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845 lines (776 loc) · 36.1 KB
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/* clang-format off */
/*
* SPDX-FileCopyrightText: Copyright (c) 2025-2026, NVIDIA CORPORATION & AFFILIATES. All rights reserved.
* SPDX-License-Identifier: Apache-2.0
*/
/* clang-format on */
#include <dual_simplex/solve.hpp>
#include <barrier/barrier.hpp>
#include <branch_and_bound/branch_and_bound.hpp>
#include <dual_simplex/basis_solves.hpp>
#include <dual_simplex/crossover.hpp>
#include <dual_simplex/initial_basis.hpp>
#include <dual_simplex/phase1.hpp>
#include <dual_simplex/phase2.hpp>
#include <dual_simplex/presolve.hpp>
#include <dual_simplex/primal.hpp>
#include <dual_simplex/scaling.hpp>
#include <dual_simplex/singletons.hpp>
#include <dual_simplex/sparse_matrix.hpp>
#include <dual_simplex/tic_toc.hpp>
#include <dual_simplex/triangle_solve.hpp>
#include <dual_simplex/types.hpp>
#include <dual_simplex/user_problem.hpp>
#include <raft/core/nvtx.hpp>
#include <cstdio>
#include <cstdlib>
#include <queue>
#include <string>
namespace cuopt::linear_programming::dual_simplex {
namespace {
template <typename i_t, typename f_t>
void write_matlab(const std::string& filename, const dual_simplex::lp_problem_t<i_t, f_t>& lp)
{
FILE* fid = fopen(filename.c_str(), "w");
if (fid == NULL) { printf("Can't open file %s\n", filename.c_str()); }
fprintf(fid, "m = %d; n = %d\n", lp.num_rows, lp.num_cols);
lp.A.print_matrix(fid);
fprintf(fid, "clu = [");
for (int32_t j = 0; j < lp.num_cols; ++j) {
fprintf(fid, "%e %e %e\n", lp.objective[j], lp.lower[j], lp.upper[j]);
}
fprintf(fid, "];\n");
fprintf(fid, "b = [\n");
for (int32_t i = 0; i < lp.num_rows; ++i) {
fprintf(fid, "%e\n", lp.rhs[i]);
}
fprintf(fid, "];\n");
fprintf(fid, "A = sparse(ijx(:, 1), ijx(:, 2), ijx(:, 3), m, n);\n");
fprintf(fid, "c = clu(:, 1);\n");
fprintf(fid, "l = clu(:, 2);\n");
fprintf(fid, "u = clu(:, 3);\n");
fclose(fid);
}
} // namespace
template <typename i_t, typename f_t>
bool is_mip(const user_problem_t<i_t, f_t>& problem)
{
bool found_integer = false;
const i_t n = problem.num_cols;
for (i_t j = 0; j < n; ++j) {
if (problem.var_types[j] != variable_type_t::CONTINUOUS) {
found_integer = true;
break;
}
}
return found_integer;
}
template <typename i_t, typename f_t>
f_t compute_objective(const lp_problem_t<i_t, f_t>& problem, const std::vector<f_t>& x)
{
const i_t n = problem.num_cols;
assert(x.size() == problem.num_cols);
f_t obj = 0.0;
for (i_t j = 0; j < n; ++j) {
obj += problem.objective[j] * x[j];
}
return obj;
}
template <typename i_t, typename f_t>
f_t compute_user_objective(const lp_problem_t<i_t, f_t>& lp, const std::vector<f_t>& x)
{
const f_t obj = compute_objective(lp, x);
const f_t user_obj = compute_user_objective(lp, obj);
return user_obj;
}
template <typename i_t, typename f_t>
f_t compute_user_objective(const lp_problem_t<i_t, f_t>& lp, f_t obj)
{
const f_t user_obj = lp.obj_scale * (obj + lp.obj_constant);
return user_obj;
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program_advanced(const lp_problem_t<i_t, f_t>& original_lp,
const f_t start_time,
const simplex_solver_settings_t<i_t, f_t>& settings,
lp_solution_t<i_t, f_t>& original_solution,
std::vector<variable_status_t>& vstatus,
std::vector<f_t>& edge_norms,
work_limit_context_t* work_unit_context)
{
raft::common::nvtx::range scope("DualSimplex::solve_lp");
const i_t m = original_lp.num_rows;
const i_t n = original_lp.num_cols;
assert(m <= n);
std::vector<i_t> basic_list(m);
std::vector<i_t> nonbasic_list;
basis_update_mpf_t<i_t, f_t> ft(m, settings.refactor_frequency);
lp_status_t result = solve_linear_program_with_advanced_basis(original_lp,
start_time,
settings,
original_solution,
ft,
basic_list,
nonbasic_list,
vstatus,
edge_norms,
work_unit_context);
return result;
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program_with_advanced_basis(
const lp_problem_t<i_t, f_t>& original_lp,
const f_t start_time,
const simplex_solver_settings_t<i_t, f_t>& settings,
lp_solution_t<i_t, f_t>& original_solution,
basis_update_mpf_t<i_t, f_t>& ft,
std::vector<i_t>& basic_list,
std::vector<i_t>& nonbasic_list,
std::vector<variable_status_t>& vstatus,
std::vector<f_t>& edge_norms,
work_limit_context_t* work_unit_context)
{
lp_status_t lp_status = lp_status_t::UNSET;
lp_problem_t<i_t, f_t> presolved_lp(original_lp.handle_ptr, 1, 1, 1);
presolve_info_t<i_t, f_t> presolve_info;
i_t ok;
{
raft::common::nvtx::range scope_presolve("DualSimplex::presolve");
ok = presolve(original_lp, settings, presolved_lp, presolve_info);
}
if (ok == CONCURRENT_HALT_RETURN) { return lp_status_t::CONCURRENT_LIMIT; }
if (ok == TIME_LIMIT_RETURN) { return lp_status_t::TIME_LIMIT; }
if (ok == -1) { return lp_status_t::INFEASIBLE; }
constexpr bool write_out_matlab = false;
if (write_out_matlab) {
std::string matlab_file = "presolved.m";
settings.log.printf("Writing %s\n", matlab_file.c_str());
write_matlab(matlab_file, presolved_lp);
}
lp_problem_t<i_t, f_t> lp(original_lp.handle_ptr,
presolved_lp.num_rows,
presolved_lp.num_cols,
presolved_lp.A.col_start[presolved_lp.num_cols]);
std::vector<f_t> column_scales;
{
raft::common::nvtx::range scope_scaling("DualSimplex::scaling");
column_scaling(presolved_lp, settings, lp, column_scales);
}
assert(presolved_lp.num_cols == lp.num_cols);
lp_problem_t<i_t, f_t> phase1_problem(original_lp.handle_ptr, 1, 1, 1);
std::vector<variable_status_t> phase1_vstatus;
f_t phase1_obj = -inf;
create_phase1_problem(lp, phase1_problem);
assert(phase1_problem.num_cols == presolved_lp.num_cols);
// Set the vstatus for the phase1 problem based on a slack basis
phase1_vstatus.resize(phase1_problem.num_cols);
std::fill(phase1_vstatus.begin(), phase1_vstatus.end(), variable_status_t::NONBASIC_LOWER);
i_t num_basic = 0;
for (i_t j = phase1_problem.num_cols - 1; j >= 0; --j) {
const i_t col_start = phase1_problem.A.col_start[j];
const i_t col_end = phase1_problem.A.col_start[j + 1];
const i_t nz = col_end - col_start;
if (nz == 1 && std::abs(phase1_problem.A.x[col_start]) == 1.0) {
phase1_vstatus[j] = variable_status_t::BASIC;
num_basic++;
}
if (num_basic == phase1_problem.num_rows) { break; }
}
assert(num_basic == phase1_problem.num_rows);
i_t iter = 0;
lp_solution_t<i_t, f_t> phase1_solution(phase1_problem.num_rows, phase1_problem.num_cols);
edge_norms.clear();
dual::status_t phase1_status;
{
raft::common::nvtx::range scope_phase1("DualSimplex::phase1");
phase1_status = dual_phase2(1,
1,
start_time,
phase1_problem,
settings,
phase1_vstatus,
phase1_solution,
iter,
edge_norms,
work_unit_context);
}
if (phase1_status == dual::status_t::NUMERICAL) {
settings.log.printf("Failed in Phase 1\n");
return lp_status_t::NUMERICAL_ISSUES;
}
if (phase1_status == dual::status_t::DUAL_UNBOUNDED) {
return lp_status_t::UNBOUNDED_OR_INFEASIBLE;
}
if (phase1_status == dual::status_t::TIME_LIMIT) { return lp_status_t::TIME_LIMIT; }
if (phase1_status == dual::status_t::WORK_LIMIT) { return lp_status_t::WORK_LIMIT; }
if (phase1_status == dual::status_t::ITERATION_LIMIT) { return lp_status_t::ITERATION_LIMIT; }
if (phase1_status == dual::status_t::CONCURRENT_LIMIT) {
original_solution.iterations = iter;
return lp_status_t::CONCURRENT_LIMIT;
}
phase1_obj = phase1_solution.objective;
if (phase1_obj > -settings.primal_tol) {
settings.log.printf("Dual feasible solution found.\n");
lp_solution_t<i_t, f_t> solution(lp.num_rows, lp.num_cols);
assert(lp.num_cols == phase1_problem.num_cols);
assert(solution.x.size() == lp.num_cols);
vstatus = phase1_vstatus;
edge_norms.clear();
bool initialize_basis_update = true;
dual::status_t status = dual_phase2_with_advanced_basis(2,
iter == 0 ? 1 : 0,
initialize_basis_update,
start_time,
lp,
settings,
vstatus,
ft,
basic_list,
nonbasic_list,
solution,
iter,
edge_norms,
work_unit_context);
if (status == dual::status_t::NUMERICAL) {
// Became dual infeasible. Try phase 1 again
phase1_vstatus = vstatus;
settings.log.printf("Running Phase 1 again\n");
edge_norms.clear();
initialize_basis_update = false;
dual_phase2_with_advanced_basis(1,
0,
initialize_basis_update,
start_time,
phase1_problem,
settings,
phase1_vstatus,
ft,
basic_list,
nonbasic_list,
phase1_solution,
iter,
edge_norms,
work_unit_context);
vstatus = phase1_vstatus;
edge_norms.clear();
status = dual_phase2_with_advanced_basis(2,
0,
initialize_basis_update,
start_time,
lp,
settings,
vstatus,
ft,
basic_list,
nonbasic_list,
solution,
iter,
edge_norms,
work_unit_context);
}
constexpr bool primal_cleanup = false;
if (status == dual::status_t::OPTIMAL && primal_cleanup) {
primal_phase2(2, start_time, lp, settings, vstatus, solution, iter);
}
if (status == dual::status_t::OPTIMAL) {
std::vector<f_t> unscaled_x(lp.num_cols);
std::vector<f_t> unscaled_z(lp.num_cols);
unscale_solution<i_t, f_t>(column_scales, solution.x, solution.z, unscaled_x, unscaled_z);
uncrush_solution(presolve_info,
settings,
unscaled_x,
solution.y,
unscaled_z,
original_solution.x,
original_solution.y,
original_solution.z);
original_solution.objective = solution.objective;
original_solution.user_objective = solution.user_objective;
original_solution.l2_primal_residual = solution.l2_primal_residual;
original_solution.l2_dual_residual = solution.l2_dual_residual;
lp_status = lp_status_t::OPTIMAL;
}
if (status == dual::status_t::DUAL_UNBOUNDED) { lp_status = lp_status_t::INFEASIBLE; }
if (status == dual::status_t::TIME_LIMIT) { lp_status = lp_status_t::TIME_LIMIT; }
if (status == dual::status_t::WORK_LIMIT) { lp_status = lp_status_t::WORK_LIMIT; }
if (status == dual::status_t::ITERATION_LIMIT) { lp_status = lp_status_t::ITERATION_LIMIT; }
if (status == dual::status_t::CONCURRENT_LIMIT) {
original_solution.iterations = iter;
return lp_status_t::CONCURRENT_LIMIT;
}
if (status == dual::status_t::NUMERICAL) { lp_status = lp_status_t::NUMERICAL_ISSUES; }
if (status == dual::status_t::CUTOFF) { lp_status = lp_status_t::CUTOFF; }
original_solution.iterations = iter;
} else {
// Dual infeasible -> Primal unbounded or infeasible
settings.log.printf("Dual infeasible\n");
original_solution.objective = -inf;
if (lp.obj_scale == 1.0) {
// Objective for unbounded minimization is -inf
original_solution.user_objective = -inf;
} else {
// Objective for unbounded maximization is inf
original_solution.user_objective = inf;
}
original_solution.iterations = iter;
return lp_status_t::UNBOUNDED_OR_INFEASIBLE;
}
return lp_status;
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program_with_barrier(const user_problem_t<i_t, f_t>& user_problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
f_t start_time,
lp_solution_t<i_t, f_t>& solution)
{
lp_status_t status = lp_status_t::UNSET;
lp_problem_t<i_t, f_t> original_lp(user_problem.handle_ptr, 1, 1, 1);
// Convert the user problem to a linear program with only equality constraints
std::vector<i_t> new_slacks;
simplex_solver_settings_t<i_t, f_t> barrier_settings = settings;
barrier_settings.barrier_presolve = true;
dualize_info_t<i_t, f_t> dualize_info;
convert_user_problem(user_problem, barrier_settings, original_lp, new_slacks, dualize_info);
lp_solution_t<i_t, f_t> lp_solution(original_lp.num_rows, original_lp.num_cols);
// Presolve the linear program
presolve_info_t<i_t, f_t> presolve_info;
lp_problem_t<i_t, f_t> presolved_lp(user_problem.handle_ptr, 1, 1, 1);
const i_t ok = presolve(original_lp, barrier_settings, presolved_lp, presolve_info);
if (ok == CONCURRENT_HALT_RETURN) { return lp_status_t::CONCURRENT_LIMIT; }
if (ok == TIME_LIMIT_RETURN) { return lp_status_t::TIME_LIMIT; }
if (ok == -1) { return lp_status_t::INFEASIBLE; }
// Apply columns scaling to the presolve LP
lp_problem_t<i_t, f_t> barrier_lp(user_problem.handle_ptr,
presolved_lp.num_rows,
presolved_lp.num_cols,
presolved_lp.A.col_start[presolved_lp.num_cols]);
std::vector<f_t> column_scales;
column_scaling(presolved_lp, barrier_settings, barrier_lp, column_scales);
// Solve using barrier
lp_solution_t<i_t, f_t> barrier_solution(barrier_lp.num_rows, barrier_lp.num_cols);
// Clear variable pairs for QP
if (barrier_lp.Q.n > 0) {
const i_t num_free_variables = presolve_info.free_variable_pairs.size() / 2;
for (i_t k = 0; k < num_free_variables; k++) {
i_t u = presolve_info.free_variable_pairs[2 * k];
i_t v = presolve_info.free_variable_pairs[2 * k + 1];
const i_t row_start_u = barrier_lp.Q.row_start[u];
const i_t row_end_u = barrier_lp.Q.row_start[u + 1];
const i_t row_start_v = barrier_lp.Q.row_start[v];
const i_t row_end_v = barrier_lp.Q.row_start[v + 1];
if (row_end_u - row_start_u == 0 && row_end_v - row_start_v == 0) {
settings.log.printf("Free variable pair %d-%d has no quadratic term\n", u, v);
}
}
}
barrier_solver_t<i_t, f_t> barrier_solver(barrier_lp, presolve_info, barrier_settings);
barrier_solver_settings_t<i_t, f_t> barrier_solver_settings;
lp_status_t barrier_status =
barrier_solver.solve(start_time, barrier_solver_settings, barrier_solution);
if (barrier_status == lp_status_t::OPTIMAL) {
#ifdef COMPUTE_SCALED_RESIDUALS
std::vector<f_t> scaled_residual = barrier_lp.rhs;
matrix_vector_multiply(barrier_lp.A, 1.0, barrier_solution.x, -1.0, scaled_residual);
f_t scaled_primal_residual = vector_norm_inf<i_t, f_t>(scaled_residual);
settings.log.printf("Scaled Primal residual: %e\n", scaled_primal_residual);
std::vector<f_t> scaled_dual_residual = barrier_solution.z;
for (i_t j = 0; j < scaled_dual_residual.size(); ++j) {
scaled_dual_residual[j] -= barrier_lp.objective[j];
}
matrix_transpose_vector_multiply(
barrier_lp.A, 1.0, barrier_solution.y, 1.0, scaled_dual_residual);
f_t scaled_dual_residual_norm = vector_norm_inf<i_t, f_t>(scaled_dual_residual);
settings.log.printf("Scaled Dual residual: %e\n", scaled_dual_residual_norm);
#endif
// Unscale the solution
std::vector<f_t> unscaled_x(barrier_lp.num_cols);
std::vector<f_t> unscaled_z(barrier_lp.num_cols);
unscale_solution<i_t, f_t>(
column_scales, barrier_solution.x, barrier_solution.z, unscaled_x, unscaled_z);
std::vector<f_t> residual = presolved_lp.rhs;
matrix_vector_multiply(presolved_lp.A, 1.0, unscaled_x, -1.0, residual);
f_t primal_residual = vector_norm_inf<i_t, f_t>(residual);
settings.log.printf("Unscaled Primal infeasibility (abs/rel): %.2e/%.2e\n",
primal_residual,
primal_residual / (1.0 + vector_norm_inf<i_t, f_t>(presolved_lp.rhs)));
if (barrier_lp.Q.n == 0) {
std::vector<f_t> unscaled_dual_residual = unscaled_z;
for (i_t j = 0; j < unscaled_dual_residual.size(); ++j) {
unscaled_dual_residual[j] -= presolved_lp.objective[j];
}
matrix_transpose_vector_multiply(
presolved_lp.A, 1.0, barrier_solution.y, 1.0, unscaled_dual_residual);
f_t unscaled_dual_residual_norm = vector_norm_inf<i_t, f_t>(unscaled_dual_residual);
settings.log.printf(
"Unscaled Dual infeasibility (abs/rel): %.2e/%.2e\n",
unscaled_dual_residual_norm,
unscaled_dual_residual_norm / (1.0 + vector_norm_inf<i_t, f_t>(presolved_lp.objective)));
}
// Undo presolve
uncrush_solution(presolve_info,
barrier_settings,
unscaled_x,
barrier_solution.y,
unscaled_z,
lp_solution.x,
lp_solution.y,
lp_solution.z);
std::vector<f_t> post_solve_residual = original_lp.rhs;
matrix_vector_multiply(original_lp.A, 1.0, lp_solution.x, -1.0, post_solve_residual);
f_t post_solve_primal_residual = vector_norm_inf<i_t, f_t>(post_solve_residual);
settings.log.printf(
"Post-solve Primal infeasibility (abs/rel): %.2e/%.2e\n",
post_solve_primal_residual,
post_solve_primal_residual / (1.0 + vector_norm_inf<i_t, f_t>(original_lp.rhs)));
if (barrier_lp.Q.n == 0) {
std::vector<f_t> post_solve_dual_residual = lp_solution.z;
for (i_t j = 0; j < post_solve_dual_residual.size(); ++j) {
post_solve_dual_residual[j] -= original_lp.objective[j];
}
matrix_transpose_vector_multiply(
original_lp.A, 1.0, lp_solution.y, 1.0, post_solve_dual_residual);
f_t post_solve_dual_residual_norm = vector_norm_inf<i_t, f_t>(post_solve_dual_residual);
settings.log.printf(
"Post-solve Dual infeasibility (abs/rel): %.2e/%.2e\n",
post_solve_dual_residual_norm,
post_solve_dual_residual_norm / (1.0 + vector_norm_inf<i_t, f_t>(original_lp.objective)));
}
if (dualize_info.solving_dual) {
lp_solution_t<i_t, f_t> primal_solution(dualize_info.primal_problem.num_rows,
dualize_info.primal_problem.num_cols);
std::copy(lp_solution.y.begin(),
lp_solution.y.begin() + dualize_info.primal_problem.num_cols,
primal_solution.x.data());
// Negate x
for (i_t i = 0; i < dualize_info.primal_problem.num_cols; ++i) {
primal_solution.x[i] *= -1.0;
}
std::copy(lp_solution.x.begin(),
lp_solution.x.begin() + dualize_info.primal_problem.num_rows,
primal_solution.y.data());
// Negate y
for (i_t i = 0; i < dualize_info.primal_problem.num_rows; ++i) {
primal_solution.y[i] *= -1.0;
}
std::vector<f_t>& z = primal_solution.z;
for (i_t j = 0; j < dualize_info.primal_problem.num_cols; ++j) {
const i_t u = dualize_info.zl_start + j;
z[j] = lp_solution.x[u];
}
i_t k = 0;
for (i_t j : dualize_info.vars_with_upper_bounds) {
const i_t v = dualize_info.zu_start + k;
z[j] -= lp_solution.x[v];
k++;
}
// Check the objective and residuals on the primal problem.
settings.log.printf("Primal objective: %e\n",
dot<i_t, f_t>(dualize_info.primal_problem.objective, primal_solution.x));
std::vector<i_t> inequality_rows(dualize_info.primal_problem.num_rows, 1);
for (i_t i : dualize_info.equality_rows) {
inequality_rows[i] = 0;
}
i_t less_rows = 0;
for (i_t i = 0; i < dualize_info.primal_problem.num_rows; ++i) {
if (inequality_rows[i] == 1) { less_rows++; }
}
// Add slack variables to the primal problem
if (less_rows > 0) {
std::vector<f_t> slack_info = dualize_info.primal_problem.rhs;
matrix_vector_multiply(
dualize_info.primal_problem.A, -1.0, primal_solution.x, 1.0, slack_info);
lp_problem_t<i_t, f_t>& problem = dualize_info.primal_problem;
i_t num_cols = problem.num_cols + less_rows;
i_t nnz = problem.A.col_start[problem.num_cols] + less_rows;
problem.A.col_start.resize(num_cols + 1);
problem.A.i.resize(nnz);
problem.A.x.resize(nnz);
problem.lower.resize(num_cols);
problem.upper.resize(num_cols);
problem.objective.resize(num_cols);
primal_solution.x.resize(num_cols);
primal_solution.z.resize(num_cols);
i_t p = problem.A.col_start[problem.num_cols];
i_t j = problem.num_cols;
for (i_t i = 0; i < problem.num_rows; i++) {
if (inequality_rows[i] == 1) {
problem.lower[j] = 0.0;
problem.upper[j] = INFINITY;
problem.objective[j] = 0.0;
problem.A.i[p] = i;
problem.A.x[p] = 1.0;
primal_solution.x[j] = slack_info[i];
primal_solution.z[j] = -primal_solution.y[i];
problem.A.col_start[j++] = p++;
inequality_rows[i] = 0;
less_rows--;
}
}
problem.A.col_start[num_cols] = p;
assert(less_rows == 0);
assert(p == nnz);
problem.A.n = num_cols;
problem.num_cols = num_cols;
}
std::vector<f_t> primal_residual = dualize_info.primal_problem.rhs;
matrix_vector_multiply(
dualize_info.primal_problem.A, 1.0, primal_solution.x, -1.0, primal_residual);
f_t primal_residual_norm = vector_norm_inf<i_t, f_t>(primal_residual);
const f_t norm_b = vector_norm_inf<i_t, f_t>(dualize_info.primal_problem.rhs);
f_t primal_relative_residual = primal_residual_norm / (1.0 + norm_b);
settings.log.printf(
"Primal residual (abs/rel): %e/%e\n", primal_residual_norm, primal_relative_residual);
std::vector<f_t> dual_residual = dualize_info.primal_problem.objective;
for (i_t j = 0; j < dualize_info.primal_problem.num_cols; ++j) {
dual_residual[j] -= z[j];
}
matrix_transpose_vector_multiply(
dualize_info.primal_problem.A, 1.0, primal_solution.y, -1.0, dual_residual);
f_t dual_residual_norm = vector_norm_inf<i_t, f_t>(dual_residual);
const f_t norm_c = vector_norm_inf<i_t, f_t>(dualize_info.primal_problem.objective);
f_t dual_relative_residual = dual_residual_norm / (1.0 + norm_c);
settings.log.printf(
"Dual residual (abs/rel): %e/%e\n", dual_residual_norm, dual_relative_residual);
original_lp = dualize_info.primal_problem;
lp_solution = primal_solution;
}
uncrush_primal_solution(user_problem, original_lp, lp_solution.x, solution.x);
uncrush_dual_solution(
user_problem, original_lp, lp_solution.y, lp_solution.z, solution.y, solution.z);
solution.objective = barrier_solution.objective;
solution.user_objective = barrier_solution.user_objective;
solution.l2_primal_residual = barrier_solution.l2_primal_residual;
solution.l2_dual_residual = barrier_solution.l2_dual_residual;
solution.iterations = barrier_solution.iterations;
}
if (barrier_status == lp_status_t::CONCURRENT_LIMIT) { return lp_status_t::CONCURRENT_LIMIT; }
// If we aren't doing crossover, we're done
if (!settings.crossover || barrier_lp.Q.n > 0) { return barrier_status; }
if (settings.crossover && barrier_status == lp_status_t::OPTIMAL) {
{
std::vector<f_t> rhs = original_lp.rhs;
matrix_vector_multiply(original_lp.A, 1.0, lp_solution.x, -1.0, rhs);
f_t primal_residual = vector_norm_inf<i_t, f_t>(rhs);
settings.log.printf("Primal residual before adding artificial variables: %e\n",
primal_residual);
}
// Check to see if we need to add artifical variables
std::vector<i_t> artificial_variables;
artificial_variables.reserve(original_lp.num_rows);
for (i_t i = 0; i < original_lp.num_rows; ++i) {
artificial_variables.push_back(i);
}
if (artificial_variables.size() > 0) {
settings.log.printf("Adding %ld artificial variables\n", artificial_variables.size());
const i_t additional_vars = artificial_variables.size();
const i_t new_cols = original_lp.num_cols + additional_vars;
i_t col = original_lp.num_cols;
i_t nz = original_lp.A.col_start[col];
const i_t new_nz = nz + additional_vars;
original_lp.A.col_start.resize(new_cols + 1);
original_lp.A.x.resize(new_nz);
original_lp.A.i.resize(new_nz);
original_lp.objective.resize(new_cols);
original_lp.lower.resize(new_cols);
original_lp.upper.resize(new_cols);
lp_solution.x.resize(new_cols);
lp_solution.z.resize(new_cols);
for (i_t i : artificial_variables) {
original_lp.A.x[nz] = 1.0;
original_lp.A.i[nz] = i;
original_lp.objective[col] = 0.0;
original_lp.lower[col] = 0.0;
original_lp.upper[col] = 0.0;
lp_solution.x[col] = 0.0;
lp_solution.z[col] = -lp_solution.y[i];
nz++;
col++;
original_lp.A.col_start[col] = nz;
}
original_lp.A.n = new_cols;
original_lp.num_cols = new_cols;
#ifdef PRINT_INFO
printf("nz %d =? new_nz %d =? Acol %d, num_cols %d =? new_cols %d x size %ld z size %ld\n",
nz,
new_nz,
original_lp.A.col_start[original_lp.num_cols],
original_lp.num_cols,
new_cols,
lp_solution.x.size(),
lp_solution.z.size());
#endif
std::vector<f_t> rhs = original_lp.rhs;
matrix_vector_multiply(original_lp.A, 1.0, lp_solution.x, -1.0, rhs);
f_t primal_residual = vector_norm_inf<i_t, f_t>(rhs);
settings.log.printf("Primal residual after adding artificial variables: %e\n",
primal_residual);
}
// Run crossover
lp_solution_t<i_t, f_t> crossover_solution(original_lp.num_rows, original_lp.num_cols);
std::vector<variable_status_t> vstatus(original_lp.num_cols);
crossover_status_t crossover_status = crossover(
original_lp, barrier_settings, lp_solution, start_time, crossover_solution, vstatus);
settings.log.printf("Crossover status: %d\n", crossover_status);
if (crossover_status == crossover_status_t::OPTIMAL) { barrier_status = lp_status_t::OPTIMAL; }
}
return barrier_status;
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program_with_barrier(const user_problem_t<i_t, f_t>& user_problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
lp_solution_t<i_t, f_t>& solution)
{
f_t start_time = tic();
return solve_linear_program_with_barrier(user_problem, settings, start_time, solution);
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program(const user_problem_t<i_t, f_t>& user_problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
f_t start_time,
lp_solution_t<i_t, f_t>& solution)
{
lp_problem_t<i_t, f_t> original_lp(user_problem.handle_ptr, 1, 1, 1);
std::vector<i_t> new_slacks;
dualize_info_t<i_t, f_t> dualize_info;
convert_user_problem(user_problem, settings, original_lp, new_slacks, dualize_info);
solution.resize(user_problem.num_rows, user_problem.num_cols);
lp_solution_t<i_t, f_t> lp_solution(original_lp.num_rows, original_lp.num_cols);
std::vector<variable_status_t> vstatus;
std::vector<f_t> edge_norms;
lp_status_t status = solve_linear_program_advanced(
original_lp, start_time, settings, lp_solution, vstatus, edge_norms);
if (status == lp_status_t::CONCURRENT_LIMIT) {
solution.iterations = lp_solution.iterations;
return lp_status_t::CONCURRENT_LIMIT;
}
uncrush_primal_solution(user_problem, original_lp, lp_solution.x, solution.x);
uncrush_dual_solution(
user_problem, original_lp, lp_solution.y, lp_solution.z, solution.y, solution.z);
solution.objective = lp_solution.objective;
solution.user_objective = lp_solution.user_objective;
solution.iterations = lp_solution.iterations;
solution.l2_primal_residual = lp_solution.l2_primal_residual;
solution.l2_dual_residual = lp_solution.l2_dual_residual;
return status;
}
template <typename i_t, typename f_t>
lp_status_t solve_linear_program(const user_problem_t<i_t, f_t>& user_problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
lp_solution_t<i_t, f_t>& solution)
{
f_t start_time = tic();
return solve_linear_program(user_problem, settings, start_time, solution);
}
template <typename i_t, typename f_t>
i_t solve(const user_problem_t<i_t, f_t>& problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
std::vector<f_t>& primal_solution)
{
i_t status;
if (is_mip(problem) && !settings.relaxation) {
probing_implied_bound_t<i_t, f_t> empty_probing(problem.num_cols);
branch_and_bound_t branch_and_bound(problem, settings, tic(), empty_probing);
mip_solution_t<i_t, f_t> mip_solution(problem.num_cols);
mip_status_t mip_status = branch_and_bound.solve(mip_solution);
if (mip_status == mip_status_t::OPTIMAL) {
status = 0;
} else {
status = -1;
}
primal_solution = mip_solution.x;
} else {
f_t start_time = tic();
lp_problem_t<i_t, f_t> original_lp(
problem.handle_ptr, problem.num_rows, problem.num_cols, problem.A.col_start[problem.A.n]);
std::vector<i_t> new_slacks;
dualize_info_t<i_t, f_t> dualize_info;
convert_user_problem(problem, settings, original_lp, new_slacks, dualize_info);
lp_solution_t<i_t, f_t> solution(original_lp.num_rows, original_lp.num_cols);
std::vector<variable_status_t> vstatus;
std::vector<f_t> edge_norms;
lp_status_t lp_status = solve_linear_program_advanced(
original_lp, start_time, settings, solution, vstatus, edge_norms);
primal_solution = solution.x;
if (lp_status == lp_status_t::OPTIMAL) {
status = 0;
} else {
status = -1;
}
}
return status;
}
template <typename i_t, typename f_t>
i_t solve_mip_with_guess(const user_problem_t<i_t, f_t>& problem,
const simplex_solver_settings_t<i_t, f_t>& settings,
const std::vector<f_t>& guess,
mip_solution_t<i_t, f_t>& solution)
{
i_t status;
if (is_mip(problem)) {
probing_implied_bound_t<i_t, f_t> empty_probing(problem.num_cols);
branch_and_bound_t branch_and_bound(problem, settings, tic(), empty_probing);
branch_and_bound.set_initial_guess(guess);
mip_status_t mip_status = branch_and_bound.solve(solution);
if (mip_status == mip_status_t::OPTIMAL) {
status = 0;
} else {
status = -1;
}
} else {
settings.log.printf("Not a MIP\n");
status = -1;
}
return status;
}
#ifdef DUAL_SIMPLEX_INSTANTIATE_DOUBLE
template bool is_mip<int, double>(const user_problem_t<int, double>& problem);
template double compute_objective<int, double>(const lp_problem_t<int, double>& problem,
const std::vector<double>& x);
template double compute_user_objective<int, double>(const lp_problem_t<int, double>& lp,
const std::vector<double>& x);
template double compute_user_objective(const lp_problem_t<int, double>& lp, double obj);
template lp_status_t solve_linear_program_advanced(
const lp_problem_t<int, double>& original_lp,
const double start_time,
const simplex_solver_settings_t<int, double>& settings,
lp_solution_t<int, double>& original_solution,
std::vector<variable_status_t>& vstatus,
std::vector<double>& edge_norms,
work_limit_context_t* work_unit_context);
template lp_status_t solve_linear_program_with_advanced_basis(
const lp_problem_t<int, double>& original_lp,
const double start_time,
const simplex_solver_settings_t<int, double>& settings,
lp_solution_t<int, double>& original_solution,
basis_update_mpf_t<int, double>& ft,
std::vector<int>& basic_list,
std::vector<int>& nonbasic_list,
std::vector<variable_status_t>& vstatus,
std::vector<double>& edge_norms,
work_limit_context_t* work_unit_context);
template lp_status_t solve_linear_program_with_barrier(
const user_problem_t<int, double>& user_problem,
const simplex_solver_settings_t<int, double>& settings,
lp_solution_t<int, double>& solution);
template lp_status_t solve_linear_program_with_barrier(
const user_problem_t<int, double>& user_problem,
const simplex_solver_settings_t<int, double>& settings,
double start_time,
lp_solution_t<int, double>& solution);
template lp_status_t solve_linear_program(const user_problem_t<int, double>& user_problem,
const simplex_solver_settings_t<int, double>& settings,
lp_solution_t<int, double>& solution);
template lp_status_t solve_linear_program(const user_problem_t<int, double>& user_problem,
const simplex_solver_settings_t<int, double>& settings,
double start_time,
lp_solution_t<int, double>& solution);
template int solve<int, double>(const user_problem_t<int, double>& user_problem,
const simplex_solver_settings_t<int, double>& settings,
std::vector<double>& primal_solution);
template int solve_mip_with_guess<int, double>(
const user_problem_t<int, double>& problem,
const simplex_solver_settings_t<int, double>& settings,
const std::vector<double>& guess,
mip_solution_t<int, double>& solution);
#endif
} // namespace cuopt::linear_programming::dual_simplex