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authorHarpreet2016-09-03 00:36:51 +0530
committerHarpreet2016-09-03 00:36:51 +0530
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-/* $Id: ClpNonLinearCost.hpp 1769 2011-07-26 09:31:51Z forrest $ */
-// Copyright (C) 2002, International Business Machines
-// Corporation and others. All Rights Reserved.
-// This code is licensed under the terms of the Eclipse Public License (EPL).
-
-#ifndef ClpNonLinearCost_H
-#define ClpNonLinearCost_H
-
-
-#include "CoinPragma.hpp"
-
-class ClpSimplex;
-class CoinIndexedVector;
-
-/** Trivial class to deal with non linear costs
-
- I don't make any explicit assumptions about convexity but I am
- sure I do make implicit ones.
-
- One interesting idea for normal LP's will be to allow non-basic
- variables to come into basis as infeasible i.e. if variable at
- lower bound has very large positive reduced cost (when problem
- is infeasible) could it reduce overall problem infeasibility more
- by bringing it into basis below its lower bound.
-
- Another feature would be to automatically discover when problems
- are convex piecewise linear and re-formulate to use non-linear.
- I did some work on this many years ago on "grade" problems, but
- while it improved primal interior point algorithms were much better
- for that particular problem.
-*/
-/* status has original status and current status
- 0 - below lower so stored is upper
- 1 - in range
- 2 - above upper so stored is lower
- 4 - (for current) - same as original
-*/
-#define CLP_BELOW_LOWER 0
-#define CLP_FEASIBLE 1
-#define CLP_ABOVE_UPPER 2
-#define CLP_SAME 4
-inline int originalStatus(unsigned char status)
-{
- return (status & 15);
-}
-inline int currentStatus(unsigned char status)
-{
- return (status >> 4);
-}
-inline void setOriginalStatus(unsigned char & status, int value)
-{
- status = static_cast<unsigned char>(status & ~15);
- status = static_cast<unsigned char>(status | value);
-}
-inline void setCurrentStatus(unsigned char &status, int value)
-{
- status = static_cast<unsigned char>(status & ~(15 << 4));
- status = static_cast<unsigned char>(status | (value << 4));
-}
-inline void setInitialStatus(unsigned char &status)
-{
- status = static_cast<unsigned char>(CLP_FEASIBLE | (CLP_SAME << 4));
-}
-inline void setSameStatus(unsigned char &status)
-{
- status = static_cast<unsigned char>(status & ~(15 << 4));
- status = static_cast<unsigned char>(status | (CLP_SAME << 4));
-}
-// Use second version to get more speed
-//#define FAST_CLPNON
-#ifndef FAST_CLPNON
-#define CLP_METHOD1 ((method_&1)!=0)
-#define CLP_METHOD2 ((method_&2)!=0)
-#else
-#define CLP_METHOD1 (false)
-#define CLP_METHOD2 (true)
-#endif
-class ClpNonLinearCost {
-
-public:
-
-public:
-
- /**@name Constructors, destructor */
- //@{
- /// Default constructor.
- ClpNonLinearCost();
- /** Constructor from simplex.
- This will just set up wasteful arrays for linear, but
- later may do dual analysis and even finding duplicate columns .
- */
- ClpNonLinearCost(ClpSimplex * model, int method = 1);
- /** Constructor from simplex and list of non-linearities (columns only)
- First lower of each column has to match real lower
- Last lower has to be <= upper (if == then cost ignored)
- This could obviously be changed to make more user friendly
- */
- ClpNonLinearCost(ClpSimplex * model, const int * starts,
- const double * lower, const double * cost);
- /// Destructor
- ~ClpNonLinearCost();
- // Copy
- ClpNonLinearCost(const ClpNonLinearCost&);
- // Assignment
- ClpNonLinearCost& operator=(const ClpNonLinearCost&);
- //@}
-
-
- /**@name Actual work in primal */
- //@{
- /** Changes infeasible costs and computes number and cost of infeas
- Puts all non-basic (non free) variables to bounds
- and all free variables to zero if oldTolerance is non-zero
- - but does not move those <= oldTolerance away*/
- void checkInfeasibilities(double oldTolerance = 0.0);
- /** Changes infeasible costs for each variable
- The indices are row indices and need converting to sequences
- */
- void checkInfeasibilities(int numberInArray, const int * index);
- /** Puts back correct infeasible costs for each variable
- The input indices are row indices and need converting to sequences
- for costs.
- On input array is empty (but indices exist). On exit just
- changed costs will be stored as normal CoinIndexedVector
- */
- void checkChanged(int numberInArray, CoinIndexedVector * update);
- /** Goes through one bound for each variable.
- If multiplier*work[iRow]>0 goes down, otherwise up.
- The indices are row indices and need converting to sequences
- Temporary offsets may be set
- Rhs entries are increased
- */
- void goThru(int numberInArray, double multiplier,
- const int * index, const double * work,
- double * rhs);
- /** Takes off last iteration (i.e. offsets closer to 0)
- */
- void goBack(int numberInArray, const int * index,
- double * rhs);
- /** Puts back correct infeasible costs for each variable
- The input indices are row indices and need converting to sequences
- for costs.
- At the end of this all temporary offsets are zero
- */
- void goBackAll(const CoinIndexedVector * update);
- /// Temporary zeroing of feasible costs
- void zapCosts();
- /// Refreshes costs always makes row costs zero
- void refreshCosts(const double * columnCosts);
- /// Puts feasible bounds into lower and upper
- void feasibleBounds();
- /// Refresh - assuming regions OK
- void refresh();
- /** Sets bounds and cost for one variable
- Returns change in cost
- May need to be inline for speed */
- double setOne(int sequence, double solutionValue);
- /** Sets bounds and infeasible cost and true cost for one variable
- This is for gub and column generation etc */
- void setOne(int sequence, double solutionValue, double lowerValue, double upperValue,
- double costValue = 0.0);
- /** Sets bounds and cost for outgoing variable
- may change value
- Returns direction */
- int setOneOutgoing(int sequence, double &solutionValue);
- /// Returns nearest bound
- double nearest(int sequence, double solutionValue);
- /** Returns change in cost - one down if alpha >0.0, up if <0.0
- Value is current - new
- */
- inline double changeInCost(int sequence, double alpha) const {
- double returnValue = 0.0;
- if (CLP_METHOD1) {
- int iRange = whichRange_[sequence] + offset_[sequence];
- if (alpha > 0.0)
- returnValue = cost_[iRange] - cost_[iRange-1];
- else
- returnValue = cost_[iRange] - cost_[iRange+1];
- }
- if (CLP_METHOD2) {
- returnValue = (alpha > 0.0) ? infeasibilityWeight_ : -infeasibilityWeight_;
- }
- return returnValue;
- }
- inline double changeUpInCost(int sequence) const {
- double returnValue = 0.0;
- if (CLP_METHOD1) {
- int iRange = whichRange_[sequence] + offset_[sequence];
- if (iRange + 1 != start_[sequence+1] && !infeasible(iRange + 1))
- returnValue = cost_[iRange] - cost_[iRange+1];
- else
- returnValue = -1.0e100;
- }
- if (CLP_METHOD2) {
- returnValue = -infeasibilityWeight_;
- }
- return returnValue;
- }
- inline double changeDownInCost(int sequence) const {
- double returnValue = 0.0;
- if (CLP_METHOD1) {
- int iRange = whichRange_[sequence] + offset_[sequence];
- if (iRange != start_[sequence] && !infeasible(iRange - 1))
- returnValue = cost_[iRange] - cost_[iRange-1];
- else
- returnValue = 1.0e100;
- }
- if (CLP_METHOD2) {
- returnValue = infeasibilityWeight_;
- }
- return returnValue;
- }
- /// This also updates next bound
- inline double changeInCost(int sequence, double alpha, double &rhs) {
- double returnValue = 0.0;
-#ifdef NONLIN_DEBUG
- double saveRhs = rhs;
-#endif
- if (CLP_METHOD1) {
- int iRange = whichRange_[sequence] + offset_[sequence];
- if (alpha > 0.0) {
- assert(iRange - 1 >= start_[sequence]);
- offset_[sequence]--;
- rhs += lower_[iRange] - lower_[iRange-1];
- returnValue = alpha * (cost_[iRange] - cost_[iRange-1]);
- } else {
- assert(iRange + 1 < start_[sequence+1] - 1);
- offset_[sequence]++;
- rhs += lower_[iRange+2] - lower_[iRange+1];
- returnValue = alpha * (cost_[iRange] - cost_[iRange+1]);
- }
- }
- if (CLP_METHOD2) {
-#ifdef NONLIN_DEBUG
- double saveRhs1 = rhs;
- rhs = saveRhs;
-#endif
- unsigned char iStatus = status_[sequence];
- int iWhere = currentStatus(iStatus);
- if (iWhere == CLP_SAME)
- iWhere = originalStatus(iStatus);
- // rhs always increases
- if (iWhere == CLP_FEASIBLE) {
- if (alpha > 0.0) {
- // going below
- iWhere = CLP_BELOW_LOWER;
- rhs = COIN_DBL_MAX;
- } else {
- // going above
- iWhere = CLP_ABOVE_UPPER;
- rhs = COIN_DBL_MAX;
- }
- } else if (iWhere == CLP_BELOW_LOWER) {
- assert (alpha < 0);
- // going feasible
- iWhere = CLP_FEASIBLE;
- rhs += bound_[sequence] - model_->upperRegion()[sequence];
- } else {
- assert (iWhere == CLP_ABOVE_UPPER);
- // going feasible
- iWhere = CLP_FEASIBLE;
- rhs += model_->lowerRegion()[sequence] - bound_[sequence];
- }
- setCurrentStatus(status_[sequence], iWhere);
-#ifdef NONLIN_DEBUG
- assert(saveRhs1 == rhs);
-#endif
- returnValue = fabs(alpha) * infeasibilityWeight_;
- }
- return returnValue;
- }
- /// Returns current lower bound
- inline double lower(int sequence) const {
- return lower_[whichRange_[sequence] + offset_[sequence]];
- }
- /// Returns current upper bound
- inline double upper(int sequence) const {
- return lower_[whichRange_[sequence] + offset_[sequence] + 1];
- }
- /// Returns current cost
- inline double cost(int sequence) const {
- return cost_[whichRange_[sequence] + offset_[sequence]];
- }
- //@}
-
-
- /**@name Gets and sets */
- //@{
- /// Number of infeasibilities
- inline int numberInfeasibilities() const {
- return numberInfeasibilities_;
- }
- /// Change in cost
- inline double changeInCost() const {
- return changeCost_;
- }
- /// Feasible cost
- inline double feasibleCost() const {
- return feasibleCost_;
- }
- /// Feasible cost with offset and direction (i.e. for reporting)
- double feasibleReportCost() const;
- /// Sum of infeasibilities
- inline double sumInfeasibilities() const {
- return sumInfeasibilities_;
- }
- /// Largest infeasibility
- inline double largestInfeasibility() const {
- return largestInfeasibility_;
- }
- /// Average theta
- inline double averageTheta() const {
- return averageTheta_;
- }
- inline void setAverageTheta(double value) {
- averageTheta_ = value;
- }
- inline void setChangeInCost(double value) {
- changeCost_ = value;
- }
- inline void setMethod(int value) {
- method_ = value;
- }
- /// See if may want to look both ways
- inline bool lookBothWays() const {
- return bothWays_;
- }
- //@}
- ///@name Private functions to deal with infeasible regions
- inline bool infeasible(int i) const {
- return ((infeasible_[i>>5] >> (i & 31)) & 1) != 0;
- }
- inline void setInfeasible(int i, bool trueFalse) {
- unsigned int & value = infeasible_[i>>5];
- int bit = i & 31;
- if (trueFalse)
- value |= (1 << bit);
- else
- value &= ~(1 << bit);
- }
- inline unsigned char * statusArray() const {
- return status_;
- }
- /// For debug
- void validate();
- //@}
-
-private:
- /**@name Data members */
- //@{
- /// Change in cost because of infeasibilities
- double changeCost_;
- /// Feasible cost
- double feasibleCost_;
- /// Current infeasibility weight
- double infeasibilityWeight_;
- /// Largest infeasibility
- double largestInfeasibility_;
- /// Sum of infeasibilities
- double sumInfeasibilities_;
- /// Average theta - kept here as only for primal
- double averageTheta_;
- /// Number of rows (mainly for checking and copy)
- int numberRows_;
- /// Number of columns (mainly for checking and copy)
- int numberColumns_;
- /// Starts for each entry (columns then rows)
- int * start_;
- /// Range for each entry (columns then rows)
- int * whichRange_;
- /// Temporary range offset for each entry (columns then rows)
- int * offset_;
- /** Lower bound for each range (upper bound is next lower).
- For various reasons there is always an infeasible range
- at bottom - even if lower bound is - infinity */
- double * lower_;
- /// Cost for each range
- double * cost_;
- /// Model
- ClpSimplex * model_;
- // Array to say which regions are infeasible
- unsigned int * infeasible_;
- /// Number of infeasibilities found
- int numberInfeasibilities_;
- // new stuff
- /// Contains status at beginning and current
- unsigned char * status_;
- /// Bound which has been replaced in lower_ or upper_
- double * bound_;
- /// Feasible cost array
- double * cost2_;
- /// Method 1 old, 2 new, 3 both!
- int method_;
- /// If all non-linear costs convex
- bool convex_;
- /// If we should look both ways for djs
- bool bothWays_;
- //@}
-};
-
-#endif