def _bound_dual(self, cur_lp: CyClpSimplex) -> CyClpSimplex:
""" Place a bound on each index of the dual variable associated with the
constraints of this node's LP relaxation and resolve. We do this by adding
to each constraint i the slack variable 's_i' in the node's LP relaxation,
and we give each new variable a large, positive coefficient in the objective.
By duality, we get the desired dual LP constraints. Therefore, for nodes
with infeasible primal LP relaxations and unbounded dual LP relaxations,
resolving gives us a finite (albeit very large) dual solution, which can
be used to parametrically lower bound the objective value of this node as
we change its right hand side.
:param cur_lp: the CyClpSimplex instance for which we want to bound its
dual solution and resolve
:return: A CyClpSimplex instance representing the same model as input,
with the additions prescribed in the method description
"""
# we add slack at end so user does not have to worry about adding to each node they create
# and so we don't have to go back and update needlessly
assert isinstance(cur_lp, CyClpSimplex), 'must give CyClpSimplex instance'
for i, constr in enumerate(cur_lp.constraints):
assert f's_{i}' not in [v.name for v in cur_lp.variables], \
f"variable 's_{i}' is a reserved name. please name your variable something else"
# cylp lacks (a documented) way to add a column, so rebuild the LP :[
new_lp = CyClpSimplex()
new_lp.logLevel = 0 # quiet output when resolving
# recreate variables
var_map = {v: new_lp.addVariable(v.name, v.dim) for v in cur_lp.variables}
# bound them
for orig_v, new_v in var_map.items():
new_lp += CyLPArray(orig_v.lower) <= new_v <= CyLPArray(orig_v.upper)
# re-add constraints, with slacks this time
s = {}
for i, constr in enumerate(cur_lp.constraints):
s[i] = new_lp.addVariable(f's_{i}', constr.nRows)
new_lp += s[i] >= CyLPArray(np.zeros(constr.nRows))
new_lp += CyLPArray(constr.lower) <= \
sum(constr.varCoefs[v] * var_map[v] for v in constr.variables) \
+ np.matrix(np.identity(constr.nRows))*s[i] <= CyLPArray(constr.upper)
# set objective
new_lp.objective = sum(
CyLPArray(cur_lp.objectiveCoefficients[orig_v.indices]) * new_v for
orig_v, new_v in var_map.items()
) + sum(self._M * v.sum() for v in s.values())
# warm start
orig_var_status, orig_slack_status = cur_lp.getBasisStatus()
# each s_i at lower bound of 0 when added - status 3
np.concatenate((orig_var_status, np.ones(sum(v.dim for v in s.values()))*3))
new_lp.setBasisStatus(orig_var_status, orig_slack_status)
# rerun and reassign
new_lp.dual(startFinishOptions='x')
return new_lp
def _find_split_inequality(self: G, idx: int, **kwargs: Any):
assert idx in self._integer_indices, 'must lift and project on integer index'
x_idx = self.solution[idx]
assert self._is_fractional(
x_idx), "must lift and project on index with fractional value"
# build the CGLP model from ISE 418 Lecture 15 Slide 7 but for LP with >= constraints
lp = CyClpSimplex()
# declare variables
pi = lp.addVariable('pi', self.lp.nVariables)
pi0 = lp.addVariable('pi0', 1)
u1 = lp.addVariable('u1', self.lp.nConstraints)
u2 = lp.addVariable('u2', self.lp.nConstraints)
w1 = lp.addVariable('w1', self.lp.nVariables)
w2 = lp.addVariable('w2', self.lp.nVariables)
# set bounds
lp += u1 >= CyLPArray(np.zeros(self.lp.nConstraints))
lp += u2 >= CyLPArray(np.zeros(self.lp.nConstraints))
w_ub = CyLPArray(np.zeros(self.lp.nVariables))
w_ub[idx] = float('inf')
lp += w_ub >= w1 >= CyLPArray(np.zeros(self.lp.nVariables))
lp += w_ub >= w2 >= CyLPArray(np.zeros(self.lp.nVariables))
# set constraints
# (pi, pi0) must be valid for both parts of the disjunction
lp += 0 >= -pi + self.lp.coefMatrix.T * u1 - w1
lp += 0 >= -pi + self.lp.coefMatrix.T * u2 + w2
lp += 0 <= -pi0 + CyLPArray(
self.lp.constraintsLower) * u1 - floor(x_idx) * w1.sum()
lp += 0 <= -pi0 + CyLPArray(
self.lp.constraintsLower) * u2 + ceil(x_idx) * w2.sum()
# normalize variables
lp += u1.sum() + u2.sum() + w1.sum() + w2.sum() == 1
# set objective: find the deepest cut
# since pi * x >= pi0 for all x in disjunction, we want min pi * x_star - pi0
lp.objective = CyLPArray(self.solution) * pi - pi0
# solve
lp.primal(startFinishOptions='x')
assert lp.getStatusCode() == 0, 'we should get optimal solution'
assert lp.objectiveValue <= 0, 'pi * x >= pi -> pi * x - pi >= 0 -> ' \
'negative objective at x^* since it gets cut off'
# get solution
return lp.primalVariableSolution['pi'], lp.primalVariableSolution[
'pi0']
def find_strong_disjunctive_cut(self, root_id: int) -> Tuple[CyLPArray, float]:
""" Generate a strong cut valid for the disjunction encoded in the subtree
rooted at node <root_id>. This cut is optimized to maximize the violation
of the LP relaxation solution at node <root_id>
see ISE 418 Lecture 13 slide 3, Lecture 14 slide 9, and Lecture 15 slides
6-7 for derivation
:param root_id: id of the node off which we will base the disjunction
:return: a valid inequality (pi, pi0), i.e. pi^T x >= pi0 for all x in
the convex hull of the disjunctive terms' LP relaxations
"""
# sanity checks
assert root_id in self.tree, 'parent must already exist in tree'
root = self.tree.get_node_instances(root_id)
# get each disjunctive term
terminal_nodes = self.tree.get_leaves(root_id)
# terminal nodes pruned for infeasibility do not expand disjunction, so remove them
disjunctive_nodes = {n.idx: n for n in terminal_nodes if n.lp_feasible is not False}
var_dicts = [{v.name: v.dim for v in n.lp.variables} for n in disjunctive_nodes.values()]
assert all(var_dicts[0] == d for d in var_dicts), \
'Each disjunctive term should have the same variables. The feature allowing' \
' otherwise remains to be developed.'
# useful constants
num_vars = sum(var_dim for var_dim in var_dicts[0].values())
inf = root.lp.getCoinInfinity()
# set infinite lower/upper bounds to 0 so they don't create numerical issues in constraints
lb = {idx: CyLPArray([val if val > -inf else 0 for val in n.lp.variablesLower])
for idx, n in disjunctive_nodes.items()} # adjusted lower bound
ub = {idx: CyLPArray([val if val < inf else 0 for val in n.lp.variablesUpper])
for idx, n in disjunctive_nodes.items()} # adjusted upper bound
# set corresponding variables in cglp to 0 to reflect there is no bound
# i.e. this variable should not exist in cglp
wb = {idx: CyLPArray([inf if val > -inf else 0 for val in n.lp.variablesLower])
for idx, n in disjunctive_nodes.items()} # w bounds - variable on lb constraints
vb = {idx: CyLPArray([inf if val < inf else 0 for val in n.lp.variablesUpper])
for idx, n in disjunctive_nodes.items()} # v bounds - variable on ub constraints
# instantiate LP
cglp = CyClpSimplex()
cglp.logLevel = 0 # quiet output when resolving
# declare variables (what to do with case when we have degenerate constraint)
pi = cglp.addVariable('pi', num_vars)
pi0 = cglp.addVariable('pi0', 1)
u = {idx: cglp.addVariable(f'u_{idx}', n.lp.nConstraints) for idx, n in
disjunctive_nodes.items()}
w = {idx: cglp.addVariable(f'w_{idx}', n.lp.nVariables) for idx, n in
disjunctive_nodes.items()}
v = {idx: cglp.addVariable(f'v_{idx}', n.lp.nVariables) for idx, n in
disjunctive_nodes.items()}
# bound them
for idx in disjunctive_nodes:
cglp += u[idx] >= 0
cglp += 0 <= w[idx] <= wb[idx]
cglp += 0 <= v[idx] <= vb[idx]
# add constraints
for i, n in disjunctive_nodes.items():
# (pi, pi0) must be valid for each disjunctive term's LP relaxation
cglp += 0 >= -pi + n.lp.coefMatrix.T * u[i] + \
np.matrix(np.eye(num_vars)) * w[i] - np.matrix(np.eye(num_vars)) * v[i]
cglp += 0 <= -pi0 + CyLPArray(n.lp.constraintsLower) * u[i] + \
lb[i] * w[i] - ub[i] * v[i]
# normalize variables so they don't grow arbitrarily
cglp += sum(var.sum() for var_dict in [u, w, v] for var in var_dict.values()) == 1
# set objective: find the deepest cut
# since pi * x >= pi0 for all x in disjunction, we want min pi * x_star - pi0
cglp.objective = CyLPArray(root.solution) * pi - pi0
# solve
cglp.primal(startFinishOptions='x')
assert cglp.getStatusCode() == 0, 'we should get optimal solution'
assert cglp.objectiveValue <= 0, 'pi * x >= pi0 -> pi * x - pi0 >= 0 -> ' \
'negative objective at x^* since it gets cut off'
# get solution
return cglp.primalVariableSolution['pi'], cglp.primalVariableSolution['pi0']