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331 lines
12 KiB
331 lines
12 KiB
# MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
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# Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
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# Released under the modified BSD license. See COPYING.md for more details.
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import logging
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import pickle
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import os
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import tempfile
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from copy import deepcopy
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from typing import Optional, List
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from p_tqdm import p_map
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from .. import (ObjectiveValueComponent,
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PrimalSolutionComponent,
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DynamicLazyConstraintsComponent,
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UserCutsComponent)
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from .pyomo.cplex import CplexPyomoSolver
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from .pyomo.gurobi import GurobiPyomoSolver
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logger = logging.getLogger(__name__)
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# Global memory for multiprocessing
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SOLVER = [None] # type: List[Optional[LearningSolver]]
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INSTANCES = [None] # type: List[Optional[dict]]
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OUTPUTS = [None]
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def _parallel_solve(idx):
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solver = deepcopy(SOLVER[0])
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if OUTPUTS[0] is None:
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output = None
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elif len(OUTPUTS[0]) == 0:
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output = ""
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else:
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output = OUTPUTS[0][idx]
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instance = INSTANCES[0][idx]
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print(instance)
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stats = solver.solve(instance, output=output)
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return (stats, instance)
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class LearningSolver:
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def __init__(self,
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components=None,
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gap_tolerance=1e-4,
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mode="exact",
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solver="gurobi",
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threads=None,
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time_limit=None,
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node_limit=None,
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solve_lp_first=True,
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use_lazy_cb=False):
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"""
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Mixed-Integer Linear Programming (MIP) solver that extracts information
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from previous runs and uses Machine Learning methods to accelerate the
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solution of new (yet unseen) instances.
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Parameters
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----------
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components
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Set of components in the solver. By default, includes:
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- ObjectiveValueComponent
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- PrimalSolutionComponent
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- DynamicLazyConstraintsComponent
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- UserCutsComponent
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gap_tolerance
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Relative MIP gap tolerance. By default, 1e-4.
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mode
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If "exact", solves problem to optimality, keeping all optimality
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guarantees provided by the MIP solver. If "heuristic", uses machine
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learning more agressively, and may return suboptimal solutions.
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solver
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The internal MIP solver to use. Can be either "cplex", "gurobi", a
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solver class such as GurobiSolver, or a solver instance such as
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GurobiSolver().
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threads
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Maximum number of threads to use. If None, uses solver default.
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time_limit
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Maximum running time in seconds. If None, uses solver default.
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node_limit
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Maximum number of branch-and-bound nodes to explore. If None, uses
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solver default.
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use_lazy_cb
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If True, uses lazy callbacks to enforce lazy constraints, instead of
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a simple solver loop. This functionality may not supported by
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all internal MIP solvers.
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solve_lp_first: bool
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If true, solve LP relaxation first, then solve original MILP. This
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option should be activated if the LP relaxation is not very
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expensive to solve and if it provides good hints for the integer
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solution.
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"""
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self.components = {}
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self.mode = mode
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self.internal_solver = None
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self.internal_solver_factory = solver
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self.threads = threads
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self.time_limit = time_limit
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self.gap_tolerance = gap_tolerance
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self.tee = False
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self.node_limit = node_limit
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self.solve_lp_first = solve_lp_first
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self.use_lazy_cb = use_lazy_cb
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if components is not None:
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for comp in components:
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self.add(comp)
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else:
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self.add(ObjectiveValueComponent())
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self.add(PrimalSolutionComponent())
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self.add(DynamicLazyConstraintsComponent())
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self.add(UserCutsComponent())
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assert self.mode in ["exact", "heuristic"]
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for component in self.components.values():
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component.mode = self.mode
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def _create_internal_solver(self):
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logger.debug("Initializing %s" % self.internal_solver_factory)
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if self.internal_solver_factory == "cplex":
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solver = CplexPyomoSolver()
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elif self.internal_solver_factory == "gurobi":
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solver = GurobiPyomoSolver()
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elif callable(self.internal_solver_factory):
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solver = self.internal_solver_factory()
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else:
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solver = self.internal_solver_factory
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if self.threads is not None:
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logger.info("Setting threads to %d" % self.threads)
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solver.set_threads(self.threads)
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if self.time_limit is not None:
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logger.info("Setting time limit to %f" % self.time_limit)
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solver.set_time_limit(self.time_limit)
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if self.gap_tolerance is not None:
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logger.info("Setting gap tolerance to %f" % self.gap_tolerance)
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solver.set_gap_tolerance(self.gap_tolerance)
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if self.node_limit is not None:
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logger.info("Setting node limit to %d" % self.node_limit)
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solver.set_node_limit(self.node_limit)
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return solver
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def solve(self,
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instance,
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model=None,
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output="",
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tee=False):
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"""
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Solves the given instance. If trained machine-learning models are
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available, they will be used to accelerate the solution process.
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The argument `instance` may be either an Instance object or a
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filename pointing to a pickled Instance object.
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This method modifies the instance object. Specifically, the following
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properties are set:
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- instance.lp_solution
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- instance.lp_value
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- instance.lower_bound
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- instance.upper_bound
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- instance.solution
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- instance.solver_log
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Additional solver components may set additional properties. Please
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see their documentation for more details. If a filename is provided,
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then the file is modified in-place. That is, the original file is
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overwritten.
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If `solver.solve_lp_first` is False, the properties lp_solution and
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lp_value will be set to dummy values.
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Parameters
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----------
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instance: miplearn.Instance or str
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The instance to be solved, or a filename.
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model: pyomo.core.ConcreteModel
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The corresponding Pyomo model. If not provided, it will be created.
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output: str or None
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If instance is a filename and output is provided, write the modified
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instance to this file, instead of replacing the original file. If
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output is None, discard modified instance.
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tee: bool
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If true, prints solver log to screen.
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Returns
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-------
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dict
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A dictionary of solver statistics containing at least the following
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keys: "Lower bound", "Upper bound", "Wallclock time", "Nodes",
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"Sense", "Log", "Warm start value" and "LP value".
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Additional components may generate additional keys. For example,
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ObjectiveValueComponent adds the keys "Predicted LB" and
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"Predicted UB". See the documentation of each component for more
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details.
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"""
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filename = None
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if isinstance(instance, str):
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filename = instance
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logger.info("Reading: %s" % filename)
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with open(filename, "rb") as file:
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instance = pickle.load(file)
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if model is None:
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model = instance.to_model()
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self.tee = tee
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self.internal_solver = self._create_internal_solver()
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self.internal_solver.set_instance(instance, model)
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if self.solve_lp_first:
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logger.info("Solving LP relaxation...")
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results = self.internal_solver.solve_lp(tee=tee)
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instance.lp_solution = self.internal_solver.get_solution()
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instance.lp_value = results["Optimal value"]
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else:
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instance.lp_solution = self.internal_solver.get_empty_solution()
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instance.lp_value = 0.0
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logger.debug("Running before_solve callbacks...")
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for component in self.components.values():
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component.before_solve(self, instance, model)
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def iteration_cb():
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should_repeat = False
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for comp in self.components.values():
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if comp.after_iteration(self, instance, model):
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should_repeat = True
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return should_repeat
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def lazy_cb_wrapper(cb_solver, cb_model):
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for comp in self.components.values():
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comp.on_lazy_callback(self, instance, model)
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lazy_cb = None
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if self.use_lazy_cb:
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lazy_cb = lazy_cb_wrapper
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logger.info("Solving MILP...")
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results = self.internal_solver.solve(tee=tee,
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iteration_cb=iteration_cb,
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lazy_cb=lazy_cb)
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results["LP value"] = instance.lp_value
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# Read MIP solution and bounds
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instance.lower_bound = results["Lower bound"]
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instance.upper_bound = results["Upper bound"]
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instance.solver_log = results["Log"]
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instance.solution = self.internal_solver.get_solution()
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logger.debug("Calling after_solve callbacks...")
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for component in self.components.values():
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component.after_solve(self, instance, model, results)
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if filename is not None and output is not None:
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output_filename = output
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if len(output) == 0:
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output_filename = filename
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logger.info("Writing: %s" % output_filename)
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with tempfile.NamedTemporaryFile(delete=False) as tmp:
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pickle.dump(instance, tmp)
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os.replace(tmp.name, output_filename)
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return results
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def parallel_solve(self, instances, n_jobs=4, label="Solve", output=[]):
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"""
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Solves multiple instances in parallel.
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This method is equivalent to calling `solve` for each item on the list,
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but it processes multiple instances at the same time. Like `solve`, this
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method modifies each instance in place. Also like `solve`, a list of
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filenames may be provided.
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Parameters
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----------
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instances: [miplearn.Instance] or [str]
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The instances to be solved
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n_jobs: int
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Number of instances to solve in parallel at a time.
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Returns
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-------
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Returns a list of dictionaries, with one entry for each provided instance.
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This dictionary is the same you would obtain by calling:
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[solver.solve(p) for p in instances]
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"""
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self.internal_solver = None
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self._silence_miplearn_logger()
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SOLVER[0] = self
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OUTPUTS[0] = output
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INSTANCES[0] = instances
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results = p_map(_parallel_solve,
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list(range(len(instances))),
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num_cpus=n_jobs,
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desc=label)
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stats = []
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for (idx, (s, instance)) in enumerate(results):
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stats.append(s)
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instances[idx] = instance
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self._restore_miplearn_logger()
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return stats
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def fit(self, training_instances):
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if len(training_instances) == 0:
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return
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for component in self.components.values():
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component.fit(training_instances)
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def add(self, component):
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name = component.__class__.__name__
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self.components[name] = component
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def _silence_miplearn_logger(self):
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miplearn_logger = logging.getLogger("miplearn")
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self.prev_log_level = miplearn_logger.getEffectiveLevel()
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miplearn_logger.setLevel(logging.WARNING)
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def _restore_miplearn_logger(self):
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miplearn_logger = logging.getLogger("miplearn")
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miplearn_logger.setLevel(self.prev_log_level)
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def __getstate__(self):
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self.internal_solver = None
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return self.__dict__
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