/* glpios02.c (preprocess current subproblem) */ /*********************************************************************** * 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" /*********************************************************************** * prepare_row_info - prepare row info to determine implied bounds * * Given a row (linear form) * * n * sum a[j] * x[j] (1) * j=1 * * and bounds of columns (variables) * * l[j] <= x[j] <= u[j] (2) * * this routine computes f_min, j_min, f_max, j_max needed to determine * implied bounds. * * ALGORITHM * * Let J+ = {j : a[j] > 0} and J- = {j : a[j] < 0}. * * Parameters f_min and j_min are computed as follows: * * 1) if there is no x[k] such that k in J+ and l[k] = -inf or k in J- * and u[k] = +inf, then * * f_min := sum a[j] * l[j] + sum a[j] * u[j] * j in J+ j in J- * (3) * j_min := 0 * * 2) if there is exactly one x[k] such that k in J+ and l[k] = -inf * or k in J- and u[k] = +inf, then * * f_min := sum a[j] * l[j] + sum a[j] * u[j] * j in J+\{k} j in J-\{k} * (4) * j_min := k * * 3) if there are two or more x[k] such that k in J+ and l[k] = -inf * or k in J- and u[k] = +inf, then * * f_min := -inf * (5) * j_min := 0 * * Parameters f_max and j_max are computed in a similar way as follows: * * 1) if there is no x[k] such that k in J+ and u[k] = +inf or k in J- * and l[k] = -inf, then * * f_max := sum a[j] * u[j] + sum a[j] * l[j] * j in J+ j in J- * (6) * j_max := 0 * * 2) if there is exactly one x[k] such that k in J+ and u[k] = +inf * or k in J- and l[k] = -inf, then * * f_max := sum a[j] * u[j] + sum a[j] * l[j] * j in J+\{k} j in J-\{k} * (7) * j_max := k * * 3) if there are two or more x[k] such that k in J+ and u[k] = +inf * or k in J- and l[k] = -inf, then * * f_max := +inf * (8) * j_max := 0 */ struct f_info { int j_min, j_max; double f_min, f_max; }; static void prepare_row_info(int n, const double a[], const double l[], const double u[], struct f_info *f) { int j, j_min, j_max; double f_min, f_max; xassert(n >= 0); /* determine f_min and j_min */ f_min = 0.0, j_min = 0; for (j = 1; j <= n; j++) { if (a[j] > 0.0) { if (l[j] == -DBL_MAX) { if (j_min == 0) j_min = j; else { f_min = -DBL_MAX, j_min = 0; break; } } else f_min += a[j] * l[j]; } else if (a[j] < 0.0) { if (u[j] == +DBL_MAX) { if (j_min == 0) j_min = j; else { f_min = -DBL_MAX, j_min = 0; break; } } else f_min += a[j] * u[j]; } else xassert(a != a); } f->f_min = f_min, f->j_min = j_min; /* determine f_max and j_max */ f_max = 0.0, j_max = 0; for (j = 1; j <= n; j++) { if (a[j] > 0.0) { if (u[j] == +DBL_MAX) { if (j_max == 0) j_max = j; else { f_max = +DBL_MAX, j_max = 0; break; } } else f_max += a[j] * u[j]; } else if (a[j] < 0.0) { if (l[j] == -DBL_MAX) { if (j_max == 0) j_max = j; else { f_max = +DBL_MAX, j_max = 0; break; } } else f_max += a[j] * l[j]; } else xassert(a != a); } f->f_max = f_max, f->j_max = j_max; return; } /*********************************************************************** * row_implied_bounds - determine row implied bounds * * Given a row (linear form) * * n * sum a[j] * x[j] * j=1 * * and bounds of columns (variables) * * l[j] <= x[j] <= u[j] * * this routine determines implied bounds of the row. * * ALGORITHM * * Let J+ = {j : a[j] > 0} and J- = {j : a[j] < 0}. * * The implied lower bound of the row is computed as follows: * * L' := sum a[j] * l[j] + sum a[j] * u[j] (9) * j in J+ j in J- * * and as it follows from (3), (4), and (5): * * L' := if j_min = 0 then f_min else -inf (10) * * The implied upper bound of the row is computed as follows: * * U' := sum a[j] * u[j] + sum a[j] * l[j] (11) * j in J+ j in J- * * and as it follows from (6), (7), and (8): * * U' := if j_max = 0 then f_max else +inf (12) * * The implied bounds are stored in locations LL and UU. */ static void row_implied_bounds(const struct f_info *f, double *LL, double *UU) { *LL = (f->j_min == 0 ? f->f_min : -DBL_MAX); *UU = (f->j_max == 0 ? f->f_max : +DBL_MAX); return; } /*********************************************************************** * col_implied_bounds - determine column implied bounds * * Given a row (constraint) * * n * L <= sum a[j] * x[j] <= U (13) * j=1 * * and bounds of columns (variables) * * l[j] <= x[j] <= u[j] * * this routine determines implied bounds of variable x[k]. * * It is assumed that if L != -inf, the lower bound of the row can be * active, and if U != +inf, the upper bound of the row can be active. * * ALGORITHM * * From (13) it follows that * * L <= sum a[j] * x[j] + a[k] * x[k] <= U * j!=k * or * * L - sum a[j] * x[j] <= a[k] * x[k] <= U - sum a[j] * x[j] * j!=k j!=k * * Thus, if the row lower bound L can be active, implied lower bound of * term a[k] * x[k] can be determined as follows: * * ilb(a[k] * x[k]) = min(L - sum a[j] * x[j]) = * j!=k * (14) * = L - max sum a[j] * x[j] * j!=k * * where, as it follows from (6), (7), and (8) * * / f_max - a[k] * u[k], j_max = 0, a[k] > 0 * | * | f_max - a[k] * l[k], j_max = 0, a[k] < 0 * max sum a[j] * x[j] = { * j!=k | f_max, j_max = k * | * \ +inf, j_max != 0 * * and if the upper bound U can be active, implied upper bound of term * a[k] * x[k] can be determined as follows: * * iub(a[k] * x[k]) = max(U - sum a[j] * x[j]) = * j!=k * (15) * = U - min sum a[j] * x[j] * j!=k * * where, as it follows from (3), (4), and (5) * * / f_min - a[k] * l[k], j_min = 0, a[k] > 0 * | * | f_min - a[k] * u[k], j_min = 0, a[k] < 0 * min sum a[j] * x[j] = { * j!=k | f_min, j_min = k * | * \ -inf, j_min != 0 * * Since * * ilb(a[k] * x[k]) <= a[k] * x[k] <= iub(a[k] * x[k]) * * implied lower and upper bounds of x[k] are determined as follows: * * l'[k] := if a[k] > 0 then ilb / a[k] else ulb / a[k] (16) * * u'[k] := if a[k] > 0 then ulb / a[k] else ilb / a[k] (17) * * The implied bounds are stored in locations ll and uu. */ static void col_implied_bounds(const struct f_info *f, int n, const double a[], double L, double U, const double l[], const double u[], int k, double *ll, double *uu) { double ilb, iub; xassert(n >= 0); xassert(1 <= k && k <= n); /* determine implied lower bound of term a[k] * x[k] (14) */ if (L == -DBL_MAX || f->f_max == +DBL_MAX) ilb = -DBL_MAX; else if (f->j_max == 0) { if (a[k] > 0.0) { xassert(u[k] != +DBL_MAX); ilb = L - (f->f_max - a[k] * u[k]); } else if (a[k] < 0.0) { xassert(l[k] != -DBL_MAX); ilb = L - (f->f_max - a[k] * l[k]); } else xassert(a != a); } else if (f->j_max == k) ilb = L - f->f_max; else ilb = -DBL_MAX; /* determine implied upper bound of term a[k] * x[k] (15) */ if (U == +DBL_MAX || f->f_min == -DBL_MAX) iub = +DBL_MAX; else if (f->j_min == 0) { if (a[k] > 0.0) { xassert(l[k] != -DBL_MAX); iub = U - (f->f_min - a[k] * l[k]); } else if (a[k] < 0.0) { xassert(u[k] != +DBL_MAX); iub = U - (f->f_min - a[k] * u[k]); } else xassert(a != a); } else if (f->j_min == k) iub = U - f->f_min; else iub = +DBL_MAX; /* determine implied bounds of x[k] (16) and (17) */ #if 1 /* do not use a[k] if it has small magnitude to prevent wrong implied bounds; for example, 1e-15 * x1 >= x2 + x3, where x1 >= -10, x2, x3 >= 0, would lead to wrong conclusion that x1 >= 0 */ if (fabs(a[k]) < 1e-6) *ll = -DBL_MAX, *uu = +DBL_MAX; else #endif if (a[k] > 0.0) { *ll = (ilb == -DBL_MAX ? -DBL_MAX : ilb / a[k]); *uu = (iub == +DBL_MAX ? +DBL_MAX : iub / a[k]); } else if (a[k] < 0.0) { *ll = (iub == +DBL_MAX ? -DBL_MAX : iub / a[k]); *uu = (ilb == -DBL_MAX ? +DBL_MAX : ilb / a[k]); } else xassert(a != a); return; } /*********************************************************************** * check_row_bounds - check and relax original row bounds * * Given a row (constraint) * * n * L <= sum a[j] * x[j] <= U * j=1 * * and bounds of columns (variables) * * l[j] <= x[j] <= u[j] * * this routine checks the original row bounds L and U for feasibility * and redundancy. If the original lower bound L or/and upper bound U * cannot be active due to bounds of variables, the routine remove them * replacing by -inf or/and +inf, respectively. * * If no primal infeasibility is detected, the routine returns zero, * otherwise non-zero. */ static int check_row_bounds(const struct f_info *f, double *L_, double *U_) { int ret = 0; double L = *L_, U = *U_, LL, UU; /* determine implied bounds of the row */ row_implied_bounds(f, &LL, &UU); /* check if the original lower bound is infeasible */ if (L != -DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(L)); if (UU < L - eps) { ret = 1; goto done; } } /* check if the original upper bound is infeasible */ if (U != +DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(U)); if (LL > U + eps) { ret = 1; goto done; } } /* check if the original lower bound is redundant */ if (L != -DBL_MAX) { double eps = 1e-12 * (1.0 + fabs(L)); if (LL > L - eps) { /* it cannot be active, so remove it */ *L_ = -DBL_MAX; } } /* check if the original upper bound is redundant */ if (U != +DBL_MAX) { double eps = 1e-12 * (1.0 + fabs(U)); if (UU < U + eps) { /* it cannot be active, so remove it */ *U_ = +DBL_MAX; } } done: return ret; } /*********************************************************************** * check_col_bounds - check and tighten original column bounds * * Given a row (constraint) * * n * L <= sum a[j] * x[j] <= U * j=1 * * and bounds of columns (variables) * * l[j] <= x[j] <= u[j] * * for column (variable) x[j] this routine checks the original column * bounds l[j] and u[j] for feasibility and redundancy. If the original * lower bound l[j] or/and upper bound u[j] cannot be active due to * bounds of the constraint and other variables, the routine tighten * them replacing by corresponding implied bounds, if possible. * * NOTE: It is assumed that if L != -inf, the row lower bound can be * active, and if U != +inf, the row upper bound can be active. * * The flag means that variable x[j] is required to be integer. * * New actual bounds for x[j] are stored in locations lj and uj. * * If no primal infeasibility is detected, the routine returns zero, * otherwise non-zero. */ static int check_col_bounds(const struct f_info *f, int n, const double a[], double L, double U, const double l[], const double u[], int flag, int j, double *_lj, double *_uj) { int ret = 0; double lj, uj, ll, uu; xassert(n >= 0); xassert(1 <= j && j <= n); lj = l[j], uj = u[j]; /* determine implied bounds of the column */ col_implied_bounds(f, n, a, L, U, l, u, j, &ll, &uu); /* if x[j] is integral, round its implied bounds */ if (flag) { if (ll != -DBL_MAX) ll = (ll - floor(ll) < 1e-3 ? floor(ll) : ceil(ll)); if (uu != +DBL_MAX) uu = (ceil(uu) - uu < 1e-3 ? ceil(uu) : floor(uu)); } /* check if the original lower bound is infeasible */ if (lj != -DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(lj)); if (uu < lj - eps) { ret = 1; goto done; } } /* check if the original upper bound is infeasible */ if (uj != +DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(uj)); if (ll > uj + eps) { ret = 1; goto done; } } /* check if the original lower bound is redundant */ if (ll != -DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(ll)); if (lj < ll - eps) { /* it cannot be active, so tighten it */ lj = ll; } } /* check if the original upper bound is redundant */ if (uu != +DBL_MAX) { double eps = 1e-3 * (1.0 + fabs(uu)); if (uj > uu + eps) { /* it cannot be active, so tighten it */ uj = uu; } } /* due to round-off errors it may happen that lj > uj (although lj < uj + eps, since no primal infeasibility is detected), so adjuct the new actual bounds to provide lj <= uj */ if (!(lj == -DBL_MAX || uj == +DBL_MAX)) { double t1 = fabs(lj), t2 = fabs(uj); double eps = 1e-10 * (1.0 + (t1 <= t2 ? t1 : t2)); if (lj > uj - eps) { if (lj == l[j]) uj = lj; else if (uj == u[j]) lj = uj; else if (t1 <= t2) uj = lj; else lj = uj; } } *_lj = lj, *_uj = uj; done: return ret; } /*********************************************************************** * check_efficiency - check if change in column bounds is efficient * * Given the original bounds of a column l and u and its new actual * bounds l' and u' (possibly tighten by the routine check_col_bounds) * this routine checks if the change in the column bounds is efficient * enough. If so, the routine returns non-zero, otherwise zero. * * The flag means that the variable is required to be integer. */ static int check_efficiency(int flag, double l, double u, double ll, double uu) { int eff = 0; /* check efficiency for lower bound */ if (l < ll) { if (flag || l == -DBL_MAX) eff++; else { double r; if (u == +DBL_MAX) r = 1.0 + fabs(l); else r = 1.0 + (u - l); if (ll - l >= 0.25 * r) eff++; } } /* check efficiency for upper bound */ if (u > uu) { if (flag || u == +DBL_MAX) eff++; else { double r; if (l == -DBL_MAX) r = 1.0 + fabs(u); else r = 1.0 + (u - l); if (u - uu >= 0.25 * r) eff++; } } return eff; } /*********************************************************************** * basic_preprocessing - perform basic preprocessing * * This routine performs basic preprocessing of the specified MIP that * includes relaxing some row bounds and tightening some column bounds. * * On entry the arrays L and U contains original row bounds, and the * arrays l and u contains original column bounds: * * L[0] is the lower bound of the objective row; * L[i], i = 1,...,m, is the lower bound of i-th row; * U[0] is the upper bound of the objective row; * U[i], i = 1,...,m, is the upper bound of i-th row; * l[0] is not used; * l[j], j = 1,...,n, is the lower bound of j-th column; * u[0] is not used; * u[j], j = 1,...,n, is the upper bound of j-th column. * * On exit the arrays L, U, l, and u contain new actual bounds of rows * and column in the same locations. * * The parameters nrs and num specify an initial list of rows to be * processed: * * nrs is the number of rows in the initial list, 0 <= nrs <= m+1; * num[0] is not used; * num[1,...,nrs] are row numbers (0 means the objective row). * * The parameter max_pass specifies the maximal number of times that * each row can be processed, max_pass > 0. * * If no primal infeasibility is detected, the routine returns zero, * otherwise non-zero. */ static int basic_preprocessing(glp_prob *mip, double L[], double U[], double l[], double u[], int nrs, const int num[], int max_pass) { int m = mip->m; int n = mip->n; struct f_info f; int i, j, k, len, size, ret = 0; int *ind, *list, *mark, *pass; double *val, *lb, *ub; xassert(0 <= nrs && nrs <= m+1); xassert(max_pass > 0); /* allocate working arrays */ ind = xcalloc(1+n, sizeof(int)); list = xcalloc(1+m+1, sizeof(int)); mark = xcalloc(1+m+1, sizeof(int)); memset(&mark[0], 0, (m+1) * sizeof(int)); pass = xcalloc(1+m+1, sizeof(int)); memset(&pass[0], 0, (m+1) * sizeof(int)); val = xcalloc(1+n, sizeof(double)); lb = xcalloc(1+n, sizeof(double)); ub = xcalloc(1+n, sizeof(double)); /* initialize the list of rows to be processed */ size = 0; for (k = 1; k <= nrs; k++) { i = num[k]; xassert(0 <= i && i <= m); /* duplicate row numbers are not allowed */ xassert(!mark[i]); list[++size] = i, mark[i] = 1; } xassert(size == nrs); /* process rows in the list until it becomes empty */ while (size > 0) { /* get a next row from the list */ i = list[size--], mark[i] = 0; /* increase the row processing count */ pass[i]++; /* if the row is free, skip it */ if (L[i] == -DBL_MAX && U[i] == +DBL_MAX) continue; /* obtain coefficients of the row */ len = 0; if (i == 0) { for (j = 1; j <= n; j++) { GLPCOL *col = mip->col[j]; if (col->coef != 0.0) len++, ind[len] = j, val[len] = col->coef; } } else { GLPROW *row = mip->row[i]; GLPAIJ *aij; for (aij = row->ptr; aij != NULL; aij = aij->r_next) len++, ind[len] = aij->col->j, val[len] = aij->val; } /* determine lower and upper bounds of columns corresponding to non-zero row coefficients */ for (k = 1; k <= len; k++) j = ind[k], lb[k] = l[j], ub[k] = u[j]; /* prepare the row info to determine implied bounds */ prepare_row_info(len, val, lb, ub, &f); /* check and relax bounds of the row */ if (check_row_bounds(&f, &L[i], &U[i])) { /* the feasible region is empty */ ret = 1; goto done; } /* if the row became free, drop it */ if (L[i] == -DBL_MAX && U[i] == +DBL_MAX) continue; /* process columns having non-zero coefficients in the row */ for (k = 1; k <= len; k++) { GLPCOL *col; int flag, eff; double ll, uu; /* take a next column in the row */ j = ind[k], col = mip->col[j]; flag = col->kind != GLP_CV; /* check and tighten bounds of the column */ if (check_col_bounds(&f, len, val, L[i], U[i], lb, ub, flag, k, &ll, &uu)) { /* the feasible region is empty */ ret = 1; goto done; } /* check if change in the column bounds is efficient */ eff = check_efficiency(flag, l[j], u[j], ll, uu); /* set new actual bounds of the column */ l[j] = ll, u[j] = uu; /* if the change is efficient, add all rows affected by the corresponding column, to the list */ if (eff > 0) { GLPAIJ *aij; for (aij = col->ptr; aij != NULL; aij = aij->c_next) { int ii = aij->row->i; /* if the row was processed maximal number of times, skip it */ if (pass[ii] >= max_pass) continue; /* if the row is free, skip it */ if (L[ii] == -DBL_MAX && U[ii] == +DBL_MAX) continue; /* put the row into the list */ if (mark[ii] == 0) { xassert(size <= m); list[++size] = ii, mark[ii] = 1; } } } } } done: /* free working arrays */ xfree(ind); xfree(list); xfree(mark); xfree(pass); xfree(val); xfree(lb); xfree(ub); return ret; } /*********************************************************************** * NAME * * ios_preprocess_node - preprocess current subproblem * * SYNOPSIS * * #include "glpios.h" * int ios_preprocess_node(glp_tree *tree, int max_pass); * * DESCRIPTION * * The routine ios_preprocess_node performs basic preprocessing of the * current subproblem. * * RETURNS * * If no primal infeasibility is detected, the routine returns zero, * otherwise non-zero. */ int ios_preprocess_node(glp_tree *tree, int max_pass) { glp_prob *mip = tree->mip; int m = mip->m; int n = mip->n; int i, j, nrs, *num, ret = 0; double *L, *U, *l, *u; /* the current subproblem must exist */ xassert(tree->curr != NULL); /* determine original row bounds */ L = xcalloc(1+m, sizeof(double)); U = xcalloc(1+m, sizeof(double)); switch (mip->mip_stat) { case GLP_UNDEF: L[0] = -DBL_MAX, U[0] = +DBL_MAX; break; case GLP_FEAS: switch (mip->dir) { case GLP_MIN: L[0] = -DBL_MAX, U[0] = mip->mip_obj - mip->c0; break; case GLP_MAX: L[0] = mip->mip_obj - mip->c0, U[0] = +DBL_MAX; break; default: xassert(mip != mip); } break; default: xassert(mip != mip); } for (i = 1; i <= m; i++) { L[i] = glp_get_row_lb(mip, i); U[i] = glp_get_row_ub(mip, i); } /* determine original column bounds */ l = xcalloc(1+n, sizeof(double)); u = xcalloc(1+n, sizeof(double)); for (j = 1; j <= n; j++) { l[j] = glp_get_col_lb(mip, j); u[j] = glp_get_col_ub(mip, j); } /* build the initial list of rows to be analyzed */ nrs = m + 1; num = xcalloc(1+nrs, sizeof(int)); for (i = 1; i <= nrs; i++) num[i] = i - 1; /* perform basic preprocessing */ if (basic_preprocessing(mip , L, U, l, u, nrs, num, max_pass)) { ret = 1; goto done; } /* set new actual (relaxed) row bounds */ for (i = 1; i <= m; i++) { /* consider only non-active rows to keep dual feasibility */ if (glp_get_row_stat(mip, i) == GLP_BS) { if (L[i] == -DBL_MAX && U[i] == +DBL_MAX) glp_set_row_bnds(mip, i, GLP_FR, 0.0, 0.0); else if (U[i] == +DBL_MAX) glp_set_row_bnds(mip, i, GLP_LO, L[i], 0.0); else if (L[i] == -DBL_MAX) glp_set_row_bnds(mip, i, GLP_UP, 0.0, U[i]); } } /* set new actual (tightened) column bounds */ for (j = 1; j <= n; j++) { int type; if (l[j] == -DBL_MAX && u[j] == +DBL_MAX) type = GLP_FR; else if (u[j] == +DBL_MAX) type = GLP_LO; else if (l[j] == -DBL_MAX) type = GLP_UP; else if (l[j] != u[j]) type = GLP_DB; else type = GLP_FX; glp_set_col_bnds(mip, j, type, l[j], u[j]); } done: /* free working arrays and return */ xfree(L); xfree(U); xfree(l); xfree(u); xfree(num); return ret; } /* eof */