/* glpios07.c (mixed cover 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" /*---------------------------------------------------------------------- -- COVER INEQUALITIES -- -- Consider the set of feasible solutions to 0-1 knapsack problem: -- -- sum a[j]*x[j] <= b, (1) -- j in J -- -- x[j] is binary, (2) -- -- where, wlog, we assume that a[j] > 0 (since 0-1 variables can be -- complemented) and a[j] <= b (since a[j] > b implies x[j] = 0). -- -- A set C within J is called a cover if -- -- sum a[j] > b. (3) -- j in C -- -- For any cover C the inequality -- -- sum x[j] <= |C| - 1 (4) -- j in C -- -- is called a cover inequality and is valid for (1)-(2). -- -- MIXED COVER INEQUALITIES -- -- Consider the set of feasible solutions to mixed knapsack problem: -- -- sum a[j]*x[j] + y <= b, (5) -- j in J -- -- x[j] is binary, (6) -- -- 0 <= y <= u is continuous, (7) -- -- where again we assume that a[j] > 0. -- -- Let C within J be some set. From (1)-(4) it follows that -- -- sum a[j] > b - y (8) -- j in C -- -- implies -- -- sum x[j] <= |C| - 1. (9) -- j in C -- -- Thus, we need to modify the inequality (9) in such a way that it be -- a constraint only if the condition (8) is satisfied. -- -- Consider the following inequality: -- -- sum x[j] <= |C| - t. (10) -- j in C -- -- If 0 < t <= 1, then (10) is equivalent to (9), because all x[j] are -- binary variables. On the other hand, if t <= 0, (10) being satisfied -- for any values of x[j] is not a constraint. -- -- Let -- -- t' = sum a[j] + y - b. (11) -- j in C -- -- It is understood that the condition t' > 0 is equivalent to (8). -- Besides, from (6)-(7) it follows that t' has an implied upper bound: -- -- t'max = sum a[j] + u - b. (12) -- j in C -- -- This allows to express the parameter t having desired properties: -- -- t = t' / t'max. (13) -- -- In fact, t <= 1 by definition, and t > 0 being equivalent to t' > 0 -- is equivalent to (8). -- -- Thus, the inequality (10), where t is given by formula (13) is valid -- for (5)-(7). -- -- Note that if u = 0, then y = 0, so t = 1, and the conditions (8) and -- (10) is transformed to the conditions (3) and (4). -- -- GENERATING MIXED COVER CUTS -- -- To generate a mixed cover cut in the form (10) we need to find such -- set C which satisfies to the inequality (8) and for which, in turn, -- the inequality (10) is violated in the current point. -- -- Substituting t from (13) to (10) gives: -- -- 1 -- sum x[j] <= |C| - ----- (sum a[j] + y - b), (14) -- j in C t'max j in C -- -- and finally we have the cut inequality in the standard form: -- -- sum x[j] + alfa * y <= beta, (15) -- j in C -- -- where: -- -- alfa = 1 / t'max, (16) -- -- beta = |C| - alfa * (sum a[j] - b). (17) -- j in C */ #if 1 #define MAXTRY 1000 #else #define MAXTRY 10000 #endif static int cover2(int n, double a[], double b, double u, double x[], double y, int cov[], double *_alfa, double *_beta) { /* try to generate mixed cover cut using two-element cover */ int i, j, try = 0, ret = 0; double eps, alfa, beta, temp, rmax = 0.001; eps = 0.001 * (1.0 + fabs(b)); for (i = 0+1; i <= n; i++) for (j = i+1; j <= n; j++) { /* C = {i, j} */ try++; if (try > MAXTRY) goto done; /* check if condition (8) is satisfied */ if (a[i] + a[j] + y > b + eps) { /* compute parameters for inequality (15) */ temp = a[i] + a[j] - b; alfa = 1.0 / (temp + u); beta = 2.0 - alfa * temp; /* compute violation of inequality (15) */ temp = x[i] + x[j] + alfa * y - beta; /* choose C providing maximum violation */ if (rmax < temp) { rmax = temp; cov[1] = i; cov[2] = j; *_alfa = alfa; *_beta = beta; ret = 1; } } } done: return ret; } static int cover3(int n, double a[], double b, double u, double x[], double y, int cov[], double *_alfa, double *_beta) { /* try to generate mixed cover cut using three-element cover */ int i, j, k, try = 0, ret = 0; double eps, alfa, beta, temp, rmax = 0.001; eps = 0.001 * (1.0 + fabs(b)); for (i = 0+1; i <= n; i++) for (j = i+1; j <= n; j++) for (k = j+1; k <= n; k++) { /* C = {i, j, k} */ try++; if (try > MAXTRY) goto done; /* check if condition (8) is satisfied */ if (a[i] + a[j] + a[k] + y > b + eps) { /* compute parameters for inequality (15) */ temp = a[i] + a[j] + a[k] - b; alfa = 1.0 / (temp + u); beta = 3.0 - alfa * temp; /* compute violation of inequality (15) */ temp = x[i] + x[j] + x[k] + alfa * y - beta; /* choose C providing maximum violation */ if (rmax < temp) { rmax = temp; cov[1] = i; cov[2] = j; cov[3] = k; *_alfa = alfa; *_beta = beta; ret = 1; } } } done: return ret; } static int cover4(int n, double a[], double b, double u, double x[], double y, int cov[], double *_alfa, double *_beta) { /* try to generate mixed cover cut using four-element cover */ int i, j, k, l, try = 0, ret = 0; double eps, alfa, beta, temp, rmax = 0.001; eps = 0.001 * (1.0 + fabs(b)); for (i = 0+1; i <= n; i++) for (j = i+1; j <= n; j++) for (k = j+1; k <= n; k++) for (l = k+1; l <= n; l++) { /* C = {i, j, k, l} */ try++; if (try > MAXTRY) goto done; /* check if condition (8) is satisfied */ if (a[i] + a[j] + a[k] + a[l] + y > b + eps) { /* compute parameters for inequality (15) */ temp = a[i] + a[j] + a[k] + a[l] - b; alfa = 1.0 / (temp + u); beta = 4.0 - alfa * temp; /* compute violation of inequality (15) */ temp = x[i] + x[j] + x[k] + x[l] + alfa * y - beta; /* choose C providing maximum violation */ if (rmax < temp) { rmax = temp; cov[1] = i; cov[2] = j; cov[3] = k; cov[4] = l; *_alfa = alfa; *_beta = beta; ret = 1; } } } done: return ret; } static int cover(int n, double a[], double b, double u, double x[], double y, int cov[], double *alfa, double *beta) { /* try to generate mixed cover cut; input (see (5)): n is the number of binary variables; a[1:n] are coefficients at binary variables; b is the right-hand side; u is upper bound of continuous variable; x[1:n] are values of binary variables at current point; y is value of continuous variable at current point; output (see (15), (16), (17)): cov[1:r] are indices of binary variables included in cover C, where r is the set cardinality returned on exit; alfa coefficient at continuous variable; beta is the right-hand side; */ int j; /* perform some sanity checks */ xassert(n >= 2); for (j = 1; j <= n; j++) xassert(a[j] > 0.0); #if 1 /* ??? */ xassert(b > -1e-5); #else xassert(b > 0.0); #endif xassert(u >= 0.0); for (j = 1; j <= n; j++) xassert(0.0 <= x[j] && x[j] <= 1.0); xassert(0.0 <= y && y <= u); /* try to generate mixed cover cut */ if (cover2(n, a, b, u, x, y, cov, alfa, beta)) return 2; if (cover3(n, a, b, u, x, y, cov, alfa, beta)) return 3; if (cover4(n, a, b, u, x, y, cov, alfa, beta)) return 4; return 0; } /*---------------------------------------------------------------------- -- lpx_cover_cut - generate mixed cover cut. -- -- SYNOPSIS -- -- #include "glplpx.h" -- int lpx_cover_cut(LPX *lp, int len, int ind[], double val[], -- double work[]); -- -- DESCRIPTION -- -- The routine lpx_cover_cut generates a mixed cover cut for a given -- row of the MIP problem. -- -- The given row of the MIP problem should be explicitly specified in -- the form: -- -- sum{j in J} a[j]*x[j] <= b. (1) -- -- On entry indices (ordinal numbers) of structural variables, which -- have non-zero constraint coefficients, should be placed in locations -- ind[1], ..., ind[len], and corresponding constraint coefficients -- should be placed in locations val[1], ..., val[len]. The right-hand -- side b should be stored in location val[0]. -- -- The working array work should have at least nb locations, where nb -- is the number of binary variables in (1). -- -- The routine generates a mixed cover cut in the same form as (1) and -- stores the cut coefficients and right-hand side in the same way as -- just described above. -- -- RETURNS -- -- If the cutting plane has been successfully generated, the routine -- returns 1 <= len' <= n, which is the number of non-zero coefficients -- in the inequality constraint. Otherwise, the routine returns zero. */ static int lpx_cover_cut(LPX *lp, int len, int ind[], double val[], double work[]) { int cov[1+4], j, k, nb, newlen, r; double f_min, f_max, alfa, beta, u, *x = work, y; /* substitute and remove fixed variables */ newlen = 0; for (k = 1; k <= len; k++) { j = ind[k]; if (lpx_get_col_type(lp, j) == LPX_FX) val[0] -= val[k] * lpx_get_col_lb(lp, j); else { newlen++; ind[newlen] = ind[k]; val[newlen] = val[k]; } } len = newlen; /* move binary variables to the beginning of the list so that elements 1, 2, ..., nb correspond to binary variables, and elements nb+1, nb+2, ..., len correspond to rest variables */ nb = 0; for (k = 1; k <= len; k++) { j = ind[k]; if (lpx_get_col_kind(lp, j) == LPX_IV && lpx_get_col_type(lp, j) == LPX_DB && lpx_get_col_lb(lp, j) == 0.0 && lpx_get_col_ub(lp, j) == 1.0) { /* binary variable */ int ind_k; double val_k; nb++; ind_k = ind[nb], val_k = val[nb]; ind[nb] = ind[k], val[nb] = val[k]; ind[k] = ind_k, val[k] = val_k; } } /* now the specified row has the form: sum a[j]*x[j] + sum a[j]*y[j] <= b, where x[j] are binary variables, y[j] are rest variables */ /* at least two binary variables are needed */ if (nb < 2) return 0; /* compute implied lower and upper bounds for sum a[j]*y[j] */ f_min = f_max = 0.0; for (k = nb+1; k <= len; k++) { j = ind[k]; /* both bounds must be finite */ if (lpx_get_col_type(lp, j) != LPX_DB) return 0; if (val[k] > 0.0) { f_min += val[k] * lpx_get_col_lb(lp, j); f_max += val[k] * lpx_get_col_ub(lp, j); } else { f_min += val[k] * lpx_get_col_ub(lp, j); f_max += val[k] * lpx_get_col_lb(lp, j); } } /* sum a[j]*x[j] + sum a[j]*y[j] <= b ===> sum a[j]*x[j] + (sum a[j]*y[j] - f_min) <= b - f_min ===> sum a[j]*x[j] + y <= b - f_min, where y = sum a[j]*y[j] - f_min; note that 0 <= y <= u, u = f_max - f_min */ /* determine upper bound of y */ u = f_max - f_min; /* determine value of y at the current point */ y = 0.0; for (k = nb+1; k <= len; k++) { j = ind[k]; y += val[k] * lpx_get_col_prim(lp, j); } y -= f_min; if (y < 0.0) y = 0.0; if (y > u) y = u; /* modify the right-hand side b */ val[0] -= f_min; /* now the transformed row has the form: sum a[j]*x[j] + y <= b, where 0 <= y <= u */ /* determine values of x[j] at the current point */ for (k = 1; k <= nb; k++) { j = ind[k]; x[k] = lpx_get_col_prim(lp, j); if (x[k] < 0.0) x[k] = 0.0; if (x[k] > 1.0) x[k] = 1.0; } /* if a[j] < 0, replace x[j] by its complement 1 - x'[j] */ for (k = 1; k <= nb; k++) { if (val[k] < 0.0) { ind[k] = - ind[k]; val[k] = - val[k]; val[0] += val[k]; x[k] = 1.0 - x[k]; } } /* try to generate a mixed cover cut for the transformed row */ r = cover(nb, val, val[0], u, x, y, cov, &alfa, &beta); if (r == 0) return 0; xassert(2 <= r && r <= 4); /* now the cut is in the form: sum{j in C} x[j] + alfa * y <= beta */ /* store the right-hand side beta */ ind[0] = 0, val[0] = beta; /* restore the original ordinal numbers of x[j] */ for (j = 1; j <= r; j++) cov[j] = ind[cov[j]]; /* store cut coefficients at binary variables complementing back the variables having negative row coefficients */ xassert(r <= nb); for (k = 1; k <= r; k++) { if (cov[k] > 0) { ind[k] = +cov[k]; val[k] = +1.0; } else { ind[k] = -cov[k]; val[k] = -1.0; val[0] -= 1.0; } } /* substitute y = sum a[j]*y[j] - f_min */ for (k = nb+1; k <= len; k++) { r++; ind[r] = ind[k]; val[r] = alfa * val[k]; } val[0] += alfa * f_min; xassert(r <= len); len = r; return len; } /*---------------------------------------------------------------------- -- lpx_eval_row - compute explictily specified row. -- -- SYNOPSIS -- -- #include "glplpx.h" -- double lpx_eval_row(LPX *lp, int len, int ind[], double val[]); -- -- DESCRIPTION -- -- The routine lpx_eval_row computes the primal value of an explicitly -- specified row using current values of structural variables. -- -- The explicitly specified row may be thought as a linear form: -- -- y = a[1]*x[m+1] + a[2]*x[m+2] + ... + a[n]*x[m+n], -- -- where y is an auxiliary variable for this row, a[j] are coefficients -- of the linear form, x[m+j] are structural variables. -- -- On entry column indices and numerical values of non-zero elements of -- the row should be stored in locations ind[1], ..., ind[len] and -- val[1], ..., val[len], where len is the number of non-zero elements. -- The array ind and val are not changed on exit. -- -- RETURNS -- -- The routine returns a computed value of y, the auxiliary variable of -- the specified row. */ static double lpx_eval_row(LPX *lp, int len, int ind[], double val[]) { int n = lpx_get_num_cols(lp); int j, k; double sum = 0.0; if (len < 0) xerror("lpx_eval_row: len = %d; invalid row length\n", len); for (k = 1; k <= len; k++) { j = ind[k]; if (!(1 <= j && j <= n)) xerror("lpx_eval_row: j = %d; column number out of range\n", j); sum += val[k] * lpx_get_col_prim(lp, j); } return sum; } /*********************************************************************** * NAME * * ios_cov_gen - generate mixed cover cuts * * SYNOPSIS * * #include "glpios.h" * void ios_cov_gen(glp_tree *tree); * * DESCRIPTION * * The routine ios_cov_gen generates mixed cover cuts for the current * point and adds them to the cut pool. */ void ios_cov_gen(glp_tree *tree) { glp_prob *prob = tree->mip; int m = lpx_get_num_rows(prob); int n = lpx_get_num_cols(prob); int i, k, type, kase, len, *ind; double r, *val, *work; xassert(lpx_get_status(prob) == LPX_OPT); /* allocate working arrays */ ind = xcalloc(1+n, sizeof(int)); val = xcalloc(1+n, sizeof(double)); work = xcalloc(1+n, sizeof(double)); /* look through all rows */ for (i = 1; i <= m; i++) for (kase = 1; kase <= 2; kase++) { type = lpx_get_row_type(prob, i); if (kase == 1) { /* consider rows of '<=' type */ if (!(type == LPX_UP || type == LPX_DB)) continue; len = lpx_get_mat_row(prob, i, ind, val); val[0] = lpx_get_row_ub(prob, i); } else { /* consider rows of '>=' type */ if (!(type == LPX_LO || type == LPX_DB)) continue; len = lpx_get_mat_row(prob, i, ind, val); for (k = 1; k <= len; k++) val[k] = - val[k]; val[0] = - lpx_get_row_lb(prob, i); } /* generate mixed cover cut: sum{j in J} a[j] * x[j] <= b */ len = lpx_cover_cut(prob, len, ind, val, work); if (len == 0) continue; /* at the current point the cut inequality is violated, i.e. sum{j in J} a[j] * x[j] - b > 0 */ r = lpx_eval_row(prob, len, ind, val) - val[0]; if (r < 1e-3) continue; /* add the cut to the cut pool */ glp_ios_add_row(tree, NULL, GLP_RF_COV, 0, len, ind, val, GLP_UP, val[0]); } /* free working arrays */ xfree(ind); xfree(val); xfree(work); return; } /* eof */