/* glpios06.c (MIR cut generator) */ /*********************************************************************** * 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 . ***********************************************************************/ #include "glpios.h" #define _MIR_DEBUG 0 #define MAXAGGR 5 /* maximal number of rows which can be aggregated */ struct MIR { /* MIR cut generator working area */ /*--------------------------------------------------------------*/ /* global information valid for the root subproblem */ int m; /* number of rows (in the root subproblem) */ int n; /* number of columns */ char *skip; /* char skip[1+m]; */ /* skip[i], 1 <= i <= m, is a flag that means that row i should not be used because (1) it is not suitable, or (2) because it has been used in the aggregated constraint */ char *isint; /* char isint[1+m+n]; */ /* isint[k], 1 <= k <= m+n, is a flag that means that variable x[k] is integer (otherwise, continuous) */ double *lb; /* double lb[1+m+n]; */ /* lb[k], 1 <= k <= m+n, is lower bound of x[k]; -DBL_MAX means that x[k] has no lower bound */ int *vlb; /* int vlb[1+m+n]; */ /* vlb[k] = k', 1 <= k <= m+n, is the number of integer variable, which defines variable lower bound x[k] >= lb[k] * x[k']; zero means that x[k] has simple lower bound */ double *ub; /* double ub[1+m+n]; */ /* ub[k], 1 <= k <= m+n, is upper bound of x[k]; +DBL_MAX means that x[k] has no upper bound */ int *vub; /* int vub[1+m+n]; */ /* vub[k] = k', 1 <= k <= m+n, is the number of integer variable, which defines variable upper bound x[k] <= ub[k] * x[k']; zero means that x[k] has simple upper bound */ /*--------------------------------------------------------------*/ /* current (fractional) point to be separated */ double *x; /* double x[1+m+n]; */ /* x[k] is current value of auxiliary (1 <= k <= m) or structural (m+1 <= k <= m+n) variable */ /*--------------------------------------------------------------*/ /* aggregated constraint sum a[k] * x[k] = b, which is a linear combination of original constraints transformed to equalities by introducing auxiliary variables */ int agg_cnt; /* number of rows (original constraints) used to build aggregated constraint, 1 <= agg_cnt <= MAXAGGR */ int *agg_row; /* int agg_row[1+MAXAGGR]; */ /* agg_row[k], 1 <= k <= agg_cnt, is the row number used to build aggregated constraint */ IOSVEC *agg_vec; /* IOSVEC agg_vec[1:m+n]; */ /* sparse vector of aggregated constraint coefficients, a[k] */ double agg_rhs; /* right-hand side of the aggregated constraint, b */ /*--------------------------------------------------------------*/ /* bound substitution flags for modified constraint */ char *subst; /* char subst[1+m+n]; */ /* subst[k], 1 <= k <= m+n, is a bound substitution flag used for variable x[k]: '?' - x[k] is missing in modified constraint 'L' - x[k] = (lower bound) + x'[k] 'U' - x[k] = (upper bound) - x'[k] */ /*--------------------------------------------------------------*/ /* modified constraint sum a'[k] * x'[k] = b', where x'[k] >= 0, derived from aggregated constraint by substituting bounds; note that due to substitution of variable bounds there may be additional terms in the modified constraint */ IOSVEC *mod_vec; /* IOSVEC mod_vec[1:m+n]; */ /* sparse vector of modified constraint coefficients, a'[k] */ double mod_rhs; /* right-hand side of the modified constraint, b' */ /*--------------------------------------------------------------*/ /* cutting plane sum alpha[k] * x[k] <= beta */ IOSVEC *cut_vec; /* IOSVEC cut_vec[1:m+n]; */ /* sparse vector of cutting plane coefficients, alpha[k] */ double cut_rhs; /* right-hand size of the cutting plane, beta */ }; /*********************************************************************** * NAME * * ios_mir_init - initialize MIR cut generator * * SYNOPSIS * * #include "glpios.h" * void *ios_mir_init(glp_tree *tree); * * DESCRIPTION * * The routine ios_mir_init initializes the MIR cut generator assuming * that the current subproblem is the root subproblem. * * RETURNS * * The routine ios_mir_init returns a pointer to the MIR cut generator * working area. */ static void set_row_attrib(glp_tree *tree, struct MIR *mir) { /* set global row attributes */ glp_prob *mip = tree->mip; int m = mir->m; int k; for (k = 1; k <= m; k++) { GLPROW *row = mip->row[k]; mir->skip[k] = 0; mir->isint[k] = 0; switch (row->type) { case GLP_FR: mir->lb[k] = -DBL_MAX, mir->ub[k] = +DBL_MAX; break; case GLP_LO: mir->lb[k] = row->lb, mir->ub[k] = +DBL_MAX; break; case GLP_UP: mir->lb[k] = -DBL_MAX, mir->ub[k] = row->ub; break; case GLP_DB: mir->lb[k] = row->lb, mir->ub[k] = row->ub; break; case GLP_FX: mir->lb[k] = mir->ub[k] = row->lb; break; default: xassert(row != row); } mir->vlb[k] = mir->vub[k] = 0; } return; } static void set_col_attrib(glp_tree *tree, struct MIR *mir) { /* set global column attributes */ glp_prob *mip = tree->mip; int m = mir->m; int n = mir->n; int k; for (k = m+1; k <= m+n; k++) { GLPCOL *col = mip->col[k-m]; switch (col->kind) { case GLP_CV: mir->isint[k] = 0; break; case GLP_IV: mir->isint[k] = 1; break; default: xassert(col != col); } switch (col->type) { case GLP_FR: mir->lb[k] = -DBL_MAX, mir->ub[k] = +DBL_MAX; break; case GLP_LO: mir->lb[k] = col->lb, mir->ub[k] = +DBL_MAX; break; case GLP_UP: mir->lb[k] = -DBL_MAX, mir->ub[k] = col->ub; break; case GLP_DB: mir->lb[k] = col->lb, mir->ub[k] = col->ub; break; case GLP_FX: mir->lb[k] = mir->ub[k] = col->lb; break; default: xassert(col != col); } mir->vlb[k] = mir->vub[k] = 0; } return; } static void set_var_bounds(glp_tree *tree, struct MIR *mir) { /* set variable bounds */ glp_prob *mip = tree->mip; int m = mir->m; GLPAIJ *aij; int i, k1, k2; double a1, a2; for (i = 1; i <= m; i++) { /* we need the row to be '>= 0' or '<= 0' */ if (!(mir->lb[i] == 0.0 && mir->ub[i] == +DBL_MAX || mir->lb[i] == -DBL_MAX && mir->ub[i] == 0.0)) continue; /* take first term */ aij = mip->row[i]->ptr; if (aij == NULL) continue; k1 = m + aij->col->j, a1 = aij->val; /* take second term */ aij = aij->r_next; if (aij == NULL) continue; k2 = m + aij->col->j, a2 = aij->val; /* there must be only two terms */ if (aij->r_next != NULL) continue; /* interchange terms, if needed */ if (!mir->isint[k1] && mir->isint[k2]) ; else if (mir->isint[k1] && !mir->isint[k2]) { k2 = k1, a2 = a1; k1 = m + aij->col->j, a1 = aij->val; } else { /* both terms are either continuous or integer */ continue; } /* x[k2] should be double-bounded */ if (mir->lb[k2] == -DBL_MAX || mir->ub[k2] == +DBL_MAX || mir->lb[k2] == mir->ub[k2]) continue; /* change signs, if necessary */ if (mir->ub[i] == 0.0) a1 = - a1, a2 = - a2; /* now the row has the form a1 * x1 + a2 * x2 >= 0, where x1 is continuous, x2 is integer */ if (a1 > 0.0) { /* x1 >= - (a2 / a1) * x2 */ if (mir->vlb[k1] == 0) { /* set variable lower bound for x1 */ mir->lb[k1] = - a2 / a1; mir->vlb[k1] = k2; /* the row should not be used */ mir->skip[i] = 1; } } else /* a1 < 0.0 */ { /* x1 <= - (a2 / a1) * x2 */ if (mir->vub[k1] == 0) { /* set variable upper bound for x1 */ mir->ub[k1] = - a2 / a1; mir->vub[k1] = k2; /* the row should not be used */ mir->skip[i] = 1; } } } return; } static void mark_useless_rows(glp_tree *tree, struct MIR *mir) { /* mark rows which should not be used */ glp_prob *mip = tree->mip; int m = mir->m; GLPAIJ *aij; int i, k, nv; for (i = 1; i <= m; i++) { /* free rows should not be used */ if (mir->lb[i] == -DBL_MAX && mir->ub[i] == +DBL_MAX) { mir->skip[i] = 1; continue; } nv = 0; for (aij = mip->row[i]->ptr; aij != NULL; aij = aij->r_next) { k = m + aij->col->j; /* rows with free variables should not be used */ if (mir->lb[k] == -DBL_MAX && mir->ub[k] == +DBL_MAX) { mir->skip[i] = 1; break; } /* rows with integer variables having infinite (lower or upper) bound should not be used */ if (mir->isint[k] && mir->lb[k] == -DBL_MAX || mir->isint[k] && mir->ub[k] == +DBL_MAX) { mir->skip[i] = 1; break; } /* count non-fixed variables */ if (!(mir->vlb[k] == 0 && mir->vub[k] == 0 && mir->lb[k] == mir->ub[k])) nv++; } /* rows with all variables fixed should not be used */ if (nv == 0) { mir->skip[i] = 1; continue; } } return; } void *ios_mir_init(glp_tree *tree) { /* initialize MIR cut generator */ glp_prob *mip = tree->mip; int m = mip->m; int n = mip->n; struct MIR *mir; #if _MIR_DEBUG xprintf("ios_mir_init: warning: debug mode enabled\n"); #endif /* allocate working area */ mir = xmalloc(sizeof(struct MIR)); mir->m = m; mir->n = n; mir->skip = xcalloc(1+m, sizeof(char)); mir->isint = xcalloc(1+m+n, sizeof(char)); mir->lb = xcalloc(1+m+n, sizeof(double)); mir->vlb = xcalloc(1+m+n, sizeof(int)); mir->ub = xcalloc(1+m+n, sizeof(double)); mir->vub = xcalloc(1+m+n, sizeof(int)); mir->x = xcalloc(1+m+n, sizeof(double)); mir->agg_row = xcalloc(1+MAXAGGR, sizeof(int)); mir->agg_vec = ios_create_vec(m+n); mir->subst = xcalloc(1+m+n, sizeof(char)); mir->mod_vec = ios_create_vec(m+n); mir->cut_vec = ios_create_vec(m+n); /* set global row attributes */ set_row_attrib(tree, mir); /* set global column attributes */ set_col_attrib(tree, mir); /* set variable bounds */ set_var_bounds(tree, mir); /* mark rows which should not be used */ mark_useless_rows(tree, mir); return mir; } /*********************************************************************** * NAME * * ios_mir_gen - generate MIR cuts * * SYNOPSIS * * #include "glpios.h" * void ios_mir_gen(glp_tree *tree, void *gen, IOSPOOL *pool); * * DESCRIPTION * * The routine ios_mir_gen generates MIR cuts for the current point and * adds them to the cut pool. */ static void get_current_point(glp_tree *tree, struct MIR *mir) { /* obtain current point */ glp_prob *mip = tree->mip; int m = mir->m; int n = mir->n; int k; for (k = 1; k <= m; k++) mir->x[k] = mip->row[k]->prim; for (k = m+1; k <= m+n; k++) mir->x[k] = mip->col[k-m]->prim; return; } #if _MIR_DEBUG static void check_current_point(struct MIR *mir) { /* check current point */ int m = mir->m; int n = mir->n; int k, kk; double lb, ub, eps; for (k = 1; k <= m+n; k++) { /* determine lower bound */ lb = mir->lb[k]; kk = mir->vlb[k]; if (kk != 0) { xassert(lb != -DBL_MAX); xassert(!mir->isint[k]); xassert(mir->isint[kk]); lb *= mir->x[kk]; } /* check lower bound */ if (lb != -DBL_MAX) { eps = 1e-6 * (1.0 + fabs(lb)); xassert(mir->x[k] >= lb - eps); } /* determine upper bound */ ub = mir->ub[k]; kk = mir->vub[k]; if (kk != 0) { xassert(ub != +DBL_MAX); xassert(!mir->isint[k]); xassert(mir->isint[kk]); ub *= mir->x[kk]; } /* check upper bound */ if (ub != +DBL_MAX) { eps = 1e-6 * (1.0 + fabs(ub)); xassert(mir->x[k] <= ub + eps); } } return; } #endif static void initial_agg_row(glp_tree *tree, struct MIR *mir, int i) { /* use original i-th row as initial aggregated constraint */ glp_prob *mip = tree->mip; int m = mir->m; GLPAIJ *aij; xassert(1 <= i && i <= m); xassert(!mir->skip[i]); /* mark i-th row in order not to use it in the same aggregated constraint */ mir->skip[i] = 2; mir->agg_cnt = 1; mir->agg_row[1] = i; /* use x[i] - sum a[i,j] * x[m+j] = 0, where x[i] is auxiliary variable of row i, x[m+j] are structural variables */ ios_clear_vec(mir->agg_vec); ios_set_vj(mir->agg_vec, i, 1.0); for (aij = mip->row[i]->ptr; aij != NULL; aij = aij->r_next) ios_set_vj(mir->agg_vec, m + aij->col->j, - aij->val); mir->agg_rhs = 0.0; #if _MIR_DEBUG ios_check_vec(mir->agg_vec); #endif return; } #if _MIR_DEBUG static void check_agg_row(struct MIR *mir) { /* check aggregated constraint */ int m = mir->m; int n = mir->n; int j, k; double r, big; /* compute the residual r = sum a[k] * x[k] - b and determine big = max(1, |a[k]|, |b|) */ r = 0.0, big = 1.0; for (j = 1; j <= mir->agg_vec->nnz; j++) { k = mir->agg_vec->ind[j]; xassert(1 <= k && k <= m+n); r += mir->agg_vec->val[j] * mir->x[k]; if (big < fabs(mir->agg_vec->val[j])) big = fabs(mir->agg_vec->val[j]); } r -= mir->agg_rhs; if (big < fabs(mir->agg_rhs)) big = fabs(mir->agg_rhs); /* the residual must be close to zero */ xassert(fabs(r) <= 1e-6 * big); return; } #endif static void subst_fixed_vars(struct MIR *mir) { /* substitute fixed variables into aggregated constraint */ int m = mir->m; int n = mir->n; int j, k; for (j = 1; j <= mir->agg_vec->nnz; j++) { k = mir->agg_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->vlb[k] == 0 && mir->vub[k] == 0 && mir->lb[k] == mir->ub[k]) { /* x[k] is fixed */ mir->agg_rhs -= mir->agg_vec->val[j] * mir->lb[k]; mir->agg_vec->val[j] = 0.0; } } /* remove terms corresponding to fixed variables */ ios_clean_vec(mir->agg_vec, DBL_EPSILON); #if _MIR_DEBUG ios_check_vec(mir->agg_vec); #endif return; } static void bound_subst_heur(struct MIR *mir) { /* bound substitution heuristic */ int m = mir->m; int n = mir->n; int j, k, kk; double d1, d2; for (j = 1; j <= mir->agg_vec->nnz; j++) { k = mir->agg_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->isint[k]) continue; /* skip integer variable */ /* compute distance from x[k] to its lower bound */ kk = mir->vlb[k]; if (kk == 0) { if (mir->lb[k] == -DBL_MAX) d1 = DBL_MAX; else d1 = mir->x[k] - mir->lb[k]; } else { xassert(1 <= kk && kk <= m+n); xassert(mir->isint[kk]); xassert(mir->lb[k] != -DBL_MAX); d1 = mir->x[k] - mir->lb[k] * mir->x[kk]; } /* compute distance from x[k] to its upper bound */ kk = mir->vub[k]; if (kk == 0) { if (mir->vub[k] == +DBL_MAX) d2 = DBL_MAX; else d2 = mir->ub[k] - mir->x[k]; } else { xassert(1 <= kk && kk <= m+n); xassert(mir->isint[kk]); xassert(mir->ub[k] != +DBL_MAX); d2 = mir->ub[k] * mir->x[kk] - mir->x[k]; } /* x[k] cannot be free */ xassert(d1 != DBL_MAX || d2 != DBL_MAX); /* choose the bound which is closer to x[k] */ xassert(mir->subst[k] == '?'); if (d1 <= d2) mir->subst[k] = 'L'; else mir->subst[k] = 'U'; } return; } static void build_mod_row(struct MIR *mir) { /* substitute bounds and build modified constraint */ int m = mir->m; int n = mir->n; int j, jj, k, kk; /* initially modified constraint is aggregated constraint */ ios_copy_vec(mir->mod_vec, mir->agg_vec); mir->mod_rhs = mir->agg_rhs; #if _MIR_DEBUG ios_check_vec(mir->mod_vec); #endif /* substitute bounds for continuous variables; note that due to substitution of variable bounds additional terms may appear in modified constraint */ for (j = mir->mod_vec->nnz; j >= 1; j--) { k = mir->mod_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->isint[k]) continue; /* skip integer variable */ if (mir->subst[k] == 'L') { /* x[k] = (lower bound) + x'[k] */ xassert(mir->lb[k] != -DBL_MAX); kk = mir->vlb[k]; if (kk == 0) { /* x[k] = lb[k] + x'[k] */ mir->mod_rhs -= mir->mod_vec->val[j] * mir->lb[k]; } else { /* x[k] = lb[k] * x[kk] + x'[k] */ xassert(mir->isint[kk]); jj = mir->mod_vec->pos[kk]; if (jj == 0) { ios_set_vj(mir->mod_vec, kk, 1.0); jj = mir->mod_vec->pos[kk]; mir->mod_vec->val[jj] = 0.0; } mir->mod_vec->val[jj] += mir->mod_vec->val[j] * mir->lb[k]; } } else if (mir->subst[k] == 'U') { /* x[k] = (upper bound) - x'[k] */ xassert(mir->ub[k] != +DBL_MAX); kk = mir->vub[k]; if (kk == 0) { /* x[k] = ub[k] - x'[k] */ mir->mod_rhs -= mir->mod_vec->val[j] * mir->ub[k]; } else { /* x[k] = ub[k] * x[kk] - x'[k] */ xassert(mir->isint[kk]); jj = mir->mod_vec->pos[kk]; if (jj == 0) { ios_set_vj(mir->mod_vec, kk, 1.0); jj = mir->mod_vec->pos[kk]; mir->mod_vec->val[jj] = 0.0; } mir->mod_vec->val[jj] += mir->mod_vec->val[j] * mir->ub[k]; } mir->mod_vec->val[j] = - mir->mod_vec->val[j]; } else xassert(k != k); } #if _MIR_DEBUG ios_check_vec(mir->mod_vec); #endif /* substitute bounds for integer variables */ for (j = 1; j <= mir->mod_vec->nnz; j++) { k = mir->mod_vec->ind[j]; xassert(1 <= k && k <= m+n); if (!mir->isint[k]) continue; /* skip continuous variable */ xassert(mir->subst[k] == '?'); xassert(mir->vlb[k] == 0 && mir->vub[k] == 0); xassert(mir->lb[k] != -DBL_MAX && mir->ub[k] != +DBL_MAX); if (fabs(mir->lb[k]) <= fabs(mir->ub[k])) { /* x[k] = lb[k] + x'[k] */ mir->subst[k] = 'L'; mir->mod_rhs -= mir->mod_vec->val[j] * mir->lb[k]; } else { /* x[k] = ub[k] - x'[k] */ mir->subst[k] = 'U'; mir->mod_rhs -= mir->mod_vec->val[j] * mir->ub[k]; mir->mod_vec->val[j] = - mir->mod_vec->val[j]; } } #if _MIR_DEBUG ios_check_vec(mir->mod_vec); #endif return; } #if _MIR_DEBUG static void check_mod_row(struct MIR *mir) { /* check modified constraint */ int m = mir->m; int n = mir->n; int j, k, kk; double r, big, x; /* compute the residual r = sum a'[k] * x'[k] - b' and determine big = max(1, |a[k]|, |b|) */ r = 0.0, big = 1.0; for (j = 1; j <= mir->mod_vec->nnz; j++) { k = mir->mod_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->subst[k] == 'L') { /* x'[k] = x[k] - (lower bound) */ xassert(mir->lb[k] != -DBL_MAX); kk = mir->vlb[k]; if (kk == 0) x = mir->x[k] - mir->lb[k]; else x = mir->x[k] - mir->lb[k] * mir->x[kk]; } else if (mir->subst[k] == 'U') { /* x'[k] = (upper bound) - x[k] */ xassert(mir->ub[k] != +DBL_MAX); kk = mir->vub[k]; if (kk == 0) x = mir->ub[k] - mir->x[k]; else x = mir->ub[k] * mir->x[kk] - mir->x[k]; } else xassert(k != k); r += mir->mod_vec->val[j] * x; if (big < fabs(mir->mod_vec->val[j])) big = fabs(mir->mod_vec->val[j]); } r -= mir->mod_rhs; if (big < fabs(mir->mod_rhs)) big = fabs(mir->mod_rhs); /* the residual must be close to zero */ xassert(fabs(r) <= 1e-6 * big); return; } #endif /*********************************************************************** * mir_ineq - construct MIR inequality * * Given the single constraint mixed integer set * * |N| * X = {(x,s) in Z x R : sum a[j] * x[j] <= b + s}, * + + j in N * * this routine constructs the mixed integer rounding (MIR) inequality * * sum alpha[j] * x[j] <= beta + gamma * s, * j in N * * which is valid for X. * * If the MIR inequality has been successfully constructed, the routine * returns zero. Otherwise, if b is close to nearest integer, there may * be numeric difficulties due to big coefficients; so in this case the * routine returns non-zero. */ static int mir_ineq(const int n, const double a[], const double b, double alpha[], double *beta, double *gamma) { int j; double f, t; if (fabs(b - floor(b + .5)) < 0.01) return 1; f = b - floor(b); for (j = 1; j <= n; j++) { t = (a[j] - floor(a[j])) - f; if (t <= 0.0) alpha[j] = floor(a[j]); else alpha[j] = floor(a[j]) + t / (1.0 - f); } *beta = floor(b); *gamma = 1.0 / (1.0 - f); return 0; } /*********************************************************************** * cmir_ineq - construct c-MIR inequality * * Given the mixed knapsack set * * MK |N| * X = {(x,s) in Z x R : sum a[j] * x[j] <= b + s, * + + j in N * * x[j] <= u[j]}, * * a subset C of variables to be complemented, and a divisor delta > 0, * this routine constructs the complemented MIR (c-MIR) inequality * * sum alpha[j] * x[j] <= beta + gamma * s, * j in N * MK * which is valid for X . * * If the c-MIR inequality has been successfully constructed, the * routine returns zero. Otherwise, if there is a risk of numerical * difficulties due to big coefficients (see comments to the routine * mir_ineq), the routine cmir_ineq returns non-zero. */ static int cmir_ineq(const int n, const double a[], const double b, const double u[], const char cset[], const double delta, double alpha[], double *beta, double *gamma) { int j; double *aa, bb; aa = alpha, bb = b; for (j = 1; j <= n; j++) { aa[j] = a[j] / delta; if (cset[j]) aa[j] = - aa[j], bb -= a[j] * u[j]; } bb /= delta; if (mir_ineq(n, aa, bb, alpha, beta, gamma)) return 1; for (j = 1; j <= n; j++) { if (cset[j]) alpha[j] = - alpha[j], *beta += alpha[j] * u[j]; } *gamma /= delta; return 0; } /*********************************************************************** * cmir_sep - c-MIR separation heuristic * * Given the mixed knapsack set * * MK |N| * X = {(x,s) in Z x R : sum a[j] * x[j] <= b + s, * + + j in N * * x[j] <= u[j]} * * * * * and a fractional point (x , s ), this routine tries to construct * c-MIR inequality * * sum alpha[j] * x[j] <= beta + gamma * s, * j in N * MK * which is valid for X and has (desirably maximal) violation at the * fractional point given. This is attained by choosing an appropriate * set C of variables to be complemented and a divisor delta > 0, which * together define corresponding c-MIR inequality. * * If a violated c-MIR inequality has been successfully constructed, * the routine returns its violation: * * * * * sum alpha[j] * x [j] - beta - gamma * s , * j in N * * which is positive. In case of failure the routine returns zero. */ struct vset { int j; double v; }; static int cmir_cmp(const void *p1, const void *p2) { const struct vset *v1 = p1, *v2 = p2; if (v1->v < v2->v) return -1; if (v1->v > v2->v) return +1; return 0; } static double cmir_sep(const int n, const double a[], const double b, const double u[], const double x[], const double s, double alpha[], double *beta, double *gamma) { int fail, j, k, nv, v; double delta, eps, d_try[1+3], r, r_best; char *cset; struct vset *vset; /* allocate working arrays */ cset = xcalloc(1+n, sizeof(char)); vset = xcalloc(1+n, sizeof(struct vset)); /* choose initial C */ for (j = 1; j <= n; j++) cset[j] = (char)(x[j] >= 0.5 * u[j]); /* choose initial delta */ r_best = delta = 0.0; for (j = 1; j <= n; j++) { xassert(a[j] != 0.0); /* if x[j] is close to its bounds, skip it */ eps = 1e-9 * (1.0 + fabs(u[j])); if (x[j] < eps || x[j] > u[j] - eps) continue; /* try delta = |a[j]| to construct c-MIR inequality */ fail = cmir_ineq(n, a, b, u, cset, fabs(a[j]), alpha, beta, gamma); if (fail) continue; /* compute violation */ r = - (*beta) - (*gamma) * s; for (k = 1; k <= n; k++) r += alpha[k] * x[k]; if (r_best < r) r_best = r, delta = fabs(a[j]); } if (r_best < 0.001) r_best = 0.0; if (r_best == 0.0) goto done; xassert(delta > 0.0); /* try to increase violation by dividing delta by 2, 4, and 8, respectively */ d_try[1] = delta / 2.0; d_try[2] = delta / 4.0; d_try[3] = delta / 8.0; for (j = 1; j <= 3; j++) { /* construct c-MIR inequality */ fail = cmir_ineq(n, a, b, u, cset, d_try[j], alpha, beta, gamma); if (fail) continue; /* compute violation */ r = - (*beta) - (*gamma) * s; for (k = 1; k <= n; k++) r += alpha[k] * x[k]; if (r_best < r) r_best = r, delta = d_try[j]; } /* build subset of variables lying strictly between their bounds and order it by nondecreasing values of |x[j] - u[j]/2| */ nv = 0; for (j = 1; j <= n; j++) { /* if x[j] is close to its bounds, skip it */ eps = 1e-9 * (1.0 + fabs(u[j])); if (x[j] < eps || x[j] > u[j] - eps) continue; /* add x[j] to the subset */ nv++; vset[nv].j = j; vset[nv].v = fabs(x[j] - 0.5 * u[j]); } qsort(&vset[1], nv, sizeof(struct vset), cmir_cmp); /* try to increase violation by successively complementing each variable in the subset */ for (v = 1; v <= nv; v++) { j = vset[v].j; /* replace x[j] by its complement or vice versa */ cset[j] = (char)!cset[j]; /* construct c-MIR inequality */ fail = cmir_ineq(n, a, b, u, cset, delta, alpha, beta, gamma); /* restore the variable */ cset[j] = (char)!cset[j]; /* do not replace the variable in case of failure */ if (fail) continue; /* compute violation */ r = - (*beta) - (*gamma) * s; for (k = 1; k <= n; k++) r += alpha[k] * x[k]; if (r_best < r) r_best = r, cset[j] = (char)!cset[j]; } /* construct the best c-MIR inequality chosen */ fail = cmir_ineq(n, a, b, u, cset, delta, alpha, beta, gamma); xassert(!fail); done: /* free working arrays */ xfree(cset); xfree(vset); /* return to the calling routine */ return r_best; } static double generate(struct MIR *mir) { /* try to generate violated c-MIR cut for modified constraint */ int m = mir->m; int n = mir->n; int j, k, kk, nint; double s, *u, *x, *alpha, r_best = 0.0, b, beta, gamma; ios_copy_vec(mir->cut_vec, mir->mod_vec); mir->cut_rhs = mir->mod_rhs; /* remove small terms, which can appear due to substitution of variable bounds */ ios_clean_vec(mir->cut_vec, DBL_EPSILON); #if _MIR_DEBUG ios_check_vec(mir->cut_vec); #endif /* remove positive continuous terms to obtain MK relaxation */ for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (!mir->isint[k] && mir->cut_vec->val[j] > 0.0) mir->cut_vec->val[j] = 0.0; } ios_clean_vec(mir->cut_vec, 0.0); #if _MIR_DEBUG ios_check_vec(mir->cut_vec); #endif /* move integer terms to the beginning of the sparse vector and determine the number of integer variables */ nint = 0; for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->isint[k]) { double temp; nint++; /* interchange elements [nint] and [j] */ kk = mir->cut_vec->ind[nint]; mir->cut_vec->pos[k] = nint; mir->cut_vec->pos[kk] = j; mir->cut_vec->ind[nint] = k; mir->cut_vec->ind[j] = kk; temp = mir->cut_vec->val[nint]; mir->cut_vec->val[nint] = mir->cut_vec->val[j]; mir->cut_vec->val[j] = temp; } } #if _MIR_DEBUG ios_check_vec(mir->cut_vec); #endif /* if there is no integer variable, nothing to generate */ if (nint == 0) goto done; /* allocate working arrays */ u = xcalloc(1+nint, sizeof(double)); x = xcalloc(1+nint, sizeof(double)); alpha = xcalloc(1+nint, sizeof(double)); /* determine u and x */ for (j = 1; j <= nint; j++) { k = mir->cut_vec->ind[j]; xassert(m+1 <= k && k <= m+n); xassert(mir->isint[k]); u[j] = mir->ub[k] - mir->lb[k]; xassert(u[j] >= 1.0); if (mir->subst[k] == 'L') x[j] = mir->x[k] - mir->lb[k]; else if (mir->subst[k] == 'U') x[j] = mir->ub[k] - mir->x[k]; else xassert(k != k); xassert(x[j] >= -0.001); if (x[j] < 0.0) x[j] = 0.0; } /* compute s = - sum of continuous terms */ s = 0.0; for (j = nint+1; j <= mir->cut_vec->nnz; j++) { double x; k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); /* must be continuous */ xassert(!mir->isint[k]); if (mir->subst[k] == 'L') { xassert(mir->lb[k] != -DBL_MAX); kk = mir->vlb[k]; if (kk == 0) x = mir->x[k] - mir->lb[k]; else x = mir->x[k] - mir->lb[k] * mir->x[kk]; } else if (mir->subst[k] == 'U') { xassert(mir->ub[k] != +DBL_MAX); kk = mir->vub[k]; if (kk == 0) x = mir->ub[k] - mir->x[k]; else x = mir->ub[k] * mir->x[kk] - mir->x[k]; } else xassert(k != k); xassert(x >= -0.001); if (x < 0.0) x = 0.0; s -= mir->cut_vec->val[j] * x; } xassert(s >= 0.0); /* apply heuristic to obtain most violated c-MIR inequality */ b = mir->cut_rhs; r_best = cmir_sep(nint, mir->cut_vec->val, b, u, x, s, alpha, &beta, &gamma); if (r_best == 0.0) goto skip; xassert(r_best > 0.0); /* convert to raw cut */ /* sum alpha[j] * x[j] <= beta + gamma * s */ for (j = 1; j <= nint; j++) mir->cut_vec->val[j] = alpha[j]; for (j = nint+1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; if (k <= m+n) mir->cut_vec->val[j] *= gamma; } mir->cut_rhs = beta; #if _MIR_DEBUG ios_check_vec(mir->cut_vec); #endif skip: /* free working arrays */ xfree(u); xfree(x); xfree(alpha); done: return r_best; } #if _MIR_DEBUG static void check_raw_cut(struct MIR *mir, double r_best) { /* check raw cut before back bound substitution */ int m = mir->m; int n = mir->n; int j, k, kk; double r, big, x; /* compute the residual r = sum a[k] * x[k] - b and determine big = max(1, |a[k]|, |b|) */ r = 0.0, big = 1.0; for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->subst[k] == 'L') { xassert(mir->lb[k] != -DBL_MAX); kk = mir->vlb[k]; if (kk == 0) x = mir->x[k] - mir->lb[k]; else x = mir->x[k] - mir->lb[k] * mir->x[kk]; } else if (mir->subst[k] == 'U') { xassert(mir->ub[k] != +DBL_MAX); kk = mir->vub[k]; if (kk == 0) x = mir->ub[k] - mir->x[k]; else x = mir->ub[k] * mir->x[kk] - mir->x[k]; } else xassert(k != k); r += mir->cut_vec->val[j] * x; if (big < fabs(mir->cut_vec->val[j])) big = fabs(mir->cut_vec->val[j]); } r -= mir->cut_rhs; if (big < fabs(mir->cut_rhs)) big = fabs(mir->cut_rhs); /* the residual must be close to r_best */ xassert(fabs(r - r_best) <= 1e-6 * big); return; } #endif static void back_subst(struct MIR *mir) { /* back substitution of original bounds */ int m = mir->m; int n = mir->n; int j, jj, k, kk; /* at first, restore bounds of integer variables (because on restoring variable bounds of continuous variables we need original, not shifted, bounds of integer variables) */ for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (!mir->isint[k]) continue; /* skip continuous */ if (mir->subst[k] == 'L') { /* x'[k] = x[k] - lb[k] */ xassert(mir->lb[k] != -DBL_MAX); xassert(mir->vlb[k] == 0); mir->cut_rhs += mir->cut_vec->val[j] * mir->lb[k]; } else if (mir->subst[k] == 'U') { /* x'[k] = ub[k] - x[k] */ xassert(mir->ub[k] != +DBL_MAX); xassert(mir->vub[k] == 0); mir->cut_rhs -= mir->cut_vec->val[j] * mir->ub[k]; mir->cut_vec->val[j] = - mir->cut_vec->val[j]; } else xassert(k != k); } /* now restore bounds of continuous variables */ for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (mir->isint[k]) continue; /* skip integer */ if (mir->subst[k] == 'L') { /* x'[k] = x[k] - (lower bound) */ xassert(mir->lb[k] != -DBL_MAX); kk = mir->vlb[k]; if (kk == 0) { /* x'[k] = x[k] - lb[k] */ mir->cut_rhs += mir->cut_vec->val[j] * mir->lb[k]; } else { /* x'[k] = x[k] - lb[k] * x[kk] */ jj = mir->cut_vec->pos[kk]; #if 0 xassert(jj != 0); #else if (jj == 0) { ios_set_vj(mir->cut_vec, kk, 1.0); jj = mir->cut_vec->pos[kk]; xassert(jj != 0); mir->cut_vec->val[jj] = 0.0; } #endif mir->cut_vec->val[jj] -= mir->cut_vec->val[j] * mir->lb[k]; } } else if (mir->subst[k] == 'U') { /* x'[k] = (upper bound) - x[k] */ xassert(mir->ub[k] != +DBL_MAX); kk = mir->vub[k]; if (kk == 0) { /* x'[k] = ub[k] - x[k] */ mir->cut_rhs -= mir->cut_vec->val[j] * mir->ub[k]; } else { /* x'[k] = ub[k] * x[kk] - x[k] */ jj = mir->cut_vec->pos[kk]; if (jj == 0) { ios_set_vj(mir->cut_vec, kk, 1.0); jj = mir->cut_vec->pos[kk]; xassert(jj != 0); mir->cut_vec->val[jj] = 0.0; } mir->cut_vec->val[jj] += mir->cut_vec->val[j] * mir->ub[k]; } mir->cut_vec->val[j] = - mir->cut_vec->val[j]; } else xassert(k != k); } #if _MIR_DEBUG ios_check_vec(mir->cut_vec); #endif return; } #if _MIR_DEBUG static void check_cut_row(struct MIR *mir, double r_best) { /* check the cut after back bound substitution or elimination of auxiliary variables */ int m = mir->m; int n = mir->n; int j, k; double r, big; /* compute the residual r = sum a[k] * x[k] - b and determine big = max(1, |a[k]|, |b|) */ r = 0.0, big = 1.0; for (j = 1; j <= mir->cut_vec->nnz; j++) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); r += mir->cut_vec->val[j] * mir->x[k]; if (big < fabs(mir->cut_vec->val[j])) big = fabs(mir->cut_vec->val[j]); } r -= mir->cut_rhs; if (big < fabs(mir->cut_rhs)) big = fabs(mir->cut_rhs); /* the residual must be close to r_best */ xassert(fabs(r - r_best) <= 1e-6 * big); return; } #endif static void subst_aux_vars(glp_tree *tree, struct MIR *mir) { /* final substitution to eliminate auxiliary variables */ glp_prob *mip = tree->mip; int m = mir->m; int n = mir->n; GLPAIJ *aij; int j, k, kk, jj; for (j = mir->cut_vec->nnz; j >= 1; j--) { k = mir->cut_vec->ind[j]; xassert(1 <= k && k <= m+n); if (k > m) continue; /* skip structurals */ for (aij = mip->row[k]->ptr; aij != NULL; aij = aij->r_next) { kk = m + aij->col->j; /* structural */ jj = mir->cut_vec->pos[kk]; if (jj == 0) { ios_set_vj(mir->cut_vec, kk, 1.0); jj = mir->cut_vec->pos[kk]; mir->cut_vec->val[jj] = 0.0; } mir->cut_vec->val[jj] += mir->cut_vec->val[j] * aij->val; } mir->cut_vec->val[j] = 0.0; } ios_clean_vec(mir->cut_vec, 0.0); return; } static void add_cut(glp_tree *tree, struct MIR *mir) { /* add constructed cut inequality to the cut pool */ int m = mir->m; int n = mir->n; int j, k, len; int *ind = xcalloc(1+n, sizeof(int)); double *val = xcalloc(1+n, sizeof(double)); len = 0; for (j = mir->cut_vec->nnz; j >= 1; j--) { k = mir->cut_vec->ind[j]; xassert(m+1 <= k && k <= m+n); len++, ind[len] = k - m, val[len] = mir->cut_vec->val[j]; } #if 0 ios_add_cut_row(tree, pool, GLP_RF_MIR, len, ind, val, GLP_UP, mir->cut_rhs); #else glp_ios_add_row(tree, NULL, GLP_RF_MIR, 0, len, ind, val, GLP_UP, mir->cut_rhs); #endif xfree(ind); xfree(val); return; } static int aggregate_row(glp_tree *tree, struct MIR *mir) { /* try to aggregate another row */ glp_prob *mip = tree->mip; int m = mir->m; int n = mir->n; GLPAIJ *aij; IOSVEC *v; int ii, j, jj, k, kk, kappa = 0, ret = 0; double d1, d2, d, d_max = 0.0; /* choose appropriate structural variable in the aggregated row to be substituted */ for (j = 1; j <= mir->agg_vec->nnz; j++) { k = mir->agg_vec->ind[j]; xassert(1 <= k && k <= m+n); if (k <= m) continue; /* skip auxiliary var */ if (mir->isint[k]) continue; /* skip integer var */ if (fabs(mir->agg_vec->val[j]) < 0.001) continue; /* compute distance from x[k] to its lower bound */ kk = mir->vlb[k]; if (kk == 0) { if (mir->lb[k] == -DBL_MAX) d1 = DBL_MAX; else d1 = mir->x[k] - mir->lb[k]; } else { xassert(1 <= kk && kk <= m+n); xassert(mir->isint[kk]); xassert(mir->lb[k] != -DBL_MAX); d1 = mir->x[k] - mir->lb[k] * mir->x[kk]; } /* compute distance from x[k] to its upper bound */ kk = mir->vub[k]; if (kk == 0) { if (mir->vub[k] == +DBL_MAX) d2 = DBL_MAX; else d2 = mir->ub[k] - mir->x[k]; } else { xassert(1 <= kk && kk <= m+n); xassert(mir->isint[kk]); xassert(mir->ub[k] != +DBL_MAX); d2 = mir->ub[k] * mir->x[kk] - mir->x[k]; } /* x[k] cannot be free */ xassert(d1 != DBL_MAX || d2 != DBL_MAX); /* d = min(d1, d2) */ d = (d1 <= d2 ? d1 : d2); xassert(d != DBL_MAX); /* should not be close to corresponding bound */ if (d < 0.001) continue; if (d_max < d) d_max = d, kappa = k; } if (kappa == 0) { /* nothing chosen */ ret = 1; goto done; } /* x[kappa] has been chosen */ xassert(m+1 <= kappa && kappa <= m+n); xassert(!mir->isint[kappa]); /* find another row, which have not been used yet, to eliminate x[kappa] from the aggregated row */ for (ii = 1; ii <= m; ii++) { if (mir->skip[ii]) continue; for (aij = mip->row[ii]->ptr; aij != NULL; aij = aij->r_next) if (aij->col->j == kappa - m) break; if (aij != NULL && fabs(aij->val) >= 0.001) break; } if (ii > m) { /* nothing found */ ret = 2; goto done; } /* row ii has been found; include it in the aggregated list */ mir->agg_cnt++; xassert(mir->agg_cnt <= MAXAGGR); mir->agg_row[mir->agg_cnt] = ii; mir->skip[ii] = 2; /* v := new row */ v = ios_create_vec(m+n); ios_set_vj(v, ii, 1.0); for (aij = mip->row[ii]->ptr; aij != NULL; aij = aij->r_next) ios_set_vj(v, m + aij->col->j, - aij->val); #if _MIR_DEBUG ios_check_vec(v); #endif /* perform gaussian elimination to remove x[kappa] */ j = mir->agg_vec->pos[kappa]; xassert(j != 0); jj = v->pos[kappa]; xassert(jj != 0); ios_linear_comb(mir->agg_vec, - mir->agg_vec->val[j] / v->val[jj], v); ios_delete_vec(v); ios_set_vj(mir->agg_vec, kappa, 0.0); #if _MIR_DEBUG ios_check_vec(mir->agg_vec); #endif done: return ret; } void ios_mir_gen(glp_tree *tree, void *gen) { /* main routine to generate MIR cuts */ glp_prob *mip = tree->mip; struct MIR *mir = gen; int m = mir->m; int n = mir->n; int i; double r_best; xassert(mip->m >= m); xassert(mip->n == n); /* obtain current point */ get_current_point(tree, mir); #if _MIR_DEBUG /* check current point */ check_current_point(mir); #endif /* reset bound substitution flags */ memset(&mir->subst[1], '?', m+n); /* try to generate a set of violated MIR cuts */ for (i = 1; i <= m; i++) { if (mir->skip[i]) continue; /* use original i-th row as initial aggregated constraint */ initial_agg_row(tree, mir, i); loop: ; #if _MIR_DEBUG /* check aggregated row */ check_agg_row(mir); #endif /* substitute fixed variables into aggregated constraint */ subst_fixed_vars(mir); #if _MIR_DEBUG /* check aggregated row */ check_agg_row(mir); #endif #if _MIR_DEBUG /* check bound substitution flags */ { int k; for (k = 1; k <= m+n; k++) xassert(mir->subst[k] == '?'); } #endif /* apply bound substitution heuristic */ bound_subst_heur(mir); /* substitute bounds and build modified constraint */ build_mod_row(mir); #if _MIR_DEBUG /* check modified row */ check_mod_row(mir); #endif /* try to generate violated c-MIR cut for modified row */ r_best = generate(mir); if (r_best > 0.0) { /* success */ #if _MIR_DEBUG /* check raw cut before back bound substitution */ check_raw_cut(mir, r_best); #endif /* back substitution of original bounds */ back_subst(mir); #if _MIR_DEBUG /* check the cut after back bound substitution */ check_cut_row(mir, r_best); #endif /* final substitution to eliminate auxiliary variables */ subst_aux_vars(tree, mir); #if _MIR_DEBUG /* check the cut after elimination of auxiliaries */ check_cut_row(mir, r_best); #endif /* add constructed cut inequality to the cut pool */ add_cut(tree, mir); } /* reset bound substitution flags */ { int j, k; for (j = 1; j <= mir->mod_vec->nnz; j++) { k = mir->mod_vec->ind[j]; xassert(1 <= k && k <= m+n); xassert(mir->subst[k] != '?'); mir->subst[k] = '?'; } } if (r_best == 0.0) { /* failure */ if (mir->agg_cnt < MAXAGGR) { /* try to aggregate another row */ if (aggregate_row(tree, mir) == 0) goto loop; } } /* unmark rows used in the aggregated constraint */ { int k, ii; for (k = 1; k <= mir->agg_cnt; k++) { ii = mir->agg_row[k]; xassert(1 <= ii && ii <= m); xassert(mir->skip[ii] == 2); mir->skip[ii] = 0; } } } return; } /*********************************************************************** * NAME * * ios_mir_term - terminate MIR cut generator * * SYNOPSIS * * #include "glpios.h" * void ios_mir_term(void *gen); * * DESCRIPTION * * The routine ios_mir_term deletes the MIR cut generator working area * freeing all the memory allocated to it. */ void ios_mir_term(void *gen) { struct MIR *mir = gen; xfree(mir->skip); xfree(mir->isint); xfree(mir->lb); xfree(mir->vlb); xfree(mir->ub); xfree(mir->vub); xfree(mir->x); xfree(mir->agg_row); ios_delete_vec(mir->agg_vec); xfree(mir->subst); ios_delete_vec(mir->mod_vec); ios_delete_vec(mir->cut_vec); xfree(mir); return; } /* eof */