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Diffstat (limited to 'thirdparty/windows/include/coin/ClpInterior.hpp')
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diff --git a/thirdparty/windows/include/coin/ClpInterior.hpp b/thirdparty/windows/include/coin/ClpInterior.hpp new file mode 100644 index 0000000..7f87e1e --- /dev/null +++ b/thirdparty/windows/include/coin/ClpInterior.hpp @@ -0,0 +1,570 @@ +/* $Id: ClpInterior.hpp 1665 2011-01-04 17:55:54Z lou $ */ +// Copyright (C) 2003, International Business Machines +// Corporation and others. All Rights Reserved. +// This code is licensed under the terms of the Eclipse Public License (EPL). +/* + Authors + + John Tomlin (pdco) + John Forrest (standard predictor-corrector) + + Note JJF has added arrays - this takes more memory but makes + flow easier to understand and hopefully easier to extend + + */ +#ifndef ClpInterior_H +#define ClpInterior_H + +#include <iostream> +#include <cfloat> +#include "ClpModel.hpp" +#include "ClpMatrixBase.hpp" +#include "ClpSolve.hpp" +#include "CoinDenseVector.hpp" +class ClpLsqr; +class ClpPdcoBase; +/// ******** DATA to be moved into protected section of ClpInterior +typedef struct { + double atolmin; + double r3norm; + double LSdamp; + double* deltay; +} Info; +/// ******** DATA to be moved into protected section of ClpInterior + +typedef struct { + double atolold; + double atolnew; + double r3ratio; + int istop; + int itncg; +} Outfo; +/// ******** DATA to be moved into protected section of ClpInterior + +typedef struct { + double gamma; + double delta; + int MaxIter; + double FeaTol; + double OptTol; + double StepTol; + double x0min; + double z0min; + double mu0; + int LSmethod; // 1=Cholesky 2=QR 3=LSQR + int LSproblem; // See below + int LSQRMaxIter; + double LSQRatol1; // Initial atol + double LSQRatol2; // Smallest atol (unless atol1 is smaller) + double LSQRconlim; + int wait; +} Options; +class Lsqr; +class ClpCholeskyBase; +// ***** END +/** This solves LPs using interior point methods + + It inherits from ClpModel and all its arrays are created at + algorithm time. + +*/ + +class ClpInterior : public ClpModel { + friend void ClpInteriorUnitTest(const std::string & mpsDir, + const std::string & netlibDir); + +public: + + /**@name Constructors and destructor and copy */ + //@{ + /// Default constructor + ClpInterior ( ); + + /// Copy constructor. + ClpInterior(const ClpInterior &); + /// Copy constructor from model. + ClpInterior(const ClpModel &); + /** Subproblem constructor. A subset of whole model is created from the + row and column lists given. The new order is given by list order and + duplicates are allowed. Name and integer information can be dropped + */ + ClpInterior (const ClpModel * wholeModel, + int numberRows, const int * whichRows, + int numberColumns, const int * whichColumns, + bool dropNames = true, bool dropIntegers = true); + /// Assignment operator. This copies the data + ClpInterior & operator=(const ClpInterior & rhs); + /// Destructor + ~ClpInterior ( ); + // Ones below are just ClpModel with some changes + /** Loads a problem (the constraints on the + rows are given by lower and upper bounds). If a pointer is 0 then the + following values are the default: + <ul> + <li> <code>colub</code>: all columns have upper bound infinity + <li> <code>collb</code>: all columns have lower bound 0 + <li> <code>rowub</code>: all rows have upper bound infinity + <li> <code>rowlb</code>: all rows have lower bound -infinity + <li> <code>obj</code>: all variables have 0 objective coefficient + </ul> + */ + void loadProblem ( const ClpMatrixBase& matrix, + const double* collb, const double* colub, + const double* obj, + const double* rowlb, const double* rowub, + const double * rowObjective = NULL); + void loadProblem ( const CoinPackedMatrix& matrix, + const double* collb, const double* colub, + const double* obj, + const double* rowlb, const double* rowub, + const double * rowObjective = NULL); + + /** Just like the other loadProblem() method except that the matrix is + given in a standard column major ordered format (without gaps). */ + void loadProblem ( const int numcols, const int numrows, + const CoinBigIndex* start, const int* index, + const double* value, + const double* collb, const double* colub, + const double* obj, + const double* rowlb, const double* rowub, + const double * rowObjective = NULL); + /// This one is for after presolve to save memory + void loadProblem ( const int numcols, const int numrows, + const CoinBigIndex* start, const int* index, + const double* value, const int * length, + const double* collb, const double* colub, + const double* obj, + const double* rowlb, const double* rowub, + const double * rowObjective = NULL); + /// Read an mps file from the given filename + int readMps(const char *filename, + bool keepNames = false, + bool ignoreErrors = false); + /** Borrow model. This is so we dont have to copy large amounts + of data around. It assumes a derived class wants to overwrite + an empty model with a real one - while it does an algorithm. + This is same as ClpModel one. */ + void borrowModel(ClpModel & otherModel); + /** Return model - updates any scalars */ + void returnModel(ClpModel & otherModel); + //@} + + /**@name Functions most useful to user */ + //@{ + /** Pdco algorithm - see ClpPdco.hpp for method */ + int pdco(); + // ** Temporary version + int pdco( ClpPdcoBase * stuff, Options &options, Info &info, Outfo &outfo); + /// Primal-Dual Predictor-Corrector barrier + int primalDual(); + //@} + + /**@name most useful gets and sets */ + //@{ + /// If problem is primal feasible + inline bool primalFeasible() const { + return (sumPrimalInfeasibilities_ <= 1.0e-5); + } + /// If problem is dual feasible + inline bool dualFeasible() const { + return (sumDualInfeasibilities_ <= 1.0e-5); + } + /// Current (or last) algorithm + inline int algorithm() const { + return algorithm_; + } + /// Set algorithm + inline void setAlgorithm(int value) { + algorithm_ = value; + } + /// Sum of dual infeasibilities + inline CoinWorkDouble sumDualInfeasibilities() const { + return sumDualInfeasibilities_; + } + /// Sum of primal infeasibilities + inline CoinWorkDouble sumPrimalInfeasibilities() const { + return sumPrimalInfeasibilities_; + } + /// dualObjective. + inline CoinWorkDouble dualObjective() const { + return dualObjective_; + } + /// primalObjective. + inline CoinWorkDouble primalObjective() const { + return primalObjective_; + } + /// diagonalNorm + inline CoinWorkDouble diagonalNorm() const { + return diagonalNorm_; + } + /// linearPerturbation + inline CoinWorkDouble linearPerturbation() const { + return linearPerturbation_; + } + inline void setLinearPerturbation(CoinWorkDouble value) { + linearPerturbation_ = value; + } + /// projectionTolerance + inline CoinWorkDouble projectionTolerance() const { + return projectionTolerance_; + } + inline void setProjectionTolerance(CoinWorkDouble value) { + projectionTolerance_ = value; + } + /// diagonalPerturbation + inline CoinWorkDouble diagonalPerturbation() const { + return diagonalPerturbation_; + } + inline void setDiagonalPerturbation(CoinWorkDouble value) { + diagonalPerturbation_ = value; + } + /// gamma + inline CoinWorkDouble gamma() const { + return gamma_; + } + inline void setGamma(CoinWorkDouble value) { + gamma_ = value; + } + /// delta + inline CoinWorkDouble delta() const { + return delta_; + } + inline void setDelta(CoinWorkDouble value) { + delta_ = value; + } + /// ComplementarityGap + inline CoinWorkDouble complementarityGap() const { + return complementarityGap_; + } + //@} + + /**@name most useful gets and sets */ + //@{ + /// Largest error on Ax-b + inline CoinWorkDouble largestPrimalError() const { + return largestPrimalError_; + } + /// Largest error on basic duals + inline CoinWorkDouble largestDualError() const { + return largestDualError_; + } + /// Maximum iterations + inline int maximumBarrierIterations() const { + return maximumBarrierIterations_; + } + inline void setMaximumBarrierIterations(int value) { + maximumBarrierIterations_ = value; + } + /// Set cholesky (and delete present one) + void setCholesky(ClpCholeskyBase * cholesky); + /// Return number fixed to see if worth presolving + int numberFixed() const; + /** fix variables interior says should be. If reallyFix false then just + set values to exact bounds */ + void fixFixed(bool reallyFix = true); + /// Primal erturbation vector + inline CoinWorkDouble * primalR() const { + return primalR_; + } + /// Dual erturbation vector + inline CoinWorkDouble * dualR() const { + return dualR_; + } + //@} + +protected: + /**@name protected methods */ + //@{ + /// Does most of deletion + void gutsOfDelete(); + /// Does most of copying + void gutsOfCopy(const ClpInterior & rhs); + /// Returns true if data looks okay, false if not + bool createWorkingData(); + void deleteWorkingData(); + /// Sanity check on input rim data + bool sanityCheck(); + /// This does housekeeping + int housekeeping(); + //@} +public: + /**@name public methods */ + //@{ + /// Raw objective value (so always minimize) + inline CoinWorkDouble rawObjectiveValue() const { + return objectiveValue_; + } + /// Returns 1 if sequence indicates column + inline int isColumn(int sequence) const { + return sequence < numberColumns_ ? 1 : 0; + } + /// Returns sequence number within section + inline int sequenceWithin(int sequence) const { + return sequence < numberColumns_ ? sequence : sequence - numberColumns_; + } + /// Checks solution + void checkSolution(); + /** Modifies djs to allow for quadratic. + returns quadratic offset */ + CoinWorkDouble quadraticDjs(CoinWorkDouble * djRegion, const CoinWorkDouble * solution, + CoinWorkDouble scaleFactor); + + /// To say a variable is fixed + inline void setFixed( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 1) ; + } + inline void clearFixed( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~1) ; + } + inline bool fixed(int sequence) const { + return ((status_[sequence] & 1) != 0); + } + + /// To flag a variable + inline void setFlagged( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 2) ; + } + inline void clearFlagged( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~2) ; + } + inline bool flagged(int sequence) const { + return ((status_[sequence] & 2) != 0); + } + + /// To say a variable is fixed OR free + inline void setFixedOrFree( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 4) ; + } + inline void clearFixedOrFree( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~4) ; + } + inline bool fixedOrFree(int sequence) const { + return ((status_[sequence] & 4) != 0); + } + + /// To say a variable has lower bound + inline void setLowerBound( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 8) ; + } + inline void clearLowerBound( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~8) ; + } + inline bool lowerBound(int sequence) const { + return ((status_[sequence] & 8) != 0); + } + + /// To say a variable has upper bound + inline void setUpperBound( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 16) ; + } + inline void clearUpperBound( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~16) ; + } + inline bool upperBound(int sequence) const { + return ((status_[sequence] & 16) != 0); + } + + /// To say a variable has fake lower bound + inline void setFakeLower( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 32) ; + } + inline void clearFakeLower( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~32) ; + } + inline bool fakeLower(int sequence) const { + return ((status_[sequence] & 32) != 0); + } + + /// To say a variable has fake upper bound + inline void setFakeUpper( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] | 64) ; + } + inline void clearFakeUpper( int sequence) { + status_[sequence] = static_cast<unsigned char>(status_[sequence] & ~64) ; + } + inline bool fakeUpper(int sequence) const { + return ((status_[sequence] & 64) != 0); + } + //@} + +////////////////// data ////////////////// +protected: + + /**@name data. Many arrays have a row part and a column part. + There is a single array with both - columns then rows and + then normally two arrays pointing to rows and columns. The + single array is the owner of memory + */ + //@{ + /// Largest error on Ax-b + CoinWorkDouble largestPrimalError_; + /// Largest error on basic duals + CoinWorkDouble largestDualError_; + /// Sum of dual infeasibilities + CoinWorkDouble sumDualInfeasibilities_; + /// Sum of primal infeasibilities + CoinWorkDouble sumPrimalInfeasibilities_; + /// Worst complementarity + CoinWorkDouble worstComplementarity_; + /// +public: + CoinWorkDouble xsize_; + CoinWorkDouble zsize_; +protected: + /// Working copy of lower bounds (Owner of arrays below) + CoinWorkDouble * lower_; + /// Row lower bounds - working copy + CoinWorkDouble * rowLowerWork_; + /// Column lower bounds - working copy + CoinWorkDouble * columnLowerWork_; + /// Working copy of upper bounds (Owner of arrays below) + CoinWorkDouble * upper_; + /// Row upper bounds - working copy + CoinWorkDouble * rowUpperWork_; + /// Column upper bounds - working copy + CoinWorkDouble * columnUpperWork_; + /// Working copy of objective + CoinWorkDouble * cost_; +public: + /// Rhs + CoinWorkDouble * rhs_; + CoinWorkDouble * x_; + CoinWorkDouble * y_; + CoinWorkDouble * dj_; +protected: + /// Pointer to Lsqr object + ClpLsqr * lsqrObject_; + /// Pointer to stuff + ClpPdcoBase * pdcoStuff_; + /// Below here is standard barrier stuff + /// mu. + CoinWorkDouble mu_; + /// objectiveNorm. + CoinWorkDouble objectiveNorm_; + /// rhsNorm. + CoinWorkDouble rhsNorm_; + /// solutionNorm. + CoinWorkDouble solutionNorm_; + /// dualObjective. + CoinWorkDouble dualObjective_; + /// primalObjective. + CoinWorkDouble primalObjective_; + /// diagonalNorm. + CoinWorkDouble diagonalNorm_; + /// stepLength + CoinWorkDouble stepLength_; + /// linearPerturbation + CoinWorkDouble linearPerturbation_; + /// diagonalPerturbation + CoinWorkDouble diagonalPerturbation_; + // gamma from Saunders and Tomlin regularized + CoinWorkDouble gamma_; + // delta from Saunders and Tomlin regularized + CoinWorkDouble delta_; + /// targetGap + CoinWorkDouble targetGap_; + /// projectionTolerance + CoinWorkDouble projectionTolerance_; + /// maximumRHSError. maximum Ax + CoinWorkDouble maximumRHSError_; + /// maximumBoundInfeasibility. + CoinWorkDouble maximumBoundInfeasibility_; + /// maximumDualError. + CoinWorkDouble maximumDualError_; + /// diagonalScaleFactor. + CoinWorkDouble diagonalScaleFactor_; + /// scaleFactor. For scaling objective + CoinWorkDouble scaleFactor_; + /// actualPrimalStep + CoinWorkDouble actualPrimalStep_; + /// actualDualStep + CoinWorkDouble actualDualStep_; + /// smallestInfeasibility + CoinWorkDouble smallestInfeasibility_; + /// historyInfeasibility. +#define LENGTH_HISTORY 5 + CoinWorkDouble historyInfeasibility_[LENGTH_HISTORY]; + /// complementarityGap. + CoinWorkDouble complementarityGap_; + /// baseObjectiveNorm + CoinWorkDouble baseObjectiveNorm_; + /// worstDirectionAccuracy + CoinWorkDouble worstDirectionAccuracy_; + /// maximumRHSChange + CoinWorkDouble maximumRHSChange_; + /// errorRegion. i.e. Ax + CoinWorkDouble * errorRegion_; + /// rhsFixRegion. + CoinWorkDouble * rhsFixRegion_; + /// upperSlack + CoinWorkDouble * upperSlack_; + /// lowerSlack + CoinWorkDouble * lowerSlack_; + /// diagonal + CoinWorkDouble * diagonal_; + /// solution + CoinWorkDouble * solution_; + /// work array + CoinWorkDouble * workArray_; + /// delta X + CoinWorkDouble * deltaX_; + /// delta Y + CoinWorkDouble * deltaY_; + /// deltaZ. + CoinWorkDouble * deltaZ_; + /// deltaW. + CoinWorkDouble * deltaW_; + /// deltaS. + CoinWorkDouble * deltaSU_; + CoinWorkDouble * deltaSL_; + /// Primal regularization array + CoinWorkDouble * primalR_; + /// Dual regularization array + CoinWorkDouble * dualR_; + /// rhs B + CoinWorkDouble * rhsB_; + /// rhsU. + CoinWorkDouble * rhsU_; + /// rhsL. + CoinWorkDouble * rhsL_; + /// rhsZ. + CoinWorkDouble * rhsZ_; + /// rhsW. + CoinWorkDouble * rhsW_; + /// rhs C + CoinWorkDouble * rhsC_; + /// zVec + CoinWorkDouble * zVec_; + /// wVec + CoinWorkDouble * wVec_; + /// cholesky. + ClpCholeskyBase * cholesky_; + /// numberComplementarityPairs i.e. ones with lower and/or upper bounds (not fixed) + int numberComplementarityPairs_; + /// numberComplementarityItems_ i.e. number of active bounds + int numberComplementarityItems_; + /// Maximum iterations + int maximumBarrierIterations_; + /// gonePrimalFeasible. + bool gonePrimalFeasible_; + /// goneDualFeasible. + bool goneDualFeasible_; + /// Which algorithm being used + int algorithm_; + //@} +}; +//############################################################################# +/** A function that tests the methods in the ClpInterior 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. + + It also does some testing of ClpFactorization class + */ +void +ClpInteriorUnitTest(const std::string & mpsDir, + const std::string & netlibDir); + + +#endif |