-
-
Notifications
You must be signed in to change notification settings - Fork 402
/
Copy pathsolvers.jl
168 lines (164 loc) · 8.98 KB
/
solvers.jl
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
# Copyright 2017, Iain Dunning, Joey Huchette, Miles Lubin, and contributors
# This Source Code Form is subject to the terms of the Mozilla Public
# License, v. 2.0. If a copy of the MPL was not distributed with this
# file, You can obtain one at http://mozilla.org/MPL/2.0/.
#############################################################################
# JuMP
# An algebraic modelling langauge for Julia
# See http://github.com/JuliaOpt/JuMP.jl
#############################################################################
# test/solvers.jl
# Detect and load solvers
# Should be run as part of runtests.jl
#############################################################################
function try_import(name::Symbol)
try
@eval import $name
return true
catch e
return false
end
end
# Load available solvers
grb = try_import(:Gurobi)
cpx = try_import(:CPLEX)
xpr = try_import(:Xpress)
mos = try_import(:Mosek)
cbc = try_import(:Cbc)
if cbc; import Clp; end
glp = try_import(:GLPKMathProgInterface)
ipt = try_import(:Ipopt)
nlo = try_import(:NLopt)
kni = try_import(:KNITRO)
eco = try_import(:ECOS)
osl = try_import(:CoinOptServices)
scs = try_import(:SCS)
nlw = try_import(:AmplNLWriter)
brn = try_import(:BARON)
# Create solver lists
# LP solvers
lp_solvers = Any[]
grb && push!(lp_solvers, Gurobi.GurobiSolver(OutputFlag=0))
cpx && push!(lp_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(lp_solvers, Xpress.XpressSolver(OUTPUTLOG=0))
mos && push!(lp_solvers, Mosek.MosekSolver(LOG=0))
cbc && push!(lp_solvers, Clp.ClpSolver())
glp && push!(lp_solvers, GLPKMathProgInterface.GLPKSolverLP())
ipt && push!(lp_solvers, Ipopt.IpoptSolver(print_level=0))
eco && push!(lp_solvers, ECOS.ECOSSolver(verbose=false))
#osl && push!(lp_solvers, CoinOptServices.OsilSolver())
scs && push!(lp_solvers, SCS.SCSSolver(eps=1e-6,verbose=0))
# MILP solvers
ip_solvers = Any[]
grb && push!(ip_solvers, Gurobi.GurobiSolver(OutputFlag=0))
cpx && push!(ip_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(ip_solvers, Xpress.XpressSolver(OUTPUTLOG=0))
mos && push!(ip_solvers, Mosek.MosekSolver(LOG=0))
cbc && push!(ip_solvers, Cbc.CbcSolver(logLevel=0))
glp && push!(ip_solvers, GLPKMathProgInterface.GLPKSolverMIP())
#osl && push!(ip_solvers, CoinOptServices.OsilSolver())
# IP solvers that give duals for relaxations
ip_dual_solvers = Any[]
grb && push!(ip_dual_solvers, Gurobi.GurobiSolver(OutputFlag=0))
cpx && push!(ip_dual_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
mos && push!(ip_dual_solvers, Mosek.MosekSolver(LOG=0))
# Support semi-continuous, semi-integer solvers
semi_solvers = Any[]
grb && push!(semi_solvers, Gurobi.GurobiSolver(OutputFlag=0))
cpx && push!(semi_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(semi_solvers, Xpress.XpressSolver(OUTPUTLOG=0))
# SOS solvers
sos_solvers = Any[]
grb && push!(sos_solvers, Gurobi.GurobiSolver(OutputFlag=0))
cpx && push!(sos_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(sos_solvers, Xpress.XpressSolver(OUTPUTLOG=0))
cbc && push!(sos_solvers, Cbc.CbcSolver())
# Conic solvers with duals
conic_solvers_with_duals = Any[]
eco && push!(conic_solvers_with_duals, ECOS.ECOSSolver(verbose=false))
scs && push!(conic_solvers_with_duals, SCS.SCSSolver(eps=1e-6,verbose=0))
mos && push!(conic_solvers_with_duals, Mosek.MosekSolver(LOG=0))
# Callback solvers
lazy_solvers, lazy_soc_solvers, lazylocal_solvers, cut_solvers, cutlocal_solvers, heur_solvers, info_solvers = Any[], Any[], Any[], Any[], Any[], Any[], Any[]
if grb
push!(lazy_solvers, Gurobi.GurobiSolver(OutputFlag=0, Presolve=0))
push!(lazy_soc_solvers, Gurobi.GurobiSolver(OutputFlag=0, Presolve=0))
push!( cut_solvers, Gurobi.GurobiSolver(PreCrush=1, Cuts=0, Presolve=0, Heuristics=0.0, OutputFlag=0))
push!(heur_solvers, Gurobi.GurobiSolver(Cuts=0, Presolve=0, Heuristics=0.0, OutputFlag=0))
# push!(heur_solvers, Gurobi.GurobiSolver(Heuristics=0.0, OutputFlag=0))
push!(info_solvers, Gurobi.GurobiSolver(OutputFlag=0))
end
if cpx
push!(lazy_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0))
push!(lazy_soc_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0))
push!(lazylocal_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0, CPX_PARAM_FRACCUTS=-1, CPX_PARAM_EACHCUTLIM=0, CPX_PARAM_HEURFREQ=-1))
push!( cut_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0))
push!(cutlocal_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0, CPX_PARAM_FRACCUTS=-1, CPX_PARAM_EACHCUTLIM=0, CPX_PARAM_HEURFREQ=-1))
push!(heur_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0))
push!(info_solvers, CPLEX.CplexSolver(CPX_PARAM_PRELINEAR=0, CPX_PARAM_PREIND=0, CPX_PARAM_ADVIND=0, CPX_PARAM_MIPSEARCH=1,CPX_PARAM_MIPCBREDLP=0,CPX_PARAM_SCRIND=0))
end
if glp
push!(lazy_solvers, GLPKMathProgInterface.GLPKSolverMIP())
push!( cut_solvers, GLPKMathProgInterface.GLPKSolverMIP())
push!(heur_solvers, GLPKMathProgInterface.GLPKSolverMIP())
push!(info_solvers, GLPKMathProgInterface.GLPKSolverMIP())
end
# Quadratic support
quad_solvers = Any[]
grb && push!(quad_solvers, Gurobi.GurobiSolver(QCPDual=1,OutputFlag=0))
cpx && push!(quad_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(quad_solvers, Xpress.XpressSolver(OUTPUTLOG=0, FEASTOL = 1e-9, BARPRIMALSTOP = 1e-9, BARGAPSTOP = 1e-9, BARDUALSTOP = 1e-9))
mos && push!(quad_solvers, Mosek.MosekSolver(LOG=0))
quad_mip_solvers = copy(quad_solvers)
# Solvers that take SOC in quadratic form
quad_soc_solvers = Any[]
grb && push!(quad_soc_solvers, Gurobi.GurobiSolver(QCPDual=1,OutputFlag=0))
cpx && push!(quad_soc_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(quad_soc_solvers, Xpress.XpressSolver(OUTPUTLOG=0, FEASTOL = 1e-9, BARPRIMALSTOP = 1e-9, BARGAPSTOP = 1e-9, BARDUALSTOP = 1e-9))
#osl && push!(quad_solvers, CoinOptServices.OsilSolver(CoinOptServices.OSOption("sb","yes",solver="ipopt")))
soc_solvers = copy(quad_solvers)
ipt && push!(quad_solvers, Ipopt.IpoptSolver(print_level=0))
eco && push!(soc_solvers, ECOS.ECOSSolver(verbose=false))
scs && push!(soc_solvers, SCS.SCSSolver(eps=1e-6,verbose=0))
#osl && push!(quad_mip_solvers, CoinOptServices.OsilBonminSolver(CoinOptServices.OSOption("sb","yes",category="ipopt")))
#osl && push!(quad_mip_solvers, CoinOptServices.OsilCouenneSolver())
rsoc_solvers = Any[]
mos && push!(rsoc_solvers, Mosek.MosekSolver(LOG=0))
grb && push!(rsoc_solvers, Gurobi.GurobiSolver(QCPDual=1,OutputFlag=0))
cpx && push!(rsoc_solvers, CPLEX.CplexSolver(CPX_PARAM_SCRIND=0))
xpr && push!(rsoc_solvers, Xpress.XpressSolver(OUTPUTLOG=0, FEASTOL = 1e-9, BARPRIMALSTOP = 1e-9, BARGAPSTOP = 1e-9, BARDUALSTOP = 1e-9))
# Nonlinear solvers
nlp_solvers = Any[]
ipt && push!(nlp_solvers, Ipopt.IpoptSolver(print_level=0))
nlo && push!(nlp_solvers, NLopt.NLoptSolver(algorithm=:LD_SLSQP))
kni && push!(nlp_solvers, KNITRO.KnitroSolver(objrange=1e16,outlev=0,opttol=1e-8))
#osl && push!(nlp_solvers, CoinOptServices.OsilSolver(CoinOptServices.OSOption("sb","yes",solver="ipopt")))
nlw && osl && push!(nlp_solvers, AmplNLWriter.AmplNLSolver(CoinOptServices.bonmin, ["bonmin.nlp_log_level=0"; "bonmin.bb_log_level=0"]))
convex_nlp_solvers = copy(nlp_solvers)
brn && push!(nlp_solvers, BARON.BaronSolver())
mos && push!(convex_nlp_solvers, Mosek.MosekSolver(LOG=0))
# Mixed-Integer Nonlinear solvers
minlp_solvers = Any[]
kni && push!(minlp_solvers, KNITRO.KnitroSolver(outlev=0))
#osl && push!(minlp_solvers, CoinOptServices.OsilBonminSolver(CoinOptServices.OSOption("sb","yes",category="ipopt")))
#osl && push!(minlp_solvers, CoinOptServices.OsilCouenneSolver())
nlw && osl && push!(minlp_solvers, AmplNLWriter.AmplNLSolver(CoinOptServices.bonmin, ["bonmin.nlp_log_level=0"; "bonmin.bb_log_level=0"]))
nlw && osl && push!(minlp_solvers, AmplNLWriter.AmplNLSolver(CoinOptServices.couenne))
brn && push!(minlp_solvers, BARON.BaronSolver())
# Semidefinite solvers
sdp_solvers = Any[]
mos && push!(sdp_solvers, Mosek.MosekSolver(LOG=0))
# For some problems, SCS still cannot solve it even for very large value of max_iters
# so the value of max_iters cannot just be large for every test
# This function can be used to increase it just for one test
function fixscs(solver, max_iters)
if scs && isa(solver, SCS.SCSSolver)
SCS.SCSSolver(eps=1e-6,max_iters=max_iters,verbose=0)
else
solver
end
end
scs && push!(sdp_solvers, SCS.SCSSolver(eps=1e-4,verbose=0))
const error_map = Dict()
grb && (error_map[Gurobi.GurobiSolver] = Gurobi.GurobiError)
cpx && (error_map[CPLEX.CplexSolver] = CPLEX.CplexError)