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(); |
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475 | return 1; |
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476 | } |
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477 | npp->r_stat[info->p] = GLP_NS; |
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478 | npp->c_stat[info->q] = GLP_BS; |
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479 | } |
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480 | if (npp->sol != GLP_MIP) |
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481 | { /* compute multiplier for row p with formula (3) */ |
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482 | temp = info->c; |
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483 | for (lfe = info->ptr; lfe != NULL; lfe = lfe->next) |
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484 | temp -= lfe->val * npp->r_pi[lfe->ref]; |
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485 | npp->r_pi[info->p] = temp / info->apq; |
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486 | } |
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487 | return 0; |
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488 | } |
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489 | |
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490 | /*********************************************************************** |
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491 | * NAME |
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492 | * |
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493 | * npp_implied_lower - process implied column lower bound |
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494 | * |
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495 | * SYNOPSIS |
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496 | * |
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497 | * #include "glpnpp.h" |
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498 | * int npp_implied_lower(NPP *npp, NPPCOL *q, double l); |
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499 | * |
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500 | * DESCRIPTION |
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501 | * |
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502 | * For column q: |
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503 | * |
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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 */ |
---|