[1] | 1 | /* glpnpp03.c */ |
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| 2 | |
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| 3 | /*********************************************************************** |
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| 4 | * This code is part of GLPK (GNU Linear Programming Kit). |
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| 5 | * |
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| 6 | * Copyright (C) 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, |
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| 7 | * 2009, 2010 Andrew Makhorin, Department for Applied Informatics, |
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| 8 | * Moscow Aviation Institute, Moscow, Russia. All rights reserved. |
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| 9 | * E-mail: <mao@gnu.org>. |
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| 10 | * |
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| 11 | * GLPK is free software: you can redistribute it and/or modify it |
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| 12 | * under the terms of the GNU General Public License as published by |
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| 13 | * the Free Software Foundation, either version 3 of the License, or |
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| 14 | * (at your option) any later version. |
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| 15 | * |
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| 16 | * GLPK is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | * ANY WARRANTY; without even the implied warranty of MERCHANTABILITY |
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| 18 | * or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public |
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| 19 | * License for more details. |
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| 20 | * |
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| 21 | * You should have received a copy of the GNU General Public License |
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| 22 | * along with GLPK. If not, see <http://www.gnu.org/licenses/>. |
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| 23 | ***********************************************************************/ |
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| 24 | |
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| 25 | #include "glpnpp.h" |
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| 26 | |
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| 27 | /*********************************************************************** |
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| 28 | * NAME |
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| 29 | * |
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| 30 | * npp_empty_row - process empty row |
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| 31 | * |
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| 32 | * SYNOPSIS |
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| 33 | * |
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| 34 | * #include "glpnpp.h" |
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| 35 | * int npp_empty_row(NPP *npp, NPPROW *p); |
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| 36 | * |
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| 37 | * DESCRIPTION |
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| 38 | * |
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| 39 | * The routine npp_empty_row processes row p, which is empty, i.e. |
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| 40 | * coefficients at all columns in this row are zero: |
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| 41 | * |
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| 42 | * L[p] <= sum 0 x[j] <= U[p], (1) |
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| 43 | * |
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| 44 | * where L[p] <= U[p]. |
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| 45 | * |
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| 46 | * RETURNS |
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| 47 | * |
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| 48 | * 0 - success; |
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| 49 | * |
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| 50 | * 1 - problem has no primal feasible solution. |
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| 51 | * |
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| 52 | * PROBLEM TRANSFORMATION |
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| 53 | * |
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| 54 | * If the following conditions hold: |
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| 55 | * |
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| 56 | * L[p] <= +eps, U[p] >= -eps, (2) |
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| 57 | * |
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| 58 | * where eps is an absolute tolerance for row value, the row p is |
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| 59 | * redundant. In this case it can be replaced by equivalent redundant |
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| 60 | * row, which is free (unbounded), and then removed from the problem. |
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| 61 | * Otherwise, the row p is infeasible and, thus, the problem has no |
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| 62 | * primal feasible solution. |
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| 63 | * |
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| 64 | * RECOVERING BASIC SOLUTION |
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| 65 | * |
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| 66 | * See the routine npp_free_row. |
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| 67 | * |
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| 68 | * RECOVERING INTERIOR-POINT SOLUTION |
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| 69 | * |
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| 70 | * See the routine npp_free_row. |
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| 71 | * |
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| 72 | * RECOVERING MIP SOLUTION |
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| 73 | * |
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| 74 | * None needed. */ |
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| 75 | |
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| 76 | int npp_empty_row(NPP *npp, NPPROW *p) |
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| 77 | { /* process empty row */ |
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| 78 | double eps = 1e-3; |
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| 79 | /* the row must be empty */ |
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| 80 | xassert(p->ptr == NULL); |
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| 81 | /* check primal feasibility */ |
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| 82 | if (p->lb > +eps || p->ub < -eps) |
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| 83 | return 1; |
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| 84 | /* replace the row by equivalent free (unbounded) row */ |
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| 85 | p->lb = -DBL_MAX, p->ub = +DBL_MAX; |
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| 86 | /* and process it */ |
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| 87 | npp_free_row(npp, p); |
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| 88 | return 0; |
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| 89 | } |
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| 90 | |
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| 91 | /*********************************************************************** |
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| 92 | * NAME |
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| 93 | * |
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| 94 | * npp_empty_col - process empty column |
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| 95 | * |
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| 96 | * SYNOPSIS |
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| 97 | * |
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| 98 | * #include "glpnpp.h" |
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| 99 | * int npp_empty_col(NPP *npp, NPPCOL *q); |
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| 100 | * |
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| 101 | * DESCRIPTION |
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| 102 | * |
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| 103 | * The routine npp_empty_col processes column q: |
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| 104 | * |
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| 105 | * l[q] <= x[q] <= u[q], (1) |
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| 106 | * |
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| 107 | * where l[q] <= u[q], which is empty, i.e. has zero coefficients in |
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| 108 | * all constraint rows. |
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| 109 | * |
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| 110 | * RETURNS |
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| 111 | * |
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| 112 | * 0 - success; |
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| 113 | * |
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| 114 | * 1 - problem has no dual feasible solution. |
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| 115 | * |
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| 116 | * PROBLEM TRANSFORMATION |
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| 117 | * |
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| 118 | * The row of the dual system corresponding to the empty column is the |
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| 119 | * following: |
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| 120 | * |
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| 121 | * sum 0 pi[i] + lambda[q] = c[q], (2) |
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| 122 | * i |
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| 123 | * |
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| 124 | * from which it follows that: |
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| 125 | * |
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| 126 | * lambda[q] = c[q]. (3) |
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| 127 | * |
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| 128 | * If the following condition holds: |
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| 129 | * |
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| 130 | * c[q] < - eps, (4) |
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| 131 | * |
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| 132 | * where eps is an absolute tolerance for column multiplier, the lower |
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| 133 | * column bound l[q] must be active to provide dual feasibility (note |
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| 134 | * that being preprocessed the problem is always minimization). In this |
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| 135 | * case the column can be fixed on its lower bound and removed from the |
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| 136 | * problem (if the column is integral, its bounds are also assumed to |
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| 137 | * be integral). And if the column has no lower bound (l[q] = -oo), the |
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| 138 | * problem has no dual feasible solution. |
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| 139 | * |
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| 140 | * If the following condition holds: |
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| 141 | * |
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| 142 | * c[q] > + eps, (5) |
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| 143 | * |
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| 144 | * the upper column bound u[q] must be active to provide dual |
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| 145 | * feasibility. In this case the column can be fixed on its upper bound |
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| 146 | * and removed from the problem. And if the column has no upper bound |
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| 147 | * (u[q] = +oo), the problem has no dual feasible solution. |
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| 148 | * |
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| 149 | * Finally, if the following condition holds: |
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| 150 | * |
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| 151 | * - eps <= c[q] <= +eps, (6) |
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| 152 | * |
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| 153 | * dual feasibility does not depend on a particular value of column q. |
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| 154 | * In this case the column can be fixed either on its lower bound (if |
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| 155 | * l[q] > -oo) or on its upper bound (if u[q] < +oo) or at zero (if the |
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| 156 | * column is unbounded) and then removed from the problem. |
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| 157 | * |
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| 158 | * RECOVERING BASIC SOLUTION |
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| 159 | * |
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| 160 | * See the routine npp_fixed_col. Having been recovered the column |
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| 161 | * is assigned status GLP_NS. However, if actually it is not fixed |
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| 162 | * (l[q] < u[q]), its status should be changed to GLP_NL, GLP_NU, or |
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| 163 | * GLP_NF depending on which bound it was fixed on transformation stage. |
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| 164 | * |
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| 165 | * RECOVERING INTERIOR-POINT SOLUTION |
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| 166 | * |
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| 167 | * See the routine npp_fixed_col. |
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| 168 | * |
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| 169 | * RECOVERING MIP SOLUTION |
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| 170 | * |
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| 171 | * See the routine npp_fixed_col. */ |
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| 172 | |
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| 173 | struct empty_col |
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| 174 | { /* empty column */ |
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| 175 | int q; |
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| 176 | /* column reference number */ |
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| 177 | char stat; |
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| 178 | /* status in basic solution */ |
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| 179 | }; |
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| 180 | |
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| 181 | static int rcv_empty_col(NPP *npp, void *info); |
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| 182 | |
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| 183 | int npp_empty_col(NPP *npp, NPPCOL *q) |
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| 184 | { /* process empty column */ |
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| 185 | struct empty_col *info; |
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| 186 | double eps = 1e-3; |
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| 187 | /* the column must be empty */ |
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| 188 | xassert(q->ptr == NULL); |
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| 189 | /* check dual feasibility */ |
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| 190 | if (q->coef > +eps && q->lb == -DBL_MAX) |
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| 191 | return 1; |
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| 192 | if (q->coef < -eps && q->ub == +DBL_MAX) |
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| 193 | return 1; |
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| 194 | /* create transformation stack entry */ |
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| 195 | info = npp_push_tse(npp, |
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| 196 | rcv_empty_col, sizeof(struct empty_col)); |
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| 197 | info->q = q->j; |
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| 198 | /* fix the column */ |
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| 199 | if (q->lb == -DBL_MAX && q->ub == +DBL_MAX) |
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| 200 | { /* free column */ |
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| 201 | info->stat = GLP_NF; |
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| 202 | q->lb = q->ub = 0.0; |
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| 203 | } |
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| 204 | else if (q->ub == +DBL_MAX) |
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| 205 | lo: { /* column with lower bound */ |
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| 206 | info->stat = GLP_NL; |
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| 207 | q->ub = q->lb; |
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| 208 | } |
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| 209 | else if (q->lb == -DBL_MAX) |
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| 210 | up: { /* column with upper bound */ |
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| 211 | info->stat = GLP_NU; |
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| 212 | q->lb = q->ub; |
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| 213 | } |
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| 214 | else if (q->lb != q->ub) |
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| 215 | { /* double-bounded column */ |
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| 216 | if (q->coef >= +DBL_EPSILON) goto lo; |
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| 217 | if (q->coef <= -DBL_EPSILON) goto up; |
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| 218 | if (fabs(q->lb) <= fabs(q->ub)) goto lo; else goto up; |
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| 219 | } |
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| 220 | else |
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| 221 | { /* fixed column */ |
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| 222 | info->stat = GLP_NS; |
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| 223 | } |
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| 224 | /* process fixed column */ |
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| 225 | npp_fixed_col(npp, q); |
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| 226 | return 0; |
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| 227 | } |
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| 228 | |
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| 229 | static int rcv_empty_col(NPP *npp, void *_info) |
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| 230 | { /* recover empty column */ |
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| 231 | struct empty_col *info = _info; |
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| 232 | if (npp->sol == GLP_SOL) |
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| 233 | npp->c_stat[info->q] = info->stat; |
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| 234 | return 0; |
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| 235 | } |
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| 236 | |
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| 237 | /*********************************************************************** |
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| 238 | * NAME |
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| 239 | * |
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| 240 | * npp_implied_value - process implied column value |
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| 241 | * |
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| 242 | * SYNOPSIS |
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| 243 | * |
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| 244 | * #include "glpnpp.h" |
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| 245 | * int npp_implied_value(NPP *npp, NPPCOL *q, double s); |
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| 246 | * |
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| 247 | * DESCRIPTION |
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| 248 | * |
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| 249 | * For column q: |
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| 250 | * |
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| 251 | * l[q] <= x[q] <= u[q], (1) |
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| 252 | * |
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| 253 | * where l[q] < u[q], the routine npp_implied_value processes its |
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| 254 | * implied value s[q]. If this implied value satisfies to the current |
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| 255 | * column bounds and integrality condition, the routine fixes column q |
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| 256 | * at the given point. Note that the column is kept in the problem in |
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| 257 | * any case. |
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| 258 | * |
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| 259 | * RETURNS |
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| 260 | * |
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| 261 | * 0 - column has been fixed; |
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| 262 | * |
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| 263 | * 1 - implied value violates to current column bounds; |
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| 264 | * |
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| 265 | * 2 - implied value violates integrality condition. |
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| 266 | * |
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| 267 | * ALGORITHM |
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| 268 | * |
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| 269 | * Implied column value s[q] satisfies to the current column bounds if |
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| 270 | * the following condition holds: |
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| 271 | * |
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| 272 | * l[q] - eps <= s[q] <= u[q] + eps, (2) |
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| 273 | * |
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| 274 | * where eps is an absolute tolerance for column value. If the column |
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| 275 | * is integral, the following condition also must hold: |
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| 276 | * |
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| 277 | * |s[q] - floor(s[q]+0.5)| <= eps, (3) |
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| 278 | * |
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| 279 | * where floor(s[q]+0.5) is the nearest integer to s[q]. |
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| 280 | * |
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| 281 | * If both condition (2) and (3) are satisfied, the column can be fixed |
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| 282 | * at the value s[q], or, if it is integral, at floor(s[q]+0.5). |
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| 283 | * Otherwise, if s[q] violates (2) or (3), the problem has no feasible |
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| 284 | * solution. |
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| 285 | * |
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| 286 | * Note: If s[q] is close to l[q] or u[q], it seems to be reasonable to |
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| 287 | * fix the column at its lower or upper bound, resp. rather than at the |
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| 288 | * implied value. */ |
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| 289 | |
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| 290 | int npp_implied_value(NPP *npp, NPPCOL *q, double s) |
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| 291 | { /* process implied column value */ |
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| 292 | double eps, nint; |
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| 293 | xassert(npp == npp); |
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| 294 | /* column must not be fixed */ |
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| 295 | xassert(q->lb < q->ub); |
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| 296 | /* check integrality */ |
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| 297 | if (q->is_int) |
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| 298 | { nint = floor(s + 0.5); |
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| 299 | if (fabs(s - nint) <= 1e-5) |
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| 300 | s = nint; |
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| 301 | else |
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| 302 | return 2; |
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| 303 | } |
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| 304 | /* check current column lower bound */ |
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| 305 | if (q->lb != -DBL_MAX) |
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| 306 | { eps = (q->is_int ? 1e-5 : 1e-5 + 1e-8 * fabs(q->lb)); |
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| 307 | if (s < q->lb - eps) return 1; |
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| 308 | /* if s[q] is close to l[q], fix column at its lower bound |
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| 309 | rather than at the implied value */ |
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| 310 | if (s < q->lb + 1e-3 * eps) |
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| 311 | { q->ub = q->lb; |
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| 312 | return 0; |
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| 313 | } |
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| 314 | } |
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| 315 | /* check current column upper bound */ |
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| 316 | if (q->ub != +DBL_MAX) |
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| 317 | { eps = (q->is_int ? 1e-5 : 1e-5 + 1e-8 * fabs(q->ub)); |
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| 318 | if (s > q->ub + eps) return 1; |
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| 319 | /* if s[q] is close to u[q], fix column at its upper bound |
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| 320 | rather than at the implied value */ |
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| 321 | if (s > q->ub - 1e-3 * eps) |
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| 322 | { q->lb = q->ub; |
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| 323 | return 0; |
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| 324 | } |
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| 325 | } |
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| 326 | /* fix column at the implied value */ |
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| 327 | q->lb = q->ub = s; |
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| 328 | return 0; |
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| 329 | } |
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| 330 | |
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| 331 | /*********************************************************************** |
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| 332 | * NAME |
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| 333 | * |
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| 334 | * npp_eq_singlet - process row singleton (equality constraint) |
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| 335 | * |
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| 336 | * SYNOPSIS |
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| 337 | * |
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| 338 | * #include "glpnpp.h" |
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| 339 | * int npp_eq_singlet(NPP *npp, NPPROW *p); |
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| 340 | * |
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| 341 | * DESCRIPTION |
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| 342 | * |
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| 343 | * The routine npp_eq_singlet processes row p, which is equiality |
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| 344 | * constraint having the only non-zero coefficient: |
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| 345 | * |
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| 346 | * a[p,q] x[q] = b. (1) |
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| 347 | * |
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| 348 | * RETURNS |
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| 349 | * |
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| 350 | * 0 - success; |
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| 351 | * |
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| 352 | * 1 - problem has no primal feasible solution; |
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| 353 | * |
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| 354 | * 2 - problem has no integer feasible solution. |
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| 355 | * |
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| 356 | * PROBLEM TRANSFORMATION |
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| 357 | * |
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| 358 | * The equality constraint defines implied value of column q: |
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| 359 | * |
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| 360 | * x[q] = s[q] = b / a[p,q]. (2) |
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| 361 | * |
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| 362 | * If the implied value s[q] satisfies to the column bounds (see the |
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| 363 | * routine npp_implied_value), the column can be fixed at s[q] and |
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| 364 | * removed from the problem. In this case row p becomes redundant, so |
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| 365 | * it can be replaced by equivalent free row and also removed from the |
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| 366 | * problem. |
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| 367 | * |
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| 368 | * Note that the routine removes from the problem only row p. Column q |
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| 369 | * becomes fixed, however, it is kept in the problem. |
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| 370 | * |
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| 371 | * RECOVERING BASIC SOLUTION |
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| 372 | * |
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| 373 | * In solution to the original problem row p is assigned status GLP_NS |
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| 374 | * (active equality constraint), and column q is assigned status GLP_BS |
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| 375 | * (basic column). |
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| 376 | * |
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| 377 | * Multiplier for row p can be computed as follows. In the dual system |
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| 378 | * of the original problem column q corresponds to the following row: |
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| 379 | * |
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| 380 | * sum a[i,q] pi[i] + lambda[q] = c[q] ==> |
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| 381 | * i |
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| 382 | * |
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| 383 | * sum a[i,q] pi[i] + a[p,q] pi[p] + lambda[q] = c[q]. |
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| 384 | * i!=p |
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| 385 | * |
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| 386 | * Therefore: |
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| 387 | * |
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| 388 | * 1 |
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| 389 | * pi[p] = ------ (c[q] - lambda[q] - sum a[i,q] pi[i]), (3) |
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| 390 | * a[p,q] i!=q |
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| 391 | * |
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| 392 | * where lambda[q] = 0 (since column[q] is basic), and pi[i] for all |
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| 393 | * i != p are known in solution to the transformed problem. |
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| 394 | * |
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| 395 | * Value of column q in solution to the original problem is assigned |
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| 396 | * its implied value s[q]. |
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| 397 | * |
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| 398 | * RECOVERING INTERIOR-POINT SOLUTION |
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| 399 | * |
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| 400 | * Multiplier for row p is computed with formula (3). Value of column |
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| 401 | * q is assigned its implied value s[q]. |
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| 402 | * |
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| 403 | * RECOVERING MIP SOLUTION |
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| 404 | * |
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| 405 | * Value of column q is assigned its implied value s[q]. */ |
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| 406 | |
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| 407 | struct eq_singlet |
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| 408 | { /* row singleton (equality constraint) */ |
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| 409 | int p; |
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| 410 | /* row reference number */ |
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| 411 | int q; |
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| 412 | /* column reference number */ |
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| 413 | double apq; |
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| 414 | /* constraint coefficient a[p,q] */ |
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| 415 | double c; |
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| 416 | /* objective coefficient at x[q] */ |
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| 417 | NPPLFE *ptr; |
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| 418 | /* list of non-zero coefficients a[i,q], i != p */ |
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| 419 | }; |
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| 420 | |
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| 421 | static int rcv_eq_singlet(NPP *npp, void *info); |
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| 422 | |
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| 423 | int npp_eq_singlet(NPP *npp, NPPROW *p) |
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| 424 | { /* process row singleton (equality constraint) */ |
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| 425 | struct eq_singlet *info; |
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| 426 | NPPCOL *q; |
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| 427 | NPPAIJ *aij; |
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| 428 | NPPLFE *lfe; |
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| 429 | int ret; |
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| 430 | double s; |
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| 431 | /* the row must be singleton equality constraint */ |
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| 432 | xassert(p->lb == p->ub); |
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| 433 | xassert(p->ptr != NULL && p->ptr->r_next == NULL); |
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| 434 | /* compute and process implied column value */ |
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| 435 | aij = p->ptr; |
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| 436 | q = aij->col; |
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| 437 | s = p->lb / aij->val; |
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| 438 | ret = npp_implied_value(npp, q, s); |
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| 439 | xassert(0 <= ret && ret <= 2); |
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| 440 | if (ret != 0) return ret; |
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| 441 | /* create transformation stack entry */ |
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| 442 | info = npp_push_tse(npp, |
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| 443 | rcv_eq_singlet, sizeof(struct eq_singlet)); |
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| 444 | info->p = p->i; |
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| 445 | info->q = q->j; |
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| 446 | info->apq = aij->val; |
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| 447 | info->c = q->coef; |
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| 448 | info->ptr = NULL; |
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| 449 | /* save column coefficients a[i,q], i != p (not needed for MIP |
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| 450 | solution) */ |
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| 451 | if (npp->sol != GLP_MIP) |
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| 452 | { for (aij = q->ptr; aij != NULL; aij = aij->c_next) |
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| 453 | { if (aij->row == p) continue; /* skip a[p,q] */ |
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| 454 | lfe = dmp_get_atom(npp->stack, sizeof(NPPLFE)); |
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| 455 | lfe->ref = aij->row->i; |
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| 456 | lfe->val = aij->val; |
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| 457 | lfe->next = info->ptr; |
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| 458 | info->ptr = lfe; |
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| 459 | } |
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| 460 | } |
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| 461 | /* remove the row from the problem */ |
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| 462 | npp_del_row(npp, p); |
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| 463 | return 0; |
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| 464 | } |
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| 465 | |
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| 466 | static int rcv_eq_singlet(NPP *npp, void *_info) |
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| 467 | { /* recover row singleton (equality constraint) */ |
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| 468 | struct eq_singlet *info = _info; |
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| 469 | NPPLFE *lfe; |
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| 470 | double temp; |
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| 471 | if (npp->sol == GLP_SOL) |
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| 472 | { /* column q must be already recovered as GLP_NS */ |
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| 473 | if (npp->c_stat[info->q] != GLP_NS) |
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| 474 | { npp_error(); |
---|
| 475 | return 1; |
---|
| 476 | } |
---|
| 477 | npp->r_stat[info->p] = GLP_NS; |
---|
| 478 | npp->c_stat[info->q] = GLP_BS; |
---|
| 479 | } |
---|
| 480 | if (npp->sol != GLP_MIP) |
---|
| 481 | { /* compute multiplier for row p with formula (3) */ |
---|
| 482 | temp = info->c; |
---|
| 483 | for (lfe = info->ptr; lfe != NULL; lfe = lfe->next) |
---|
| 484 | temp -= lfe->val * npp->r_pi[lfe->ref]; |
---|
| 485 | npp->r_pi[info->p] = temp / info->apq; |
---|
| 486 | } |
---|
| 487 | return 0; |
---|
| 488 | } |
---|
| 489 | |
---|
| 490 | /*********************************************************************** |
---|
| 491 | * NAME |
---|
| 492 | * |
---|
| 493 | * npp_implied_lower - process implied column lower bound |
---|
| 494 | * |
---|
| 495 | * SYNOPSIS |
---|
| 496 | * |
---|
| 497 | * #include "glpnpp.h" |
---|
| 498 | * int npp_implied_lower(NPP *npp, NPPCOL *q, double l); |
---|
| 499 | * |
---|
| 500 | * DESCRIPTION |
---|
| 501 | * |
---|
| 502 | * For column q: |
---|
| 503 | * |
---|
| 504 | * l[q] <= x[q] <= u[q], (1) |
---|
| 505 | * |
---|
| 506 | * where l[q] < u[q], the routine npp_implied_lower processes its |
---|
| 507 | * implied lower bound l'[q]. As the result the current column lower |
---|
| 508 | * bound may increase. Note that the column is kept in the problem in |
---|
| 509 | * any case. |
---|
| 510 | * |
---|
| 511 | * RETURNS |
---|
| 512 | * |
---|
| 513 | * 0 - current column lower bound has not changed; |
---|
| 514 | * |
---|
| 515 | * 1 - current column lower bound has changed, but not significantly; |
---|
| 516 | * |
---|
| 517 | * 2 - current column lower bound has significantly changed; |
---|
| 518 | * |
---|
| 519 | * 3 - column has been fixed on its upper bound; |
---|
| 520 | * |
---|
| 521 | * 4 - implied lower bound violates current column upper bound. |
---|
| 522 | * |
---|
| 523 | * ALGORITHM |
---|
| 524 | * |
---|
| 525 | * If column q is integral, before processing its implied lower bound |
---|
| 526 | * should be rounded up: |
---|
| 527 | * |
---|
| 528 | * ( floor(l'[q]+0.5), if |l'[q] - floor(l'[q]+0.5)| <= eps |
---|
| 529 | * l'[q] := < (2) |
---|
| 530 | * ( ceil(l'[q]), otherwise |
---|
| 531 | * |
---|
| 532 | * where floor(l'[q]+0.5) is the nearest integer to l'[q], ceil(l'[q]) |
---|
| 533 | * is smallest integer not less than l'[q], and eps is an absolute |
---|
| 534 | * tolerance for column value. |
---|
| 535 | * |
---|
| 536 | * Processing implied column lower bound l'[q] includes the following |
---|
| 537 | * cases: |
---|
| 538 | * |
---|
| 539 | * 1) if l'[q] < l[q] + eps, implied lower bound is redundant; |
---|
| 540 | * |
---|
| 541 | * 2) if l[q] + eps <= l[q] <= u[q] + eps, current column lower bound |
---|
| 542 | * l[q] can be strengthened by replacing it with l'[q]. If in this |
---|
| 543 | * case new column lower bound becomes close to current column upper |
---|
| 544 | * bound u[q], the column can be fixed on its upper bound; |
---|
| 545 | * |
---|
| 546 | * 3) if l'[q] > u[q] + eps, implied lower bound violates current |
---|
| 547 | * column upper bound u[q], in which case the problem has no primal |
---|
| 548 | * feasible solution. */ |
---|
| 549 | |
---|
| 550 | int npp_implied_lower(NPP *npp, NPPCOL *q, double l) |
---|
| 551 | { /* process implied column lower bound */ |
---|
| 552 | int ret; |
---|
| 553 | double eps, nint; |
---|
| 554 | xassert(npp == npp); |
---|
| 555 | /* column must not be fixed */ |
---|
| 556 | xassert(q->lb < q->ub); |
---|
| 557 | /* implied lower bound must be finite */ |
---|
| 558 | xassert(l != -DBL_MAX); |
---|
| 559 | /* if column is integral, round up l'[q] */ |
---|
| 560 | if (q->is_int) |
---|
| 561 | { nint = floor(l + 0.5); |
---|
| 562 | if (fabs(l - nint) <= 1e-5) |
---|
| 563 | l = nint; |
---|
| 564 | else |
---|
| 565 | l = ceil(l); |
---|
| 566 | } |
---|
| 567 | /* check current column lower bound */ |
---|
| 568 | if (q->lb != -DBL_MAX) |
---|
| 569 | { eps = (q->is_int ? 1e-3 : 1e-3 + 1e-6 * fabs(q->lb)); |
---|
| 570 | if (l < q->lb + eps) |
---|
| 571 | { ret = 0; /* redundant */ |
---|
| 572 | goto done; |
---|
| 573 | } |
---|
| 574 | } |
---|
| 575 | /* check current column upper bound */ |
---|
| 576 | if (q->ub != +DBL_MAX) |
---|
| 577 | { eps = (q->is_int ? 1e-5 : 1e-5 + 1e-8 * fabs(q->ub)); |
---|
| 578 | if (l > q->ub + eps) |
---|
| 579 | { ret = 4; /* infeasible */ |
---|
| 580 | goto done; |
---|
| 581 | } |
---|
| 582 | /* if l'[q] is close to u[q], fix column at its upper bound */ |
---|
| 583 | if (l > q->ub - 1e-3 * eps) |
---|
| 584 | { q->lb = q->ub; |
---|
| 585 | ret = 3; /* fixed */ |
---|
| 586 | goto done; |
---|
| 587 | } |
---|
| 588 | } |
---|
| 589 | /* check if column lower bound changes significantly */ |
---|
| 590 | if (q->lb == -DBL_MAX) |
---|
| 591 | ret = 2; /* significantly */ |
---|
| 592 | else if (q->is_int && l > q->lb + 0.5) |
---|
| 593 | ret = 2; /* significantly */ |
---|
| 594 | else if (l > q->lb + 0.30 * (1.0 + fabs(q->lb))) |
---|
| 595 | ret = 2; /* significantly */ |
---|
| 596 | else |
---|
| 597 | ret = 1; /* not significantly */ |
---|
| 598 | /* set new column lower bound */ |
---|
| 599 | q->lb = l; |
---|
| 600 | done: return ret; |
---|
| 601 | } |
---|
| 602 | |
---|
| 603 | /*********************************************************************** |
---|
| 604 | * NAME |
---|
| 605 | * |
---|
| 606 | * npp_implied_upper - process implied column upper bound |
---|
| 607 | * |
---|
| 608 | * SYNOPSIS |
---|
| 609 | * |
---|
| 610 | * #include "glpnpp.h" |
---|
| 611 | * int npp_implied_upper(NPP *npp, NPPCOL *q, double u); |
---|
| 612 | * |
---|
| 613 | * DESCRIPTION |
---|
| 614 | * |
---|
| 615 | * For column q: |
---|
| 616 | * |
---|
| 617 | * l[q] <= x[q] <= u[q], (1) |
---|
| 618 | * |
---|
| 619 | * where l[q] < u[q], the routine npp_implied_upper processes its |
---|
| 620 | * implied upper bound u'[q]. As the result the current column upper |
---|
| 621 | * bound may decrease. Note that the column is kept in the problem in |
---|
| 622 | * any case. |
---|
| 623 | * |
---|
| 624 | * RETURNS |
---|
| 625 | * |
---|
| 626 | * 0 - current column upper bound has not changed; |
---|
| 627 | * |
---|
| 628 | * 1 - current column upper bound has changed, but not significantly; |
---|
| 629 | * |
---|
| 630 | * 2 - current column upper bound has significantly changed; |
---|
| 631 | * |
---|
| 632 | * 3 - column has been fixed on its lower bound; |
---|
| 633 | * |
---|
| 634 | * 4 - implied upper bound violates current column lower bound. |
---|
| 635 | * |
---|
| 636 | * ALGORITHM |
---|
| 637 | * |
---|
| 638 | * If column q is integral, before processing its implied upper bound |
---|
| 639 | * should be rounded down: |
---|
| 640 | * |
---|
| 641 | * ( floor(u'[q]+0.5), if |u'[q] - floor(l'[q]+0.5)| <= eps |
---|
| 642 | * u'[q] := < (2) |
---|
| 643 | * ( floor(l'[q]), otherwise |
---|
| 644 | * |
---|
| 645 | * where floor(u'[q]+0.5) is the nearest integer to u'[q], |
---|
| 646 | * floor(u'[q]) is largest integer not greater than u'[q], and eps is |
---|
| 647 | * an absolute tolerance for column value. |
---|
| 648 | * |
---|
| 649 | * Processing implied column upper bound u'[q] includes the following |
---|
| 650 | * cases: |
---|
| 651 | * |
---|
| 652 | * 1) if u'[q] > u[q] - eps, implied upper bound is redundant; |
---|
| 653 | * |
---|
| 654 | * 2) if l[q] - eps <= u[q] <= u[q] - eps, current column upper bound |
---|
| 655 | * u[q] can be strengthened by replacing it with u'[q]. If in this |
---|
| 656 | * case new column upper bound becomes close to current column lower |
---|
| 657 | * bound, the column can be fixed on its lower bound; |
---|
| 658 | * |
---|
| 659 | * 3) if u'[q] < l[q] - eps, implied upper bound violates current |
---|
| 660 | * column lower bound l[q], in which case the problem has no primal |
---|
| 661 | * feasible solution. */ |
---|
| 662 | |
---|
| 663 | int npp_implied_upper(NPP *npp, NPPCOL *q, double u) |
---|
| 664 | { int ret; |
---|
| 665 | double eps, nint; |
---|
| 666 | xassert(npp == npp); |
---|
| 667 | /* column must not be fixed */ |
---|
| 668 | xassert(q->lb < q->ub); |
---|
| 669 | /* implied upper bound must be finite */ |
---|
| 670 | xassert(u != +DBL_MAX); |
---|
| 671 | /* if column is integral, round down u'[q] */ |
---|
| 672 | if (q->is_int) |
---|
| 673 | { nint = floor(u + 0.5); |
---|
| 674 | if (fabs(u - nint) <= 1e-5) |
---|
| 675 | u = nint; |
---|
| 676 | else |
---|
| 677 | u = floor(u); |
---|
| 678 | } |
---|
| 679 | /* check current column upper bound */ |
---|
| 680 | if (q->ub != +DBL_MAX) |
---|
| 681 | { eps = (q->is_int ? 1e-3 : 1e-3 + 1e-6 * fabs(q->ub)); |
---|
| 682 | if (u > q->ub - eps) |
---|
| 683 | { ret = 0; /* redundant */ |
---|
| 684 | goto done; |
---|
| 685 | } |
---|
| 686 | } |
---|
| 687 | /* check current column lower bound */ |
---|
| 688 | if (q->lb != -DBL_MAX) |
---|
| 689 | { eps = (q->is_int ? 1e-5 : 1e-5 + 1e-8 * fabs(q->lb)); |
---|
| 690 | if (u < q->lb - eps) |
---|
| 691 | { ret = 4; /* infeasible */ |
---|
| 692 | goto done; |
---|
| 693 | } |
---|
| 694 | /* if u'[q] is close to l[q], fix column at its lower bound */ |
---|
| 695 | if (u < q->lb + 1e-3 * eps) |
---|
| 696 | { q->ub = q->lb; |
---|
| 697 | ret = 3; /* fixed */ |
---|
| 698 | goto done; |
---|
| 699 | } |
---|
| 700 | } |
---|
| 701 | /* check if column upper bound changes significantly */ |
---|
| 702 | if (q->ub == +DBL_MAX) |
---|
| 703 | ret = 2; /* significantly */ |
---|
| 704 | else if (q->is_int && u < q->ub - 0.5) |
---|
| 705 | ret = 2; /* significantly */ |
---|
| 706 | else if (u < q->ub - 0.30 * (1.0 + fabs(q->ub))) |
---|
| 707 | ret = 2; /* significantly */ |
---|
| 708 | else |
---|
| 709 | ret = 1; /* not significantly */ |
---|
| 710 | /* set new column upper bound */ |
---|
| 711 | q->ub = u; |
---|
| 712 | done: return ret; |
---|
| 713 | } |
---|
| 714 | |
---|
| 715 | /*********************************************************************** |
---|
| 716 | * NAME |
---|
| 717 | * |
---|
| 718 | * npp_ineq_singlet - process row singleton (inequality constraint) |
---|
| 719 | * |
---|
| 720 | * SYNOPSIS |
---|
| 721 | * |
---|
| 722 | * #include "glpnpp.h" |
---|
| 723 | * int npp_ineq_singlet(NPP *npp, NPPROW *p); |
---|
| 724 | * |
---|
| 725 | * DESCRIPTION |
---|
| 726 | * |
---|
| 727 | * The routine npp_ineq_singlet processes row p, which is inequality |
---|
| 728 | * constraint having the only non-zero coefficient: |
---|
| 729 | * |
---|
| 730 | * L[p] <= a[p,q] * x[q] <= U[p], (1) |
---|
| 731 | * |
---|
| 732 | * where L[p] < U[p], L[p] > -oo and/or U[p] < +oo. |
---|
| 733 | * |
---|
| 734 | * RETURNS |
---|
| 735 | * |
---|
| 736 | * 0 - current column bounds have not changed; |
---|
| 737 | * |
---|
| 738 | * 1 - current column bounds have changed, but not significantly; |
---|
| 739 | * |
---|
| 740 | * 2 - current column bounds have significantly changed; |
---|
| 741 | * |
---|
| 742 | * 3 - column has been fixed on its lower or upper bound; |
---|
| 743 | * |
---|
| 744 | * 4 - problem has no primal feasible solution. |
---|
| 745 | * |
---|
| 746 | * PROBLEM TRANSFORMATION |
---|
| 747 | * |
---|
| 748 | * Inequality constraint (1) defines implied bounds of column q: |
---|
| 749 | * |
---|
| 750 | * ( L[p] / a[p,q], if a[p,q] > 0 |
---|
| 751 | * l'[q] = < (2) |
---|
| 752 | * ( U[p] / a[p,q], if a[p,q] < 0 |
---|
| 753 | * |
---|
| 754 | * ( U[p] / a[p,q], if a[p,q] > 0 |
---|
| 755 | * u'[q] = < (3) |
---|
| 756 | * ( L[p] / a[p,q], if a[p,q] < 0 |
---|
| 757 | * |
---|
| 758 | * If these implied bounds do not violate current bounds of column q: |
---|
| 759 | * |
---|
| 760 | * l[q] <= x[q] <= u[q], (4) |
---|
| 761 | * |
---|
| 762 | * they can be used to strengthen the current column bounds: |
---|
| 763 | * |
---|
| 764 | * l[q] := max(l[q], l'[q]), (5) |
---|
| 765 | * |
---|
| 766 | * u[q] := min(u[q], u'[q]). (6) |
---|
| 767 | * |
---|
| 768 | * (See the routines npp_implied_lower and npp_implied_upper.) |
---|
| 769 | * |
---|
| 770 | * Once bounds of row p (1) have been carried over column q, the row |
---|
| 771 | * becomes redundant, so it can be replaced by equivalent free row and |
---|
| 772 | * removed from the problem. |
---|
| 773 | * |
---|
| 774 | * Note that the routine removes from the problem only row p. Column q, |
---|
| 775 | * even it has been fixed, is kept in the problem. |
---|
| 776 | * |
---|
| 777 | * RECOVERING BASIC SOLUTION |
---|
| 778 | * |
---|
| 779 | * Note that the row in the dual system corresponding to column q is |
---|
| 780 | * the following: |
---|
| 781 | * |
---|
| 782 | * sum a[i,q] pi[i] + lambda[q] = c[q] ==> |
---|
| 783 | * i |
---|
| 784 | * (7) |
---|
| 785 | * sum a[i,q] pi[i] + a[p,q] pi[p] + lambda[q] = c[q], |
---|
| 786 | * i!=p |
---|
| 787 | * |
---|
| 788 | * where pi[i] for all i != p are known in solution to the transformed |
---|
| 789 | * problem. Row p does not exist in the transformed problem, so it has |
---|
| 790 | * zero multiplier there. This allows computing multiplier for column q |
---|
| 791 | * in solution to the transformed problem: |
---|
| 792 | * |
---|
| 793 | * lambda~[q] = c[q] - sum a[i,q] pi[i]. (8) |
---|
| 794 | * i!=p |
---|
| 795 | * |
---|
| 796 | * Let in solution to the transformed problem column q be non-basic |
---|
| 797 | * with lower bound active (GLP_NL, lambda~[q] >= 0), and this lower |
---|
| 798 | * bound be implied one l'[q]. From the original problem's standpoint |
---|
| 799 | * this then means that actually the original column lower bound l[q] |
---|
| 800 | * is inactive, and active is that row bound L[p] or U[p] that defines |
---|
| 801 | * the implied bound l'[q] (2). In this case in solution to the |
---|
| 802 | * original problem column q is assigned status GLP_BS while row p is |
---|
| 803 | * assigned status GLP_NL (if a[p,q] > 0) or GLP_NU (if a[p,q] < 0). |
---|
| 804 | * Since now column q is basic, its multiplier lambda[q] is zero. This |
---|
| 805 | * allows using (7) and (8) to find multiplier for row p in solution to |
---|
| 806 | * the original problem: |
---|
| 807 | * |
---|
| 808 | * 1 |
---|
| 809 | * pi[p] = ------ (c[q] - sum a[i,q] pi[i]) = lambda~[q] / a[p,q] (9) |
---|
| 810 | * a[p,q] i!=p |
---|
| 811 | * |
---|
| 812 | * Now let in solution to the transformed problem column q be non-basic |
---|
| 813 | * with upper bound active (GLP_NU, lambda~[q] <= 0), and this upper |
---|
| 814 | * bound be implied one u'[q]. As in the previous case this then means |
---|
| 815 | * that from the original problem's standpoint actually the original |
---|
| 816 | * column upper bound u[q] is inactive, and active is that row bound |
---|
| 817 | * L[p] or U[p] that defines the implied bound u'[q] (3). In this case |
---|
| 818 | * in solution to the original problem column q is assigned status |
---|
| 819 | * GLP_BS, row p is assigned status GLP_NU (if a[p,q] > 0) or GLP_NL |
---|
| 820 | * (if a[p,q] < 0), and its multiplier is computed with formula (9). |
---|
| 821 | * |
---|
| 822 | * Strengthening bounds of column q according to (5) and (6) may make |
---|
| 823 | * it fixed. Thus, if in solution to the transformed problem column q is |
---|
| 824 | * non-basic and fixed (GLP_NS), we can suppose that if lambda~[q] > 0, |
---|
| 825 | * column q has active lower bound (GLP_NL), and if lambda~[q] < 0, |
---|
| 826 | * column q has active upper bound (GLP_NU), reducing this case to two |
---|
| 827 | * previous ones. If, however, lambda~[q] is close to zero or |
---|
| 828 | * corresponding bound of row p does not exist (this may happen if |
---|
| 829 | * lambda~[q] has wrong sign due to round-off errors, in which case it |
---|
| 830 | * is expected to be close to zero, since solution is assumed to be dual |
---|
| 831 | * feasible), column q can be assigned status GLP_BS (basic), and row p |
---|
| 832 | * can be made active on its existing bound. In the latter case row |
---|
| 833 | * multiplier pi[p] computed with formula (9) will be also close to |
---|
| 834 | * zero, and dual feasibility will be kept. |
---|
| 835 | * |
---|
| 836 | * In all other cases, namely, if in solution to the transformed |
---|
| 837 | * problem column q is basic (GLP_BS), or non-basic with original lower |
---|
| 838 | * bound l[q] active (GLP_NL), or non-basic with original upper bound |
---|
| 839 | * u[q] active (GLP_NU), constraint (1) is inactive. So in solution to |
---|
| 840 | * the original problem status of column q remains unchanged, row p is |
---|
| 841 | * assigned status GLP_BS, and its multiplier pi[p] is assigned zero |
---|
| 842 | * value. |
---|
| 843 | * |
---|
| 844 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 845 | * |
---|
| 846 | * First, value of multiplier for column q in solution to the original |
---|
| 847 | * problem is computed with formula (8). If lambda~[q] > 0 and column q |
---|
| 848 | * has implied lower bound, or if lambda~[q] < 0 and column q has |
---|
| 849 | * implied upper bound, this means that from the original problem's |
---|
| 850 | * standpoint actually row p has corresponding active bound, in which |
---|
| 851 | * case its multiplier pi[p] is computed with formula (9). In other |
---|
| 852 | * cases, when the sign of lambda~[q] corresponds to original bound of |
---|
| 853 | * column q, or when lambda~[q] =~ 0, value of row multiplier pi[p] is |
---|
| 854 | * assigned zero value. |
---|
| 855 | * |
---|
| 856 | * RECOVERING MIP SOLUTION |
---|
| 857 | * |
---|
| 858 | * None needed. */ |
---|
| 859 | |
---|
| 860 | struct ineq_singlet |
---|
| 861 | { /* row singleton (inequality constraint) */ |
---|
| 862 | int p; |
---|
| 863 | /* row reference number */ |
---|
| 864 | int q; |
---|
| 865 | /* column reference number */ |
---|
| 866 | double apq; |
---|
| 867 | /* constraint coefficient a[p,q] */ |
---|
| 868 | double c; |
---|
| 869 | /* objective coefficient at x[q] */ |
---|
| 870 | double lb; |
---|
| 871 | /* row lower bound */ |
---|
| 872 | double ub; |
---|
| 873 | /* row upper bound */ |
---|
| 874 | char lb_changed; |
---|
| 875 | /* this flag is set if column lower bound was changed */ |
---|
| 876 | char ub_changed; |
---|
| 877 | /* this flag is set if column upper bound was changed */ |
---|
| 878 | NPPLFE *ptr; |
---|
| 879 | /* list of non-zero coefficients a[i,q], i != p */ |
---|
| 880 | }; |
---|
| 881 | |
---|
| 882 | static int rcv_ineq_singlet(NPP *npp, void *info); |
---|
| 883 | |
---|
| 884 | int npp_ineq_singlet(NPP *npp, NPPROW *p) |
---|
| 885 | { /* process row singleton (inequality constraint) */ |
---|
| 886 | struct ineq_singlet *info; |
---|
| 887 | NPPCOL *q; |
---|
| 888 | NPPAIJ *apq, *aij; |
---|
| 889 | NPPLFE *lfe; |
---|
| 890 | int lb_changed, ub_changed; |
---|
| 891 | double ll, uu; |
---|
| 892 | /* the row must be singleton inequality constraint */ |
---|
| 893 | xassert(p->lb != -DBL_MAX || p->ub != +DBL_MAX); |
---|
| 894 | xassert(p->lb < p->ub); |
---|
| 895 | xassert(p->ptr != NULL && p->ptr->r_next == NULL); |
---|
| 896 | /* compute implied column bounds */ |
---|
| 897 | apq = p->ptr; |
---|
| 898 | q = apq->col; |
---|
| 899 | xassert(q->lb < q->ub); |
---|
| 900 | if (apq->val > 0.0) |
---|
| 901 | { ll = (p->lb == -DBL_MAX ? -DBL_MAX : p->lb / apq->val); |
---|
| 902 | uu = (p->ub == +DBL_MAX ? +DBL_MAX : p->ub / apq->val); |
---|
| 903 | } |
---|
| 904 | else |
---|
| 905 | { ll = (p->ub == +DBL_MAX ? -DBL_MAX : p->ub / apq->val); |
---|
| 906 | uu = (p->lb == -DBL_MAX ? +DBL_MAX : p->lb / apq->val); |
---|
| 907 | } |
---|
| 908 | /* process implied column lower bound */ |
---|
| 909 | if (ll == -DBL_MAX) |
---|
| 910 | lb_changed = 0; |
---|
| 911 | else |
---|
| 912 | { lb_changed = npp_implied_lower(npp, q, ll); |
---|
| 913 | xassert(0 <= lb_changed && lb_changed <= 4); |
---|
| 914 | if (lb_changed == 4) return 4; /* infeasible */ |
---|
| 915 | } |
---|
| 916 | /* process implied column upper bound */ |
---|
| 917 | if (uu == +DBL_MAX) |
---|
| 918 | ub_changed = 0; |
---|
| 919 | else if (lb_changed == 3) |
---|
| 920 | { /* column was fixed on its upper bound due to l'[q] = u[q] */ |
---|
| 921 | /* note that L[p] < U[p], so l'[q] = u[q] < u'[q] */ |
---|
| 922 | ub_changed = 0; |
---|
| 923 | } |
---|
| 924 | else |
---|
| 925 | { ub_changed = npp_implied_upper(npp, q, uu); |
---|
| 926 | xassert(0 <= ub_changed && ub_changed <= 4); |
---|
| 927 | if (ub_changed == 4) return 4; /* infeasible */ |
---|
| 928 | } |
---|
| 929 | /* if neither lower nor upper column bound was changed, the row |
---|
| 930 | is originally redundant and can be replaced by free row */ |
---|
| 931 | if (!lb_changed && !ub_changed) |
---|
| 932 | { p->lb = -DBL_MAX, p->ub = +DBL_MAX; |
---|
| 933 | npp_free_row(npp, p); |
---|
| 934 | return 0; |
---|
| 935 | } |
---|
| 936 | /* create transformation stack entry */ |
---|
| 937 | info = npp_push_tse(npp, |
---|
| 938 | rcv_ineq_singlet, sizeof(struct ineq_singlet)); |
---|
| 939 | info->p = p->i; |
---|
| 940 | info->q = q->j; |
---|
| 941 | info->apq = apq->val; |
---|
| 942 | info->c = q->coef; |
---|
| 943 | info->lb = p->lb; |
---|
| 944 | info->ub = p->ub; |
---|
| 945 | info->lb_changed = (char)lb_changed; |
---|
| 946 | info->ub_changed = (char)ub_changed; |
---|
| 947 | info->ptr = NULL; |
---|
| 948 | /* save column coefficients a[i,q], i != p (not needed for MIP |
---|
| 949 | solution) */ |
---|
| 950 | if (npp->sol != GLP_MIP) |
---|
| 951 | { for (aij = q->ptr; aij != NULL; aij = aij->c_next) |
---|
| 952 | { if (aij == apq) continue; /* skip a[p,q] */ |
---|
| 953 | lfe = dmp_get_atom(npp->stack, sizeof(NPPLFE)); |
---|
| 954 | lfe->ref = aij->row->i; |
---|
| 955 | lfe->val = aij->val; |
---|
| 956 | lfe->next = info->ptr; |
---|
| 957 | info->ptr = lfe; |
---|
| 958 | } |
---|
| 959 | } |
---|
| 960 | /* remove the row from the problem */ |
---|
| 961 | npp_del_row(npp, p); |
---|
| 962 | return lb_changed >= ub_changed ? lb_changed : ub_changed; |
---|
| 963 | } |
---|
| 964 | |
---|
| 965 | static int rcv_ineq_singlet(NPP *npp, void *_info) |
---|
| 966 | { /* recover row singleton (inequality constraint) */ |
---|
| 967 | struct ineq_singlet *info = _info; |
---|
| 968 | NPPLFE *lfe; |
---|
| 969 | double lambda; |
---|
| 970 | if (npp->sol == GLP_MIP) goto done; |
---|
| 971 | /* compute lambda~[q] in solution to the transformed problem |
---|
| 972 | with formula (8) */ |
---|
| 973 | lambda = info->c; |
---|
| 974 | for (lfe = info->ptr; lfe != NULL; lfe = lfe->next) |
---|
| 975 | lambda -= lfe->val * npp->r_pi[lfe->ref]; |
---|
| 976 | if (npp->sol == GLP_SOL) |
---|
| 977 | { /* recover basic solution */ |
---|
| 978 | if (npp->c_stat[info->q] == GLP_BS) |
---|
| 979 | { /* column q is basic, so row p is inactive */ |
---|
| 980 | npp->r_stat[info->p] = GLP_BS; |
---|
| 981 | npp->r_pi[info->p] = 0.0; |
---|
| 982 | } |
---|
| 983 | else if (npp->c_stat[info->q] == GLP_NL) |
---|
| 984 | nl: { /* column q is non-basic with lower bound active */ |
---|
| 985 | if (info->lb_changed) |
---|
| 986 | { /* it is implied bound, so actually row p is active |
---|
| 987 | while column q is basic */ |
---|
| 988 | npp->r_stat[info->p] = |
---|
| 989 | (char)(info->apq > 0.0 ? GLP_NL : GLP_NU); |
---|
| 990 | npp->c_stat[info->q] = GLP_BS; |
---|
| 991 | npp->r_pi[info->p] = lambda / info->apq; |
---|
| 992 | } |
---|
| 993 | else |
---|
| 994 | { /* it is original bound, so row p is inactive */ |
---|
| 995 | npp->r_stat[info->p] = GLP_BS; |
---|
| 996 | npp->r_pi[info->p] = 0.0; |
---|
| 997 | } |
---|
| 998 | } |
---|
| 999 | else if (npp->c_stat[info->q] == GLP_NU) |
---|
| 1000 | nu: { /* column q is non-basic with upper bound active */ |
---|
| 1001 | if (info->ub_changed) |
---|
| 1002 | { /* it is implied bound, so actually row p is active |
---|
| 1003 | while column q is basic */ |
---|
| 1004 | npp->r_stat[info->p] = |
---|
| 1005 | (char)(info->apq > 0.0 ? GLP_NU : GLP_NL); |
---|
| 1006 | npp->c_stat[info->q] = GLP_BS; |
---|
| 1007 | npp->r_pi[info->p] = lambda / info->apq; |
---|
| 1008 | } |
---|
| 1009 | else |
---|
| 1010 | { /* it is original bound, so row p is inactive */ |
---|
| 1011 | npp->r_stat[info->p] = GLP_BS; |
---|
| 1012 | npp->r_pi[info->p] = 0.0; |
---|
| 1013 | } |
---|
| 1014 | } |
---|
| 1015 | else if (npp->c_stat[info->q] == GLP_NS) |
---|
| 1016 | { /* column q is non-basic and fixed; note, however, that in |
---|
| 1017 | in the original problem it is non-fixed */ |
---|
| 1018 | if (lambda > +1e-7) |
---|
| 1019 | { if (info->apq > 0.0 && info->lb != -DBL_MAX || |
---|
| 1020 | info->apq < 0.0 && info->ub != +DBL_MAX || |
---|
| 1021 | !info->lb_changed) |
---|
| 1022 | { /* either corresponding bound of row p exists or |
---|
| 1023 | column q remains non-basic with its original lower |
---|
| 1024 | bound active */ |
---|
| 1025 | npp->c_stat[info->q] = GLP_NL; |
---|
| 1026 | goto nl; |
---|
| 1027 | } |
---|
| 1028 | } |
---|
| 1029 | if (lambda < -1e-7) |
---|
| 1030 | { if (info->apq > 0.0 && info->ub != +DBL_MAX || |
---|
| 1031 | info->apq < 0.0 && info->lb != -DBL_MAX || |
---|
| 1032 | !info->ub_changed) |
---|
| 1033 | { /* either corresponding bound of row p exists or |
---|
| 1034 | column q remains non-basic with its original upper |
---|
| 1035 | bound active */ |
---|
| 1036 | npp->c_stat[info->q] = GLP_NU; |
---|
| 1037 | goto nu; |
---|
| 1038 | } |
---|
| 1039 | } |
---|
| 1040 | /* either lambda~[q] is close to zero, or corresponding |
---|
| 1041 | bound of row p does not exist, because lambda~[q] has |
---|
| 1042 | wrong sign due to round-off errors; in the latter case |
---|
| 1043 | lambda~[q] is also assumed to be close to zero; so, we |
---|
| 1044 | can make row p active on its existing bound and column q |
---|
| 1045 | basic; pi[p] will have wrong sign, but it also will be |
---|
| 1046 | close to zero (rarus casus of dual degeneracy) */ |
---|
| 1047 | if (info->lb != -DBL_MAX && info->ub == +DBL_MAX) |
---|
| 1048 | { /* row lower bound exists, but upper bound doesn't */ |
---|
| 1049 | npp->r_stat[info->p] = GLP_NL; |
---|
| 1050 | } |
---|
| 1051 | else if (info->lb == -DBL_MAX && info->ub != +DBL_MAX) |
---|
| 1052 | { /* row upper bound exists, but lower bound doesn't */ |
---|
| 1053 | npp->r_stat[info->p] = GLP_NU; |
---|
| 1054 | } |
---|
| 1055 | else if (info->lb != -DBL_MAX && info->ub != +DBL_MAX) |
---|
| 1056 | { /* both row lower and upper bounds exist */ |
---|
| 1057 | /* to choose proper active row bound we should not use |
---|
| 1058 | lambda~[q], because its value being close to zero is |
---|
| 1059 | unreliable; so we choose that bound which provides |
---|
| 1060 | primal feasibility for original constraint (1) */ |
---|
| 1061 | if (info->apq * npp->c_value[info->q] <= |
---|
| 1062 | 0.5 * (info->lb + info->ub)) |
---|
| 1063 | npp->r_stat[info->p] = GLP_NL; |
---|
| 1064 | else |
---|
| 1065 | npp->r_stat[info->p] = GLP_NU; |
---|
| 1066 | } |
---|
| 1067 | else |
---|
| 1068 | { npp_error(); |
---|
| 1069 | return 1; |
---|
| 1070 | } |
---|
| 1071 | npp->c_stat[info->q] = GLP_BS; |
---|
| 1072 | npp->r_pi[info->p] = lambda / info->apq; |
---|
| 1073 | } |
---|
| 1074 | else |
---|
| 1075 | { npp_error(); |
---|
| 1076 | return 1; |
---|
| 1077 | } |
---|
| 1078 | } |
---|
| 1079 | if (npp->sol == GLP_IPT) |
---|
| 1080 | { /* recover interior-point solution */ |
---|
| 1081 | if (lambda > +DBL_EPSILON && info->lb_changed || |
---|
| 1082 | lambda < -DBL_EPSILON && info->ub_changed) |
---|
| 1083 | { /* actually row p has corresponding active bound */ |
---|
| 1084 | npp->r_pi[info->p] = lambda / info->apq; |
---|
| 1085 | } |
---|
| 1086 | else |
---|
| 1087 | { /* either bounds of column q are both inactive or its |
---|
| 1088 | original bound is active */ |
---|
| 1089 | npp->r_pi[info->p] = 0.0; |
---|
| 1090 | } |
---|
| 1091 | } |
---|
| 1092 | done: return 0; |
---|
| 1093 | } |
---|
| 1094 | |
---|
| 1095 | /*********************************************************************** |
---|
| 1096 | * NAME |
---|
| 1097 | * |
---|
| 1098 | * npp_implied_slack - process column singleton (implied slack variable) |
---|
| 1099 | * |
---|
| 1100 | * SYNOPSIS |
---|
| 1101 | * |
---|
| 1102 | * #include "glpnpp.h" |
---|
| 1103 | * void npp_implied_slack(NPP *npp, NPPCOL *q); |
---|
| 1104 | * |
---|
| 1105 | * DESCRIPTION |
---|
| 1106 | * |
---|
| 1107 | * The routine npp_implied_slack processes column q: |
---|
| 1108 | * |
---|
| 1109 | * l[q] <= x[q] <= u[q], (1) |
---|
| 1110 | * |
---|
| 1111 | * where l[q] < u[q], having the only non-zero coefficient in row p, |
---|
| 1112 | * which is equality constraint: |
---|
| 1113 | * |
---|
| 1114 | * sum a[p,j] x[j] + a[p,q] x[q] = b. (2) |
---|
| 1115 | * j!=q |
---|
| 1116 | * |
---|
| 1117 | * PROBLEM TRANSFORMATION |
---|
| 1118 | * |
---|
| 1119 | * (If x[q] is integral, this transformation must not be used.) |
---|
| 1120 | * |
---|
| 1121 | * The term a[p,q] x[q] in constraint (2) can be considered as a slack |
---|
| 1122 | * variable that allows to carry bounds of column q over row p and then |
---|
| 1123 | * remove column q from the problem. |
---|
| 1124 | * |
---|
| 1125 | * Constraint (2) can be written as follows: |
---|
| 1126 | * |
---|
| 1127 | * sum a[p,j] x[j] = b - a[p,q] x[q]. (3) |
---|
| 1128 | * j!=q |
---|
| 1129 | * |
---|
| 1130 | * According to (1) constraint (3) is equivalent to the following |
---|
| 1131 | * inequality constraint: |
---|
| 1132 | * |
---|
| 1133 | * L[p] <= sum a[p,j] x[j] <= U[p], (4) |
---|
| 1134 | * j!=q |
---|
| 1135 | * |
---|
| 1136 | * where |
---|
| 1137 | * |
---|
| 1138 | * ( b - a[p,q] u[q], if a[p,q] > 0 |
---|
| 1139 | * L[p] = < (5) |
---|
| 1140 | * ( b - a[p,q] l[q], if a[p,q] < 0 |
---|
| 1141 | * |
---|
| 1142 | * ( b - a[p,q] l[q], if a[p,q] > 0 |
---|
| 1143 | * U[p] = < (6) |
---|
| 1144 | * ( b - a[p,q] u[q], if a[p,q] < 0 |
---|
| 1145 | * |
---|
| 1146 | * From (2) it follows that: |
---|
| 1147 | * |
---|
| 1148 | * 1 |
---|
| 1149 | * x[q] = ------ (b - sum a[p,j] x[j]). (7) |
---|
| 1150 | * a[p,q] j!=q |
---|
| 1151 | * |
---|
| 1152 | * In order to eliminate x[q] from the objective row we substitute it |
---|
| 1153 | * from (6) to that row: |
---|
| 1154 | * |
---|
| 1155 | * z = sum c[j] x[j] + c[q] x[q] + c[0] = |
---|
| 1156 | * j!=q |
---|
| 1157 | * 1 |
---|
| 1158 | * = sum c[j] x[j] + c[q] [------ (b - sum a[p,j] x[j])] + c0 = |
---|
| 1159 | * j!=q a[p,q] j!=q |
---|
| 1160 | * |
---|
| 1161 | * = sum c~[j] x[j] + c~[0], |
---|
| 1162 | * j!=q |
---|
| 1163 | * a[p,j] b |
---|
| 1164 | * c~[j] = c[j] - c[q] ------, c~0 = c0 - c[q] ------ (8) |
---|
| 1165 | * a[p,q] a[p,q] |
---|
| 1166 | * |
---|
| 1167 | * are values of objective coefficients and constant term, resp., in |
---|
| 1168 | * the transformed problem. |
---|
| 1169 | * |
---|
| 1170 | * Note that column q is column singleton, so in the dual system of the |
---|
| 1171 | * original problem it corresponds to the following row singleton: |
---|
| 1172 | * |
---|
| 1173 | * a[p,q] pi[p] + lambda[q] = c[q]. (9) |
---|
| 1174 | * |
---|
| 1175 | * In the transformed problem row (9) would be the following: |
---|
| 1176 | * |
---|
| 1177 | * a[p,q] pi~[p] + lambda[q] = c~[q] = 0. (10) |
---|
| 1178 | * |
---|
| 1179 | * Subtracting (10) from (9) we have: |
---|
| 1180 | * |
---|
| 1181 | * a[p,q] (pi[p] - pi~[p]) = c[q] |
---|
| 1182 | * |
---|
| 1183 | * that gives the following formula to compute multiplier for row p in |
---|
| 1184 | * solution to the original problem using its value in solution to the |
---|
| 1185 | * transformed problem: |
---|
| 1186 | * |
---|
| 1187 | * pi[p] = pi~[p] + c[q] / a[p,q]. (11) |
---|
| 1188 | * |
---|
| 1189 | * RECOVERING BASIC SOLUTION |
---|
| 1190 | * |
---|
| 1191 | * Status of column q in solution to the original problem is defined |
---|
| 1192 | * by status of row p in solution to the transformed problem and the |
---|
| 1193 | * sign of coefficient a[p,q] in the original inequality constraint (2) |
---|
| 1194 | * as follows: |
---|
| 1195 | * |
---|
| 1196 | * +-----------------------+---------+--------------------+ |
---|
| 1197 | * | Status of row p | Sign of | Status of column q | |
---|
| 1198 | * | (transformed problem) | a[p,q] | (original problem) | |
---|
| 1199 | * +-----------------------+---------+--------------------+ |
---|
| 1200 | * | GLP_BS | + / - | GLP_BS | |
---|
| 1201 | * | GLP_NL | + | GLP_NU | |
---|
| 1202 | * | GLP_NL | - | GLP_NL | |
---|
| 1203 | * | GLP_NU | + | GLP_NL | |
---|
| 1204 | * | GLP_NU | - | GLP_NU | |
---|
| 1205 | * | GLP_NF | + / - | GLP_NF | |
---|
| 1206 | * +-----------------------+---------+--------------------+ |
---|
| 1207 | * |
---|
| 1208 | * Value of column q is computed with formula (7). Since originally row |
---|
| 1209 | * p is equality constraint, its status is assigned GLP_NS, and value of |
---|
| 1210 | * its multiplier pi[p] is computed with formula (11). |
---|
| 1211 | * |
---|
| 1212 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 1213 | * |
---|
| 1214 | * Value of column q is computed with formula (7). Row multiplier value |
---|
| 1215 | * pi[p] is computed with formula (11). |
---|
| 1216 | * |
---|
| 1217 | * RECOVERING MIP SOLUTION |
---|
| 1218 | * |
---|
| 1219 | * Value of column q is computed with formula (7). */ |
---|
| 1220 | |
---|
| 1221 | struct implied_slack |
---|
| 1222 | { /* column singleton (implied slack variable) */ |
---|
| 1223 | int p; |
---|
| 1224 | /* row reference number */ |
---|
| 1225 | int q; |
---|
| 1226 | /* column reference number */ |
---|
| 1227 | double apq; |
---|
| 1228 | /* constraint coefficient a[p,q] */ |
---|
| 1229 | double b; |
---|
| 1230 | /* right-hand side of original equality constraint */ |
---|
| 1231 | double c; |
---|
| 1232 | /* original objective coefficient at x[q] */ |
---|
| 1233 | NPPLFE *ptr; |
---|
| 1234 | /* list of non-zero coefficients a[p,j], j != q */ |
---|
| 1235 | }; |
---|
| 1236 | |
---|
| 1237 | static int rcv_implied_slack(NPP *npp, void *info); |
---|
| 1238 | |
---|
| 1239 | void npp_implied_slack(NPP *npp, NPPCOL *q) |
---|
| 1240 | { /* process column singleton (implied slack variable) */ |
---|
| 1241 | struct implied_slack *info; |
---|
| 1242 | NPPROW *p; |
---|
| 1243 | NPPAIJ *aij; |
---|
| 1244 | NPPLFE *lfe; |
---|
| 1245 | /* the column must be non-integral non-fixed singleton */ |
---|
| 1246 | xassert(!q->is_int); |
---|
| 1247 | xassert(q->lb < q->ub); |
---|
| 1248 | xassert(q->ptr != NULL && q->ptr->c_next == NULL); |
---|
| 1249 | /* corresponding row must be equality constraint */ |
---|
| 1250 | aij = q->ptr; |
---|
| 1251 | p = aij->row; |
---|
| 1252 | xassert(p->lb == p->ub); |
---|
| 1253 | /* create transformation stack entry */ |
---|
| 1254 | info = npp_push_tse(npp, |
---|
| 1255 | rcv_implied_slack, sizeof(struct implied_slack)); |
---|
| 1256 | info->p = p->i; |
---|
| 1257 | info->q = q->j; |
---|
| 1258 | info->apq = aij->val; |
---|
| 1259 | info->b = p->lb; |
---|
| 1260 | info->c = q->coef; |
---|
| 1261 | info->ptr = NULL; |
---|
| 1262 | /* save row coefficients a[p,j], j != q, and substitute x[q] |
---|
| 1263 | into the objective row */ |
---|
| 1264 | for (aij = p->ptr; aij != NULL; aij = aij->r_next) |
---|
| 1265 | { if (aij->col == q) continue; /* skip a[p,q] */ |
---|
| 1266 | lfe = dmp_get_atom(npp->stack, sizeof(NPPLFE)); |
---|
| 1267 | lfe->ref = aij->col->j; |
---|
| 1268 | lfe->val = aij->val; |
---|
| 1269 | lfe->next = info->ptr; |
---|
| 1270 | info->ptr = lfe; |
---|
| 1271 | aij->col->coef -= info->c * (aij->val / info->apq); |
---|
| 1272 | } |
---|
| 1273 | npp->c0 += info->c * (info->b / info->apq); |
---|
| 1274 | /* compute new row bounds */ |
---|
| 1275 | if (info->apq > 0.0) |
---|
| 1276 | { p->lb = (q->ub == +DBL_MAX ? |
---|
| 1277 | -DBL_MAX : info->b - info->apq * q->ub); |
---|
| 1278 | p->ub = (q->lb == -DBL_MAX ? |
---|
| 1279 | +DBL_MAX : info->b - info->apq * q->lb); |
---|
| 1280 | } |
---|
| 1281 | else |
---|
| 1282 | { p->lb = (q->lb == -DBL_MAX ? |
---|
| 1283 | -DBL_MAX : info->b - info->apq * q->lb); |
---|
| 1284 | p->ub = (q->ub == +DBL_MAX ? |
---|
| 1285 | +DBL_MAX : info->b - info->apq * q->ub); |
---|
| 1286 | } |
---|
| 1287 | /* remove the column from the problem */ |
---|
| 1288 | npp_del_col(npp, q); |
---|
| 1289 | return; |
---|
| 1290 | } |
---|
| 1291 | |
---|
| 1292 | static int rcv_implied_slack(NPP *npp, void *_info) |
---|
| 1293 | { /* recover column singleton (implied slack variable) */ |
---|
| 1294 | struct implied_slack *info = _info; |
---|
| 1295 | NPPLFE *lfe; |
---|
| 1296 | double temp; |
---|
| 1297 | if (npp->sol == GLP_SOL) |
---|
| 1298 | { /* assign statuses to row p and column q */ |
---|
| 1299 | if (npp->r_stat[info->p] == GLP_BS || |
---|
| 1300 | npp->r_stat[info->p] == GLP_NF) |
---|
| 1301 | npp->c_stat[info->q] = npp->r_stat[info->p]; |
---|
| 1302 | else if (npp->r_stat[info->p] == GLP_NL) |
---|
| 1303 | npp->c_stat[info->q] = |
---|
| 1304 | (char)(info->apq > 0.0 ? GLP_NU : GLP_NL); |
---|
| 1305 | else if (npp->r_stat[info->p] == GLP_NU) |
---|
| 1306 | npp->c_stat[info->q] = |
---|
| 1307 | (char)(info->apq > 0.0 ? GLP_NL : GLP_NU); |
---|
| 1308 | else |
---|
| 1309 | { npp_error(); |
---|
| 1310 | return 1; |
---|
| 1311 | } |
---|
| 1312 | npp->r_stat[info->p] = GLP_NS; |
---|
| 1313 | } |
---|
| 1314 | if (npp->sol != GLP_MIP) |
---|
| 1315 | { /* compute multiplier for row p */ |
---|
| 1316 | npp->r_pi[info->p] += info->c / info->apq; |
---|
| 1317 | } |
---|
| 1318 | /* compute value of column q */ |
---|
| 1319 | temp = info->b; |
---|
| 1320 | for (lfe = info->ptr; lfe != NULL; lfe = lfe->next) |
---|
| 1321 | temp -= lfe->val * npp->c_value[lfe->ref]; |
---|
| 1322 | npp->c_value[info->q] = temp / info->apq; |
---|
| 1323 | return 0; |
---|
| 1324 | } |
---|
| 1325 | |
---|
| 1326 | /*********************************************************************** |
---|
| 1327 | * NAME |
---|
| 1328 | * |
---|
| 1329 | * npp_implied_free - process column singleton (implied free variable) |
---|
| 1330 | * |
---|
| 1331 | * SYNOPSIS |
---|
| 1332 | * |
---|
| 1333 | * #include "glpnpp.h" |
---|
| 1334 | * int npp_implied_free(NPP *npp, NPPCOL *q); |
---|
| 1335 | * |
---|
| 1336 | * DESCRIPTION |
---|
| 1337 | * |
---|
| 1338 | * The routine npp_implied_free processes column q: |
---|
| 1339 | * |
---|
| 1340 | * l[q] <= x[q] <= u[q], (1) |
---|
| 1341 | * |
---|
| 1342 | * having non-zero coefficient in the only row p, which is inequality |
---|
| 1343 | * constraint: |
---|
| 1344 | * |
---|
| 1345 | * L[p] <= sum a[p,j] x[j] + a[p,q] x[q] <= U[p], (2) |
---|
| 1346 | * j!=q |
---|
| 1347 | * |
---|
| 1348 | * where l[q] < u[q], L[p] < U[p], L[p] > -oo and/or U[p] < +oo. |
---|
| 1349 | * |
---|
| 1350 | * RETURNS |
---|
| 1351 | * |
---|
| 1352 | * 0 - success; |
---|
| 1353 | * |
---|
| 1354 | * 1 - column lower and/or upper bound(s) can be active; |
---|
| 1355 | * |
---|
| 1356 | * 2 - problem has no dual feasible solution. |
---|
| 1357 | * |
---|
| 1358 | * PROBLEM TRANSFORMATION |
---|
| 1359 | * |
---|
| 1360 | * Constraint (2) can be written as follows: |
---|
| 1361 | * |
---|
| 1362 | * L[p] - sum a[p,j] x[j] <= a[p,q] x[q] <= U[p] - sum a[p,j] x[j], |
---|
| 1363 | * j!=q j!=q |
---|
| 1364 | * |
---|
| 1365 | * from which it follows that: |
---|
| 1366 | * |
---|
| 1367 | * alfa <= a[p,q] x[q] <= beta, (3) |
---|
| 1368 | * |
---|
| 1369 | * where |
---|
| 1370 | * |
---|
| 1371 | * alfa = inf(L[p] - sum a[p,j] x[j]) = |
---|
| 1372 | * j!=q |
---|
| 1373 | * |
---|
| 1374 | * = L[p] - sup sum a[p,j] x[j] = (4) |
---|
| 1375 | * j!=q |
---|
| 1376 | * |
---|
| 1377 | * = L[p] - sum a[p,j] u[j] - sum a[p,j] l[j], |
---|
| 1378 | * j in Jp j in Jn |
---|
| 1379 | * |
---|
| 1380 | * beta = sup(L[p] - sum a[p,j] x[j]) = |
---|
| 1381 | * j!=q |
---|
| 1382 | * |
---|
| 1383 | * = L[p] - inf sum a[p,j] x[j] = (5) |
---|
| 1384 | * j!=q |
---|
| 1385 | * |
---|
| 1386 | * = L[p] - sum a[p,j] l[j] - sum a[p,j] u[j], |
---|
| 1387 | * j in Jp j in Jn |
---|
| 1388 | * |
---|
| 1389 | * Jp = {j != q: a[p,j] > 0}, Jn = {j != q: a[p,j] < 0}. (6) |
---|
| 1390 | * |
---|
| 1391 | * Inequality (3) defines implied bounds of variable x[q]: |
---|
| 1392 | * |
---|
| 1393 | * l'[q] <= x[q] <= u'[q], (7) |
---|
| 1394 | * |
---|
| 1395 | * where |
---|
| 1396 | * |
---|
| 1397 | * ( alfa / a[p,q], if a[p,q] > 0 |
---|
| 1398 | * l'[q] = < (8a) |
---|
| 1399 | * ( beta / a[p,q], if a[p,q] < 0 |
---|
| 1400 | * |
---|
| 1401 | * ( beta / a[p,q], if a[p,q] > 0 |
---|
| 1402 | * u'[q] = < (8b) |
---|
| 1403 | * ( alfa / a[p,q], if a[p,q] < 0 |
---|
| 1404 | * |
---|
| 1405 | * Thus, if l'[q] > l[q] - eps and u'[q] < u[q] + eps, where eps is |
---|
| 1406 | * an absolute tolerance for column value, column bounds (1) cannot be |
---|
| 1407 | * active, in which case column q can be replaced by equivalent free |
---|
| 1408 | * (unbounded) column. |
---|
| 1409 | * |
---|
| 1410 | * Note that column q is column singleton, so in the dual system of the |
---|
| 1411 | * original problem it corresponds to the following row singleton: |
---|
| 1412 | * |
---|
| 1413 | * a[p,q] pi[p] + lambda[q] = c[q], (9) |
---|
| 1414 | * |
---|
| 1415 | * from which it follows that: |
---|
| 1416 | * |
---|
| 1417 | * pi[p] = (c[q] - lambda[q]) / a[p,q]. (10) |
---|
| 1418 | * |
---|
| 1419 | * Let x[q] be implied free (unbounded) variable. Then column q can be |
---|
| 1420 | * only basic, so its multiplier lambda[q] is equal to zero, and from |
---|
| 1421 | * (10) we have: |
---|
| 1422 | * |
---|
| 1423 | * pi[p] = c[q] / a[p,q]. (11) |
---|
| 1424 | * |
---|
| 1425 | * There are possible three cases: |
---|
| 1426 | * |
---|
| 1427 | * 1) pi[p] < -eps, where eps is an absolute tolerance for row |
---|
| 1428 | * multiplier. In this case, to provide dual feasibility of the |
---|
| 1429 | * original problem, row p must be active on its lower bound, and |
---|
| 1430 | * if its lower bound does not exist (L[p] = -oo), the problem has |
---|
| 1431 | * no dual feasible solution; |
---|
| 1432 | * |
---|
| 1433 | * 2) pi[p] > +eps. In this case row p must be active on its upper |
---|
| 1434 | * bound, and if its upper bound does not exist (U[p] = +oo), the |
---|
| 1435 | * problem has no dual feasible solution; |
---|
| 1436 | * |
---|
| 1437 | * 3) -eps <= pi[p] <= +eps. In this case any (either lower or upper) |
---|
| 1438 | * bound of row p can be active, because this does not affect dual |
---|
| 1439 | * feasibility. |
---|
| 1440 | * |
---|
| 1441 | * Thus, in all three cases original inequality constraint (2) can be |
---|
| 1442 | * replaced by equality constraint, where the right-hand side is either |
---|
| 1443 | * lower or upper bound of row p, and bounds of column q can be removed |
---|
| 1444 | * that makes it free (unbounded). (May note that this transformation |
---|
| 1445 | * can be followed by transformation "Column singleton (implied slack |
---|
| 1446 | * variable)" performed by the routine npp_implied_slack.) |
---|
| 1447 | * |
---|
| 1448 | * RECOVERING BASIC SOLUTION |
---|
| 1449 | * |
---|
| 1450 | * Status of row p in solution to the original problem is determined |
---|
| 1451 | * by its status in solution to the transformed problem and its bound, |
---|
| 1452 | * which was choosen to be active: |
---|
| 1453 | * |
---|
| 1454 | * +-----------------------+--------+--------------------+ |
---|
| 1455 | * | Status of row p | Active | Status of row p | |
---|
| 1456 | * | (transformed problem) | bound | (original problem) | |
---|
| 1457 | * +-----------------------+--------+--------------------+ |
---|
| 1458 | * | GLP_BS | L[p] | GLP_BS | |
---|
| 1459 | * | GLP_BS | U[p] | GLP_BS | |
---|
| 1460 | * | GLP_NS | L[p] | GLP_NL | |
---|
| 1461 | * | GLP_NS | U[p] | GLP_NU | |
---|
| 1462 | * +-----------------------+--------+--------------------+ |
---|
| 1463 | * |
---|
| 1464 | * Value of row multiplier pi[p] (as well as value of column q) in |
---|
| 1465 | * solution to the original problem is the same as in solution to the |
---|
| 1466 | * transformed problem. |
---|
| 1467 | * |
---|
| 1468 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 1469 | * |
---|
| 1470 | * Value of row multiplier pi[p] in solution to the original problem is |
---|
| 1471 | * the same as in solution to the transformed problem. |
---|
| 1472 | * |
---|
| 1473 | * RECOVERING MIP SOLUTION |
---|
| 1474 | * |
---|
| 1475 | * None needed. */ |
---|
| 1476 | |
---|
| 1477 | struct implied_free |
---|
| 1478 | { /* column singleton (implied free variable) */ |
---|
| 1479 | int p; |
---|
| 1480 | /* row reference number */ |
---|
| 1481 | char stat; |
---|
| 1482 | /* row status: |
---|
| 1483 | GLP_NL - active constraint on lower bound |
---|
| 1484 | GLP_NU - active constraint on upper bound */ |
---|
| 1485 | }; |
---|
| 1486 | |
---|
| 1487 | static int rcv_implied_free(NPP *npp, void *info); |
---|
| 1488 | |
---|
| 1489 | int npp_implied_free(NPP *npp, NPPCOL *q) |
---|
| 1490 | { /* process column singleton (implied free variable) */ |
---|
| 1491 | struct implied_free *info; |
---|
| 1492 | NPPROW *p; |
---|
| 1493 | NPPAIJ *apq, *aij; |
---|
| 1494 | double alfa, beta, l, u, pi, eps; |
---|
| 1495 | /* the column must be non-fixed singleton */ |
---|
| 1496 | xassert(q->lb < q->ub); |
---|
| 1497 | xassert(q->ptr != NULL && q->ptr->c_next == NULL); |
---|
| 1498 | /* corresponding row must be inequality constraint */ |
---|
| 1499 | apq = q->ptr; |
---|
| 1500 | p = apq->row; |
---|
| 1501 | xassert(p->lb != -DBL_MAX || p->ub != +DBL_MAX); |
---|
| 1502 | xassert(p->lb < p->ub); |
---|
| 1503 | /* compute alfa */ |
---|
| 1504 | alfa = p->lb; |
---|
| 1505 | if (alfa != -DBL_MAX) |
---|
| 1506 | { for (aij = p->ptr; aij != NULL; aij = aij->r_next) |
---|
| 1507 | { if (aij == apq) continue; /* skip a[p,q] */ |
---|
| 1508 | if (aij->val > 0.0) |
---|
| 1509 | { if (aij->col->ub == +DBL_MAX) |
---|
| 1510 | { alfa = -DBL_MAX; |
---|
| 1511 | break; |
---|
| 1512 | } |
---|
| 1513 | alfa -= aij->val * aij->col->ub; |
---|
| 1514 | } |
---|
| 1515 | else /* < 0.0 */ |
---|
| 1516 | { if (aij->col->lb == -DBL_MAX) |
---|
| 1517 | { alfa = -DBL_MAX; |
---|
| 1518 | break; |
---|
| 1519 | } |
---|
| 1520 | alfa -= aij->val * aij->col->lb; |
---|
| 1521 | } |
---|
| 1522 | } |
---|
| 1523 | } |
---|
| 1524 | /* compute beta */ |
---|
| 1525 | beta = p->ub; |
---|
| 1526 | if (beta != +DBL_MAX) |
---|
| 1527 | { for (aij = p->ptr; aij != NULL; aij = aij->r_next) |
---|
| 1528 | { if (aij == apq) continue; /* skip a[p,q] */ |
---|
| 1529 | if (aij->val > 0.0) |
---|
| 1530 | { if (aij->col->lb == -DBL_MAX) |
---|
| 1531 | { beta = +DBL_MAX; |
---|
| 1532 | break; |
---|
| 1533 | } |
---|
| 1534 | beta -= aij->val * aij->col->lb; |
---|
| 1535 | } |
---|
| 1536 | else /* < 0.0 */ |
---|
| 1537 | { if (aij->col->ub == +DBL_MAX) |
---|
| 1538 | { beta = +DBL_MAX; |
---|
| 1539 | break; |
---|
| 1540 | } |
---|
| 1541 | beta -= aij->val * aij->col->ub; |
---|
| 1542 | } |
---|
| 1543 | } |
---|
| 1544 | } |
---|
| 1545 | /* compute implied column lower bound l'[q] */ |
---|
| 1546 | if (apq->val > 0.0) |
---|
| 1547 | l = (alfa == -DBL_MAX ? -DBL_MAX : alfa / apq->val); |
---|
| 1548 | else /* < 0.0 */ |
---|
| 1549 | l = (beta == +DBL_MAX ? -DBL_MAX : beta / apq->val); |
---|
| 1550 | /* compute implied column upper bound u'[q] */ |
---|
| 1551 | if (apq->val > 0.0) |
---|
| 1552 | u = (beta == +DBL_MAX ? +DBL_MAX : beta / apq->val); |
---|
| 1553 | else |
---|
| 1554 | u = (alfa == -DBL_MAX ? +DBL_MAX : alfa / apq->val); |
---|
| 1555 | /* check if column lower bound l[q] can be active */ |
---|
| 1556 | if (q->lb != -DBL_MAX) |
---|
| 1557 | { eps = 1e-9 + 1e-12 * fabs(q->lb); |
---|
| 1558 | if (l < q->lb - eps) return 1; /* yes, it can */ |
---|
| 1559 | } |
---|
| 1560 | /* check if column upper bound u[q] can be active */ |
---|
| 1561 | if (q->ub != +DBL_MAX) |
---|
| 1562 | { eps = 1e-9 + 1e-12 * fabs(q->ub); |
---|
| 1563 | if (u > q->ub + eps) return 1; /* yes, it can */ |
---|
| 1564 | } |
---|
| 1565 | /* okay; make column q free (unbounded) */ |
---|
| 1566 | q->lb = -DBL_MAX, q->ub = +DBL_MAX; |
---|
| 1567 | /* create transformation stack entry */ |
---|
| 1568 | info = npp_push_tse(npp, |
---|
| 1569 | rcv_implied_free, sizeof(struct implied_free)); |
---|
| 1570 | info->p = p->i; |
---|
| 1571 | info->stat = -1; |
---|
| 1572 | /* compute row multiplier pi[p] */ |
---|
| 1573 | pi = q->coef / apq->val; |
---|
| 1574 | /* check dual feasibility for row p */ |
---|
| 1575 | if (pi > +DBL_EPSILON) |
---|
| 1576 | { /* lower bound L[p] must be active */ |
---|
| 1577 | if (p->lb != -DBL_MAX) |
---|
| 1578 | nl: { info->stat = GLP_NL; |
---|
| 1579 | p->ub = p->lb; |
---|
| 1580 | } |
---|
| 1581 | else |
---|
| 1582 | { if (pi > +1e-5) return 2; /* dual infeasibility */ |
---|
| 1583 | /* take a chance on U[p] */ |
---|
| 1584 | xassert(p->ub != +DBL_MAX); |
---|
| 1585 | goto nu; |
---|
| 1586 | } |
---|
| 1587 | } |
---|
| 1588 | else if (pi < -DBL_EPSILON) |
---|
| 1589 | { /* upper bound U[p] must be active */ |
---|
| 1590 | if (p->ub != +DBL_MAX) |
---|
| 1591 | nu: { info->stat = GLP_NU; |
---|
| 1592 | p->lb = p->ub; |
---|
| 1593 | } |
---|
| 1594 | else |
---|
| 1595 | { if (pi < -1e-5) return 2; /* dual infeasibility */ |
---|
| 1596 | /* take a chance on L[p] */ |
---|
| 1597 | xassert(p->lb != -DBL_MAX); |
---|
| 1598 | goto nl; |
---|
| 1599 | } |
---|
| 1600 | } |
---|
| 1601 | else |
---|
| 1602 | { /* any bound (either L[p] or U[p]) can be made active */ |
---|
| 1603 | if (p->ub == +DBL_MAX) |
---|
| 1604 | { xassert(p->lb != -DBL_MAX); |
---|
| 1605 | goto nl; |
---|
| 1606 | } |
---|
| 1607 | if (p->lb == -DBL_MAX) |
---|
| 1608 | { xassert(p->ub != +DBL_MAX); |
---|
| 1609 | goto nu; |
---|
| 1610 | } |
---|
| 1611 | if (fabs(p->lb) <= fabs(p->ub)) goto nl; else goto nu; |
---|
| 1612 | } |
---|
| 1613 | return 0; |
---|
| 1614 | } |
---|
| 1615 | |
---|
| 1616 | static int rcv_implied_free(NPP *npp, void *_info) |
---|
| 1617 | { /* recover column singleton (implied free variable) */ |
---|
| 1618 | struct implied_free *info = _info; |
---|
| 1619 | if (npp->sol == GLP_SOL) |
---|
| 1620 | { if (npp->r_stat[info->p] == GLP_BS) |
---|
| 1621 | npp->r_stat[info->p] = GLP_BS; |
---|
| 1622 | else if (npp->r_stat[info->p] == GLP_NS) |
---|
| 1623 | { xassert(info->stat == GLP_NL || info->stat == GLP_NU); |
---|
| 1624 | npp->r_stat[info->p] = info->stat; |
---|
| 1625 | } |
---|
| 1626 | else |
---|
| 1627 | { npp_error(); |
---|
| 1628 | return 1; |
---|
| 1629 | } |
---|
| 1630 | } |
---|
| 1631 | return 0; |
---|
| 1632 | } |
---|
| 1633 | |
---|
| 1634 | /*********************************************************************** |
---|
| 1635 | * NAME |
---|
| 1636 | * |
---|
| 1637 | * npp_eq_doublet - process row doubleton (equality constraint) |
---|
| 1638 | * |
---|
| 1639 | * SYNOPSIS |
---|
| 1640 | * |
---|
| 1641 | * #include "glpnpp.h" |
---|
| 1642 | * NPPCOL *npp_eq_doublet(NPP *npp, NPPROW *p); |
---|
| 1643 | * |
---|
| 1644 | * DESCRIPTION |
---|
| 1645 | * |
---|
| 1646 | * The routine npp_eq_doublet processes row p, which is equality |
---|
| 1647 | * constraint having exactly two non-zero coefficients: |
---|
| 1648 | * |
---|
| 1649 | * a[p,q] x[q] + a[p,r] x[r] = b. (1) |
---|
| 1650 | * |
---|
| 1651 | * As the result of processing one of columns q or r is eliminated from |
---|
| 1652 | * all other rows and, thus, becomes column singleton of type "implied |
---|
| 1653 | * slack variable". Row p is not changed and along with column q and r |
---|
| 1654 | * remains in the problem. |
---|
| 1655 | * |
---|
| 1656 | * RETURNS |
---|
| 1657 | * |
---|
| 1658 | * The routine npp_eq_doublet returns pointer to the descriptor of that |
---|
| 1659 | * column q or r which has been eliminated. If, due to some reason, the |
---|
| 1660 | * elimination was not performed, the routine returns NULL. |
---|
| 1661 | * |
---|
| 1662 | * PROBLEM TRANSFORMATION |
---|
| 1663 | * |
---|
| 1664 | * First, we decide which column q or r will be eliminated. Let it be |
---|
| 1665 | * column q. Consider i-th constraint row, where column q has non-zero |
---|
| 1666 | * coefficient a[i,q] != 0: |
---|
| 1667 | * |
---|
| 1668 | * L[i] <= sum a[i,j] x[j] <= U[i]. (2) |
---|
| 1669 | * j |
---|
| 1670 | * |
---|
| 1671 | * In order to eliminate column q from row (2) we subtract from it row |
---|
| 1672 | * (1) multiplied by gamma[i] = a[i,q] / a[p,q], i.e. we replace in the |
---|
| 1673 | * transformed problem row (2) by its linear combination with row (1). |
---|
| 1674 | * This transformation changes only coefficients in columns q and r, |
---|
| 1675 | * and bounds of row i as follows: |
---|
| 1676 | * |
---|
| 1677 | * a~[i,q] = a[i,q] - gamma[i] a[p,q] = 0, (3) |
---|
| 1678 | * |
---|
| 1679 | * a~[i,r] = a[i,r] - gamma[i] a[p,r], (4) |
---|
| 1680 | * |
---|
| 1681 | * L~[i] = L[i] - gamma[i] b, (5) |
---|
| 1682 | * |
---|
| 1683 | * U~[i] = U[i] - gamma[i] b. (6) |
---|
| 1684 | * |
---|
| 1685 | * RECOVERING BASIC SOLUTION |
---|
| 1686 | * |
---|
| 1687 | * The transformation of the primal system of the original problem: |
---|
| 1688 | * |
---|
| 1689 | * L <= A x <= U (7) |
---|
| 1690 | * |
---|
| 1691 | * is equivalent to multiplying from the left a transformation matrix F |
---|
| 1692 | * by components of this primal system, which in the transformed problem |
---|
| 1693 | * becomes the following: |
---|
| 1694 | * |
---|
| 1695 | * F L <= F A x <= F U ==> L~ <= A~x <= U~. (8) |
---|
| 1696 | * |
---|
| 1697 | * The matrix F has the following structure: |
---|
| 1698 | * |
---|
| 1699 | * ( 1 -gamma[1] ) |
---|
| 1700 | * ( ) |
---|
| 1701 | * ( 1 -gamma[2] ) |
---|
| 1702 | * ( ) |
---|
| 1703 | * ( ... ... ) |
---|
| 1704 | * ( ) |
---|
| 1705 | * F = ( 1 -gamma[p-1] ) (9) |
---|
| 1706 | * ( ) |
---|
| 1707 | * ( 1 ) |
---|
| 1708 | * ( ) |
---|
| 1709 | * ( -gamma[p+1] 1 ) |
---|
| 1710 | * ( ) |
---|
| 1711 | * ( ... ... ) |
---|
| 1712 | * |
---|
| 1713 | * where its column containing elements -gamma[i] corresponds to row p |
---|
| 1714 | * of the primal system. |
---|
| 1715 | * |
---|
| 1716 | * From (8) it follows that the dual system of the original problem: |
---|
| 1717 | * |
---|
| 1718 | * A'pi + lambda = c, (10) |
---|
| 1719 | * |
---|
| 1720 | * in the transformed problem becomes the following: |
---|
| 1721 | * |
---|
| 1722 | * A'F'inv(F')pi + lambda = c ==> (A~)'pi~ + lambda = c, (11) |
---|
| 1723 | * |
---|
| 1724 | * where: |
---|
| 1725 | * |
---|
| 1726 | * pi~ = inv(F')pi (12) |
---|
| 1727 | * |
---|
| 1728 | * is the vector of row multipliers in the transformed problem. Thus: |
---|
| 1729 | * |
---|
| 1730 | * pi = F'pi~. (13) |
---|
| 1731 | * |
---|
| 1732 | * Therefore, as it follows from (13), value of multiplier for row p in |
---|
| 1733 | * solution to the original problem can be computed as follows: |
---|
| 1734 | * |
---|
| 1735 | * pi[p] = pi~[p] - sum gamma[i] pi~[i], (14) |
---|
| 1736 | * i |
---|
| 1737 | * |
---|
| 1738 | * where pi~[i] = pi[i] is multiplier for row i (i != p). |
---|
| 1739 | * |
---|
| 1740 | * Note that the statuses of all rows and columns are not changed. |
---|
| 1741 | * |
---|
| 1742 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 1743 | * |
---|
| 1744 | * Multiplier for row p in solution to the original problem is computed |
---|
| 1745 | * with formula (14). |
---|
| 1746 | * |
---|
| 1747 | * RECOVERING MIP SOLUTION |
---|
| 1748 | * |
---|
| 1749 | * None needed. */ |
---|
| 1750 | |
---|
| 1751 | struct eq_doublet |
---|
| 1752 | { /* row doubleton (equality constraint) */ |
---|
| 1753 | int p; |
---|
| 1754 | /* row reference number */ |
---|
| 1755 | double apq; |
---|
| 1756 | /* constraint coefficient a[p,q] */ |
---|
| 1757 | NPPLFE *ptr; |
---|
| 1758 | /* list of non-zero coefficients a[i,q], i != p */ |
---|
| 1759 | }; |
---|
| 1760 | |
---|
| 1761 | static int rcv_eq_doublet(NPP *npp, void *info); |
---|
| 1762 | |
---|
| 1763 | NPPCOL *npp_eq_doublet(NPP *npp, NPPROW *p) |
---|
| 1764 | { /* process row doubleton (equality constraint) */ |
---|
| 1765 | struct eq_doublet *info; |
---|
| 1766 | NPPROW *i; |
---|
| 1767 | NPPCOL *q, *r; |
---|
| 1768 | NPPAIJ *apq, *apr, *aiq, *air, *next; |
---|
| 1769 | NPPLFE *lfe; |
---|
| 1770 | double gamma; |
---|
| 1771 | /* the row must be doubleton equality constraint */ |
---|
| 1772 | xassert(p->lb == p->ub); |
---|
| 1773 | xassert(p->ptr != NULL && p->ptr->r_next != NULL && |
---|
| 1774 | p->ptr->r_next->r_next == NULL); |
---|
| 1775 | /* choose column to be eliminated */ |
---|
| 1776 | { NPPAIJ *a1, *a2; |
---|
| 1777 | a1 = p->ptr, a2 = a1->r_next; |
---|
| 1778 | if (fabs(a2->val) < 0.001 * fabs(a1->val)) |
---|
| 1779 | { /* only first column can be eliminated, because second one |
---|
| 1780 | has too small constraint coefficient */ |
---|
| 1781 | apq = a1, apr = a2; |
---|
| 1782 | } |
---|
| 1783 | else if (fabs(a1->val) < 0.001 * fabs(a2->val)) |
---|
| 1784 | { /* only second column can be eliminated, because first one |
---|
| 1785 | has too small constraint coefficient */ |
---|
| 1786 | apq = a2, apr = a1; |
---|
| 1787 | } |
---|
| 1788 | else |
---|
| 1789 | { /* both columns are appropriate; choose that one which is |
---|
| 1790 | shorter to minimize fill-in */ |
---|
| 1791 | if (npp_col_nnz(npp, a1->col) <= npp_col_nnz(npp, a2->col)) |
---|
| 1792 | { /* first column is shorter */ |
---|
| 1793 | apq = a1, apr = a2; |
---|
| 1794 | } |
---|
| 1795 | else |
---|
| 1796 | { /* second column is shorter */ |
---|
| 1797 | apq = a2, apr = a1; |
---|
| 1798 | } |
---|
| 1799 | } |
---|
| 1800 | } |
---|
| 1801 | /* now columns q and r have been chosen */ |
---|
| 1802 | q = apq->col, r = apr->col; |
---|
| 1803 | /* create transformation stack entry */ |
---|
| 1804 | info = npp_push_tse(npp, |
---|
| 1805 | rcv_eq_doublet, sizeof(struct eq_doublet)); |
---|
| 1806 | info->p = p->i; |
---|
| 1807 | info->apq = apq->val; |
---|
| 1808 | info->ptr = NULL; |
---|
| 1809 | /* transform each row i (i != p), where a[i,q] != 0, to eliminate |
---|
| 1810 | column q */ |
---|
| 1811 | for (aiq = q->ptr; aiq != NULL; aiq = next) |
---|
| 1812 | { next = aiq->c_next; |
---|
| 1813 | if (aiq == apq) continue; /* skip row p */ |
---|
| 1814 | i = aiq->row; /* row i to be transformed */ |
---|
| 1815 | /* save constraint coefficient a[i,q] */ |
---|
| 1816 | if (npp->sol != GLP_MIP) |
---|
| 1817 | { lfe = dmp_get_atom(npp->stack, sizeof(NPPLFE)); |
---|
| 1818 | lfe->ref = i->i; |
---|
| 1819 | lfe->val = aiq->val; |
---|
| 1820 | lfe->next = info->ptr; |
---|
| 1821 | info->ptr = lfe; |
---|
| 1822 | } |
---|
| 1823 | /* find coefficient a[i,r] in row i */ |
---|
| 1824 | for (air = i->ptr; air != NULL; air = air->r_next) |
---|
| 1825 | if (air->col == r) break; |
---|
| 1826 | /* if a[i,r] does not exist, create a[i,r] = 0 */ |
---|
| 1827 | if (air == NULL) |
---|
| 1828 | air = npp_add_aij(npp, i, r, 0.0); |
---|
| 1829 | /* compute gamma[i] = a[i,q] / a[p,q] */ |
---|
| 1830 | gamma = aiq->val / apq->val; |
---|
| 1831 | /* (row i) := (row i) - gamma[i] * (row p); see (3)-(6) */ |
---|
| 1832 | /* new a[i,q] is exact zero due to elimnation; remove it from |
---|
| 1833 | row i */ |
---|
| 1834 | npp_del_aij(npp, aiq); |
---|
| 1835 | /* compute new a[i,r] */ |
---|
| 1836 | air->val -= gamma * apr->val; |
---|
| 1837 | /* if new a[i,r] is close to zero due to numeric cancelation, |
---|
| 1838 | remove it from row i */ |
---|
| 1839 | if (fabs(air->val) <= 1e-10) |
---|
| 1840 | npp_del_aij(npp, air); |
---|
| 1841 | /* compute new lower and upper bounds of row i */ |
---|
| 1842 | if (i->lb == i->ub) |
---|
| 1843 | i->lb = i->ub = (i->lb - gamma * p->lb); |
---|
| 1844 | else |
---|
| 1845 | { if (i->lb != -DBL_MAX) |
---|
| 1846 | i->lb -= gamma * p->lb; |
---|
| 1847 | if (i->ub != +DBL_MAX) |
---|
| 1848 | i->ub -= gamma * p->lb; |
---|
| 1849 | } |
---|
| 1850 | } |
---|
| 1851 | return q; |
---|
| 1852 | } |
---|
| 1853 | |
---|
| 1854 | static int rcv_eq_doublet(NPP *npp, void *_info) |
---|
| 1855 | { /* recover row doubleton (equality constraint) */ |
---|
| 1856 | struct eq_doublet *info = _info; |
---|
| 1857 | NPPLFE *lfe; |
---|
| 1858 | double gamma, temp; |
---|
| 1859 | /* we assume that processing row p is followed by processing |
---|
| 1860 | column q as singleton of type "implied slack variable", in |
---|
| 1861 | which case row p must always be active equality constraint */ |
---|
| 1862 | if (npp->sol == GLP_SOL) |
---|
| 1863 | { if (npp->r_stat[info->p] != GLP_NS) |
---|
| 1864 | { npp_error(); |
---|
| 1865 | return 1; |
---|
| 1866 | } |
---|
| 1867 | } |
---|
| 1868 | if (npp->sol != GLP_MIP) |
---|
| 1869 | { /* compute value of multiplier for row p; see (14) */ |
---|
| 1870 | temp = npp->r_pi[info->p]; |
---|
| 1871 | for (lfe = info->ptr; lfe != NULL; lfe = lfe->next) |
---|
| 1872 | { gamma = lfe->val / info->apq; /* a[i,q] / a[p,q] */ |
---|
| 1873 | temp -= gamma * npp->r_pi[lfe->ref]; |
---|
| 1874 | } |
---|
| 1875 | npp->r_pi[info->p] = temp; |
---|
| 1876 | } |
---|
| 1877 | return 0; |
---|
| 1878 | } |
---|
| 1879 | |
---|
| 1880 | /*********************************************************************** |
---|
| 1881 | * NAME |
---|
| 1882 | * |
---|
| 1883 | * npp_forcing_row - process forcing row |
---|
| 1884 | * |
---|
| 1885 | * SYNOPSIS |
---|
| 1886 | * |
---|
| 1887 | * #include "glpnpp.h" |
---|
| 1888 | * int npp_forcing_row(NPP *npp, NPPROW *p, int at); |
---|
| 1889 | * |
---|
| 1890 | * DESCRIPTION |
---|
| 1891 | * |
---|
| 1892 | * The routine npp_forcing row processes row p of general format: |
---|
| 1893 | * |
---|
| 1894 | * L[p] <= sum a[p,j] x[j] <= U[p], (1) |
---|
| 1895 | * j |
---|
| 1896 | * |
---|
| 1897 | * l[j] <= x[j] <= u[j], (2) |
---|
| 1898 | * |
---|
| 1899 | * where L[p] <= U[p] and l[j] < u[j] for all a[p,j] != 0. It is also |
---|
| 1900 | * assumed that: |
---|
| 1901 | * |
---|
| 1902 | * 1) if at = 0 then |L[p] - U'[p]| <= eps, where U'[p] is implied |
---|
| 1903 | * row upper bound (see below), eps is an absolute tolerance for row |
---|
| 1904 | * value; |
---|
| 1905 | * |
---|
| 1906 | * 2) if at = 1 then |U[p] - L'[p]| <= eps, where L'[p] is implied |
---|
| 1907 | * row lower bound (see below). |
---|
| 1908 | * |
---|
| 1909 | * RETURNS |
---|
| 1910 | * |
---|
| 1911 | * 0 - success; |
---|
| 1912 | * |
---|
| 1913 | * 1 - cannot fix columns due to too small constraint coefficients. |
---|
| 1914 | * |
---|
| 1915 | * PROBLEM TRANSFORMATION |
---|
| 1916 | * |
---|
| 1917 | * Implied lower and upper bounds of row (1) are determined by bounds |
---|
| 1918 | * of corresponding columns (variables) as follows: |
---|
| 1919 | * |
---|
| 1920 | * L'[p] = inf sum a[p,j] x[j] = |
---|
| 1921 | * j |
---|
| 1922 | * (3) |
---|
| 1923 | * = sum a[p,j] l[j] + sum a[p,j] u[j], |
---|
| 1924 | * j in Jp j in Jn |
---|
| 1925 | * |
---|
| 1926 | * U'[p] = sup sum a[p,j] x[j] = |
---|
| 1927 | * (4) |
---|
| 1928 | * = sum a[p,j] u[j] + sum a[p,j] l[j], |
---|
| 1929 | * j in Jp j in Jn |
---|
| 1930 | * |
---|
| 1931 | * Jp = {j: a[p,j] > 0}, Jn = {j: a[p,j] < 0}. (5) |
---|
| 1932 | * |
---|
| 1933 | * If L[p] =~ U'[p] (at = 0), solution can be primal feasible only when |
---|
| 1934 | * all variables take their boundary values as defined by (4): |
---|
| 1935 | * |
---|
| 1936 | * ( u[j], if j in Jp |
---|
| 1937 | * x[j] = < (6) |
---|
| 1938 | * ( l[j], if j in Jn |
---|
| 1939 | * |
---|
| 1940 | * Similarly, if U[p] =~ L'[p] (at = 1), solution can be primal feasible |
---|
| 1941 | * only when all variables take their boundary values as defined by (3): |
---|
| 1942 | * |
---|
| 1943 | * ( l[j], if j in Jp |
---|
| 1944 | * x[j] = < (7) |
---|
| 1945 | * ( u[j], if j in Jn |
---|
| 1946 | * |
---|
| 1947 | * Condition (6) or (7) allows fixing all columns (variables x[j]) |
---|
| 1948 | * in row (1) on their bounds and then removing them from the problem |
---|
| 1949 | * (see the routine npp_fixed_col). Due to this row p becomes redundant, |
---|
| 1950 | * so it can be replaced by equivalent free (unbounded) row and also |
---|
| 1951 | * removed from the problem (see the routine npp_free_row). |
---|
| 1952 | * |
---|
| 1953 | * 1. To apply this transformation row (1) should not have coefficients |
---|
| 1954 | * whose magnitude is too small, i.e. all a[p,j] should satisfy to |
---|
| 1955 | * the following condition: |
---|
| 1956 | * |
---|
| 1957 | * |a[p,j]| >= eps * max(1, |a[p,k]|), (8) |
---|
| 1958 | * k |
---|
| 1959 | * where eps is a relative tolerance for constraint coefficients. |
---|
| 1960 | * Otherwise, fixing columns may be numerically unreliable and may |
---|
| 1961 | * lead to wrong solution. |
---|
| 1962 | * |
---|
| 1963 | * 2. The routine fixes columns and remove bounds of row p, however, |
---|
| 1964 | * it does not remove the row and columns from the problem. |
---|
| 1965 | * |
---|
| 1966 | * RECOVERING BASIC SOLUTION |
---|
| 1967 | * |
---|
| 1968 | * In the transformed problem row p being inactive constraint is |
---|
| 1969 | * assigned status GLP_BS (as the result of transformation of free |
---|
| 1970 | * row), and all columns in this row are assigned status GLP_NS (as the |
---|
| 1971 | * result of transformation of fixed columns). |
---|
| 1972 | * |
---|
| 1973 | * Note that in the dual system of the transformed (as well as original) |
---|
| 1974 | * problem every column j in row p corresponds to the following row: |
---|
| 1975 | * |
---|
| 1976 | * sum a[i,j] pi[i] + a[p,j] pi[p] + lambda[j] = c[j], (9) |
---|
| 1977 | * i!=p |
---|
| 1978 | * |
---|
| 1979 | * from which it follows that: |
---|
| 1980 | * |
---|
| 1981 | * lambda[j] = c[j] - sum a[i,j] pi[i] - a[p,j] pi[p]. (10) |
---|
| 1982 | * i!=p |
---|
| 1983 | * |
---|
| 1984 | * In the transformed problem values of all multipliers pi[i] are known |
---|
| 1985 | * (including pi[i], whose value is zero, since row p is inactive). |
---|
| 1986 | * Thus, using formula (10) it is possible to compute values of |
---|
| 1987 | * multipliers lambda[j] for all columns in row p. |
---|
| 1988 | * |
---|
| 1989 | * Note also that in the original problem all columns in row p are |
---|
| 1990 | * bounded, not fixed. So status GLP_NS assigned to every such column |
---|
| 1991 | * must be changed to GLP_NL or GLP_NU depending on which bound the |
---|
| 1992 | * corresponding column has been fixed. This status change may lead to |
---|
| 1993 | * dual feasibility violation for solution of the original problem, |
---|
| 1994 | * because now column multipliers must satisfy to the following |
---|
| 1995 | * condition: |
---|
| 1996 | * |
---|
| 1997 | * ( >= 0, if status of column j is GLP_NL, |
---|
| 1998 | * lambda[j] < (11) |
---|
| 1999 | * ( <= 0, if status of column j is GLP_NU. |
---|
| 2000 | * |
---|
| 2001 | * If this condition holds, solution to the original problem is the |
---|
| 2002 | * same as to the transformed problem. Otherwise, we have to perform |
---|
| 2003 | * one degenerate pivoting step of the primal simplex method to obtain |
---|
| 2004 | * dual feasible (hence, optimal) solution to the original problem as |
---|
| 2005 | * follows. If, on problem transformation, row p was made active on its |
---|
| 2006 | * lower bound (case at = 0), we change its status to GLP_NL (or GLP_NS) |
---|
| 2007 | * and start increasing its multiplier pi[p]. Otherwise, if row p was |
---|
| 2008 | * made active on its upper bound (case at = 1), we change its status |
---|
| 2009 | * to GLP_NU (or GLP_NS) and start decreasing pi[p]. From (10) it |
---|
| 2010 | * follows that: |
---|
| 2011 | * |
---|
| 2012 | * delta lambda[j] = - a[p,j] * delta pi[p] = - a[p,j] pi[p]. (12) |
---|
| 2013 | * |
---|
| 2014 | * Simple analysis of formulae (3)-(5) shows that changing pi[p] in the |
---|
| 2015 | * specified direction causes increasing lambda[j] for every column j |
---|
| 2016 | * assigned status GLP_NL (delta lambda[j] > 0) and decreasing lambda[j] |
---|
| 2017 | * for every column j assigned status GLP_NU (delta lambda[j] < 0). It |
---|
| 2018 | * is understood that once the last lambda[q], which violates condition |
---|
| 2019 | * (11), has reached zero, multipliers lambda[j] for all columns get |
---|
| 2020 | * valid signs. Such column q can be determined as follows. Let d[j] be |
---|
| 2021 | * initial value of lambda[j] (i.e. reduced cost of column j) in the |
---|
| 2022 | * transformed problem computed with formula (10) when pi[p] = 0. Then |
---|
| 2023 | * lambda[j] = d[j] + delta lambda[j], and from (12) it follows that |
---|
| 2024 | * lambda[j] becomes zero if: |
---|
| 2025 | * |
---|
| 2026 | * delta lambda[j] = - a[p,j] pi[p] = - d[j] ==> |
---|
| 2027 | * (13) |
---|
| 2028 | * pi[p] = d[j] / a[p,j]. |
---|
| 2029 | * |
---|
| 2030 | * Therefore, the last column q, for which lambda[q] becomes zero, can |
---|
| 2031 | * be determined from the following condition: |
---|
| 2032 | * |
---|
| 2033 | * |d[q] / a[p,q]| = max |pi[p]| = max |d[j] / a[p,j]|, (14) |
---|
| 2034 | * j in D j in D |
---|
| 2035 | * |
---|
| 2036 | * where D is a set of columns j whose, reduced costs d[j] have invalid |
---|
| 2037 | * signs, i.e. violate condition (11). (Thus, if D is empty, solution |
---|
| 2038 | * to the original problem is the same as solution to the transformed |
---|
| 2039 | * problem, and no correction is needed as was noticed above.) In |
---|
| 2040 | * solution to the original problem column q is assigned status GLP_BS, |
---|
| 2041 | * since it replaces column of auxiliary variable of row p (becoming |
---|
| 2042 | * active) in the basis, and multiplier for row p is assigned its new |
---|
| 2043 | * value, which is pi[p] = d[q] / a[p,q]. Note that due to primal |
---|
| 2044 | * degeneracy values of all columns having non-zero coefficients in row |
---|
| 2045 | * p remain unchanged. |
---|
| 2046 | * |
---|
| 2047 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 2048 | * |
---|
| 2049 | * Value of multiplier pi[p] in solution to the original problem is |
---|
| 2050 | * corrected in the same way as for basic solution. Values of all |
---|
| 2051 | * columns having non-zero coefficients in row p remain unchanged. |
---|
| 2052 | * |
---|
| 2053 | * RECOVERING MIP SOLUTION |
---|
| 2054 | * |
---|
| 2055 | * None needed. */ |
---|
| 2056 | |
---|
| 2057 | struct forcing_col |
---|
| 2058 | { /* column fixed on its bound by forcing row */ |
---|
| 2059 | int j; |
---|
| 2060 | /* column reference number */ |
---|
| 2061 | char stat; |
---|
| 2062 | /* original column status: |
---|
| 2063 | GLP_NL - fixed on lower bound |
---|
| 2064 | GLP_NU - fixed on upper bound */ |
---|
| 2065 | double a; |
---|
| 2066 | /* constraint coefficient a[p,j] */ |
---|
| 2067 | double c; |
---|
| 2068 | /* objective coefficient c[j] */ |
---|
| 2069 | NPPLFE *ptr; |
---|
| 2070 | /* list of non-zero coefficients a[i,j], i != p */ |
---|
| 2071 | struct forcing_col *next; |
---|
| 2072 | /* pointer to another column fixed by forcing row */ |
---|
| 2073 | }; |
---|
| 2074 | |
---|
| 2075 | struct forcing_row |
---|
| 2076 | { /* forcing row */ |
---|
| 2077 | int p; |
---|
| 2078 | /* row reference number */ |
---|
| 2079 | char stat; |
---|
| 2080 | /* status assigned to the row if it becomes active: |
---|
| 2081 | GLP_NS - active equality constraint |
---|
| 2082 | GLP_NL - inequality constraint with lower bound active |
---|
| 2083 | GLP_NU - inequality constraint with upper bound active */ |
---|
| 2084 | struct forcing_col *ptr; |
---|
| 2085 | /* list of all columns having non-zero constraint coefficient |
---|
| 2086 | a[p,j] in the forcing row */ |
---|
| 2087 | }; |
---|
| 2088 | |
---|
| 2089 | static int rcv_forcing_row(NPP *npp, void *info); |
---|
| 2090 | |
---|
| 2091 | int npp_forcing_row(NPP *npp, NPPROW *p, int at) |
---|
| 2092 | { /* process forcing row */ |
---|
| 2093 | struct forcing_row *info; |
---|
| 2094 | struct forcing_col *col = NULL; |
---|
| 2095 | NPPCOL *j; |
---|
| 2096 | NPPAIJ *apj, *aij; |
---|
| 2097 | NPPLFE *lfe; |
---|
| 2098 | double big; |
---|
| 2099 | xassert(at == 0 || at == 1); |
---|
| 2100 | /* determine maximal magnitude of the row coefficients */ |
---|
| 2101 | big = 1.0; |
---|
| 2102 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2103 | if (big < fabs(apj->val)) big = fabs(apj->val); |
---|
| 2104 | /* if there are too small coefficients in the row, transformation |
---|
| 2105 | should not be applied */ |
---|
| 2106 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2107 | if (fabs(apj->val) < 1e-7 * big) return 1; |
---|
| 2108 | /* create transformation stack entry */ |
---|
| 2109 | info = npp_push_tse(npp, |
---|
| 2110 | rcv_forcing_row, sizeof(struct forcing_row)); |
---|
| 2111 | info->p = p->i; |
---|
| 2112 | if (p->lb == p->ub) |
---|
| 2113 | { /* equality constraint */ |
---|
| 2114 | info->stat = GLP_NS; |
---|
| 2115 | } |
---|
| 2116 | else if (at == 0) |
---|
| 2117 | { /* inequality constraint; case L[p] = U'[p] */ |
---|
| 2118 | info->stat = GLP_NL; |
---|
| 2119 | xassert(p->lb != -DBL_MAX); |
---|
| 2120 | } |
---|
| 2121 | else /* at == 1 */ |
---|
| 2122 | { /* inequality constraint; case U[p] = L'[p] */ |
---|
| 2123 | info->stat = GLP_NU; |
---|
| 2124 | xassert(p->ub != +DBL_MAX); |
---|
| 2125 | } |
---|
| 2126 | info->ptr = NULL; |
---|
| 2127 | /* scan the forcing row, fix columns at corresponding bounds, and |
---|
| 2128 | save column information (the latter is not needed for MIP) */ |
---|
| 2129 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2130 | { /* column j has non-zero coefficient in the forcing row */ |
---|
| 2131 | j = apj->col; |
---|
| 2132 | /* it must be non-fixed */ |
---|
| 2133 | xassert(j->lb < j->ub); |
---|
| 2134 | /* allocate stack entry to save column information */ |
---|
| 2135 | if (npp->sol != GLP_MIP) |
---|
| 2136 | { col = dmp_get_atom(npp->stack, sizeof(struct forcing_col)); |
---|
| 2137 | col->j = j->j; |
---|
| 2138 | col->stat = -1; /* will be set below */ |
---|
| 2139 | col->a = apj->val; |
---|
| 2140 | col->c = j->coef; |
---|
| 2141 | col->ptr = NULL; |
---|
| 2142 | col->next = info->ptr; |
---|
| 2143 | info->ptr = col; |
---|
| 2144 | } |
---|
| 2145 | /* fix column j */ |
---|
| 2146 | if (at == 0 && apj->val < 0.0 || at != 0 && apj->val > 0.0) |
---|
| 2147 | { /* at its lower bound */ |
---|
| 2148 | if (npp->sol != GLP_MIP) |
---|
| 2149 | col->stat = GLP_NL; |
---|
| 2150 | xassert(j->lb != -DBL_MAX); |
---|
| 2151 | j->ub = j->lb; |
---|
| 2152 | } |
---|
| 2153 | else |
---|
| 2154 | { /* at its upper bound */ |
---|
| 2155 | if (npp->sol != GLP_MIP) |
---|
| 2156 | col->stat = GLP_NU; |
---|
| 2157 | xassert(j->ub != +DBL_MAX); |
---|
| 2158 | j->lb = j->ub; |
---|
| 2159 | } |
---|
| 2160 | /* save column coefficients a[i,j], i != p */ |
---|
| 2161 | if (npp->sol != GLP_MIP) |
---|
| 2162 | { for (aij = j->ptr; aij != NULL; aij = aij->c_next) |
---|
| 2163 | { if (aij == apj) continue; /* skip a[p,j] */ |
---|
| 2164 | lfe = dmp_get_atom(npp->stack, sizeof(NPPLFE)); |
---|
| 2165 | lfe->ref = aij->row->i; |
---|
| 2166 | lfe->val = aij->val; |
---|
| 2167 | lfe->next = col->ptr; |
---|
| 2168 | col->ptr = lfe; |
---|
| 2169 | } |
---|
| 2170 | } |
---|
| 2171 | } |
---|
| 2172 | /* make the row free (unbounded) */ |
---|
| 2173 | p->lb = -DBL_MAX, p->ub = +DBL_MAX; |
---|
| 2174 | return 0; |
---|
| 2175 | } |
---|
| 2176 | |
---|
| 2177 | static int rcv_forcing_row(NPP *npp, void *_info) |
---|
| 2178 | { /* recover forcing row */ |
---|
| 2179 | struct forcing_row *info = _info; |
---|
| 2180 | struct forcing_col *col, *piv; |
---|
| 2181 | NPPLFE *lfe; |
---|
| 2182 | double d, big, temp; |
---|
| 2183 | if (npp->sol == GLP_MIP) goto done; |
---|
| 2184 | /* initially solution to the original problem is the same as |
---|
| 2185 | to the transformed problem, where row p is inactive constraint |
---|
| 2186 | with pi[p] = 0, and all columns are non-basic */ |
---|
| 2187 | if (npp->sol == GLP_SOL) |
---|
| 2188 | { if (npp->r_stat[info->p] != GLP_BS) |
---|
| 2189 | { npp_error(); |
---|
| 2190 | return 1; |
---|
| 2191 | } |
---|
| 2192 | for (col = info->ptr; col != NULL; col = col->next) |
---|
| 2193 | { if (npp->c_stat[col->j] != GLP_NS) |
---|
| 2194 | { npp_error(); |
---|
| 2195 | return 1; |
---|
| 2196 | } |
---|
| 2197 | npp->c_stat[col->j] = col->stat; /* original status */ |
---|
| 2198 | } |
---|
| 2199 | } |
---|
| 2200 | /* compute reduced costs d[j] for all columns with formula (10) |
---|
| 2201 | and store them in col.c instead objective coefficients */ |
---|
| 2202 | for (col = info->ptr; col != NULL; col = col->next) |
---|
| 2203 | { d = col->c; |
---|
| 2204 | for (lfe = col->ptr; lfe != NULL; lfe = lfe->next) |
---|
| 2205 | d -= lfe->val * npp->r_pi[lfe->ref]; |
---|
| 2206 | col->c = d; |
---|
| 2207 | } |
---|
| 2208 | /* consider columns j, whose multipliers lambda[j] has wrong |
---|
| 2209 | sign in solution to the transformed problem (where lambda[j] = |
---|
| 2210 | d[j]), and choose column q, whose multipler lambda[q] reaches |
---|
| 2211 | zero last on changing row multiplier pi[p]; see (14) */ |
---|
| 2212 | piv = NULL, big = 0.0; |
---|
| 2213 | for (col = info->ptr; col != NULL; col = col->next) |
---|
| 2214 | { d = col->c; /* d[j] */ |
---|
| 2215 | temp = fabs(d / col->a); |
---|
| 2216 | if (col->stat == GLP_NL) |
---|
| 2217 | { /* column j has active lower bound */ |
---|
| 2218 | if (d < 0.0 && big < temp) |
---|
| 2219 | piv = col, big = temp; |
---|
| 2220 | } |
---|
| 2221 | else if (col->stat == GLP_NU) |
---|
| 2222 | { /* column j has active upper bound */ |
---|
| 2223 | if (d > 0.0 && big < temp) |
---|
| 2224 | piv = col, big = temp; |
---|
| 2225 | } |
---|
| 2226 | else |
---|
| 2227 | { npp_error(); |
---|
| 2228 | return 1; |
---|
| 2229 | } |
---|
| 2230 | } |
---|
| 2231 | /* if column q does not exist, no correction is needed */ |
---|
| 2232 | if (piv != NULL) |
---|
| 2233 | { /* correct solution; row p becomes active constraint while |
---|
| 2234 | column q becomes basic */ |
---|
| 2235 | if (npp->sol == GLP_SOL) |
---|
| 2236 | { npp->r_stat[info->p] = info->stat; |
---|
| 2237 | npp->c_stat[piv->j] = GLP_BS; |
---|
| 2238 | } |
---|
| 2239 | /* assign new value to row multiplier pi[p] = d[p] / a[p,q] */ |
---|
| 2240 | npp->r_pi[info->p] = piv->c / piv->a; |
---|
| 2241 | } |
---|
| 2242 | done: return 0; |
---|
| 2243 | } |
---|
| 2244 | |
---|
| 2245 | /*********************************************************************** |
---|
| 2246 | * NAME |
---|
| 2247 | * |
---|
| 2248 | * npp_analyze_row - perform general row analysis |
---|
| 2249 | * |
---|
| 2250 | * SYNOPSIS |
---|
| 2251 | * |
---|
| 2252 | * #include "glpnpp.h" |
---|
| 2253 | * int npp_analyze_row(NPP *npp, NPPROW *p); |
---|
| 2254 | * |
---|
| 2255 | * DESCRIPTION |
---|
| 2256 | * |
---|
| 2257 | * The routine npp_analyze_row performs analysis of row p of general |
---|
| 2258 | * format: |
---|
| 2259 | * |
---|
| 2260 | * L[p] <= sum a[p,j] x[j] <= U[p], (1) |
---|
| 2261 | * j |
---|
| 2262 | * |
---|
| 2263 | * l[j] <= x[j] <= u[j], (2) |
---|
| 2264 | * |
---|
| 2265 | * where L[p] <= U[p] and l[j] <= u[j] for all a[p,j] != 0. |
---|
| 2266 | * |
---|
| 2267 | * RETURNS |
---|
| 2268 | * |
---|
| 2269 | * 0x?0 - row lower bound does not exist or is redundant; |
---|
| 2270 | * |
---|
| 2271 | * 0x?1 - row lower bound can be active; |
---|
| 2272 | * |
---|
| 2273 | * 0x?2 - row lower bound is a forcing bound; |
---|
| 2274 | * |
---|
| 2275 | * 0x0? - row upper bound does not exist or is redundant; |
---|
| 2276 | * |
---|
| 2277 | * 0x1? - row upper bound can be active; |
---|
| 2278 | * |
---|
| 2279 | * 0x2? - row upper bound is a forcing bound; |
---|
| 2280 | * |
---|
| 2281 | * 0x33 - row bounds are inconsistent with column bounds. |
---|
| 2282 | * |
---|
| 2283 | * ALGORITHM |
---|
| 2284 | * |
---|
| 2285 | * Analysis of row (1) is based on analysis of its implied lower and |
---|
| 2286 | * upper bounds, which are determined by bounds of corresponding columns |
---|
| 2287 | * (variables) as follows: |
---|
| 2288 | * |
---|
| 2289 | * L'[p] = inf sum a[p,j] x[j] = |
---|
| 2290 | * j |
---|
| 2291 | * (3) |
---|
| 2292 | * = sum a[p,j] l[j] + sum a[p,j] u[j], |
---|
| 2293 | * j in Jp j in Jn |
---|
| 2294 | * |
---|
| 2295 | * U'[p] = sup sum a[p,j] x[j] = |
---|
| 2296 | * (4) |
---|
| 2297 | * = sum a[p,j] u[j] + sum a[p,j] l[j], |
---|
| 2298 | * j in Jp j in Jn |
---|
| 2299 | * |
---|
| 2300 | * Jp = {j: a[p,j] > 0}, Jn = {j: a[p,j] < 0}. (5) |
---|
| 2301 | * |
---|
| 2302 | * (Note that bounds of all columns in row p are assumed to be correct, |
---|
| 2303 | * so L'[p] <= U'[p].) |
---|
| 2304 | * |
---|
| 2305 | * Analysis of row lower bound L[p] includes the following cases: |
---|
| 2306 | * |
---|
| 2307 | * 1) if L[p] > U'[p] + eps, where eps is an absolute tolerance for row |
---|
| 2308 | * value, row lower bound L[p] and implied row upper bound U'[p] are |
---|
| 2309 | * inconsistent, ergo, the problem has no primal feasible solution; |
---|
| 2310 | * |
---|
| 2311 | * 2) if U'[p] - eps <= L[p] <= U'[p] + eps, i.e. if L[p] =~ U'[p], |
---|
| 2312 | * the row is a forcing row on its lower bound (see description of |
---|
| 2313 | * the routine npp_forcing_row); |
---|
| 2314 | * |
---|
| 2315 | * 3) if L[p] > L'[p] + eps, row lower bound L[p] can be active (this |
---|
| 2316 | * conclusion does not account other rows in the problem); |
---|
| 2317 | * |
---|
| 2318 | * 4) if L[p] <= L'[p] + eps, row lower bound L[p] cannot be active, so |
---|
| 2319 | * it is redundant and can be removed (replaced by -oo). |
---|
| 2320 | * |
---|
| 2321 | * Analysis of row upper bound U[p] is performed in a similar way and |
---|
| 2322 | * includes the following cases: |
---|
| 2323 | * |
---|
| 2324 | * 1) if U[p] < L'[p] - eps, row upper bound U[p] and implied row lower |
---|
| 2325 | * bound L'[p] are inconsistent, ergo the problem has no primal |
---|
| 2326 | * feasible solution; |
---|
| 2327 | * |
---|
| 2328 | * 2) if L'[p] - eps <= U[p] <= L'[p] + eps, i.e. if U[p] =~ L'[p], |
---|
| 2329 | * the row is a forcing row on its upper bound (see description of |
---|
| 2330 | * the routine npp_forcing_row); |
---|
| 2331 | * |
---|
| 2332 | * 3) if U[p] < U'[p] - eps, row upper bound U[p] can be active (this |
---|
| 2333 | * conclusion does not account other rows in the problem); |
---|
| 2334 | * |
---|
| 2335 | * 4) if U[p] >= U'[p] - eps, row upper bound U[p] cannot be active, so |
---|
| 2336 | * it is redundant and can be removed (replaced by +oo). */ |
---|
| 2337 | |
---|
| 2338 | int npp_analyze_row(NPP *npp, NPPROW *p) |
---|
| 2339 | { /* perform general row analysis */ |
---|
| 2340 | NPPAIJ *aij; |
---|
| 2341 | int ret = 0x00; |
---|
| 2342 | double l, u, eps; |
---|
| 2343 | xassert(npp == npp); |
---|
| 2344 | /* compute implied lower bound L'[p]; see (3) */ |
---|
| 2345 | l = 0.0; |
---|
| 2346 | for (aij = p->ptr; aij != NULL; aij = aij->r_next) |
---|
| 2347 | { if (aij->val > 0.0) |
---|
| 2348 | { if (aij->col->lb == -DBL_MAX) |
---|
| 2349 | { l = -DBL_MAX; |
---|
| 2350 | break; |
---|
| 2351 | } |
---|
| 2352 | l += aij->val * aij->col->lb; |
---|
| 2353 | } |
---|
| 2354 | else /* aij->val < 0.0 */ |
---|
| 2355 | { if (aij->col->ub == +DBL_MAX) |
---|
| 2356 | { l = -DBL_MAX; |
---|
| 2357 | break; |
---|
| 2358 | } |
---|
| 2359 | l += aij->val * aij->col->ub; |
---|
| 2360 | } |
---|
| 2361 | } |
---|
| 2362 | /* compute implied upper bound U'[p]; see (4) */ |
---|
| 2363 | u = 0.0; |
---|
| 2364 | for (aij = p->ptr; aij != NULL; aij = aij->r_next) |
---|
| 2365 | { if (aij->val > 0.0) |
---|
| 2366 | { if (aij->col->ub == +DBL_MAX) |
---|
| 2367 | { u = +DBL_MAX; |
---|
| 2368 | break; |
---|
| 2369 | } |
---|
| 2370 | u += aij->val * aij->col->ub; |
---|
| 2371 | } |
---|
| 2372 | else /* aij->val < 0.0 */ |
---|
| 2373 | { if (aij->col->lb == -DBL_MAX) |
---|
| 2374 | { u = +DBL_MAX; |
---|
| 2375 | break; |
---|
| 2376 | } |
---|
| 2377 | u += aij->val * aij->col->lb; |
---|
| 2378 | } |
---|
| 2379 | } |
---|
| 2380 | /* column bounds are assumed correct, so L'[p] <= U'[p] */ |
---|
| 2381 | /* check if row lower bound is consistent */ |
---|
| 2382 | if (p->lb != -DBL_MAX) |
---|
| 2383 | { eps = 1e-3 + 1e-6 * fabs(p->lb); |
---|
| 2384 | if (p->lb - eps > u) |
---|
| 2385 | { ret = 0x33; |
---|
| 2386 | goto done; |
---|
| 2387 | } |
---|
| 2388 | } |
---|
| 2389 | /* check if row upper bound is consistent */ |
---|
| 2390 | if (p->ub != +DBL_MAX) |
---|
| 2391 | { eps = 1e-3 + 1e-6 * fabs(p->ub); |
---|
| 2392 | if (p->ub + eps < l) |
---|
| 2393 | { ret = 0x33; |
---|
| 2394 | goto done; |
---|
| 2395 | } |
---|
| 2396 | } |
---|
| 2397 | /* check if row lower bound can be active/forcing */ |
---|
| 2398 | if (p->lb != -DBL_MAX) |
---|
| 2399 | { eps = 1e-9 + 1e-12 * fabs(p->lb); |
---|
| 2400 | if (p->lb - eps > l) |
---|
| 2401 | { if (p->lb + eps <= u) |
---|
| 2402 | ret |= 0x01; |
---|
| 2403 | else |
---|
| 2404 | ret |= 0x02; |
---|
| 2405 | } |
---|
| 2406 | } |
---|
| 2407 | /* check if row upper bound can be active/forcing */ |
---|
| 2408 | if (p->ub != +DBL_MAX) |
---|
| 2409 | { eps = 1e-9 + 1e-12 * fabs(p->ub); |
---|
| 2410 | if (p->ub + eps < u) |
---|
| 2411 | { /* check if the upper bound is forcing */ |
---|
| 2412 | if (p->ub - eps >= l) |
---|
| 2413 | ret |= 0x10; |
---|
| 2414 | else |
---|
| 2415 | ret |= 0x20; |
---|
| 2416 | } |
---|
| 2417 | } |
---|
| 2418 | done: return ret; |
---|
| 2419 | } |
---|
| 2420 | |
---|
| 2421 | /*********************************************************************** |
---|
| 2422 | * NAME |
---|
| 2423 | * |
---|
| 2424 | * npp_inactive_bound - remove row lower/upper inactive bound |
---|
| 2425 | * |
---|
| 2426 | * SYNOPSIS |
---|
| 2427 | * |
---|
| 2428 | * #include "glpnpp.h" |
---|
| 2429 | * void npp_inactive_bound(NPP *npp, NPPROW *p, int which); |
---|
| 2430 | * |
---|
| 2431 | * DESCRIPTION |
---|
| 2432 | * |
---|
| 2433 | * The routine npp_inactive_bound removes lower (if which = 0) or upper |
---|
| 2434 | * (if which = 1) bound of row p: |
---|
| 2435 | * |
---|
| 2436 | * L[p] <= sum a[p,j] x[j] <= U[p], |
---|
| 2437 | * |
---|
| 2438 | * which (bound) is assumed to be redundant. |
---|
| 2439 | * |
---|
| 2440 | * PROBLEM TRANSFORMATION |
---|
| 2441 | * |
---|
| 2442 | * If which = 0, current lower bound L[p] of row p is assigned -oo. |
---|
| 2443 | * If which = 1, current upper bound U[p] of row p is assigned +oo. |
---|
| 2444 | * |
---|
| 2445 | * RECOVERING BASIC SOLUTION |
---|
| 2446 | * |
---|
| 2447 | * If in solution to the transformed problem row p is inactive |
---|
| 2448 | * constraint (GLP_BS), its status is not changed in solution to the |
---|
| 2449 | * original problem. Otherwise, status of row p in solution to the |
---|
| 2450 | * original problem is defined by its type before transformation and |
---|
| 2451 | * its status in solution to the transformed problem as follows: |
---|
| 2452 | * |
---|
| 2453 | * +---------------------+-------+---------------+---------------+ |
---|
| 2454 | * | Row | Flag | Row status in | Row status in | |
---|
| 2455 | * | type | which | transfmd soln | original soln | |
---|
| 2456 | * +---------------------+-------+---------------+---------------+ |
---|
| 2457 | * | sum >= L[p] | 0 | GLP_NF | GLP_NL | |
---|
| 2458 | * | sum <= U[p] | 1 | GLP_NF | GLP_NU | |
---|
| 2459 | * | L[p] <= sum <= U[p] | 0 | GLP_NU | GLP_NU | |
---|
| 2460 | * | L[p] <= sum <= U[p] | 1 | GLP_NL | GLP_NL | |
---|
| 2461 | * | sum = L[p] = U[p] | 0 | GLP_NU | GLP_NS | |
---|
| 2462 | * | sum = L[p] = U[p] | 1 | GLP_NL | GLP_NS | |
---|
| 2463 | * +---------------------+-------+---------------+---------------+ |
---|
| 2464 | * |
---|
| 2465 | * RECOVERING INTERIOR-POINT SOLUTION |
---|
| 2466 | * |
---|
| 2467 | * None needed. |
---|
| 2468 | * |
---|
| 2469 | * RECOVERING MIP SOLUTION |
---|
| 2470 | * |
---|
| 2471 | * None needed. */ |
---|
| 2472 | |
---|
| 2473 | struct inactive_bound |
---|
| 2474 | { /* row inactive bound */ |
---|
| 2475 | int p; |
---|
| 2476 | /* row reference number */ |
---|
| 2477 | char stat; |
---|
| 2478 | /* row status (if active constraint) */ |
---|
| 2479 | }; |
---|
| 2480 | |
---|
| 2481 | static int rcv_inactive_bound(NPP *npp, void *info); |
---|
| 2482 | |
---|
| 2483 | void npp_inactive_bound(NPP *npp, NPPROW *p, int which) |
---|
| 2484 | { /* remove row lower/upper inactive bound */ |
---|
| 2485 | struct inactive_bound *info; |
---|
| 2486 | if (npp->sol == GLP_SOL) |
---|
| 2487 | { /* create transformation stack entry */ |
---|
| 2488 | info = npp_push_tse(npp, |
---|
| 2489 | rcv_inactive_bound, sizeof(struct inactive_bound)); |
---|
| 2490 | info->p = p->i; |
---|
| 2491 | if (p->ub == +DBL_MAX) |
---|
| 2492 | info->stat = GLP_NL; |
---|
| 2493 | else if (p->lb == -DBL_MAX) |
---|
| 2494 | info->stat = GLP_NU; |
---|
| 2495 | else if (p->lb != p->ub) |
---|
| 2496 | info->stat = (char)(which == 0 ? GLP_NU : GLP_NL); |
---|
| 2497 | else |
---|
| 2498 | info->stat = GLP_NS; |
---|
| 2499 | } |
---|
| 2500 | /* remove row inactive bound */ |
---|
| 2501 | if (which == 0) |
---|
| 2502 | { xassert(p->lb != -DBL_MAX); |
---|
| 2503 | p->lb = -DBL_MAX; |
---|
| 2504 | } |
---|
| 2505 | else if (which == 1) |
---|
| 2506 | { xassert(p->ub != +DBL_MAX); |
---|
| 2507 | p->ub = +DBL_MAX; |
---|
| 2508 | } |
---|
| 2509 | else |
---|
| 2510 | xassert(which != which); |
---|
| 2511 | return; |
---|
| 2512 | } |
---|
| 2513 | |
---|
| 2514 | static int rcv_inactive_bound(NPP *npp, void *_info) |
---|
| 2515 | { /* recover row status */ |
---|
| 2516 | struct inactive_bound *info = _info; |
---|
| 2517 | if (npp->sol != GLP_SOL) |
---|
| 2518 | { npp_error(); |
---|
| 2519 | return 1; |
---|
| 2520 | } |
---|
| 2521 | if (npp->r_stat[info->p] == GLP_BS) |
---|
| 2522 | npp->r_stat[info->p] = GLP_BS; |
---|
| 2523 | else |
---|
| 2524 | npp->r_stat[info->p] = info->stat; |
---|
| 2525 | return 0; |
---|
| 2526 | } |
---|
| 2527 | |
---|
| 2528 | /*********************************************************************** |
---|
| 2529 | * NAME |
---|
| 2530 | * |
---|
| 2531 | * npp_implied_bounds - determine implied column bounds |
---|
| 2532 | * |
---|
| 2533 | * SYNOPSIS |
---|
| 2534 | * |
---|
| 2535 | * #include "glpnpp.h" |
---|
| 2536 | * void npp_implied_bounds(NPP *npp, NPPROW *p); |
---|
| 2537 | * |
---|
| 2538 | * DESCRIPTION |
---|
| 2539 | * |
---|
| 2540 | * The routine npp_implied_bounds inspects general row (constraint) p: |
---|
| 2541 | * |
---|
| 2542 | * L[p] <= sum a[p,j] x[j] <= U[p], (1) |
---|
| 2543 | * |
---|
| 2544 | * l[j] <= x[j] <= u[j], (2) |
---|
| 2545 | * |
---|
| 2546 | * where L[p] <= U[p] and l[j] <= u[j] for all a[p,j] != 0, to compute |
---|
| 2547 | * implied bounds of columns (variables x[j]) in this row. |
---|
| 2548 | * |
---|
| 2549 | * The routine stores implied column bounds l'[j] and u'[j] in column |
---|
| 2550 | * descriptors (NPPCOL); it does not change current column bounds l[j] |
---|
| 2551 | * and u[j]. (Implied column bounds can be then used to strengthen the |
---|
| 2552 | * current column bounds; see the routines npp_implied_lower and |
---|
| 2553 | * npp_implied_upper). |
---|
| 2554 | * |
---|
| 2555 | * ALGORITHM |
---|
| 2556 | * |
---|
| 2557 | * Current column bounds (2) define implied lower and upper bounds of |
---|
| 2558 | * row (1) as follows: |
---|
| 2559 | * |
---|
| 2560 | * L'[p] = inf sum a[p,j] x[j] = |
---|
| 2561 | * j |
---|
| 2562 | * (3) |
---|
| 2563 | * = sum a[p,j] l[j] + sum a[p,j] u[j], |
---|
| 2564 | * j in Jp j in Jn |
---|
| 2565 | * |
---|
| 2566 | * U'[p] = sup sum a[p,j] x[j] = |
---|
| 2567 | * (4) |
---|
| 2568 | * = sum a[p,j] u[j] + sum a[p,j] l[j], |
---|
| 2569 | * j in Jp j in Jn |
---|
| 2570 | * |
---|
| 2571 | * Jp = {j: a[p,j] > 0}, Jn = {j: a[p,j] < 0}. (5) |
---|
| 2572 | * |
---|
| 2573 | * (Note that bounds of all columns in row p are assumed to be correct, |
---|
| 2574 | * so L'[p] <= U'[p].) |
---|
| 2575 | * |
---|
| 2576 | * If L[p] > L'[p] and/or U[p] < U'[p], the lower and/or upper bound of |
---|
| 2577 | * row (1) can be active, in which case such row defines implied bounds |
---|
| 2578 | * of its variables. |
---|
| 2579 | * |
---|
| 2580 | * Let x[k] be some variable having in row (1) coefficient a[p,k] != 0. |
---|
| 2581 | * Consider a case when row lower bound can be active (L[p] > L'[p]): |
---|
| 2582 | * |
---|
| 2583 | * sum a[p,j] x[j] >= L[p] ==> |
---|
| 2584 | * j |
---|
| 2585 | * |
---|
| 2586 | * sum a[p,j] x[j] + a[p,k] x[k] >= L[p] ==> |
---|
| 2587 | * j!=k |
---|
| 2588 | * (6) |
---|
| 2589 | * a[p,k] x[k] >= L[p] - sum a[p,j] x[j] ==> |
---|
| 2590 | * j!=k |
---|
| 2591 | * |
---|
| 2592 | * a[p,k] x[k] >= L[p,k], |
---|
| 2593 | * |
---|
| 2594 | * where |
---|
| 2595 | * |
---|
| 2596 | * L[p,k] = inf(L[p] - sum a[p,j] x[j]) = |
---|
| 2597 | * j!=k |
---|
| 2598 | * |
---|
| 2599 | * = L[p] - sup sum a[p,j] x[j] = (7) |
---|
| 2600 | * j!=k |
---|
| 2601 | * |
---|
| 2602 | * = L[p] - sum a[p,j] u[j] - sum a[p,j] l[j]. |
---|
| 2603 | * j in Jp\{k} j in Jn\{k} |
---|
| 2604 | * |
---|
| 2605 | * Thus: |
---|
| 2606 | * |
---|
| 2607 | * x[k] >= l'[k] = L[p,k] / a[p,k], if a[p,k] > 0, (8) |
---|
| 2608 | * |
---|
| 2609 | * x[k] <= u'[k] = L[p,k] / a[p,k], if a[p,k] < 0. (9) |
---|
| 2610 | * |
---|
| 2611 | * where l'[k] and u'[k] are implied lower and upper bounds of variable |
---|
| 2612 | * x[k], resp. |
---|
| 2613 | * |
---|
| 2614 | * Now consider a similar case when row upper bound can be active |
---|
| 2615 | * (U[p] < U'[p]): |
---|
| 2616 | * |
---|
| 2617 | * sum a[p,j] x[j] <= U[p] ==> |
---|
| 2618 | * j |
---|
| 2619 | * |
---|
| 2620 | * sum a[p,j] x[j] + a[p,k] x[k] <= U[p] ==> |
---|
| 2621 | * j!=k |
---|
| 2622 | * (10) |
---|
| 2623 | * a[p,k] x[k] <= U[p] - sum a[p,j] x[j] ==> |
---|
| 2624 | * j!=k |
---|
| 2625 | * |
---|
| 2626 | * a[p,k] x[k] <= U[p,k], |
---|
| 2627 | * |
---|
| 2628 | * where: |
---|
| 2629 | * |
---|
| 2630 | * U[p,k] = sup(U[p] - sum a[p,j] x[j]) = |
---|
| 2631 | * j!=k |
---|
| 2632 | * |
---|
| 2633 | * = U[p] - inf sum a[p,j] x[j] = (11) |
---|
| 2634 | * j!=k |
---|
| 2635 | * |
---|
| 2636 | * = U[p] - sum a[p,j] l[j] - sum a[p,j] u[j]. |
---|
| 2637 | * j in Jp\{k} j in Jn\{k} |
---|
| 2638 | * |
---|
| 2639 | * Thus: |
---|
| 2640 | * |
---|
| 2641 | * x[k] <= u'[k] = U[p,k] / a[p,k], if a[p,k] > 0, (12) |
---|
| 2642 | * |
---|
| 2643 | * x[k] >= l'[k] = U[p,k] / a[p,k], if a[p,k] < 0. (13) |
---|
| 2644 | * |
---|
| 2645 | * Note that in formulae (8), (9), (12), and (13) coefficient a[p,k] |
---|
| 2646 | * must not be too small in magnitude relatively to other non-zero |
---|
| 2647 | * coefficients in row (1), i.e. the following condition must hold: |
---|
| 2648 | * |
---|
| 2649 | * |a[p,k]| >= eps * max(1, |a[p,j]|), (14) |
---|
| 2650 | * j |
---|
| 2651 | * |
---|
| 2652 | * where eps is a relative tolerance for constraint coefficients. |
---|
| 2653 | * Otherwise the implied column bounds can be numerical inreliable. For |
---|
| 2654 | * example, using formula (8) for the following inequality constraint: |
---|
| 2655 | * |
---|
| 2656 | * 1e-12 x1 - x2 - x3 >= 0, |
---|
| 2657 | * |
---|
| 2658 | * where x1 >= -1, x2, x3, >= 0, may lead to numerically unreliable |
---|
| 2659 | * conclusion that x1 >= 0. |
---|
| 2660 | * |
---|
| 2661 | * Using formulae (8), (9), (12), and (13) to compute implied bounds |
---|
| 2662 | * for one variable requires |J| operations, where J = {j: a[p,j] != 0}, |
---|
| 2663 | * because this needs computing L[p,k] and U[p,k]. Thus, computing |
---|
| 2664 | * implied bounds for all variables in row (1) would require |J|^2 |
---|
| 2665 | * operations, that is not a good technique. However, the total number |
---|
| 2666 | * of operations can be reduced to |J| as follows. |
---|
| 2667 | * |
---|
| 2668 | * Let a[p,k] > 0. Then from (7) and (11) we have: |
---|
| 2669 | * |
---|
| 2670 | * L[p,k] = L[p] - (U'[p] - a[p,k] u[k]) = |
---|
| 2671 | * |
---|
| 2672 | * = L[p] - U'[p] + a[p,k] u[k], |
---|
| 2673 | * |
---|
| 2674 | * U[p,k] = U[p] - (L'[p] - a[p,k] l[k]) = |
---|
| 2675 | * |
---|
| 2676 | * = U[p] - L'[p] + a[p,k] l[k], |
---|
| 2677 | * |
---|
| 2678 | * where L'[p] and U'[p] are implied row lower and upper bounds defined |
---|
| 2679 | * by formulae (3) and (4). Substituting these expressions into (8) and |
---|
| 2680 | * (12) gives: |
---|
| 2681 | * |
---|
| 2682 | * l'[k] = L[p,k] / a[p,k] = u[k] + (L[p] - U'[p]) / a[p,k], (15) |
---|
| 2683 | * |
---|
| 2684 | * u'[k] = U[p,k] / a[p,k] = l[k] + (U[p] - L'[p]) / a[p,k]. (16) |
---|
| 2685 | * |
---|
| 2686 | * Similarly, if a[p,k] < 0, according to (7) and (11) we have: |
---|
| 2687 | * |
---|
| 2688 | * L[p,k] = L[p] - (U'[p] - a[p,k] l[k]) = |
---|
| 2689 | * |
---|
| 2690 | * = L[p] - U'[p] + a[p,k] l[k], |
---|
| 2691 | * |
---|
| 2692 | * U[p,k] = U[p] - (L'[p] - a[p,k] u[k]) = |
---|
| 2693 | * |
---|
| 2694 | * = U[p] - L'[p] + a[p,k] u[k], |
---|
| 2695 | * |
---|
| 2696 | * and substituting these expressions into (8) and (12) gives: |
---|
| 2697 | * |
---|
| 2698 | * l'[k] = U[p,k] / a[p,k] = u[k] + (U[p] - L'[p]) / a[p,k], (17) |
---|
| 2699 | * |
---|
| 2700 | * u'[k] = L[p,k] / a[p,k] = l[k] + (L[p] - U'[p]) / a[p,k]. (18) |
---|
| 2701 | * |
---|
| 2702 | * Note that formulae (15)-(18) can be used only if L'[p] and U'[p] |
---|
| 2703 | * exist. However, if for some variable x[j] it happens that l[j] = -oo |
---|
| 2704 | * and/or u[j] = +oo, values of L'[p] (if a[p,j] > 0) and/or U'[p] (if |
---|
| 2705 | * a[p,j] < 0) are undefined. Consider, therefore, the most general |
---|
| 2706 | * situation, when some column bounds (2) may not exist. |
---|
| 2707 | * |
---|
| 2708 | * Let: |
---|
| 2709 | * |
---|
| 2710 | * J' = {j : (a[p,j] > 0 and l[j] = -oo) or |
---|
| 2711 | * (19) |
---|
| 2712 | * (a[p,j] < 0 and u[j] = +oo)}. |
---|
| 2713 | * |
---|
| 2714 | * Then (assuming that row upper bound U[p] can be active) the following |
---|
| 2715 | * three cases are possible: |
---|
| 2716 | * |
---|
| 2717 | * 1) |J'| = 0. In this case L'[p] exists, thus, for all variables x[j] |
---|
| 2718 | * in row (1) we can use formulae (16) and (17); |
---|
| 2719 | * |
---|
| 2720 | * 2) J' = {k}. In this case L'[p] = -oo, however, U[p,k] (11) exists, |
---|
| 2721 | * so for variable x[k] we can use formulae (12) and (13). Note that |
---|
| 2722 | * for all other variables x[j] (j != k) l'[j] = -oo (if a[p,j] < 0) |
---|
| 2723 | * or u'[j] = +oo (if a[p,j] > 0); |
---|
| 2724 | * |
---|
| 2725 | * 3) |J'| > 1. In this case for all variables x[j] in row [1] we have |
---|
| 2726 | * l'[j] = -oo (if a[p,j] < 0) or u'[j] = +oo (if a[p,j] > 0). |
---|
| 2727 | * |
---|
| 2728 | * Similarly, let: |
---|
| 2729 | * |
---|
| 2730 | * J'' = {j : (a[p,j] > 0 and u[j] = +oo) or |
---|
| 2731 | * (20) |
---|
| 2732 | * (a[p,j] < 0 and l[j] = -oo)}. |
---|
| 2733 | * |
---|
| 2734 | * Then (assuming that row lower bound L[p] can be active) the following |
---|
| 2735 | * three cases are possible: |
---|
| 2736 | * |
---|
| 2737 | * 1) |J''| = 0. In this case U'[p] exists, thus, for all variables x[j] |
---|
| 2738 | * in row (1) we can use formulae (15) and (18); |
---|
| 2739 | * |
---|
| 2740 | * 2) J'' = {k}. In this case U'[p] = +oo, however, L[p,k] (7) exists, |
---|
| 2741 | * so for variable x[k] we can use formulae (8) and (9). Note that |
---|
| 2742 | * for all other variables x[j] (j != k) l'[j] = -oo (if a[p,j] > 0) |
---|
| 2743 | * or u'[j] = +oo (if a[p,j] < 0); |
---|
| 2744 | * |
---|
| 2745 | * 3) |J''| > 1. In this case for all variables x[j] in row (1) we have |
---|
| 2746 | * l'[j] = -oo (if a[p,j] > 0) or u'[j] = +oo (if a[p,j] < 0). */ |
---|
| 2747 | |
---|
| 2748 | void npp_implied_bounds(NPP *npp, NPPROW *p) |
---|
| 2749 | { NPPAIJ *apj, *apk; |
---|
| 2750 | double big, eps, temp; |
---|
| 2751 | xassert(npp == npp); |
---|
| 2752 | /* initialize implied bounds for all variables and determine |
---|
| 2753 | maximal magnitude of row coefficients a[p,j] */ |
---|
| 2754 | big = 1.0; |
---|
| 2755 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2756 | { apj->col->ll.ll = -DBL_MAX, apj->col->uu.uu = +DBL_MAX; |
---|
| 2757 | if (big < fabs(apj->val)) big = fabs(apj->val); |
---|
| 2758 | } |
---|
| 2759 | eps = 1e-6 * big; |
---|
| 2760 | /* process row lower bound (assuming that it can be active) */ |
---|
| 2761 | if (p->lb != -DBL_MAX) |
---|
| 2762 | { apk = NULL; |
---|
| 2763 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2764 | { if (apj->val > 0.0 && apj->col->ub == +DBL_MAX || |
---|
| 2765 | apj->val < 0.0 && apj->col->lb == -DBL_MAX) |
---|
| 2766 | { if (apk == NULL) |
---|
| 2767 | apk = apj; |
---|
| 2768 | else |
---|
| 2769 | goto skip1; |
---|
| 2770 | } |
---|
| 2771 | } |
---|
| 2772 | /* if a[p,k] = NULL then |J'| = 0 else J' = { k } */ |
---|
| 2773 | temp = p->lb; |
---|
| 2774 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2775 | { if (apj == apk) |
---|
| 2776 | /* skip a[p,k] */; |
---|
| 2777 | else if (apj->val > 0.0) |
---|
| 2778 | temp -= apj->val * apj->col->ub; |
---|
| 2779 | else /* apj->val < 0.0 */ |
---|
| 2780 | temp -= apj->val * apj->col->lb; |
---|
| 2781 | } |
---|
| 2782 | /* compute column implied bounds */ |
---|
| 2783 | if (apk == NULL) |
---|
| 2784 | { /* temp = L[p] - U'[p] */ |
---|
| 2785 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2786 | { if (apj->val >= +eps) |
---|
| 2787 | { /* l'[j] := u[j] + (L[p] - U'[p]) / a[p,j] */ |
---|
| 2788 | apj->col->ll.ll = apj->col->ub + temp / apj->val; |
---|
| 2789 | } |
---|
| 2790 | else if (apj->val <= -eps) |
---|
| 2791 | { /* u'[j] := l[j] + (L[p] - U'[p]) / a[p,j] */ |
---|
| 2792 | apj->col->uu.uu = apj->col->lb + temp / apj->val; |
---|
| 2793 | } |
---|
| 2794 | } |
---|
| 2795 | } |
---|
| 2796 | else |
---|
| 2797 | { /* temp = L[p,k] */ |
---|
| 2798 | if (apk->val >= +eps) |
---|
| 2799 | { /* l'[k] := L[p,k] / a[p,k] */ |
---|
| 2800 | apk->col->ll.ll = temp / apk->val; |
---|
| 2801 | } |
---|
| 2802 | else if (apk->val <= -eps) |
---|
| 2803 | { /* u'[k] := L[p,k] / a[p,k] */ |
---|
| 2804 | apk->col->uu.uu = temp / apk->val; |
---|
| 2805 | } |
---|
| 2806 | } |
---|
| 2807 | skip1: ; |
---|
| 2808 | } |
---|
| 2809 | /* process row upper bound (assuming that it can be active) */ |
---|
| 2810 | if (p->ub != +DBL_MAX) |
---|
| 2811 | { apk = NULL; |
---|
| 2812 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2813 | { if (apj->val > 0.0 && apj->col->lb == -DBL_MAX || |
---|
| 2814 | apj->val < 0.0 && apj->col->ub == +DBL_MAX) |
---|
| 2815 | { if (apk == NULL) |
---|
| 2816 | apk = apj; |
---|
| 2817 | else |
---|
| 2818 | goto skip2; |
---|
| 2819 | } |
---|
| 2820 | } |
---|
| 2821 | /* if a[p,k] = NULL then |J''| = 0 else J'' = { k } */ |
---|
| 2822 | temp = p->ub; |
---|
| 2823 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2824 | { if (apj == apk) |
---|
| 2825 | /* skip a[p,k] */; |
---|
| 2826 | else if (apj->val > 0.0) |
---|
| 2827 | temp -= apj->val * apj->col->lb; |
---|
| 2828 | else /* apj->val < 0.0 */ |
---|
| 2829 | temp -= apj->val * apj->col->ub; |
---|
| 2830 | } |
---|
| 2831 | /* compute column implied bounds */ |
---|
| 2832 | if (apk == NULL) |
---|
| 2833 | { /* temp = U[p] - L'[p] */ |
---|
| 2834 | for (apj = p->ptr; apj != NULL; apj = apj->r_next) |
---|
| 2835 | { if (apj->val >= +eps) |
---|
| 2836 | { /* u'[j] := l[j] + (U[p] - L'[p]) / a[p,j] */ |
---|
| 2837 | apj->col->uu.uu = apj->col->lb + temp / apj->val; |
---|
| 2838 | } |
---|
| 2839 | else if (apj->val <= -eps) |
---|
| 2840 | { /* l'[j] := u[j] + (U[p] - L'[p]) / a[p,j] */ |
---|
| 2841 | apj->col->ll.ll = apj->col->ub + temp / apj->val; |
---|
| 2842 | } |
---|
| 2843 | } |
---|
| 2844 | } |
---|
| 2845 | else |
---|
| 2846 | { /* temp = U[p,k] */ |
---|
| 2847 | if (apk->val >= +eps) |
---|
| 2848 | { /* u'[k] := U[p,k] / a[p,k] */ |
---|
| 2849 | apk->col->uu.uu = temp / apk->val; |
---|
| 2850 | } |
---|
| 2851 | else if (apk->val <= -eps) |
---|
| 2852 | { /* l'[k] := U[p,k] / a[p,k] */ |
---|
| 2853 | apk->col->ll.ll = temp / apk->val; |
---|
| 2854 | } |
---|
| 2855 | } |
---|
| 2856 | skip2: ; |
---|
| 2857 | } |
---|
| 2858 | return; |
---|
| 2859 | } |
---|
| 2860 | |
---|
| 2861 | /* eof */ |
---|