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OsiSpxSolverInterface.hpp
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//-----------------------------------------------------------------------------
// name: OSI Interface for SoPlex >= 1.4.2c
// authors: Tobias Pfender
// Ambros Gleixner
// Wei Huang
// Konrad-Zuse-Zentrum Berlin (Germany)
// email: [email protected]
// date: 01/16/2002
// license: this file may be freely distributed under the terms of the EPL
//-----------------------------------------------------------------------------
// Copyright (C) 2002, Tobias Pfender, International Business Machines
// Corporation and others. All Rights Reserved.
#ifndef OsiSpxSolverInterface_H
#define OsiSpxSolverInterface_H
#include <string>
#include "OsiSolverInterface.hpp"
#include "CoinWarmStartBasis.hpp"
#include "OsiSpxConfig.h"
#ifndef _SOPLEX_H_
/* forward declarations so the header can be compiled without having to include soplex.h
* however, these declaration work only for SoPlex < 2.0, so we do them only if soplex.h hasn't been included already
*/
namespace soplex {
class DIdxSet;
class DVector;
class SPxOut;
class SoPlex;
}
#endif
/** SoPlex Solver Interface
Instantiation of OsiSpxSolverInterface for SoPlex
*/
class OSISPXLIB_EXPORT OsiSpxSolverInterface : virtual public OsiSolverInterface {
friend void OsiSpxSolverInterfaceUnitTest(const std::string &mpsDir, const std::string &netlibDir);
public:
//---------------------------------------------------------------------------
/**@name Solve methods */
//@{
/// Solve initial LP relaxation
virtual void initialSolve();
/// Resolve an LP relaxation after problem modification
virtual void resolve();
/// Invoke solver's built-in enumeration algorithm
virtual void branchAndBound();
//@}
//---------------------------------------------------------------------------
/**@name Parameter set/get methods
The set methods return true if the parameter was set to the given value,
false otherwise. There can be various reasons for failure: the given
parameter is not applicable for the solver (e.g., refactorization
frequency for the volume algorithm), the parameter is not yet implemented
for the solver or simply the value of the parameter is out of the range
the solver accepts. If a parameter setting call returns false check the
details of your solver.
The get methods return true if the given parameter is applicable for the
solver and is implemented. In this case the value of the parameter is
returned in the second argument. Otherwise they return false.
*/
//@{
// Set an integer parameter
bool setIntParam(OsiIntParam key, int value);
// Set an double parameter
bool setDblParam(OsiDblParam key, double value);
// Get an integer parameter
bool getIntParam(OsiIntParam key, int &value) const;
// Get an double parameter
bool getDblParam(OsiDblParam key, double &value) const;
// Get a string parameter
bool getStrParam(OsiStrParam key, std::string &value) const;
// Set timelimit
void setTimeLimit(double value);
// Get timelimit
double getTimeLimit() const;
//@}
//---------------------------------------------------------------------------
///@name Methods returning info on how the solution process terminated
//@{
/// Are there a numerical difficulties?
virtual bool isAbandoned() const;
/// Is optimality proven?
virtual bool isProvenOptimal() const;
/// Is primal infeasiblity proven?
virtual bool isProvenPrimalInfeasible() const;
/// Is dual infeasiblity proven?
virtual bool isProvenDualInfeasible() const;
// Is the given primal objective limit reached? - use implementation from OsiSolverInterface
/// Is the given dual objective limit reached?
virtual bool isDualObjectiveLimitReached() const;
/// Iteration limit reached?
virtual bool isIterationLimitReached() const;
/// Time limit reached?
virtual bool isTimeLimitReached() const;
//@}
//---------------------------------------------------------------------------
/**@name WarmStart related methods */
//@{
/// Get empty warm start object
inline CoinWarmStart *getEmptyWarmStart() const
{
return (dynamic_cast< CoinWarmStart * >(new CoinWarmStartBasis()));
}
/// Get warmstarting information
virtual CoinWarmStart *getWarmStart() const;
/** Set warmstarting information. Return true/false depending on whether
the warmstart information was accepted or not. */
virtual bool setWarmStart(const CoinWarmStart *warmstart);
//@}
//---------------------------------------------------------------------------
/**@name Hotstart related methods (primarily used in strong branching). <br>
The user can create a hotstart (a snapshot) of the optimization process
then reoptimize over and over again always starting from there.<br>
<strong>NOTE</strong>: between hotstarted optimizations only
bound changes are allowed. */
//@{
/// Create a hotstart point of the optimization process
virtual void markHotStart();
/// Optimize starting from the hotstart
virtual void solveFromHotStart();
/// Delete the snapshot
virtual void unmarkHotStart();
//@}
//---------------------------------------------------------------------------
/**@name Problem information methods
These methods call the solver's query routines to return
information about the problem referred to by the current object.
Querying a problem that has no data associated with it result in
zeros for the number of rows and columns, and NULL pointers from
the methods that return vectors.
Const pointers returned from any data-query method are valid as
long as the data is unchanged and the solver is not called.
*/
//@{
/**@name Methods related to querying the input data */
//@{
/// Get number of columns
virtual int getNumCols() const;
/// Get number of rows
virtual int getNumRows() const;
/// Get number of nonzero elements
virtual int getNumElements() const;
/// Get pointer to array[getNumCols()] of column lower bounds
virtual const double *getColLower() const;
/// Get pointer to array[getNumCols()] of column upper bounds
virtual const double *getColUpper() const;
/** Get pointer to array[getNumRows()] of row constraint senses.
<ul>
<li>'L': <= constraint
<li>'E': = constraint
<li>'G': >= constraint
<li>'R': ranged constraint
<li>'N': free constraint
</ul>
*/
virtual const char *getRowSense() const;
/** Get pointer to array[getNumRows()] of rows right-hand sides
<ul>
<li> if rowsense()[i] == 'L' then rhs()[i] == rowupper()[i]
<li> if rowsense()[i] == 'G' then rhs()[i] == rowlower()[i]
<li> if rowsense()[i] == 'R' then rhs()[i] == rowupper()[i]
<li> if rowsense()[i] == 'N' then rhs()[i] == 0.0
</ul>
*/
virtual const double *getRightHandSide() const;
/** Get pointer to array[getNumRows()] of row ranges.
<ul>
<li> if rowsense()[i] == 'R' then
rowrange()[i] == rowupper()[i] - rowlower()[i]
<li> if rowsense()[i] != 'R' then
rowrange()[i] is 0.0
</ul>
*/
virtual const double *getRowRange() const;
/// Get pointer to array[getNumRows()] of row lower bounds
virtual const double *getRowLower() const;
/// Get pointer to array[getNumRows()] of row upper bounds
virtual const double *getRowUpper() const;
/// Get pointer to array[getNumCols()] of objective function coefficients
virtual const double *getObjCoefficients() const;
/// Get objective function sense (1 for min (default), -1 for max)
virtual double getObjSense() const;
/// Return true if column is continuous
virtual bool isContinuous(int colNumber) const;
#if 0
/// Return true if column is binary
virtual bool isBinary(int columnNumber) const;
/** Return true if column is integer.
Note: This function returns true if the the column
is binary or a general integer.
*/
virtual bool isInteger(int columnNumber) const;
/// Return true if column is general integer
virtual bool isIntegerNonBinary(int columnNumber) const;
/// Return true if column is binary and not fixed at either bound
virtual bool isFreeBinary(int columnNumber) const;
#endif
/// Get pointer to row-wise copy of matrix
virtual const CoinPackedMatrix *getMatrixByRow() const;
/// Get pointer to column-wise copy of matrix
virtual const CoinPackedMatrix *getMatrixByCol() const;
/// Get solver's value for infinity
virtual double getInfinity() const;
//@}
/**@name Methods related to querying the solution */
//@{
/// Get pointer to array[getNumCols()] of primal solution vector
virtual const double *getColSolution() const;
/// Get pointer to array[getNumRows()] of dual prices
virtual const double *getRowPrice() const;
/// Get a pointer to array[getNumCols()] of reduced costs
virtual const double *getReducedCost() const;
/** Get pointer to array[getNumRows()] of row activity levels (constraint
matrix times the solution vector */
virtual const double *getRowActivity() const;
/// Get objective function value
virtual double getObjValue() const;
/** Get how many iterations it took to solve the problem (whatever
"iteration" mean to the solver. */
virtual int getIterationCount() const;
/** Get as many dual rays as the solver can provide. (In case of proven
primal infeasibility there should be at least one.)
The first getNumRows() ray components will always be associated with
the row duals (as returned by getRowPrice()). If \c fullRay is true,
the final getNumCols() entries will correspond to the ray components
associated with the nonbasic variables. If the full ray is requested
and the method cannot provide it, it will throw an exception.
<strong>NOTE for implementers of solver interfaces:</strong> <br>
The double pointers in the vector should point to arrays of length
getNumRows() and they should be allocated via new[]. <br>
<strong>NOTE for users of solver interfaces:</strong> <br>
It is the user's responsibility to free the double pointers in the
vector using delete[].
*/
virtual std::vector< double * > getDualRays(int maxNumRays,
bool fullRay = false) const;
/** Get as many primal rays as the solver can provide. (In case of proven
dual infeasibility there should be at least one.)
<strong>NOTE for implementers of solver interfaces:</strong> <br>
The double pointers in the vector should point to arrays of length
getNumCols() and they should be allocated via new[]. <br>
<strong>NOTE for users of solver interfaces:</strong> <br>
It is the user's responsibility to free the double pointers in the
vector using delete[].
*/
virtual std::vector< double * > getPrimalRays(int maxNumRays) const;
#if 0
/** Get vector of indices of solution which are integer variables
presently at fractional values */
virtual OsiVectorInt getFractionalIndices(const double etol=1.e-05)
const;
#endif
//@}
//@}
//---------------------------------------------------------------------------
/**@name Problem modifying methods */
//@{
//-------------------------------------------------------------------------
/**@name Changing bounds on variables and constraints */
//@{
/** Set an objective function coefficient */
virtual void setObjCoeff(int elementIndex, double elementValue);
/** Set a single column lower bound<br>
Use -COIN_DBL_MAX for -infinity. */
virtual void setColLower(int elementIndex, double elementValue);
/** Set a single column upper bound<br>
Use COIN_DBL_MAX for infinity. */
virtual void setColUpper(int elementIndex, double elementValue);
/** Set a single column lower and upper bound<br>
The default implementation just invokes <code>setColLower</code> and
<code>setColUpper</code> */
virtual void setColBounds(int elementIndex,
double lower, double upper);
#if 0 // we are using the default implementation of OsiSolverInterface
/** Set the bounds on a number of columns simultaneously<br>
The default implementation just invokes <code>setCollower</code> and
<code>setColupper</code> over and over again.
@param <code>[indexfirst,indexLast)</code> contains the indices of
the constraints whose </em>either</em> bound changes
@param indexList the indices of those variables
@param boundList the new lower/upper bound pairs for the variables
*/
virtual void setColSetBounds(const int* indexFirst,
const int* indexLast,
const double* boundList);
#endif
/** Set a single row lower bound<br>
Use -COIN_DBL_MAX for -infinity. */
virtual void setRowLower(int elementIndex, double elementValue);
/** Set a single row upper bound<br>
Use COIN_DBL_MAX for infinity. */
virtual void setRowUpper(int elementIndex, double elementValue);
/** Set a single row lower and upper bound<br>
The default implementation just invokes <code>setRowUower</code> and
<code>setRowUpper</code> */
virtual void setRowBounds(int elementIndex,
double lower, double upper);
/** Set the type of a single row<br> */
virtual void setRowType(int index, char sense, double rightHandSide,
double range);
#if 0 // we are using the default implementation of OsiSolverInterface
/** Set the bounds on a number of rows simultaneously<br>
The default implementation just invokes <code>setRowlower</code> and
<code>setRowupper</code> over and over again.
@param <code>[indexfirst,indexLast)</code> contains the indices of
the constraints whose </em>either</em> bound changes
@param boundList the new lower/upper bound pairs for the constraints
*/
virtual void setRowSetBounds(const int* indexFirst,
const int* indexLast,
const double* boundList);
/** Set the type of a number of rows simultaneously<br>
The default implementation just invokes <code>setRowtype</code> and
over and over again.
@param <code>[indexfirst,indexLast)</code> contains the indices of
the constraints whose type changes
@param senseList the new senses
@param rhsList the new right hand sides
@param rangeList the new ranges
*/
virtual void setRowSetTypes(const int* indexFirst,
const int* indexLast,
const char* senseList,
const double* rhsList,
const double* rangeList);
#endif
//@}
//-------------------------------------------------------------------------
/**@name Integrality related changing methods */
//@{
/** Set the index-th variable to be a continuous variable */
virtual void setContinuous(int index);
/** Set the index-th variable to be an integer variable */
virtual void setInteger(int index);
#if 0 // we are using the default implementation of OsiSolverInterface
/** Set the variables listed in indices (which is of length len) to be
continuous variables */
virtual void setContinuous(const int* indices, int len);
/** Set the variables listed in indices (which is of length len) to be
integer variables */
virtual void setInteger(const int* indices, int len);
#endif
//@}
//-------------------------------------------------------------------------
/// Set objective function sense (1 for min (default), -1 for max,)
virtual void setObjSense(double s);
/** Set the primal solution column values
colsol[numcols()] is an array of values of the problem column
variables. These values are copied to memory owned by the
solver object or the solver. They will be returned as the
result of colsol() until changed by another call to
setColsol() or by a call to any solver routine. Whether the
solver makes use of the solution in any way is
solver-dependent.
*/
virtual void setColSolution(const double *colsol);
/** Set dual solution vector
rowprice[numrows()] is an array of values of the problem row
dual variables. These values are copied to memory owned by the
solver object or the solver. They will be returned as the
result of rowprice() until changed by another call to
setRowprice() or by a call to any solver routine. Whether the
solver makes use of the solution in any way is
solver-dependent.
*/
virtual void setRowPrice(const double *rowprice);
//-------------------------------------------------------------------------
/**@name Methods to expand a problem.<br>
Note that if a column is added then by default it will correspond to a
continuous variable. */
//@{
/** */
virtual void addCol(const CoinPackedVectorBase &vec,
const double collb, const double colub,
const double obj);
#if 0 // we are using the default implementation of OsiSolverInterface
/** */
virtual void addCols(const int numcols,
const CoinPackedVectorBase * const * cols,
const double* collb, const double* colub,
const double* obj);
#endif
/** */
virtual void deleteCols(const int num, const int *colIndices);
/** */
virtual void addRow(const CoinPackedVectorBase &vec,
const double rowlb, const double rowub);
/** */
virtual void addRow(const CoinPackedVectorBase &vec,
const char rowsen, const double rowrhs,
const double rowrng);
#if 0 // we are using the default implementation of OsiSolverInterface
/** */
virtual void addRows(const int numrows,
const CoinPackedVectorBase * const * rows,
const double* rowlb, const double* rowub);
/** */
virtual void addRows(const int numrows,
const CoinPackedVectorBase * const * rows,
const char* rowsen, const double* rowrhs,
const double* rowrng);
#endif
/** */
virtual void deleteRows(const int num, const int *rowIndices);
#if 0 // we are using the default implementation of OsiSolverInterface \
//-----------------------------------------------------------------------
/** Apply a collection of cuts.<br>
Only cuts which have an <code>effectiveness >= effectivenessLb</code>
are applied.
<ul>
<li> ReturnCode.numberIneffective() -- number of cuts which were
not applied because they had an
<code>effectiveness < effectivenessLb</code>
<li> ReturnCode.numberInconsistent() -- number of invalid cuts
<li> ReturnCode.numberInconsistentWrtIntegerModel() -- number of
cuts that are invalid with respect to this integer model
<li> ReturnCode.numberInfeasible() -- number of cuts that would
make this integer model infeasible
<li> ReturnCode.numberApplied() -- number of integer cuts which
were applied to the integer model
<li> cs.size() == numberIneffective() +
numberInconsistent() +
numberInconsistentWrtIntegerModel() +
numberInfeasible() +
nubmerApplied()
</ul>
*/
virtual ApplyCutsReturnCode applyCuts(const OsiCuts & cs,
double effectivenessLb = 0.0);
#endif
//@}
//@}
//---------------------------------------------------------------------------
/**@name Methods to input a problem */
//@{
/** Load in an problem by copying the arguments (the constraints on the
rows are given by lower and upper bounds). If a pointer is 0 then the
following values are the default:
<ul>
<li> <code>colub</code>: all columns have upper bound infinity
<li> <code>collb</code>: all columns have lower bound 0
<li> <code>rowub</code>: all rows have upper bound infinity
<li> <code>rowlb</code>: all rows have lower bound -infinity
<li> <code>obj</code>: all variables have 0 objective coefficient
</ul>
*/
virtual void loadProblem(const CoinPackedMatrix &matrix,
const double *collb, const double *colub,
const double *obj,
const double *rowlb, const double *rowub);
/** Load in an problem by assuming ownership of the arguments (the
constraints on the rows are given by lower and upper bounds). For
default values see the previous method. <br>
<strong>WARNING</strong>: The arguments passed to this method will be
freed using the C++ <code>delete</code> and <code>delete[]</code>
functions.
*/
virtual void assignProblem(CoinPackedMatrix *&matrix,
double *&collb, double *&colub, double *&obj,
double *&rowlb, double *&rowub);
/** Load in an problem by copying the arguments (the constraints on the
rows are given by sense/rhs/range triplets). If a pointer is 0 then the
following values are the default:
<ul>
<li> <code>colub</code>: all columns have upper bound infinity
<li> <code>collb</code>: all columns have lower bound 0
<li> <code>obj</code>: all variables have 0 objective coefficient
<li> <code>rowsen</code>: all rows are >=
<li> <code>rowrhs</code>: all right hand sides are 0
<li> <code>rowrng</code>: 0 for the ranged rows
</ul>
*/
virtual void loadProblem(const CoinPackedMatrix &matrix,
const double *collb, const double *colub,
const double *obj,
const char *rowsen, const double *rowrhs,
const double *rowrng);
/** Load in an problem by assuming ownership of the arguments (the
constraints on the rows are given by sense/rhs/range triplets). For
default values see the previous method. <br>
<strong>WARNING</strong>: The arguments passed to this method will be
freed using the C++ <code>delete</code> and <code>delete[]</code>
functions.
*/
virtual void assignProblem(CoinPackedMatrix *&matrix,
double *&collb, double *&colub, double *&obj,
char *&rowsen, double *&rowrhs,
double *&rowrng);
/** Just like the other loadProblem() methods except that the matrix is
given in a standard column major ordered format (without gaps). */
virtual void loadProblem(const int numcols, const int numrows,
const int *start, const int *index,
const double *value,
const double *collb, const double *colub,
const double *obj,
const double *rowlb, const double *rowub);
/** Just like the other loadProblem() methods except that the matrix is
given in a standard column major ordered format (without gaps). */
virtual void loadProblem(const int numcols, const int numrows,
const int *start, const int *index,
const double *value,
const double *collb, const double *colub,
const double *obj,
const char *rowsen, const double *rowrhs,
const double *rowrng);
/** Read an mps file from the given filename */
virtual int readMps(const char *filename,
const char *extension = "mps");
/** Write the problem into an mps file of the given filename.
If objSense is non zero then -1.0 forces the code to write a
maximization objective and +1.0 to write a minimization one.
If 0.0 then solver can do what it wants */
virtual void writeMps(const char *filename,
const char *extension = "mps",
double objSense = 0.0) const;
//@}
//---------------------------------------------------------------------------
/**@name Constructors and destructor */
//@{
/// Default Constructor
OsiSpxSolverInterface();
/// Clone
virtual OsiSolverInterface *clone(bool copyData = true) const;
/// Copy constructor
OsiSpxSolverInterface(const OsiSpxSolverInterface &);
/// Assignment operator
OsiSpxSolverInterface &operator=(const OsiSpxSolverInterface &rhs);
/// Destructor
virtual ~OsiSpxSolverInterface();
//@}
enum keepCachedFlag {
/// discard all cached data (default)
KEEPCACHED_NONE = 0,
/// column information: objective values, lower and upper bounds, variable types
KEEPCACHED_COLUMN = 1,
/// row information: right hand sides, ranges and senses, lower and upper bounds for row
KEEPCACHED_ROW = 2,
/// problem matrix: matrix ordered by column and by row
KEEPCACHED_MATRIX = 4,
/// LP solution: primal and dual solution, reduced costs, row activities
KEEPCACHED_RESULTS = 8,
/// only discard cached LP solution
KEEPCACHED_PROBLEM = KEEPCACHED_COLUMN | KEEPCACHED_ROW | KEEPCACHED_MATRIX,
/// keep all cached data (similar to getMutableLpPtr())
KEEPCACHED_ALL = KEEPCACHED_PROBLEM | KEEPCACHED_RESULTS,
/// free only cached column and LP solution information
FREECACHED_COLUMN = KEEPCACHED_PROBLEM & ~KEEPCACHED_COLUMN,
/// free only cached row and LP solution information
FREECACHED_ROW = KEEPCACHED_PROBLEM & ~KEEPCACHED_ROW,
/// free only cached matrix and LP solution information
FREECACHED_MATRIX = KEEPCACHED_PROBLEM & ~KEEPCACHED_MATRIX,
/// free only cached LP solution information
FREECACHED_RESULTS = KEEPCACHED_ALL & ~KEEPCACHED_RESULTS
};
soplex::SoPlex *getLpPtr(int keepCached = KEEPCACHED_NONE);
soplex::SPxOut *getSPxOut() { return spxout_; }
protected:
/**@name Protected methods */
//@{
/// Apply a row cut. Return true if cut was applied.
virtual void applyRowCut(const OsiRowCut &rc);
/** Apply a column cut (bound adjustment).
Return true if cut was applied.
*/
virtual void applyColCut(const OsiColCut &cc);
//@}
/**@name Protected member data */
//@{
/// SoPlex output object
soplex::SPxOut *spxout_;
/// SoPlex solver object
soplex::SoPlex *soplex_;
//@}
private:
/**@name Private methods */
//@{
/// free cached column rim vectors
void freeCachedColRim();
/// free cached row rim vectors
void freeCachedRowRim();
/// free cached result vectors
void freeCachedResults();
/// free cached matrices
void freeCachedMatrix();
/// free all cached data (except specified entries, see getLpPtr())
void freeCachedData(int keepCached = KEEPCACHED_NONE);
/// free all allocated memory
void freeAllMemory();
//@}
/**@name Private member data */
//@{
/// indices of integer variables
soplex::DIdxSet *spxintvars_;
/// Hotstart information
void *hotStartCStat_;
int hotStartCStatSize_;
void *hotStartRStat_;
int hotStartRStatSize_;
int hotStartMaxIteration_;
/**@name Cached information derived from the SoPlex model */
//@{
/// Pointer to objective Vector
mutable soplex::DVector *obj_;
/// Pointer to dense vector of row sense indicators
mutable char *rowsense_;
/// Pointer to dense vector of row right-hand side values
mutable double *rhs_;
/// Pointer to dense vector of slack upper bounds for range constraints (undefined for non-range rows)
mutable double *rowrange_;
/// Pointer to primal solution vector
mutable soplex::DVector *colsol_;
/// Pointer to dual solution vector
mutable soplex::DVector *rowsol_;
/// Pointer to reduced cost vector
mutable soplex::DVector *redcost_;
/// Pointer to row activity (slack) vector
mutable soplex::DVector *rowact_;
/// Pointer to row-wise copy of problem matrix coefficients.
mutable CoinPackedMatrix *matrixByRow_;
/// Pointer to row-wise copy of problem matrix coefficients.
mutable CoinPackedMatrix *matrixByCol_;
//@}
//@}
};
#endif
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