn.features import Constraint from miplearn.instance.base import Instance from miplearn.solvers import _RedirectOutput from miplearn.solvers.internal import ( InternalSolver, LPSolveStats, IterationCallback, LazyCallback, MIPSolveStats, ) from miplearn.solvers.pyomo.base import PyomoTestInstanceKnapsack from miplearn.types import ( SolverParams, UserCutCallback, Solution, VariableName, ) logger = logging.getLogger(__name__) class GurobiSolver(InternalSolver): """ An InternalSolver backed by Gurobi's Python API (without Pyomo). Parameters ---------- params: Optional[SolverParams] Parameters to pass to Gurobi. For example, `params={"MIPGap": 1e-3}` sets the gap tolerance to 1e-3. lazy_cb_frequency: int 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. """ def __init__( self, params: Optional[SolverParams] = None, lazy_cb_frequency: int = 1, ) -> None: import gurobipy assert lazy_cb_frequency in [1, 2] if params is None: params = {} params["InfUnbdInfo"] = True params["Seed"] = randint(0, 1_000_000) self.gp = gurobipy self.instance: Optional[Instance] = None self.model: Optional["gurobipy.Model"] = None self.params: SolverParams = params self.varname_to_var: Dict[str, "gurobipy.Var"] = {} self.bin_vars: List["gurobipy.Var"] = [] self.cb_where: Optional[int] = None self.lazy_cb_frequency = lazy_cb_frequency if self.lazy_cb_frequency == 1: self.lazy_cb_where = [self.gp.GRB.Callback.MIPSOL] else: self.lazy_cb_where = [ self.gp.GRB.Callback.MIPSOL, self.gp.GRB.Callback.MIPNODE, ] @overrides 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: assert self.model is not None self.varname_to_var.clear() self.bin_vars.clear() for var in self.model.getVars(): assert var.varName not in self.varname_to_var, ( f"Duplicated variable name detected: {var.varName}. " f"Unique variable names are currently required." ) self.varname_to_var[var.varName] = var assert var.vtype in ["B", "C"], ( "Only binary and continuous variables are currently supported. " "Variable {var.varName} has type {var.vtype}." ) if var.vtype == "B": self.bin_vars.append(var) def _apply_params(self, streams: List[Any]) -> None: assert self.model is not None with _RedirectOutput(streams): for (name, value) in self.params.items(): self.model.setParam(name, value) @overrides 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) assert self.model is not None for var in self.bin_vars: var.vtype = self.gp.GRB.CONTINUOUS var.lb = 0.0 var.ub = 1.0 with _RedirectOutput(streams): self.model.optimize() for var in self.bin_vars: var.vtype = self.gp.GRB.BINARY log = streams[0].getvalue() opt_value = None if not self.is_infeasible(): opt_value = self.model.objVal return { "LP value": opt_value, "LP log": log, } @overrides def solve( self, tee: bool = False, iteration_cb: Optional[IterationCallback] = None, lazy_cb: Optional[LazyCallback] = None, user_cut_cb: Optional[UserCutCallback] = None, ) -> MIPSolveStats: self._raise_if_callback() assert self.model is not None if iteration_cb is None: iteration_cb = lambda: False # Create callback wrapper def cb_wrapper(cb_model: Any, cb_where: int) -> None: try: self.cb_where = cb_where if lazy_cb is not None and cb_where in self.lazy_cb_where: lazy_cb(self, self.model) if user_cut_cb is not None and cb_where == self.gp.GRB.Callback.MIPNODE: user_cut_cb(self, self.model) except: logger.exception("callback error") finally: self.cb_where = None # Configure Gurobi if lazy_cb is not None: self.params["LazyConstraints"] = 1 if user_cut_cb is not None: self.params["PreCrush"] = 1 # Solve problem total_wallclock_time = 0 total_nodes = 0 streams: List[Any] = [StringIO()] if tee: streams += [sys.stdout] self._apply_params(streams) while True: with _RedirectOutput(streams): 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 # Fetch results and stats 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, "MIP log": log, "Warm start value": ws_value, } return stats @overrides def get_solution(self) -> Optional[Solution]: self._raise_if_callback() assert self.model is not None if self.model.solCount == 0: return None return {v.varName: v.x for v in self.model.getVars()} @overrides def get_variable_names(self) -> List[VariableName]: self._raise_if_callback() assert self.model is not None return [v.varName for v in self.model.getVars()] @overrides def set_warm_start(self, solution: Solution) -> None: self._raise_if_callback() self._clear_warm_start() for (var_name, value) in solution.items(): var = self.varname_to_var[var_name] if value is not None: var.start = value @overrides def get_sense(self) -> str: assert self.model is not None if self.model.modelSense == 1: return "min" else: return "max" @overrides def is_infeasible(self) -> bool: assert self.model is not None return self.model.status in [self.gp.GRB.INFEASIBLE, self.gp.GRB.INF_OR_UNBD] @overrides def get_dual(self, cid: str) -> float: assert self.model is not None c = self.model.getConstrByName(cid) if self.is_infeasible(): return c.farkasDual else: return c.pi def _get_value(self, var: Any) -> Optional[float]: assert self.model is not None if self.cb_where == self.gp.GRB.Callback.MIPSOL: return self.model.cbGetSolution(var) elif self.cb_where == self.gp.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 ) @overrides def add_constraint( self, constraint: Any, name: str = "", ) -> None: assert self.model is not None if type(constraint) is tuple: lhs, sense, rhs, name = constraint if self.cb_where in [ self.gp.GRB.Callback.MIPSOL, self.gp.GRB.Callback.MIPNODE, ]: self.model.cbLazy(lhs, sense, rhs) else: self.model.addConstr(lhs, sense, rhs, name) else: if self.cb_where in [ self.gp.GRB.Callback.MIPSOL, self.gp.GRB.Callback.MIPNODE, ]: self.model.cbLazy(constraint) else: self.model.addConstr(constraint, name=name) @overrides def add_cut(self, cobj: Any) -> None: assert self.model is not None assert self.cb_where == self.gp.GRB.Callback.MIPNODE self.model.cbCut(cobj) def _clear_warm_start(self) -> None: for var in self.varname_to_var.values(): var.start = self.gp.GRB.UNDEFINED @overrides def fix(self, solution: Solution) -> None: self._raise_if_callback() for (varname, value) in solution.items(): if value is None: continue var = self.varname_to_var[varname] var.vtype = self.gp.GRB.CONTINUOUS var.lb = value var.ub = value @overrides def extract_constraint(self, cid: str) -> Any: self._raise_if_callback() assert self.model is not None constr = self.model.getConstrByName(cid) cobj = (self.model.getRow(constr), constr.sense, constr.RHS, constr.ConstrName) self.model.remove(constr) return cobj @overrides def is_constraint_satisfied( self, cobj: Any, tol: float = 1e-6, ) -> bool: 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) @overrides def get_inequality_slacks(self) -> Dict[str, float]: assert self.model is not None ineqs = [c for c in self.model.getConstrs() if c.sense != "="] return {c.ConstrName: c.Slack for c in ineqs} @overrides def relax(self) -> None: assert self.model is not None self.model.update() 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) -> Dict: return { "params": self.params, "lazy_cb_where": self.lazy_cb_where, } def __setstate__(self, state: Dict) -> None: self.params = state["params"] self.lazy_cb_where = state["lazy_cb_where"] self.instance = None self.model = None self.cb_where = None @overrides def clone(self) -> "GurobiSolver": return GurobiSolver( params=self.params, lazy_cb_frequency=self.lazy_cb_frequency, ) @overrides def build_test_instance_infeasible(self) -> Instance: return GurobiTestInstanceInfeasible() @overrides def build_test_instance_redundancy(self) -> Instance: return GurobiTestInstanceRedundancy() @overrides def build_test_instance_knapsack(self) -> Instance: return GurobiTestInstanceKnapsack( weights=[23.0, 26.0, 20.0, 18.0], prices=[505.0, 352.0, 458.0, 220.0], capacity=67.0, ) @overrides def get_constraints(self) -> Dict[str, Constraint]: assert self.model is not None self._raise_if_callback() self.model.update() constraints: Dict[str, Constraint] = {} for c in self.model.getConstrs(): expr = self.model.getRow(c) lhs: Dict[str, float] = {} for i in range(expr.size()): lhs[expr.getVar(i).varName] = expr.getCoeff(i) assert c.constrName not in constraints constraints[c.constrName] = Constraint( rhs=c.rhs, lhs=lhs, sense=c.sense, ) return constraints class GurobiTestInstanceInfeasible(Instance): @overrides def to_model(self) -> Any: import gurobipy as gp from gurobipy import GRB model = gp.Model() x = model.addVars(1, vtype=GRB.BINARY, name="x") model.addConstr(x[0] >= 2) model.setObjective(x[0]) return model class GurobiTestInstanceRedundancy(Instance): def to_model(self) -> Any: import gurobipy as gp from gurobipy import GRB model = gp.Model() x = model.addVars(2, vtype=GRB.BINARY, name="x") model.addConstr(x[0] + x[1] <= 1) model.addConstr(x[0] + x[1] <= 2) model.setObjective(x[0] + x[1], GRB.MAXIMIZE) return model class GurobiTestInstanceKnapsack(PyomoTestInstanceKnapsack): """ Simpler (one-dimensional) knapsack instance, implemented directly in Gurobi instead of Pyomo, used for testing. """ def __init__( self, weights: List[float], prices: List[float], capacity: float, ) -> None: super().__init__(weights, prices, capacity) @overrides def to_model(self) -> Any: import gurobipy as gp from gurobipy import GRB model = gp.Model("Knapsack") n = len(self.weights) x = model.addVars(n, vtype=GRB.BINARY, name="x") model.addConstr( gp.quicksum(x[i] * self.weights[i] for i in range(n)) <= self.capacity, "eq_capacity", ) model.setObjective( gp.quicksum(x[i] * self.prices[i] for i in range(n)), GRB.MAXIMIZE ) return model @overrides def build_lazy_constraint(self, model: Any, violation: Hashable) -> Any: x = model.getVarByName("x[0]") return x <= 0.0