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DwMaster.cpp
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//
// Created by Kibaek Kim on 8/27/16.
//
// #define DSP_DEBUG
#include "SolverInterface/DspOsiClp.h"
#include "SolverInterface/DspOsiCpx.h"
#include "SolverInterface/DspOsiGrb.h"
#include "Model/TssModel.h"
//#include "SolverInterface/OoqpEps.h"
#include "Solver/DantzigWolfe/DwMaster.h"
#include "Utility/DspUtility.h"
DwMaster::DwMaster(DwWorker* worker):
DecSolver(worker->model_, worker->par_, worker->message_),
phase_(1),
worker_(worker),
ncols_orig_(0),
ncols_start_(0),
nrows_(0),
nrows_orig_(0),
nrows_conv_(0),
nrows_core_(0),
nrows_branch_(0),
mat_orig_(NULL),
branchObj_(NULL),
itercnt_(0),
ngenerated_(0),
t_start_(0.0),
t_total_(0.0),
t_master_(0.0),
t_colgen_(0.0) {
useBarrier_ = par_->getBoolParam("DW/MASTER/IPM");
}
DwMaster::DwMaster(const DwMaster& rhs):
DecSolver(rhs),
useBarrier_(rhs.useBarrier_),
phase_(rhs.phase_),
auxcolindices_(rhs.auxcolindices_),
worker_(rhs.worker_),
ncols_orig_(rhs.ncols_orig_),
ncols_start_(rhs.ncols_start_),
nrows_(rhs.nrows_),
nrows_orig_(rhs.nrows_orig_),
nrows_conv_(rhs.nrows_conv_),
nrows_core_(rhs.nrows_core_),
nrows_branch_(rhs.nrows_branch_),
#ifdef USE_ROW_TO_COL
branch_row_to_col_(rhs.branch_row_to_col_),
#else
branch_row_to_vec_(rhs.branch_row_to_vec_),
#endif
clbd_orig_(rhs.clbd_orig_),
cubd_orig_(rhs.cubd_orig_),
obj_orig_(rhs.obj_orig_),
ctype_orig_(rhs.ctype_orig_),
rlbd_orig_(rhs.rlbd_orig_),
rubd_orig_(rhs.rubd_orig_),
clbd_node_(rhs.clbd_node_),
cubd_node_(rhs.cubd_node_),
branchObj_(rhs.branchObj_),
bestprimsol_orig_(rhs.bestprimsol_orig_),
itercnt_(rhs.itercnt_),
ngenerated_(rhs.ngenerated_),
log_time_(rhs.log_time_),
log_bestdual_bounds_(rhs.log_bestdual_bounds_),
log_bestprim_bounds_(rhs.log_bestprim_bounds_),
t_start_(rhs.t_start_),
t_total_(rhs.t_total_),
t_master_(rhs.t_master_),
t_colgen_(rhs.t_colgen_),
status_subs_(rhs.status_subs_) {
mat_orig_ = new CoinPackedMatrix(*(rhs.mat_orig_));
for (auto it = rhs.cols_generated_.begin(); it != rhs.cols_generated_.end(); it++)
cols_generated_.push_back(new DwCol(**it));
for (auto it = rhs.recent_subsols_.begin(); it != rhs.recent_subsols_.end(); it++)
recent_subsols_.push_back(new CoinPackedVector(**it));
for (auto it = rhs.stored_solutions_.begin(); it != rhs.stored_solutions_.end(); it++)
stored_solutions_.push_back(new CoinPackedVector(**it));
}
/** copy operator */
DwMaster& DwMaster::operator=(const DwMaster& rhs) {
DecSolver::operator=(rhs);
osi_ = rhs.osi_;
useBarrier_ = rhs.useBarrier_;
phase_ = rhs.phase_;
auxcolindices_ = rhs.auxcolindices_;
worker_ = rhs.worker_;
ncols_orig_ = rhs.ncols_orig_;
ncols_start_ = rhs.ncols_start_;
nrows_ = rhs.nrows_;
nrows_orig_ = rhs.nrows_orig_;
nrows_conv_ = rhs.nrows_conv_;
nrows_core_ = rhs.nrows_core_;
nrows_branch_ = rhs.nrows_branch_;
#ifdef USE_ROW_TO_COL
branch_row_to_col_ = rhs.branch_row_to_col_;
#else
branch_row_to_vec_ = rhs.branch_row_to_vec_;
#endif
clbd_orig_ = rhs.clbd_orig_;
cubd_orig_ = rhs.cubd_orig_;
obj_orig_ = rhs.obj_orig_;
ctype_orig_ = rhs.ctype_orig_;
rlbd_orig_ = rhs.rlbd_orig_;
rubd_orig_ = rhs.rubd_orig_;
clbd_node_ = rhs.clbd_node_;
cubd_node_ = rhs.cubd_node_;
branchObj_ = rhs.branchObj_;
itercnt_ = rhs.itercnt_;
ngenerated_ = rhs.ngenerated_;
t_start_ = rhs.t_start_;
t_total_ = rhs.t_total_;
t_master_ = rhs.t_master_;
t_colgen_ = rhs.t_colgen_;
status_subs_ = rhs.status_subs_;
mat_orig_ = new CoinPackedMatrix(*(rhs.mat_orig_));
for (auto it = rhs.cols_generated_.begin(); it != rhs.cols_generated_.end(); it++)
cols_generated_.push_back(new DwCol(**it));
for (auto it = rhs.stored_solutions_.begin(); it != rhs.stored_solutions_.end(); it++)
stored_solutions_.push_back(new CoinPackedVector(**it));
for (auto it = rhs.recent_subsols_.begin(); it != rhs.recent_subsols_.end(); it++)
recent_subsols_.push_back(new CoinPackedVector(**it));
return *this;
}
DwMaster::~DwMaster() {
osi_ = NULL;
branchObj_ = NULL;
FREE_PTR(mat_orig_);
for (unsigned i = 0; i < cols_generated_.size(); ++i)
FREE_PTR(cols_generated_[i]);
for (unsigned i = 0; i < stored_solutions_.size(); ++i)
FREE_PTR(stored_solutions_[i]);
for (unsigned i = 0; i < recent_subsols_.size(); ++i)
FREE_PTR(recent_subsols_[i]);
}
DSP_RTN_CODE DwMaster::init() {
#define FREE_MEMORY \
FREE_PTR(org_mat); \
FREE_ARRAY_PTR(org_clbd); \
FREE_ARRAY_PTR(org_cubd); \
FREE_ARRAY_PTR(org_obj); \
FREE_ARRAY_PTR(org_ctype); \
FREE_ARRAY_PTR(org_rlbd); \
FREE_ARRAY_PTR(org_rubd);
TssModel* tss = NULL;
CoinPackedMatrix* org_mat = NULL;
double* org_clbd = NULL;
double* org_cubd = NULL;
double* org_obj = NULL;
char* org_ctype = NULL;
double* org_rlbd = NULL;
double* org_rubd = NULL;
BGN_TRY_CATCH
if (model_->isStochastic()) {
DSPdebugMessage("Loading stochastic model.\n");
/** two-stage stochastic model */
tss = dynamic_cast<TssModel*>(model_);
/** get DE model */
DSP_RTN_CHECK_THROW(model_->getFullModel(org_mat, org_clbd, org_cubd, org_ctype, org_obj, org_rlbd, org_rubd));
DSPdebug(org_mat->verifyMtx(4));
int nscen = tss->getNumScenarios();
int ncols_first_stage = tss->getNumCols(0);
int ncols = org_mat->getNumCols() + ncols_first_stage * (nscen - 1);
const double* probability = tss->getProbability();
DSPdebugMessage("nscen %d ncols_first_stage %d ncols %d\n", nscen, ncols_first_stage, ncols);
mat_orig_ = new CoinPackedMatrix(org_mat->isColOrdered(), 0, 0);
mat_orig_->setDimensions(0, ncols);
/** add non-anticipativity constraints in the following form:
x_1 - x_2 = 0
x_2 - x_3 = 0
-x_1 + x_3 = 0
*/
int indices[2];
double elements[] = {1.0, -1.0};
for (int i = 0; i < nscen; ++i) {
if (i < nscen - 1) {
for (int j = 0; j < ncols_first_stage; ++j) {
indices[0] = i * ncols_first_stage + j;
indices[1] = (i+1) * ncols_first_stage + j;
mat_orig_->appendRow(2, indices, elements);
}
} else {
for (int j = 0; j < ncols_first_stage; ++j) {
indices[0] = i * ncols_first_stage + j;
indices[1] = j;
mat_orig_->appendRow(2, indices, elements);
}
}
}
DSPdebug(mat_orig_->verifyMtx(4));
clbd_orig_.resize(ncols);
cubd_orig_.resize(ncols);
ctype_orig_.resize(ncols);
obj_orig_.resize(ncols);
rlbd_orig_.resize(mat_orig_->getNumRows());
rubd_orig_.resize(mat_orig_->getNumRows());
for (int s = 0; s < nscen; ++s) {
std::copy(org_ctype, org_ctype + ncols_first_stage, ctype_orig_.begin() + s * ncols_first_stage);
std::copy(org_clbd, org_clbd + ncols_first_stage, clbd_orig_.begin() + s * ncols_first_stage);
std::copy(org_cubd, org_cubd + ncols_first_stage, cubd_orig_.begin() + s * ncols_first_stage);
for (int j = 0; j < ncols_first_stage; ++j)
obj_orig_[s * ncols_first_stage + j] = org_obj[j] * probability[s];
}
std::copy(org_ctype + ncols_first_stage, org_ctype + ncols - (nscen-1) * ncols_first_stage, ctype_orig_.begin() + nscen * ncols_first_stage);
std::copy(org_clbd + ncols_first_stage, org_clbd + ncols - (nscen-1) * ncols_first_stage, clbd_orig_.begin() + nscen * ncols_first_stage);
std::copy(org_cubd + ncols_first_stage, org_cubd + ncols - (nscen-1) * ncols_first_stage, cubd_orig_.begin() + nscen * ncols_first_stage);
std::fill(obj_orig_.begin() + nscen * ncols_first_stage, obj_orig_.end(), 0.0);
std::fill(rlbd_orig_.begin(), rlbd_orig_.end(), 0.0);
std::fill(rubd_orig_.begin(), rubd_orig_.end(), 0.0);
} else {
/** retrieve the original master problem structure */
model_->decompose(0, NULL, 0, NULL, NULL, NULL,
mat_orig_, org_clbd, org_cubd, org_ctype, org_obj, org_rlbd, org_rubd);
clbd_orig_.assign(org_clbd, org_clbd + mat_orig_->getNumCols());
cubd_orig_.assign(org_cubd, org_cubd + mat_orig_->getNumCols());
ctype_orig_.assign(org_ctype, org_ctype + mat_orig_->getNumCols());
obj_orig_.assign(org_obj, org_obj + mat_orig_->getNumCols());
rlbd_orig_.assign(org_rlbd, org_rlbd + mat_orig_->getNumRows());
rubd_orig_.assign(org_rubd, org_rubd + mat_orig_->getNumRows());
}
ncols_orig_ = mat_orig_->getNumCols(); /**< number of columns in the original master */
nrows_orig_ = mat_orig_->getNumRows(); /**< number of rows in the original master */
nrows_conv_ = worker_->getNumSubprobs(); /**< number of convex combination rows in the restricted master */
nrows_core_ = nrows_orig_ + nrows_conv_;
nrows_branch_ = 0; /**< number of branching rows in the restricted master */
/** number of rows in the restricted master */
nrows_ = nrows_core_ + nrows_branch_;
DSPdebugMessage("nrwos_ %d, nrows_orig_ %d, nrows_conv_ %d, nrows_branch_ %d\n",
nrows_, nrows_orig_, nrows_conv_, nrows_branch_);
/** create problem */
DSP_RTN_CHECK_RTN_CODE(createProblem());
END_TRY_CATCH_RTN(FREE_MEMORY,DSP_RTN_ERR)
FREE_MEMORY
return DSP_RTN_OK;
#undef FREE_MEMORY
}
DSP_RTN_CODE DwMaster::createProblem() {
BGN_TRY_CATCH
/** allocate memory */
std::vector<double> rlbd(nrows_), rubd(nrows_);
clbd_node_ = clbd_orig_;
cubd_node_ = cubd_orig_;
/** create column-wise matrix and set number of rows */
std::shared_ptr<CoinPackedMatrix> mat(new CoinPackedMatrix(true, 0, 0));
mat->setDimensions(nrows_, 0);
/** Set row bounds */
std::fill(rlbd.begin(), rlbd.begin() + nrows_conv_, 1.0);
std::fill(rubd.begin(), rubd.begin() + nrows_conv_, 1.0);
std::copy(rlbd_orig_.begin(), rlbd_orig_.end(), rlbd.begin() + nrows_conv_);
std::copy(rubd_orig_.begin(), rubd_orig_.end(), rubd.begin() + nrows_conv_);
/** create solver */
osi_ = createDspOsi();
if (!osi_) throw CoinError("Failed to create DspOsi", "createProblem", "DwMaster");
/** set log level */
osi_->setLogLevel(par_->getIntParam("DW/MASTER/SOLVER/LOG_LEVEL"));
/** load problem data */
getSiPtr()->loadProblem(*(mat.get()), NULL, NULL, NULL, &rlbd[0], &rubd[0]);
dualsol_.reserve(getSiPtr()->getNumRows());
DSP_RTN_CHECK_RTN_CODE(initialOsiSolver());
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::initialOsiSolver() {
BGN_TRY_CATCH
/** set hint parameters */
if (useBarrier_) {
//
} else {
osi_->setNumCores(1);
getSiPtr()->setHintParam(OsiDoPresolveInResolve, false);
getSiPtr()->setHintParam(OsiDoDualInResolve, false);
}
#if 0
if (useBarrier_ && cpx) {
/** use barrier */
CPXsetintparam(cpx->getEnvironmentPtr(), CPX_PARAM_LPMETHOD, CPX_ALG_BARRIER);
/** no crossover */
CPXsetintparam(cpx->getEnvironmentPtr(), CPX_PARAM_BARCROSSALG, -1);
/** use standard barrier; the others result in numerical instability. */
CPXsetintparam(cpx->getEnvironmentPtr(), CPX_PARAM_BARALG, 3);
CPXsetdblparam(cpx->getEnvironmentPtr(), CPX_PARAM_BAREPCOMP, 1.0e-6);
if (par_->getIntParam("LOG_LEVEL") <= 5) {
/** turn off all the messages (Barrier produce some even when loglevel = 0;) */
osi_->setLogLevel(-1);
CPXsetintparam(cpx->getEnvironmentPtr(), CPX_PARAM_BARDISPLAY, 0);
} else {
osi_->setLogLevel(1);
CPXsetintparam(cpx->getEnvironmentPtr(), CPX_PARAM_BARDISPLAY, 1);
}
} else {
si_->setHintParam(OsiDoPresolveInResolve, false);
si_->setHintParam(OsiDoDualInResolve, false);
}
#endif
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::solve() {
BGN_TRY_CATCH
itercnt_ = 0;
t_start_ = CoinGetTimeOfDay();
t_total_ = 0.0;
t_master_ = 0.0;
t_colgen_ = 0.0;
if (cols_generated_.size() == 0) {
/** generate initial columns */
DSP_RTN_CHECK_RTN_CODE(initialColumns());
bestdualobj_ = std::max(bestdualobj_, dualobj_);
DSP_RTN_CHECK_RTN_CODE(solvePhase1());
}
if (phase_ == 2) {
DSP_RTN_CHECK_RTN_CODE(solvePhase2());
if (status_ == DSP_STAT_PRIM_INFEASIBLE) {
DSPdebugMessage("Converting to Phase 1.\n");
DSP_RTN_CHECK_RTN_CODE(solvePhase1());
}
} else
DSP_RTN_CHECK_RTN_CODE(solvePhase1());
if (phase_ == 1) {
if (status_ == DSP_STAT_FEASIBLE || status_ == DSP_STAT_OPTIMAL) {
if (primobj_ > feastol_)
status_ = DSP_STAT_PRIM_INFEASIBLE;
else {
DSPdebugMessage("Converting to Phase 2.\n");
DSP_RTN_CHECK_RTN_CODE(solvePhase2());
}
}
}
/** switch to phase 2 */
DSP_RTN_CHECK_RTN_CODE(switchToPhase2());
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::initialColumns() {
BGN_TRY_CATCH
/** should consider phase 2 */
phase_ = 2;
/** allocate memory */
dualsol_.resize(nrows_conv_ + nrows_orig_);
/** initial price to generate columns */
CoinFillN(&dualsol_[0], nrows_conv_, COIN_DBL_MAX);
CoinZeroN(&dualsol_[nrows_conv_], nrows_orig_);
/** generate columns */
DSP_RTN_CHECK_RTN_CODE(generateCols());
message_->print(3, "Generated %u initial columns. Initial dual bound %e\n", ngenerated_, dualobj_);
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
#undef FREE_MEMORY
}
DSP_RTN_CODE DwMaster::solvePhase1() {
BGN_TRY_CATCH
if (phase_ == 2) {
/** set phase 1 problem */
int ncols = getSiPtr()->getNumCols();
/** set zeros for the objective function coefficients */
for (int j = 0; j < ncols; ++j)
getSiPtr()->setObjCoeff(j, 0.0);
/** add auxiliary columns */
double auxcolval;
for (int i = nrows_conv_; i < nrows_; ++i) {
switch (getSiPtr()->getRowSense()[i]) {
case 'G':
auxcolval = 1.0;
getSiPtr()->addCol(1, &i, &auxcolval, 0.0, COIN_DBL_MAX, 1.0);
break;
case 'L':
auxcolval = -1.0;
getSiPtr()->addCol(1, &i, &auxcolval, 0.0, COIN_DBL_MAX, 1.0);
break;
case 'E':
case 'R':
auxcolval = 1.0;
getSiPtr()->addCol(1, &i, &auxcolval, 0.0, COIN_DBL_MAX, 1.0);
auxcolval = -1.0;
getSiPtr()->addCol(1, &i, &auxcolval, 0.0, COIN_DBL_MAX, 1.0);
break;
default:
break;
}
}
/** store indicies for the auxiliary columns */
for (unsigned j = ncols; j < getSiPtr()->getNumCols(); ++j)
auxcolindices_.push_back(j);
phase_ = 1;
message_->print(3, "Phase 1 has %d rows and %d columns.\n", getSiPtr()->getNumRows(), getSiPtr()->getNumCols());
}
/** set parameters */
worker_->setGapTolerance(0.0);
//worker_->setTimeLimit(1.0e+20);
/** use dual simplex after branching */
if (!useBarrier_) {
getSiPtr()->setHintParam(OsiDoDualInResolve, true);
osi_->setLogLevel(0);
}
DSP_RTN_CHECK_RTN_CODE(gutsOfSolve());
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::solvePhase2() {
BGN_TRY_CATCH
/** switch to phase 2 */
DSP_RTN_CHECK_RTN_CODE(switchToPhase2());
/** set parameters */
worker_->setGapTolerance(par_->getDblParam("DW/GAPTOL"));
worker_->setTimeLimit(par_->getDblParam("DW/SUB/TIME_LIM"));
/** use dual simplex after branching */
if (!useBarrier_) {
getSiPtr()->setHintParam(OsiDoDualInResolve, true);
osi_->setLogLevel(0);
}
DSP_RTN_CHECK_RTN_CODE(gutsOfSolve());
//DSPdebug(si_->writeMps("afterPhase2"));
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::gutsOfSolve() {
double stime; /**< timing results */
int prev_nsols;
BGN_TRY_CATCH
dualobj_ = -COIN_DBL_MAX;
/** solver the master problem */
DSP_RTN_CHECK_RTN_CODE(solveMaster());
/** print information and increment iteration */
printIterInfo();
itercnt_++;
int num_removed = 0, num_restored = 0;
while (status_ == DSP_STAT_OPTIMAL && terminationTest() == false) {
/** column management */
num_removed = 0;
DSP_RTN_CHECK_RTN_CODE(reduceCols(num_removed));
if (num_removed > 0)
message_->print(1, "Removed %u columns.\n", num_removed);
else {
/** restore columns */
num_restored = 0;
DSP_RTN_CHECK_RTN_CODE(restoreCols(num_restored));
if (num_restored > 0)
message_->print(1, "Restored %u columns.\n", num_restored);
else {
stime = CoinGetTimeOfDay();
/** generate columns */
prev_nsols = stored_solutions_.size();
DSP_RTN_CHECK_RTN_CODE(generateCols());
/** generate extra columns by fixing the first-stage variables for SMIP */
DSP_RTN_CHECK_RTN_CODE(generateColsByFix(stored_solutions_.size() - prev_nsols));
t_colgen_ += CoinGetTimeOfDay() - stime;
/** subproblem solution may declare infeasibility. */
for (auto st = status_subs_.begin(); st != status_subs_.end(); st++) {
//DSPdebugMessage("subproblem status %d\n", *st);
if (*st == DSP_STAT_PRIM_INFEASIBLE) {
status_ = DSP_STAT_PRIM_INFEASIBLE;
break;
}
}
if (status_ == DSP_STAT_PRIM_INFEASIBLE)
break;
// check time limit
if (time_remains_ <= (CoinGetTimeOfDay() - t_start_)) {
status_ = DSP_STAT_STOPPED_TIME;
break;
}
/** update master */
DSP_RTN_CHECK_RTN_CODE(updateModel());
}
}
/** solver the master problem */
stime = CoinGetTimeOfDay();
DSP_RTN_CHECK_RTN_CODE(solveMaster());
t_master_ += CoinGetTimeOfDay() - stime;
t_total_ = CoinGetTimeOfDay() - t_start_;
/** print information and increment iteration */
printIterInfo();
itercnt_++;
#ifdef DSP_DEBUG
char fname[128];
sprintf(fname, "master%d", itercnt_);
osi_->si_->writeMps(fname);
#endif
}
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::solveMaster() {
BGN_TRY_CATCH
if (useBarrier_) {
/** TODO: Replace this by PIPS */
/*
OoqpEps* ooqp = dynamic_cast<OoqpEps*>(si_);
if (ooqp) {
if (phase_ == 1)
ooqp->setOoqpStatus(0.0, -COIN_DBL_MAX, COIN_DBL_MAX);
else {
double epsilon = getRelApproxGap() / 1.1;
if (primobj_ > 1.0e+20) epsilon = 0.0001;
if (epsilon > 1.) epsilon = 1.;
ooqp->setOoqpStatus(epsilon, bestdualobj_, bestprimobj_);
}
}
*/
} else {
getSiPtr()->setHintParam(OsiDoDualInResolve, false);
}
/** resolve */
DSPdebugMessage("solve master problem (nrows %d, ncols %d).\n", getSiPtr()->getNumRows(), getSiPtr()->getNumCols());
getSiPtr()->resolve();
status_ = osi_->status();
#if 0
if (status_ == DSP_STAT_ABORT && useBarrier_) {
message_->print(1, "Barrier solver detected numerical issues. Changed to simplex solver.\n");
si_->setHintParam(OsiDoPresolveInResolve, false);
si_->setHintParam(OsiDoDualInResolve, true);
useBarrier_ = false;
/** resolve */
stime = CoinGetTimeOfDay();
si_->resolve();
t_master_ += CoinGetTimeOfDay() - stime;
convertOsiToDspStatus(si_, status_);
}
#endif
/** calculate primal objective value */
primobj_ = osi_->getPrimObjValue();
DSPdebugMessage("master status %d, primobj_ %e, absgap_ %e, relgap_ %e\n", status_, primobj_, getAbsApproxGap(), getRelApproxGap());
/** retrieve price */
dualsol_.assign(getSiPtr()->getRowPrice(), getSiPtr()->getRowPrice() + getSiPtr()->getNumRows());
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::updateCol(DwCol* col) {
BGN_TRY_CATCH
std::vector<int> col_inds;
std::vector<double> col_elems;
col_inds.reserve(nrows_);
col_elems.reserve(nrows_);
/** create a column for core rows */
for (int i = 0; i < col->col_.getNumElements(); ++i) {
if (col->col_.getIndices()[i] < nrows_core_) {
col_inds.push_back(col->col_.getIndices()[i]);
col_elems.push_back(col->col_.getElements()[i]);
}
}
#ifdef USE_ROW_TO_COL
for (int i = 0; i < nrows_branch_; ++i) {
int j = branch_row_to_col_[nrows_core_ + i];
int sparse_index = col->x_.findIndex(j);
if (sparse_index == -1) continue;
double val = col->x_.getElements()[sparse_index];
if (fabs(val) > 1.0e-10) {
col_inds.push_back(nrows_core_ + i);
col_elems.push_back(val);
}
}
#else
if (nrows_branch_ > 0) {
double* dx = col->x_.denseVector(ncols_orig_);
for (int i = 0; i < nrows_branch_; ++i) {
double val = branch_row_to_vec_[nrows_core_+i].dotProduct(dx);
if (fabs(val) > 1.0e-10) {
col_inds.push_back(nrows_core_ + i);
col_elems.push_back(val);
}
}
FREE_ARRAY_PTR(dx);
}
#endif
/** assign the core-row column */
col->col_.setVector(col_inds.size(), &col_inds[0], &col_elems[0]);
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::restoreCols(int &num_restored) {
BGN_TRY_CATCH
num_restored = 0;
/** do only at phase 2 */
if (phase_ == 2) {
/** mark the existing columns to match with basis; and mark columns to delete */
for (unsigned k = 0; k < cols_generated_.size(); ++k) {
if (cols_generated_[k]->active_) continue;
if (cols_generated_[k]->age_ < COIN_INT_MAX) {
/** update column */
DSP_RTN_CHECK_RTN_CODE(updateCol(cols_generated_[k]));
/** add column */
double lhs = cols_generated_[k]->col_.dotProduct(&dualsol_[0]);
if (lhs - cols_generated_[k]->obj_ > 1.0e-6) {
cols_generated_[k]->active_ = true;
cols_generated_[k]->age_ = 0;
/** set master index */
cols_generated_[k]->master_index_ = getSiPtr()->getNumCols();
/** add column */
getSiPtr()->addCol(cols_generated_[k]->col_.getNumElements(),
cols_generated_[k]->col_.getIndices(),
cols_generated_[k]->col_.getElements(),
cols_generated_[k]->lb_, cols_generated_[k]->ub_, cols_generated_[k]->obj_);
num_restored++;
}
}
}
}
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::reduceCols(int &num_removed) {
BGN_TRY_CATCH
/** FIXME:
* Be careful! Phase 2 can be infeasible by deleting columns.
* Do I really want to have this situation? */
if (phase_ == 2) {
std::vector<int> delcols;
for (unsigned k = 0, j = 0; k < cols_generated_.size(); ++k) {
if (cols_generated_[k]->active_) {
/** age? */
if (getSiPtr()->getReducedCost()[j] < 1.0e-8)
cols_generated_[k]->age_ = 0;
else
cols_generated_[k]->age_++;
/** reduced cost fixing */
if (bestdualobj_ + getSiPtr()->getReducedCost()[j] - bestprimobj_ > -1.0e-10) {
cols_generated_[k]->active_ = false;
delcols.push_back(j);
}
#if 0
/** delete old cuts */
if (cols_generated_[k]->active_ &&
cols_generated_[k]->age_ >= par_->getIntParam("DW/MASTER/COL_AGE_LIM")) {
cols_generated_[k]->active_ = false;
delcols.push_back(j);
}
#endif
j++;
}
}
if (delcols.size() > 0) {
CoinWarmStartBasis* ws = NULL;
if (useBarrier_ == false) {
ws = dynamic_cast<CoinWarmStartBasis*>(getSiPtr()->getWarmStart());
ws->deleteColumns(delcols.size(), &delcols[0]);
}
getSiPtr()->deleteCols(delcols.size(), &delcols[0]);
if (useBarrier_ == false) {
getSiPtr()->setWarmStart(ws);
FREE_PTR(ws)
}
message_->print(1, "Reduced cost fixing: removed %u columns.\n", delcols.size());
getSiPtr()->resolve();
if (useBarrier_ == false)
ws = dynamic_cast<CoinWarmStartBasis*>(getSiPtr()->getWarmStart());
}
num_removed = delcols.size();
}
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::generateCols() {
std::vector<double> piA;
/** column generation info */
std::vector<int> subinds;
std::vector<double> subcxs;
std::vector<double> subobjs;
std::vector<CoinPackedVector*> subsols;
BGN_TRY_CATCH
/** calculate pi^T A */
DSP_RTN_CHECK_RTN_CODE(calculatePiA(piA));
// set time limit
double sub_timlim = par_->getDblParam("DW/SUB/TIME_LIM");
worker_->setTimeLimit(CoinMin(sub_timlim, time_remains_ - (CoinGetTimeOfDay() - t_start_)));
/** generate columns */
DSP_RTN_CHECK_RTN_CODE(
worker_->generateCols(phase_, &piA[0], subinds, status_subs_, subcxs, subobjs, subsols));
DSPdebugMessage("status_subs_.size() %lu\n", status_subs_.size());
// reset time limit
par_->setDblParam("DW/SUB/TIME_LIM", sub_timlim);
/** any subproblem primal/dual infeasible? */
bool isInfeasible = false;
for (auto status = status_subs_.begin(); status != status_subs_.end(); status++)
if (*status == DSP_STAT_PRIM_INFEASIBLE ||
*status == DSP_STAT_DUAL_INFEASIBLE) {
isInfeasible = true;
break;
}
if (!isInfeasible) {
/** calculate lower bound */
if (phase_ == 2) {
DSP_RTN_CHECK_RTN_CODE(getLagrangianBound(subobjs));
DSPdebugMessage("Current lower bound %e, best lower bound %e\n", dualobj_, bestdualobj_);
}
/** clear recent subproblem solutions */
for (unsigned i = 0; i < recent_subsols_.size(); ++i)
FREE_PTR(recent_subsols_[i]);
recent_subsols_.clear();
/** assign the current subproblem solutions */
recent_subsols_.reserve(subsols.size());
for (unsigned i = 0; i < subsols.size(); ++i)
recent_subsols_.push_back(subsols[i]);
/** create and add columns */
DSP_RTN_CHECK_RTN_CODE(
addCols(subinds, status_subs_, subcxs, subobjs, subsols));
if (model_->isStochastic() &&
par_->getIntParam("DW/MAX_EVAL_UB") > 0 &&
par_->getIntParam("DW/EVAL_UB") >= 0) {
/** maximum number of solutions to evaluate */
int max_stores = par_->getIntParam("DW/MAX_EVAL_UB");
/** store solutions to distribute */
TssModel* tss = dynamic_cast<TssModel*>(model_);
for (unsigned i = 0; i < subsols.size(); ++i) {
if (max_stores == 0) break;
/** assign first-stage solution value */
CoinPackedVector* first_stage_solution = new CoinPackedVector;
first_stage_solution->reserve(tss->getNumCols(0));
for (int j = 0; j < subsols[i]->getNumElements(); ++j) {
if (subsols[i]->getIndices()[j] >= tss->getNumScenarios() * tss->getNumCols(0))
break;
first_stage_solution->insert(subsols[i]->getIndices()[j] % tss->getNumCols(0), subsols[i]->getElements()[j]);
// printf("i %d first_stage_solution[%d] = %e\n", i, subsols[i]->getIndices()[j] % tss->getNumCols(0), subsols[i]->getElements()[j]);
}
/** store it if not duplicated */
if (!duplicateVector(first_stage_solution, stored_solutions_)) {
stored_solutions_.push_back(first_stage_solution);
/** count */
max_stores--;
}
}
}
} else
ngenerated_ = 0;
/** free memory for subproblem solutions */
for (unsigned i = 0; i < subsols.size(); ++i)
subsols[i] = NULL;
subsols.clear();
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::generateColsByFix(
int nsols /**< [in] number of solutions to evaluate in LIFO way */) {
if (model_->isStochastic() == false)
return DSP_RTN_OK;
if (nsols <= 0)
return DSP_RTN_OK;
/** column generation info */
std::vector<int> subinds;
std::vector<int> substatuses;
std::vector<double> subobjs;
std::vector<CoinPackedVector*> subsols;
std::vector<CoinPackedVector*> solutions_to_evaluate(nsols, NULL);
BGN_TRY_CATCH
TssModel* tss = dynamic_cast<TssModel*>(model_);
// set time limit
double sub_timlim = par_->getDblParam("DW/SUB/TIME_LIM");
for (unsigned i = stored_solutions_.size() - 1, j = 0; i >= stored_solutions_.size() - nsols; --i)
solutions_to_evaluate[j++] = stored_solutions_[i];
std::vector<double> first_stage_solution_dense(tss->getNumCols(0));
for (unsigned i = 0; i < solutions_to_evaluate.size(); ++i) {
/** generate columns */
std::fill(first_stage_solution_dense.begin(), first_stage_solution_dense.end(), 0.0);
for (int j = 0; j < solutions_to_evaluate[i]->getNumElements(); ++j)
first_stage_solution_dense[solutions_to_evaluate[i]->getIndices()[j]] = solutions_to_evaluate[i]->getElements()[j];
worker_->setTimeLimit(CoinMin(sub_timlim, time_remains_ - (CoinGetTimeOfDay() - t_start_)));
DSP_RTN_CHECK_RTN_CODE(
worker_->generateColsByFix(&first_stage_solution_dense[0], subinds, substatuses, subobjs, subsols));
/** any subproblem primal/dual infeasible? */
bool isInfeasibleFix = false;
for (auto status = substatuses.begin(); status != substatuses.end(); status++)
if (*status == DSP_STAT_PRIM_INFEASIBLE ||
*status == DSP_STAT_DUAL_INFEASIBLE) {
isInfeasibleFix = true;
break;
}
if (!isInfeasibleFix) {
/** create and add columns */
DSP_RTN_CHECK_RTN_CODE(
addCols(subinds, substatuses, subobjs, subobjs, subsols));
double newbound = 0.0;
for (auto it = subobjs.begin(); it != subobjs.end(); it++)
newbound += *it;
if (newbound < bestprimobj_) {
message_->print(3, " Found new primal bound %e (< %e)\n", newbound, bestprimobj_);
bestprimobj_ = newbound;
bestprimsol_orig_.assign(ncols_orig_, 0.0);
for (unsigned s = 0; s < subsols.size(); s++)
for (int j = 0; j < subsols[s]->getNumElements(); ++j)
bestprimsol_orig_[subsols[s]->getIndices()[j]] = subsols[s]->getElements()[j];
}
}
/** clean up */
subinds.clear();
substatuses.clear();
subobjs.clear();
for (unsigned i = 0; i < subsols.size(); ++i)
FREE_PTR(subsols[i]);
subsols.clear();
}
// reset time limit
par_->setDblParam("DW/SUB/TIME_LIM", sub_timlim);
/** clear solution vector */
for (unsigned i = 0; i < solutions_to_evaluate.size(); ++i)
solutions_to_evaluate[i] = NULL;
solutions_to_evaluate.clear();
END_TRY_CATCH_RTN(;,DSP_RTN_ERR)
return DSP_RTN_OK;
}
DSP_RTN_CODE DwMaster::addCols(
std::vector<int>& indices, /**< [in] subproblem indices corresponding to cols*/
std::vector<int>& statuses, /**< [in] subproblem solution status */
std::vector<double>& cxs, /**< [in] solution times original objective coefficients */
std::vector<double>& objs, /**< [in] subproblem objective values */
std::vector<CoinPackedVector*>& sols /**< [in] subproblem solutions */) {
#define FREE_MEMORY \
FREE_ARRAY_PTR(Ax)
double* Ax = NULL;
CoinPackedVector colvec;
BGN_TRY_CATCH
/** allocate memory */
Ax = new double [nrows_orig_];
colvec.reserve(nrows_);
/** reset counter */
ngenerated_ = 0;
for (unsigned int s = 0; s < indices.size(); ++s) {
int sind = indices[s]; /**< actual subproblem index */
/** cutoff = dual variable corresponding to the convex-combination constraint */
double cutoff = dualsol_[sind];
DSPdebugMessage("pricing out: %e < %e ? (colobj %e, status %d)\n", objs[s], cutoff, cxs[s], statuses[s]);
/** retrieve subproblem solution */
const CoinPackedVector* x = sols[s];
/** create a column objective */
double newcoef = cxs[s];
/** take A x^k */
mat_orig_->times(*x, Ax);
/** clear a column vector */
colvec.clear();
/** convex combination constraints */
if (statuses[s] != DSP_STAT_DUAL_INFEASIBLE)
colvec.insert(sind, 1.0);
/** original constraints */
for (int i = 0; i < nrows_orig_; ++i)
if (fabs(Ax[i]) > 1.0e-10)
colvec.insert(nrows_conv_+i, Ax[i]);
/** branching constraints */
#ifdef USE_ROW_TO_COL
for (int i = 0; i < nrows_branch_; ++i) {
int j = branch_row_to_col_[nrows_core_ + i];
int sparse_index = x->findIndex(j);
if (sparse_index == -1) continue;
double val = x->getElements()[sparse_index];
if (fabs(val) > 1.0e-10)
colvec.insert(nrows_core_ + i, val);
}