MIPLearn/miplearn/extractors/AlvLouWeh2017.py

#  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
#  Copyright (C) 2020-2022, UChicago Argonne, LLC. All rights reserved.
#  Released under the modified BSD license. See COPYING.md for more details.

from typing import Tuple, Optional

import numpy as np

from miplearn.extractors.abstract import FeaturesExtractor
from miplearn.h5 import H5File


class AlvLouWeh2017Extractor(FeaturesExtractor):
    def __init__(
        self,
        with_m1: bool = True,
        with_m2: bool = True,
        with_m3: bool = True,
    ):
        self.with_m1 = with_m1
        self.with_m2 = with_m2
        self.with_m3 = with_m3

    def get_instance_features(self, h5: H5File) -> np.ndarray:
        raise NotImplemented()

    def get_var_features(self, h5: H5File) -> np.ndarray:
        """
        Computes static variable features described in:
            Alvarez, A. M., Louveaux, Q., & Wehenkel, L. (2017). A machine learning-based
            approximation of strong branching. INFORMS Journal on Computing, 29(1),
            185-195.
        """
        A = h5.get_sparse("static_constr_lhs")
        b = h5.get_array("static_constr_rhs")
        c = h5.get_array("static_var_obj_coeffs")
        c_sa_up = h5.get_array("lp_var_sa_obj_up")
        c_sa_down = h5.get_array("lp_var_sa_obj_down")
        values = h5.get_array("lp_var_values")

        assert A is not None
        assert b is not None
        assert c is not None

        nvars = len(c)
        curr = 0
        max_n_features = 40
        features = np.zeros((nvars, max_n_features))

        def push(v: np.ndarray) -> None:
            nonlocal curr
            assert v.shape == (nvars,), f"{v.shape} != ({nvars},)"
            features[:, curr] = v
            curr += 1

        def push_sign_abs(v: np.ndarray) -> None:
            assert v.shape == (nvars,), f"{v.shape} != ({nvars},)"
            push(np.sign(v))
            push(np.abs(v))

        def maxmin(M: np.ndarray) -> Tuple[np.ndarray, np.ndarray]:
            M_max = np.ravel(M.max(axis=0).todense())
            M_min = np.ravel(M.min(axis=0).todense())
            return M_max, M_min

        with np.errstate(divide="ignore", invalid="ignore"):
            # Feature 1
            push(np.sign(c))

            # Feature 2
            c_pos_sum = c[c > 0].sum()
            push(np.abs(c) / c_pos_sum)

            # Feature 3
            c_neg_sum = -c[c < 0].sum()
            push(np.abs(c) / c_neg_sum)

            if A is not None and self.with_m1:
                # Compute A_ji / |b_j|
                M1 = A.T.multiply(1.0 / np.abs(b)).T.tocsr()

                # Select rows with positive b_j and compute max/min
                M1_pos = M1[b > 0, :]
                if M1_pos.shape[0] > 0:
                    M1_pos_max = np.asarray(M1_pos.max(axis=0).todense()).flatten()
                    M1_pos_min = np.asarray(M1_pos.min(axis=0).todense()).flatten()
                else:
                    M1_pos_max = np.zeros(nvars)
                    M1_pos_min = np.zeros(nvars)

                # Select rows with negative b_j and compute max/min
                M1_neg = M1[b < 0, :]
                if M1_neg.shape[0] > 0:
                    M1_neg_max = np.asarray(M1_neg.max(axis=0).todense()).flatten()
                    M1_neg_min = np.asarray(M1_neg.min(axis=0).todense()).flatten()
                else:
                    M1_neg_max = np.zeros(nvars)
                    M1_neg_min = np.zeros(nvars)

                # Features 4-11
                push_sign_abs(M1_pos_min)
                push_sign_abs(M1_pos_max)
                push_sign_abs(M1_neg_min)
                push_sign_abs(M1_neg_max)

            if A is not None and self.with_m2:
                # Compute |c_i| / A_ij
                M2 = A.power(-1).multiply(np.abs(c)).tocsc()

                # Compute max/min
                M2_max, M2_min = maxmin(M2)

                # Make copies of M2 and erase elements based on sign(c)
                M2_pos_max = M2_max.copy()
                M2_neg_max = M2_max.copy()
                M2_pos_min = M2_min.copy()
                M2_neg_min = M2_min.copy()
                M2_pos_max[c <= 0] = 0
                M2_pos_min[c <= 0] = 0
                M2_neg_max[c >= 0] = 0
                M2_neg_min[c >= 0] = 0

                # Features 12-19
                push_sign_abs(M2_pos_min)
                push_sign_abs(M2_pos_max)
                push_sign_abs(M2_neg_min)
                push_sign_abs(M2_neg_max)

            if A is not None and self.with_m3:
                # Compute row sums
                S_pos = A.maximum(0).sum(axis=1)
                S_neg = np.abs(A.minimum(0).sum(axis=1))

                # Divide A by positive and negative row sums
                M3_pos = A.multiply(1 / S_pos).tocsr()
                M3_neg = A.multiply(1 / S_neg).tocsr()

                # Remove +inf and -inf generated by division by zero
                M3_pos.data[~np.isfinite(M3_pos.data)] = 0.0
                M3_neg.data[~np.isfinite(M3_neg.data)] = 0.0
                M3_pos.eliminate_zeros()
                M3_neg.eliminate_zeros()

                # Split each matrix into positive and negative parts
                M3_pos_pos = M3_pos.maximum(0)
                M3_pos_neg = -(M3_pos.minimum(0))
                M3_neg_pos = M3_neg.maximum(0)
                M3_neg_neg = -(M3_neg.minimum(0))

                # Calculate max/min
                M3_pos_pos_max, M3_pos_pos_min = maxmin(M3_pos_pos)
                M3_pos_neg_max, M3_pos_neg_min = maxmin(M3_pos_neg)
                M3_neg_pos_max, M3_neg_pos_min = maxmin(M3_neg_pos)
                M3_neg_neg_max, M3_neg_neg_min = maxmin(M3_neg_neg)

                # Features 20-35
                push_sign_abs(M3_pos_pos_max)
                push_sign_abs(M3_pos_pos_min)
                push_sign_abs(M3_pos_neg_max)
                push_sign_abs(M3_pos_neg_min)
                push_sign_abs(M3_neg_pos_max)
                push_sign_abs(M3_neg_pos_min)
                push_sign_abs(M3_neg_neg_max)
                push_sign_abs(M3_neg_neg_min)

            # Feature 36: only available during B&B

            # Feature 37
            if values is not None:
                push(
                    np.minimum(
                        values - np.floor(values),
                        np.ceil(values) - values,
                    )
                )

            # Features 38-43: only available during B&B

            # Feature 44
            if c_sa_up is not None:
                assert c_sa_down is not None

                # Features 44 and 46
                push(np.sign(c_sa_up))
                push(np.sign(c_sa_down))

                # Feature 45 is duplicated

                # Feature 47-48
                push(np.log(c - c_sa_down / np.sign(c)))
                push(np.log(c - c_sa_up / np.sign(c)))

                # Features 49-64: only available during B&B

        features = features[:, 0:curr]
        _fix_infinity(features)
        return features

    def get_constr_features(self, h5: H5File) -> np.ndarray:
        raise NotImplemented()


def _fix_infinity(m: Optional[np.ndarray]) -> None:
    if m is None:
        return
    masked = np.ma.masked_invalid(m)  # type: ignore
    max_values = np.max(masked, axis=0)
    min_values = np.min(masked, axis=0)
    m[:] = np.maximum(np.minimum(m, max_values), min_values)
    m[~np.isfinite(m)] = 0.0