diff -r d59bea55db9b -r c445c931472f src/glpssx.h --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/src/glpssx.h Mon Dec 06 13:09:21 2010 +0100 @@ -0,0 +1,418 @@ +/* glpssx.h (simplex method, bignum arithmetic) */ + +/*********************************************************************** +* This code is part of GLPK (GNU Linear Programming Kit). +* +* Copyright (C) 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, +* 2009, 2010 Andrew Makhorin, Department for Applied Informatics, +* Moscow Aviation Institute, Moscow, Russia. All rights reserved. +* E-mail: . +* +* GLPK is free software: you can redistribute it and/or modify it +* under the terms of the GNU General Public License as published by +* the Free Software Foundation, either version 3 of the License, or +* (at your option) any later version. +* +* GLPK is distributed in the hope that it will be useful, but WITHOUT +* ANY WARRANTY; without even the implied warranty of MERCHANTABILITY +* or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public +* License for more details. +* +* You should have received a copy of the GNU General Public License +* along with GLPK. If not, see . +***********************************************************************/ + +#ifndef GLPSSX_H +#define GLPSSX_H + +#include "glpbfx.h" +#include "glpenv.h" + +typedef struct SSX SSX; + +struct SSX +{ /* simplex solver workspace */ +/*---------------------------------------------------------------------- +// LP PROBLEM DATA +// +// It is assumed that LP problem has the following statement: +// +// minimize (or maximize) +// +// z = c[1]*x[1] + ... + c[m+n]*x[m+n] + c[0] (1) +// +// subject to equality constraints +// +// x[1] - a[1,1]*x[m+1] - ... - a[1,n]*x[m+n] = 0 +// +// . . . . . . . (2) +// +// x[m] - a[m,1]*x[m+1] + ... - a[m,n]*x[m+n] = 0 +// +// and bounds of variables +// +// l[1] <= x[1] <= u[1] +// +// . . . . . . . (3) +// +// l[m+n] <= x[m+n] <= u[m+n] +// +// where: +// x[1], ..., x[m] - auxiliary variables; +// x[m+1], ..., x[m+n] - structural variables; +// z - objective function; +// c[1], ..., c[m+n] - coefficients of the objective function; +// c[0] - constant term of the objective function; +// a[1,1], ..., a[m,n] - constraint coefficients; +// l[1], ..., l[m+n] - lower bounds of variables; +// u[1], ..., u[m+n] - upper bounds of variables. +// +// Bounds of variables can be finite as well as inifinite. Besides, +// lower and upper bounds can be equal to each other. So the following +// five types of variables are possible: +// +// Bounds of variable Type of variable +// ------------------------------------------------- +// -inf < x[k] < +inf Free (unbounded) variable +// l[k] <= x[k] < +inf Variable with lower bound +// -inf < x[k] <= u[k] Variable with upper bound +// l[k] <= x[k] <= u[k] Double-bounded variable +// l[k] = x[k] = u[k] Fixed variable +// +// Using vector-matrix notations the LP problem (1)-(3) can be written +// as follows: +// +// minimize (or maximize) +// +// z = c * x + c[0] (4) +// +// subject to equality constraints +// +// xR - A * xS = 0 (5) +// +// and bounds of variables +// +// l <= x <= u (6) +// +// where: +// xR - vector of auxiliary variables; +// xS - vector of structural variables; +// x = (xR, xS) - vector of all variables; +// z - objective function; +// c - vector of objective coefficients; +// c[0] - constant term of the objective function; +// A - matrix of constraint coefficients (has m rows +// and n columns); +// l - vector of lower bounds of variables; +// u - vector of upper bounds of variables. +// +// The simplex method makes no difference between auxiliary and +// structural variables, so it is convenient to think the system of +// equality constraints (5) written in a homogeneous form: +// +// (I | -A) * x = 0, (7) +// +// where (I | -A) is an augmented (m+n)xm constraint matrix, I is mxm +// unity matrix whose columns correspond to auxiliary variables, and A +// is the original mxn constraint matrix whose columns correspond to +// structural variables. Note that only the matrix A is stored. +----------------------------------------------------------------------*/ + int m; + /* number of rows (auxiliary variables), m > 0 */ + int n; + /* number of columns (structural variables), n > 0 */ + int *type; /* int type[1+m+n]; */ + /* type[0] is not used; + type[k], 1 <= k <= m+n, is the type of variable x[k]: */ +#define SSX_FR 0 /* free (unbounded) variable */ +#define SSX_LO 1 /* variable with lower bound */ +#define SSX_UP 2 /* variable with upper bound */ +#define SSX_DB 3 /* double-bounded variable */ +#define SSX_FX 4 /* fixed variable */ + mpq_t *lb; /* mpq_t lb[1+m+n]; alias: l */ + /* lb[0] is not used; + lb[k], 1 <= k <= m+n, is an lower bound of variable x[k]; + if x[k] has no lower bound, lb[k] is zero */ + mpq_t *ub; /* mpq_t ub[1+m+n]; alias: u */ + /* ub[0] is not used; + ub[k], 1 <= k <= m+n, is an upper bound of variable x[k]; + if x[k] has no upper bound, ub[k] is zero; + if x[k] is of fixed type, ub[k] is equal to lb[k] */ + int dir; + /* optimization direction (sense of the objective function): */ +#define SSX_MIN 0 /* minimization */ +#define SSX_MAX 1 /* maximization */ + mpq_t *coef; /* mpq_t coef[1+m+n]; alias: c */ + /* coef[0] is a constant term of the objective function; + coef[k], 1 <= k <= m+n, is a coefficient of the objective + function at variable x[k]; + note that auxiliary variables also may have non-zero objective + coefficients */ + int *A_ptr; /* int A_ptr[1+n+1]; */ + int *A_ind; /* int A_ind[A_ptr[n+1]]; */ + mpq_t *A_val; /* mpq_t A_val[A_ptr[n+1]]; */ + /* constraint matrix A (see (5)) in storage-by-columns format */ +/*---------------------------------------------------------------------- +// LP BASIS AND CURRENT BASIC SOLUTION +// +// The LP basis is defined by the following partition of the augmented +// constraint matrix (7): +// +// (B | N) = (I | -A) * Q, (8) +// +// where B is a mxm non-singular basis matrix whose columns correspond +// to basic variables xB, N is a mxn matrix whose columns correspond to +// non-basic variables xN, and Q is a permutation (m+n)x(m+n) matrix. +// +// From (7) and (8) it follows that +// +// (I | -A) * x = (I | -A) * Q * Q' * x = (B | N) * (xB, xN), +// +// therefore +// +// (xB, xN) = Q' * x, (9) +// +// where x is the vector of all variables in the original order, xB is +// a vector of basic variables, xN is a vector of non-basic variables, +// Q' = inv(Q) is a matrix transposed to Q. +// +// Current values of non-basic variables xN[j], j = 1, ..., n, are not +// stored; they are defined implicitly by their statuses as follows: +// +// 0, if xN[j] is free variable +// lN[j], if xN[j] is on its lower bound (10) +// uN[j], if xN[j] is on its upper bound +// lN[j] = uN[j], if xN[j] is fixed variable +// +// where lN[j] and uN[j] are lower and upper bounds of xN[j]. +// +// Current values of basic variables xB[i], i = 1, ..., m, are computed +// as follows: +// +// beta = - inv(B) * N * xN, (11) +// +// where current values of xN are defined by (10). +// +// Current values of simplex multipliers pi[i], i = 1, ..., m (which +// are values of Lagrange multipliers for equality constraints (7) also +// called shadow prices) are computed as follows: +// +// pi = inv(B') * cB, (12) +// +// where B' is a matrix transposed to B, cB is a vector of objective +// coefficients at basic variables xB. +// +// Current values of reduced costs d[j], j = 1, ..., n, (which are +// values of Langrange multipliers for active inequality constraints +// corresponding to non-basic variables) are computed as follows: +// +// d = cN - N' * pi, (13) +// +// where N' is a matrix transposed to N, cN is a vector of objective +// coefficients at non-basic variables xN. +----------------------------------------------------------------------*/ + int *stat; /* int stat[1+m+n]; */ + /* stat[0] is not used; + stat[k], 1 <= k <= m+n, is the status of variable x[k]: */ +#define SSX_BS 0 /* basic variable */ +#define SSX_NL 1 /* non-basic variable on lower bound */ +#define SSX_NU 2 /* non-basic variable on upper bound */ +#define SSX_NF 3 /* non-basic free variable */ +#define SSX_NS 4 /* non-basic fixed variable */ + int *Q_row; /* int Q_row[1+m+n]; */ + /* matrix Q in row-like format; + Q_row[0] is not used; + Q_row[i] = j means that q[i,j] = 1 */ + int *Q_col; /* int Q_col[1+m+n]; */ + /* matrix Q in column-like format; + Q_col[0] is not used; + Q_col[j] = i means that q[i,j] = 1 */ + /* if k-th column of the matrix (I | A) is k'-th column of the + matrix (B | N), then Q_row[k] = k' and Q_col[k'] = k; + if x[k] is xB[i], then Q_row[k] = i and Q_col[i] = k; + if x[k] is xN[j], then Q_row[k] = m+j and Q_col[m+j] = k */ + BFX *binv; + /* invertable form of the basis matrix B */ + mpq_t *bbar; /* mpq_t bbar[1+m]; alias: beta */ + /* bbar[0] is a value of the objective function; + bbar[i], 1 <= i <= m, is a value of basic variable xB[i] */ + mpq_t *pi; /* mpq_t pi[1+m]; */ + /* pi[0] is not used; + pi[i], 1 <= i <= m, is a simplex multiplier corresponding to + i-th row (equality constraint) */ + mpq_t *cbar; /* mpq_t cbar[1+n]; alias: d */ + /* cbar[0] is not used; + cbar[j], 1 <= j <= n, is a reduced cost of non-basic variable + xN[j] */ +/*---------------------------------------------------------------------- +// SIMPLEX TABLE +// +// Due to (8) and (9) the system of equality constraints (7) for the +// current basis can be written as follows: +// +// xB = A~ * xN, (14) +// +// where +// +// A~ = - inv(B) * N (15) +// +// is a mxn matrix called the simplex table. +// +// The revised simplex method uses only two components of A~, namely, +// pivot column corresponding to non-basic variable xN[q] chosen to +// enter the basis, and pivot row corresponding to basic variable xB[p] +// chosen to leave the basis. +// +// Pivot column alfa_q is q-th column of A~, so +// +// alfa_q = A~ * e[q] = - inv(B) * N * e[q] = - inv(B) * N[q], (16) +// +// where N[q] is q-th column of the matrix N. +// +// Pivot row alfa_p is p-th row of A~ or, equivalently, p-th column of +// A~', a matrix transposed to A~, so +// +// alfa_p = A~' * e[p] = - N' * inv(B') * e[p] = - N' * rho_p, (17) +// +// where (*)' means transposition, and +// +// rho_p = inv(B') * e[p], (18) +// +// is p-th column of inv(B') or, that is the same, p-th row of inv(B). +----------------------------------------------------------------------*/ + int p; + /* number of basic variable xB[p], 1 <= p <= m, chosen to leave + the basis */ + mpq_t *rho; /* mpq_t rho[1+m]; */ + /* p-th row of the inverse inv(B); see (18) */ + mpq_t *ap; /* mpq_t ap[1+n]; */ + /* p-th row of the simplex table; see (17) */ + int q; + /* number of non-basic variable xN[q], 1 <= q <= n, chosen to + enter the basis */ + mpq_t *aq; /* mpq_t aq[1+m]; */ + /* q-th column of the simplex table; see (16) */ +/*--------------------------------------------------------------------*/ + int q_dir; + /* direction in which non-basic variable xN[q] should change on + moving to the adjacent vertex of the polyhedron: + +1 means that xN[q] increases + -1 means that xN[q] decreases */ + int p_stat; + /* non-basic status which should be assigned to basic variable + xB[p] when it has left the basis and become xN[q] */ + mpq_t delta; + /* actual change of xN[q] in the adjacent basis (it has the same + sign as q_dir) */ +/*--------------------------------------------------------------------*/ + int it_lim; + /* simplex iterations limit; if this value is positive, it is + decreased by one each time when one simplex iteration has been + performed, and reaching zero value signals the solver to stop + the search; negative value means no iterations limit */ + int it_cnt; + /* simplex iterations count; this count is increased by one each + time when one simplex iteration has been performed */ + double tm_lim; + /* searching time limit, in seconds; if this value is positive, + it is decreased each time when one simplex iteration has been + performed by the amount of time spent for the iteration, and + reaching zero value signals the solver to stop the search; + negative value means no time limit */ + double out_frq; + /* output frequency, in seconds; this parameter specifies how + frequently the solver sends information about the progress of + the search to the standard output */ + glp_long tm_beg; + /* starting time of the search, in seconds; the total time of the + search is the difference between xtime() and tm_beg */ + glp_long tm_lag; + /* the most recent time, in seconds, at which the progress of the + the search was displayed */ +}; + +#define ssx_create _glp_ssx_create +#define ssx_factorize _glp_ssx_factorize +#define ssx_get_xNj _glp_ssx_get_xNj +#define ssx_eval_bbar _glp_ssx_eval_bbar +#define ssx_eval_pi _glp_ssx_eval_pi +#define ssx_eval_dj _glp_ssx_eval_dj +#define ssx_eval_cbar _glp_ssx_eval_cbar +#define ssx_eval_rho _glp_ssx_eval_rho +#define ssx_eval_row _glp_ssx_eval_row +#define ssx_eval_col _glp_ssx_eval_col +#define ssx_chuzc _glp_ssx_chuzc +#define ssx_chuzr _glp_ssx_chuzr +#define ssx_update_bbar _glp_ssx_update_bbar +#define ssx_update_pi _glp_ssx_update_pi +#define ssx_update_cbar _glp_ssx_update_cbar +#define ssx_change_basis _glp_ssx_change_basis +#define ssx_delete _glp_ssx_delete + +#define ssx_phase_I _glp_ssx_phase_I +#define ssx_phase_II _glp_ssx_phase_II +#define ssx_driver _glp_ssx_driver + +SSX *ssx_create(int m, int n, int nnz); +/* create simplex solver workspace */ + +int ssx_factorize(SSX *ssx); +/* factorize the current basis matrix */ + +void ssx_get_xNj(SSX *ssx, int j, mpq_t x); +/* determine value of non-basic variable */ + +void ssx_eval_bbar(SSX *ssx); +/* compute values of basic variables */ + +void ssx_eval_pi(SSX *ssx); +/* compute values of simplex multipliers */ + +void ssx_eval_dj(SSX *ssx, int j, mpq_t dj); +/* compute reduced cost of non-basic variable */ + +void ssx_eval_cbar(SSX *ssx); +/* compute reduced costs of all non-basic variables */ + +void ssx_eval_rho(SSX *ssx); +/* compute p-th row of the inverse */ + +void ssx_eval_row(SSX *ssx); +/* compute pivot row of the simplex table */ + +void ssx_eval_col(SSX *ssx); +/* compute pivot column of the simplex table */ + +void ssx_chuzc(SSX *ssx); +/* choose pivot column */ + +void ssx_chuzr(SSX *ssx); +/* choose pivot row */ + +void ssx_update_bbar(SSX *ssx); +/* update values of basic variables */ + +void ssx_update_pi(SSX *ssx); +/* update simplex multipliers */ + +void ssx_update_cbar(SSX *ssx); +/* update reduced costs of non-basic variables */ + +void ssx_change_basis(SSX *ssx); +/* change current basis to adjacent one */ + +void ssx_delete(SSX *ssx); +/* delete simplex solver workspace */ + +int ssx_phase_I(SSX *ssx); +/* find primal feasible solution */ + +int ssx_phase_II(SSX *ssx); +/* find optimal solution */ + +int ssx_driver(SSX *ssx); +/* base driver to exact simplex method */ + +#endif + +/* eof */