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Diffstat (limited to 'newstructure/thirdparty/linux/include/coin/CglGMI.hpp')
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1 files changed, 364 insertions, 0 deletions
diff --git a/newstructure/thirdparty/linux/include/coin/CglGMI.hpp b/newstructure/thirdparty/linux/include/coin/CglGMI.hpp new file mode 100644 index 0000000..240f6ad --- /dev/null +++ b/newstructure/thirdparty/linux/include/coin/CglGMI.hpp @@ -0,0 +1,364 @@ +// Last edit: 02/05/2013 +// +// Name: CglGMI.hpp +// Author: Giacomo Nannicini +// Singapore University of Technology and Design, Singapore +// email: nannicini@sutd.edu.sg +// Date: 11/17/09 +//----------------------------------------------------------------------------- +// Copyright (C) 2009, Giacomo Nannicini. All Rights Reserved. + +#ifndef CglGMI_H +#define CglGMI_H + +#include "CglCutGenerator.hpp" +#include "CglGMIParam.hpp" +#include "CoinWarmStartBasis.hpp" +#include "CoinFactorization.hpp" + +/* Enable tracking of rejection of cutting planes. If this is disabled, + the cut generator is slightly faster. If defined, it enables proper use + of setTrackRejection and related functions. */ +//#define TRACK_REJECT + +/* Debug output */ +//#define GMI_TRACE + +/* Debug output: print optimal tableau */ +//#define GMI_TRACETAB + +/* Print reason for cut rejection, whenever a cut is discarded */ +//#define GMI_TRACE_CLEAN + +/** Gomory cut generator with several cleaning procedures, used to test + * the numerical safety of the resulting cuts + */ + +class CglGMI : public CglCutGenerator { + + friend void CglGMIUnitTest(const OsiSolverInterface * siP, + const std::string mpdDir); +public: + + /** Public enum: all possible reasons for cut rejection */ + enum RejectionType{ + failureFractionality, + failureDynamism, + failureViolation, + failureSupport, + failureScale + }; + + /**@name generateCuts */ + //@{ + /** Generate Gomory Mixed-Integer cuts for the model of the solver + interface si. + + Insert the generated cuts into OsiCuts cs. + + Warning: This generator currently works only with the Lp solvers Clp or + Cplex9.0 or higher. It requires access to the optimal tableau and + optimal basis inverse and makes assumptions on the way slack variables + are added by the solver. The Osi implementations for Clp and Cplex + verify these assumptions. + + When calling the generator, the solver interface si must contain + an optimized problem and information related to the optimal + basis must be available through the OsiSolverInterface methods + (si->optimalBasisIsAvailable() must return 'true'). It is also + essential that the integrality of structural variable i can be + obtained using si->isInteger(i). + + */ + virtual void generateCuts(const OsiSolverInterface & si, OsiCuts & cs, + const CglTreeInfo info = CglTreeInfo()); + + /// Return true if needs optimal basis to do cuts (will return true) + virtual bool needsOptimalBasis() const { return true; } + //@} + + /**@name Common Methods */ + //@{ + // Function for checking equality with user tolerance + inline bool areEqual(double x, double y, + double epsAbs = 1e-12, + double epsRel = 1e-12) { + return (fabs((x) - (y)) <= + std::max(epsAbs, epsRel * std::max(fabs(x), fabs(y)))); + } + + // Function for checking is a number is zero + inline bool isZero(double x, double epsZero = 1e-20) { + return (fabs(x) <= epsZero); + } + + + // Function for checking if a number is integer + inline bool isIntegerValue(double x, + double intEpsAbs = 1e-9, + double intEpsRel = 1e-15) { + return (fabs((x) - floor((x)+0.5)) <= + std::max(intEpsAbs, intEpsRel * fabs(x))); + } + + + //@} + + + /**@name Public Methods */ + //@{ + + // Set the parameters to the values of the given CglGMIParam object. + void setParam(const CglGMIParam &source); + // Return the CglGMIParam object of the generator. + inline CglGMIParam getParam() const {return param;} + inline CglGMIParam & getParam() {return param;} + + // Compute entries of is_integer. + void computeIsInteger(); + + /// Print the current simplex tableau + void printOptTab(OsiSolverInterface *solver) const; + + /// Set/get tracking of the rejection of cutting planes. + /// Note that all rejection related functions will not do anything + /// unless the generator is compiled with the define GMI_TRACK_REJECTION + void setTrackRejection(bool value); + bool getTrackRejection(); + + /// Get number of cuts rejected for given reason; see above + int getNumberRejectedCuts(RejectionType reason); + + /// Reset counters for cut rejection tracking; see above + void resetRejectionCounters(); + + /// Get total number of generated cuts since last resetRejectionCounters() + int getNumberGeneratedCuts(); + + //@} + + /**@name Constructors and destructors */ + //@{ + /// Default constructor + CglGMI(); + + /// Constructor with specified parameters + CglGMI(const CglGMIParam ¶m); + + /// Copy constructor + CglGMI(const CglGMI &); + + /// Clone + virtual CglCutGenerator * clone() const; + + /// Assignment operator + CglGMI & operator=(const CglGMI& rhs); + + /// Destructor + virtual ~CglGMI(); + /// Create C++ lines to get to current state + virtual std::string generateCpp( FILE * fp); + + //@} + +private: + + // Private member methods + +/**@name Private member methods */ + + //@{ + + // Method generating the cuts after all CglGMI members are properly set. + void generateCuts(OsiCuts & cs); + + /// Compute the fractional part of value, allowing for small error. + inline double aboveInteger(double value) const; + + /// Compute the fractionalities involved in the cut, and the cut rhs. + /// Returns true if cut is accepted, false if discarded + inline bool computeCutFractionality(double varRhs, double& cutRhs); + + /// Compute the cut coefficient on a given variable + inline double computeCutCoefficient(double rowElem, int index); + + /// Use multiples of the initial inequalities to cancel out the coefficient + /// on a slack variables. + inline void eliminateSlack(double cutElem, int cutIndex, double* cut, + double& cutRhs, const double *elements, + const int *rowStart, const int *indices, + const int *rowLength, const double *rhs); + + /// Change the sign of the coefficients of the non basic + /// variables at their upper bound. + inline void flip(double& rowElem, int rowIndex); + + /// Change the sign of the coefficients of the non basic + /// variables at their upper bound and do the translations restoring + /// the original bounds. Modify the right hand side + /// accordingly. Two functions: one for original variables, one for slacks. + inline void unflipOrig(double& rowElem, int rowIndex, double& rowRhs); + inline void unflipSlack(double& rowElem, int rowIndex, double& rowRhs, + const double* slack_val); + + /// Pack a row of ncol elements + inline void packRow(double* row, double* rowElem, int* rowIndex, + int& rowNz); + + /// Clean the cutting plane; the cleaning procedure does several things + /// like removing small coefficients, scaling, and checks several + /// acceptance criteria. If this returns false, the cut should be discarded. + /// There are several cleaning procedures available, that can be selected + /// via the parameter param.setCLEANING_PROCEDURE(int value) + bool cleanCut(double* cutElem, int* cutIndex, int& cutNz, + double& cutRhs, const double* xbar); + + /// Cut cleaning procedures: return true if successfull, false if + /// cut should be discarded by the caller of if problems encountered + + /// Check the violation + bool checkViolation(const double* cutElem, const int* cutIndex, + int cutNz, double cutrhs, const double* xbar); + + /// Check the dynamism + bool checkDynamism(const double* cutElem, const int* cutIndex, + int cutNz); + + /// Check the support + bool checkSupport(int cutNz); + + /// Remove small coefficients and adjust the rhs accordingly + bool removeSmallCoefficients(double* cutElem, int* cutIndex, + int& cutNz, double& cutRhs); + + /// Adjust the rhs by relaxing by a small amount (relative or absolute) + void relaxRhs(double& rhs); + + /// Scale the cutting plane in different ways; + /// scaling_type possible values: + /// 0 : scale to obtain integral cut + /// 1 : scale based on norm, to obtain cut norm equal to ncol + /// 2 : scale to obtain largest coefficient equal to 1 + bool scaleCut(double* cutElem, int* cutIndex, int cutNz, + double& cutRhs, int scalingType); + + /// Scale the cutting plane in order to generate integral coefficients + bool scaleCutIntegral(double* cutElem, int* cutIndex, int cutNz, + double& cutRhs); + + /// Compute the nearest rational number; used by scale_row_integral + bool nearestRational(double val, double maxdelta, long maxdnom, + long& numerator, long& denominator); + + /// Compute the greatest common divisor + long computeGcd(long a, long b); + + /// print a vector of integers + void printvecINT(const char *vecstr, const int *x, int n) const; + /// print a vector of doubles: dense form + void printvecDBL(const char *vecstr, const double *x, int n) const; + /// print a vector of doubles: sparse form + void printvecDBL(const char *vecstr, const double *elem, const int * index, + int nz) const; + + /// Recompute the simplex tableau for want of a better accuracy. + /// Requires an empty CoinFactorization object to do the computations, + /// and two empty (already allocated) arrays which will contain + /// the basis indices on exit. Returns 0 if successfull. + int factorize(CoinFactorization & factorization, + int* colBasisIndex, int* rowBasisIndex); + + + //@} + + + // Private member data + +/**@name Private member data */ + + //@{ + + /// Object with CglGMIParam members. + CglGMIParam param; + + /// Number of rows ( = number of slack variables) in the current LP. + int nrow; + + /// Number of structural variables in the current LP. + int ncol; + + /// Lower bounds for structural variables + const double *colLower; + + /// Upper bounds for structural variables + const double *colUpper; + + /// Lower bounds for constraints + const double *rowLower; + + /// Upper bounds for constraints + const double *rowUpper; + + /// Righ hand side for constraints (upper bound for ranged constraints). + const double *rowRhs; + + /// Characteristic vectors of structural integer variables or continuous + /// variables currently fixed to integer values. + bool *isInteger; + + /// Current basis status: columns + int *cstat; + + /// Current basis status: rows + int *rstat; + + /// Pointer on solver. Reset by each call to generateCuts(). + OsiSolverInterface *solver; + + /// Pointer on point to separate. Reset by each call to generateCuts(). + const double *xlp; + + /// Pointer on row activity. Reset by each call to generateCuts(). + const double *rowActivity; + + /// Pointer on matrix of coefficient ordered by rows. + /// Reset by each call to generateCuts(). + const CoinPackedMatrix *byRow; + + /// Pointer on matrix of coefficient ordered by columns. + /// Reset by each call to generateCuts(). + const CoinPackedMatrix *byCol; + + /// Fractionality of the cut and related quantities. + double f0; + double f0compl; + double ratiof0compl; + +#if defined(TRACK_REJECT) || defined (TRACK_REJECT_SIMPLE) + /// Should we track the reason of each cut rejection? + bool trackRejection; + /// Number of failures by type + int fracFail; + int dynFail; + int violFail; + int suppFail; + int smallCoeffFail; + int scaleFail; + /// Total number of generated cuts + int numGeneratedCuts; +#endif + + //@} +}; + +//############################################################################# +/** A function that tests the methods in the CglGMI class. The + only reason for it not to be a member method is that this way it doesn't + have to be compiled into the library. And that's a gain, because the + library should be compiled with optimization on, but this method should be + compiled with debugging. */ +void CglGMIUnitTest(const OsiSolverInterface * siP, + const std::string mpdDir ); + + +#endif |