progressive hedging

src/solution/methods/ProgressiveHedging/structs.jl

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+# UnitCommitment.jl: Optimization Package for Security-Constrained Unit Commitment
+# Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
+# Released under the modified BSD license. See COPYING.md for more details.
+
+module ProgressiveHedging
+using JuMP, MPI, TimerOutputs
+import ..SolutionMethod
+
+mutable struct TerminationCriteria
+    max_iterations::Int
+    max_time::Float64
+    min_feasibility::Float64
+    min_improvement::Float64
+    min_iterations::Int
+
+    function TerminationCriteria(;
+        max_iterations::Int = 1000,
+        max_time::Float64 = 14400.0,
+        min_feasibility::Float64 = 1e-3,
+        min_improvement::Float64 = 1e-3,
+        min_iterations::Int = 2,
+    )
+        return new(
+            max_iterations,
+            max_time,
+            min_feasibility,
+            min_improvement,
+            min_iterations,
+        )
+    end
+end
+
+Base.@kwdef mutable struct IterationInfo
+    it_num::Int
+    sp_consensus_vals::Array{Float64,1}
+    global_consensus_vals::Array{Float64,1}
+    sp_obj::Float64
+    global_obj::Float64
+    it_time::Float64
+    total_elapsed_time::Float64
+    global_residual::Float64
+    global_infeas::Float64
+end
+
+mutable struct Method <: SolutionMethod
+    consensus_vars::Union{Array{VariableRef,1},Nothing}
+    weights::Union{Array{Float64,1},Nothing}
+    initial_global_consensus_vals::Union{Array{Float64,1},Nothing}
+    num_of_threads::Int
+    ρ::Float64
+    λ_default::Float64
+    print_interval::Int
+    termination_criteria::TerminationCriteria
+
+    function Method(;
+        consensus_vars::Union{Array{VariableRef,1},Nothing} = nothing,
+        weights::Union{Array{Float64,1},Nothing} = nothing,
+        initial_global_consensus_vals::Union{Array{Float64,1},Nothing} = nothing,
+        num_of_threads::Int = 1,
+        ρ::Float64 = 1.0,
+        λ_default::Float64 = 0.0,
+        print_interval::Int = 1,
+        termination_criteria::TerminationCriteria = TerminationCriteria(),
+    )
+        return new(
+            consensus_vars,
+            weights,
+            initial_global_consensus_vals,
+            num_of_threads,
+            ρ,
+            λ_default,
+            print_interval,
+            termination_criteria,
+        )
+    end
+end
+
+struct FinalResult
+    obj::Float64
+    vals::Any
+    infeasibility::Float64
+    total_iteration_num::Int
+    wallclock_time::Float64
+end
+
+struct SpResult
+    obj::Float64
+    vals::Array{Float64,1}
+end
+
+Base.@kwdef mutable struct SubProblem
+    mip::JuMP.Model
+    obj::AffExpr
+    consensus_vars::Array{VariableRef,1}
+    weights::Array{Float64,1}
+end
+
+Base.@kwdef struct SpSolution
+    obj::Float64
+    consensus_vals::Array{Float64,1}
+    residuals::Array{Float64,1}
+end
+
+Base.@kwdef mutable struct SpParams
+    ρ::Float64
+    λ::Array{Float64,1}
+    global_consensus_vals::Array{Float64,1}
+end
+
+struct MpiInfo
+    comm::Any
+    rank::Int
+    root::Bool
+    nprocs::Int
+
+    function MpiInfo(comm)
+        rank = MPI.Comm_rank(comm) + 1
+        is_root = (rank == 1)
+        nprocs = MPI.Comm_size(comm)
+        return new(comm, rank, is_root, nprocs)
+    end
+end
+
+Base.@kwdef struct Callbacks
+    before_solve_subproblem::Any
+    after_solve_subproblem::Any
+    after_iteration::Any
+end
+
+end