MIPLearn/miplearn/components/lazy_static.py

#  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 sys
from copy import deepcopy

from miplearn.classifiers.counting import CountingClassifier
from .component import Component
from ..extractors import *

logger = logging.getLogger(__name__)


class LazyConstraint:
    def __init__(self, cid, obj):
        self.cid = cid
        self.obj = obj


class StaticLazyConstraintsComponent(Component):
    def __init__(self,
                 classifier=CountingClassifier(),
                 threshold=0.05,
                 use_two_phase_gap=True,
                 large_gap=1e-2,
                 violation_tolerance=-0.5,
                ):
        self.threshold = threshold
        self.classifier_prototype = classifier
        self.classifiers = {}
        self.pool = []
        self.original_gap = None
        self.large_gap = large_gap
        self.is_gap_large = False
        self.use_two_phase_gap = use_two_phase_gap
        self.violation_tolerance = violation_tolerance

    def before_solve(self, solver, instance, model):
        self.pool = []
        if not solver.use_lazy_cb and self.use_two_phase_gap:
            logger.info("Increasing gap tolerance to %f", self.large_gap)
            self.original_gap = solver.gap_tolerance
            self.is_gap_large = True
            solver.internal_solver.set_gap_tolerance(self.large_gap)

        instance.found_violated_lazy_constraints = []
        if instance.has_static_lazy_constraints():
            self._extract_and_predict_static(solver, instance)

    def after_solve(self, solver, instance, model, results):
        pass

    def after_iteration(self, solver, instance, model):
        if solver.use_lazy_cb:
            return False
        else:
            should_repeat = self._check_and_add(instance, solver)
            if should_repeat:
                return True
            else:
                if self.is_gap_large:
                    logger.info("Restoring gap tolerance to %f", self.original_gap)
                    solver.internal_solver.set_gap_tolerance(self.original_gap)
                    self.is_gap_large = False
                    return True
                else:
                    return False

    def on_lazy_callback(self, solver, instance, model):
        self._check_and_add(instance, solver)

    def _check_and_add(self, instance, solver):
        logger.debug("Finding violated lazy constraints...")
        constraints_to_add = []
        for c in self.pool:
            if not solver.internal_solver.is_constraint_satisfied(c.obj,
                                                                  tol=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)
            instance.found_violated_lazy_constraints += [c.cid]
        if len(constraints_to_add) > 0:
            logger.info("%8d lazy constraints added %8d in the pool" % (len(constraints_to_add), len(self.pool)))
            return True
        else:
            return False

    def fit(self, training_instances):
        training_instances = [t
                              for t in training_instances
                              if hasattr(t, "found_violated_lazy_constraints")]

        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 (lazy)",
                             disable=not sys.stdout.isatty()):
            if category not in self.classifiers:
                self.classifiers[category] = deepcopy(self.classifier_prototype)
            self.classifiers[category].fit(x[category], y[category])

    def predict(self, instance):
        pass

    def evaluate(self, instances):
        pass

    def _extract_and_predict_static(self, solver, instance):
        x = {}
        constraints = {}
        logger.info("Extracting lazy constraints...")
        for cid in solver.internal_solver.get_constraint_ids():
            if instance.is_constraint_lazy(cid):
                category = instance.get_lazy_constraint_category(cid)
                if category not in x:
                    x[category] = []
                    constraints[category] = []
                x[category] += [instance.get_lazy_constraint_features(cid)]
                c = LazyConstraint(cid=cid,
                                   obj=solver.internal_solver.extract_constraint(cid))
                constraints[category] += [c]
                self.pool.append(c)
        logger.info("%8d lazy constraints extracted" % len(self.pool))
        logger.info("Predicting required lazy constraints...")
        n_added = 0
        for (category, x_values) in x.items():
            if category not in self.classifiers:
                continue
            if isinstance(x_values[0], np.ndarray):
                x[category] = np.array(x_values)
            proba = self.classifiers[category].predict_proba(x[category])
            for i in range(len(proba)):
                if proba[i][1] > self.threshold:
                    n_added += 1
                    c = constraints[category][i]
                    self.pool.remove(c)
                    solver.internal_solver.add_constraint(c.obj)
                    instance.found_violated_lazy_constraints += [c.cid]
        logger.info("%8d lazy constraints added %8d in the pool" % (n_added, len(self.pool)))

    def _collect_constraints(self, train_instances):
        constraints = {}
        for instance in train_instances:
            for cid in instance.found_violated_lazy_constraints:
                category = instance.get_lazy_constraint_category(cid)
                if category not in constraints:
                    constraints[category] = set()
                constraints[category].add(cid)
        for (category, cids) in constraints.items():
            constraints[category] = sorted(list(cids))
        return constraints

    def x(self, train_instances):
        result = {}
        constraints = self._collect_constraints(train_instances)
        for (category, cids) in constraints.items():
            result[category] = []
            for instance in train_instances:
                for cid in cids:
                    result[category].append(instance.get_lazy_constraint_features(cid))
        return result

    def y(self, train_instances):
        result = {}
        constraints = self._collect_constraints(train_instances)
        for (category, cids) in constraints.items():
            result[category] = []
            for instance in train_instances:
                for cid in cids:
                    if cid in instance.found_violated_lazy_constraints:
                        result[category].append([0, 1])
                    else:
                        result[category].append([1, 0])
        return result