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CglTwomir.hpp
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00001 // $Id$
00002 // Copyright (C) 2002, International Business Machines
00003 // Corporation and others.  All Rights Reserved.
00004 // This code is licensed under the terms of the Eclipse Public License (EPL).
00005 
00006 #ifndef CglTwomir_H
00007 #define CglTwomir_H
00008 #include <string>
00009 
00010 #include "CglCutGenerator.hpp"
00011 #include "CoinFactorization.hpp"
00012 
00013 typedef struct
00014 {
00015 
00016   int nz;             /* current length of arrays index[] and coeff[] */
00017   int max_nz;         /* max length of arrays index[] and coeff[] */
00018   double *coeff;      /* coefficient of each variable in the constraint */
00019   int *index;         /* index of the variable (value in 0 ... nrow+ncol) */
00020   double rhs;         /* rhs of the constraint */
00021   char sense;         /* ?? is it necessary */
00022 
00023 } DGG_constraint_t;
00024 
00025 typedef struct{
00026   int n;
00027   DGG_constraint_t **c;
00028   int *ctype;
00029   double *alpha;
00030 } DGG_list_t;
00031 
00032 /******************** BASIS INFORMATION ADTs **********************************/
00033 typedef struct{
00034   int q_min;
00035   int q_max;
00036   int t_min;
00037   int t_max;
00038   int a_max;
00039   int max_elements;
00040 } cutParams;
00041 
00042 typedef struct
00043 {
00044   double gomory_threshold; /* factional variable must be this away from int */
00045   int ncol,        /* number of columns in LP */
00046     nrow,        /* number of constaints in LP */
00047     ninteger;    /* number of integer variables in LP */
00048 
00049   int nbasic_col,  /* number of basic columns in the LP */
00050     nbasic_row;  /* number of basic rows in the LP */
00051 
00052   /* the following arrays are all of size (ncol+nrow) */
00053   int *info;       /* description of each variable (see below) */
00054   double *lb;      /* specifies the lower bound (if any) of each variable */
00055   double *ub;      /* specifies the upper bound (if any) of each variable */
00056   double *x;       /* current solution */
00057   double *rc;      /* current reduced cost */
00058   double *opt_x;
00059 
00060   cutParams cparams;
00061 } DGG_data_t;
00062 
00063 /* the following macros allow us to decode the info of the DGG_data
00064    type. The encoding is as follows,
00065    bit 1 : if the variable is basic or not (non-basic).
00066    bit 2 : if the variable is integer or or not (rational).
00067    bit 3 : if the variable is structural or not (artifical). 
00068    bit 4 : if the variable is non-basic and at its upper bound 
00069    (else if non-basic at lower bound). */
00070 
00071 #define DGG_isBasic(data,idx) ((data->info[idx])&1)
00072 #define DGG_isInteger(data,idx) ((data->info[idx] >> 1)&1)
00073 #define DGG_isStructural(data,idx) ((data->info[idx] >> 2)&1)
00074 #define DGG_isEqualityConstraint(data,idx) ((data->info[idx] >> 3)&1)
00075 #define DGG_isNonBasicAtUB(data,idx) ((data->info[idx] >> 4)&1)
00076 #define DGG_isNonBasicAtLB(data,idx) ((data->info[idx] >> 5)&1)
00077 #define DGG_isConstraintBoundedAbove(data,idx) ((data->info[idx] >> 6)&1)
00078 #define DGG_isConstraintBoundedBelow(data,idx) ((data->info[idx] >> 7)&1)
00079 
00080 #define DGG_setIsBasic(data,idx) ((data->info[idx]) |= 1)
00081 #define DGG_setIsInteger(data,idx) ((data->info[idx]) |= (1<<1))
00082 #define DGG_setIsStructural(data,idx) ((data->info[idx]) |= (1<<2))
00083 #define DGG_setEqualityConstraint(data,idx) ((data->info[idx]) |= (1<<3))
00084 #define DGG_setIsNonBasicAtUB(data,idx) ((data->info[idx]) |= (1<<4))
00085 #define DGG_setIsNonBasicAtLB(data,idx) ((data->info[idx]) |= (1<<5))
00086 #define DGG_setIsConstraintBoundedAbove(data,idx) ((data->info[idx]) |= (1<<6))
00087 #define DGG_setIsConstraintBoundedBelow(data,idx) ((data->info[idx]) |= (1<<7))
00088 
00089 class CoinWarmStartBasis;
00091 class CglTwomir : public CglCutGenerator {
00092 
00093   friend void CglTwomirUnitTest(const OsiSolverInterface * siP,
00094                                           const std::string mpdDir );
00095 
00096 
00097 public:
00098 
00100   mutable std::string probname_;
00101     
00107   virtual void generateCuts( const OsiSolverInterface & si, OsiCuts & cs, 
00108                              const CglTreeInfo info = CglTreeInfo()) const;
00110   virtual bool needsOptimalBasis() const;
00111 
00114 
00115   void setMirScale (int tmin, int tmax) {t_min_ = tmin; t_max_ = tmax;}
00116   void setTwomirScale (int qmin, int qmax) {q_min_ = qmin; q_max_ = qmax;}
00117   void setAMax (int a) {a_max_ = a;}
00118   void setMaxElements (int n) {max_elements_ = n;}
00119   void setMaxElementsRoot (int n) {max_elements_root_ = n;}
00120   void setCutTypes (bool mir, bool twomir, bool tab, bool form)
00121   { do_mir_ = mir; do_2mir_ = twomir; do_tab_ = tab; do_form_ = form;}
00122   void setFormulationRows (int n) {form_nrows_ = n;}
00123 
00125   int getTmin() const {return t_min_;}
00126   int getTmax() const {return t_max_;}
00127   int getQmin() const {return q_min_;}
00128   int getQmax() const {return q_max_;}
00129   int getAmax() const {return a_max_;}
00130   int getMaxElements() const {return max_elements_;}
00131   int getMaxElementsRoot() const {return max_elements_root_;}
00132   int getIfMir() const { return do_mir_;}
00133   int getIfTwomir() const { return do_2mir_;}
00134   int getIfTableau() const { return do_tab_;}
00135   int getIfFormulation() const { return do_form_;}
00137 
00142 
00143   void setAway(double value);
00145   double getAway() const;
00147   void setAwayAtRoot(double value);
00149   double getAwayAtRoot() const;
00151   virtual int maximumLengthOfCutInTree() const
00152   { return max_elements_;}
00154 
00157 
00158   CglTwomir ();
00159 
00161   CglTwomir (const CglTwomir &);
00162 
00164   virtual CglCutGenerator * clone() const;
00165 
00167   CglTwomir & operator=(const CglTwomir& rhs);
00168   
00170   virtual  ~CglTwomir ();
00172   virtual std::string generateCpp( FILE * fp);
00174       
00175 private:
00176   // Private member data
00179 
00180   mutable CoinThreadRandom randomNumberGenerator_;
00182   double away_;
00184   double awayAtRoot_;
00185   bool do_mir_;
00186   bool do_2mir_;
00187   bool do_tab_;
00188   bool do_form_;
00189 
00190   int t_min_;  
00191   int t_max_;  
00192   int q_min_;  
00193   int q_max_;  
00194   int a_max_;  
00195   int max_elements_; 
00196   int max_elements_root_; 
00197   int form_nrows_; //number of rows on which formulation cuts will be generated
00199 };
00200 
00201 //#############################################################################
00202 
00203 /*
00204 #include <stdlib.h>
00205 #include <stdio.h>
00206 #include <stdarg.h>
00207 #include <math.h>
00208 #include <float.h>
00209 #include <cassert>
00210 #include <iostream.h>
00211 */
00212 
00213 /******************** DEBUG DEFINITIONS ***************************************/
00214 
00215 #define DGG_DEBUG_DGG 1
00216 #define DGG_TRACE_ERRORS 0
00217 #define DGG_DISPLAY   0
00218 #define DGG_AUTO_CHECK_CUT_OFF_OPTIMAL 1
00219 
00220 /******************** CONFIGURATION DEFAULTS **********************************/
00221 
00222 #define DGG_DEFAULT_METHOD 2
00223 #define DGG_DEFAULT_TMIN 1
00224 #define DGG_DEFAULT_TMAX 1
00225 #define DGG_DEFAULT_TAUMIN 2
00226 #define DGG_DEFAULT_TAUMAX 6
00227 #define DGG_DEFAULT_MAX_CUTS 500
00228 #define DGG_DEFAULT_IMPROVEMENT_THRESH 0.001
00229 #define DGG_DEFAULT_NBELOW_THRESH INT_MAX 
00230 #define DGG_DEFAULT_NROOT_ROUNDS 2
00231 #define DGG_DEFAULT_NEGATIVE_SCALED_TWOSTEPS 0
00232 #define DGG_DEFAULT_ALPHA_RULE 0
00233 #define DGG_DEFAULT_CUT_INC 250
00234 #define DGG_DEFAULT_CUT_FORM 0
00235 #define DGG_DEFAULT_NICEFY 0
00236 #define DGG_DEFAULT_ONLY_DELAYED 0
00237 #define DGG_DEFAULT_DELAYED_FREQ 9999999 
00238 #define DGG_DEFAULT_LPROWS_FREQ 9999999
00239 #define DGG_DEFAULT_WHICH_FORMULATION_CUTS 2
00240 
00241 /******************** SOLVER CONFIGURATION DEFINITIONS ************************/
00242 
00243 #define DGG_OSI 0
00244 #define DGG_CPX 1
00245 #define DGG_QSO 2
00246 
00247 /* determines the solver to be used */
00248 #define DGG_SOLVER DGG_OSI
00249 
00250 /* adds checking routines to make sure solver works as expected */
00251 #define DGG_DEBUG_SOLVER 0
00252 
00253 /* turn off screen output from solver */
00254 #define DGG_SOLVER_SCREEN_FLAG 0
00255 
00256 /******************** CUT DEFINITIONS *****************************************/
00257 
00258 /* internal names for cut types */
00259 #define DGG_TMIR_CUT 1
00260 #define DGG_2STEP_CUT 2
00261 
00262 /* internal names for alpha-selection rules */
00263 #define DGG_ALPHA_MIN_SUM 0
00264 #define DGG_ALPHA_RANDOM_01 1
00265 #define DGG_ALPHA_RANDOM_COEFF 2
00266 #define DGG_ALPHA_ALL 3
00267 #define DGG_ALPHA_MAX_STEEP 5
00268 
00269 /******************** PRECISION & NUMERICAL ISSUES DEFINITIONS ****************/
00270 
00271 /* how steep a cut must be before adding it to the lp */
00272 #define DGG_MIN_STEEPNESS 1.0e-4
00273 #define DGG_MAX_L2NORM 1.0e7
00274 
00275 /* 0 = min steepness, 1 = max norm */
00276 #define DGG_NORM_CRITERIA 1
00277 
00278 /* internal representation of +infinity */
00279 #define UB_MAX DBL_MAX
00280 
00281 /* used to define how fractional a basic-integer variable must be
00282    before choosing to use it to generate a TMIR cut on.
00283    OSI's default is 1.0e-7 */
00284 #define DGG_GOMORY_THRESH 0.005
00285 
00286 #define DGG_RHS_THRESH 0.005
00287 
00288 /* used for comparing variables to their upper bounds.
00289    OSI's default is 1.0e-7.
00290    We set it to 1.0e6 because e-7 seems too sensitive. 
00291    In fact, with e-7 the problem dsbmip.mps complains. */
00292 #define DGG_BOUND_THRESH 1.0e-6
00293 
00294 /* used for comparing the lhs (activity) value of a tableau row
00295    with the rhs. This is only used for debugging purposes. */
00296 #define DGG_EQUALITY_THRESH 1.0e-5
00297 
00298 /* used for comparing a variable's lower bound to 0.0
00299    and determining if we need to shift the variable    */
00300 #define DGG_SHIFT_THRESH 1.0e-6
00301 
00302 /* used for determing how far from an integer is still an integer.
00303    This value is used for comparing coefficients to integers.
00304    OSI's default is 1.0e-10.                               */
00305 #define DGG_INTEGRALITY_THRESH 1.0e-10
00306 
00307 /* the min value that a coeff can have in the tableau row
00308    before being set to zero. */
00309 #define CBC_CHECK_CUT
00310 #ifndef CBC_CHECK_CUT
00311 #define DGG_MIN_TABLEAU_COEFFICIENT 1.0e-8
00312 #else
00313 #define DGG_MIN_TABLEAU_COEFFICIENT 1.0e-12
00314 #endif
00315 
00316 /* smallest value rho is allowed to have for a simple 2-step MIR
00317    (ie: not an extended two-step MIR) */
00318 #define DGG_MIN_RHO 1.0e-7
00319 #define DGG_MIN_ALPHA 1.0e-7
00320 
00321 /* when a slack is null: used to check if a cut is satisfied or not. */
00322 #define DGG_NULL_SLACK 1.0e-5
00323 
00324 /* nicefy constants */
00325 #define DGG_NICEFY_MIN_ABSVALUE 1.0e-13
00326 #define DGG_NICEFY_MIN_FIX 1.0e-7
00327 #define DGG_NICEFY_MAX_PADDING 1.0e-6
00328 #define DGG_NICEFY_MAX_RATIO 1.0e9
00329 
00330 
00331 /******************** ERROR-CATCHING MACROS ***********************************/
00332 #if DGG_TRACE_ERRORS > 0
00333 
00334 #define __DGG_PRINT_LOC__(F) fprintf(((F==0)?stdout:F), " in %s (%s:%d)\n", __func__, __FILE__, __LINE__)
00335 
00336 #define DGG_THROW(A,REST...) {\
00337  fprintf(stdout, ##REST); \
00338  __DGG_PRINT_LOC__(stdout); \
00339  return (A);}
00340 
00341 #define DGG_IF_EXIT(A,B,REST...) {\
00342  if(A) {\
00343  fprintf(stdout, ##REST); \
00344  __DGG_PRINT_LOC__(stdout); \
00345  exit(B);}}
00346 
00347 #define DGG_CHECKRVAL(A,B) {\
00348  if(A) {\
00349    __DGG_PRINT_LOC__(stdout); \
00350    return B; } }
00351 
00352 #define DGG_CHECKRVAL1(A,B) {\
00353  if(A) {\
00354    __DGG_PRINT_LOC__(stdout); \
00355    rval = B; goto CLEANUP; } }
00356 
00357 #define DGG_WARNING(A, REST...) {\
00358   if(A) {\
00359           fprintf(stdout, ##REST); \
00360                 __DGG_PRINT_LOC__(stdout); \
00361                 }}
00362 
00363 #define DGG_TEST(A,B,REST...) {\
00364  if(A) DGG_THROW(B,##REST) }
00365 
00366 #define DGG_TEST2(A,B,C,REST)   {DGG_TEST(A,B,C,REST) }
00367 #define DGG_TEST3(A,B,C,D,REST) {DGG_TEST(A,B,C,D,REST) }
00368 
00369 #else
00370 
00371 #define DGG_IF_EXIT(A,B,REST) {if(A) {fprintf(stdout, REST);exit(B);}}
00372 
00373 #define DGG_THROW(A,B) return(A)
00374 
00375 #define DGG_CHECKRVAL(A,B) {  if(A) return(B); }
00376 #define DGG_CHECKRVAL1(A,B){ if(A) { rval = B; goto CLEANUP; } }
00377 
00378 #define DGG_TEST(A,B,REST) { if(A) return(B);}
00379 #define DGG_TEST2(A,B,REST,C) { DGG_TEST(A,B,REST) }
00380 #define DGG_TEST3(A,B,REST,C,D) { DGG_TEST(A,B,REST) }
00381 
00382 #endif
00383 
00384 /******************** SIMPLE MACROS AND FUNCTIONS *****************************/
00385 
00386 #define DGG_MIN(a,b) ( (a<b)?a:b )
00387 #define DGG_MAX(a,b) ( (a>b)?a:b )
00388 #define KREM(vht,alpha,tau)  (DGG_MIN( ceil(vht / alpha), tau ) - 1)
00389 #define LMIN(vht, d, bht) (DGG_MIN( floor(d*bht/bht), d))
00390 #define ABOV(v) (v - floor(v))
00391 #define QINT(vht,bht,tau) ( (int)floor( (vht*(tau-1))/bht ) )
00392 #define V2I(bht,tau,i) ( ((i+1)*bht / tau) )
00393 
00394 int DGG_is_even(double vht, double bht, int tau, int q);
00395 double frac_part(double value);
00396 int DGG_is_a_multiple_of_b(double a, double b);
00397 
00398 
00399 /* free function for DGG_data_t. Frees internal arrays and data structure */
00400 int DGG_freeData( DGG_data_t *data );
00401 
00402 /******************** CONSTRAINT ADTs *****************************************/
00403 DGG_constraint_t* DGG_newConstraint(int max_arrays);
00404 void DGG_freeConstraint(DGG_constraint_t *c);
00405 DGG_constraint_t *DGG_copyConstraint(DGG_constraint_t *c);
00406 void DGG_scaleConstraint(DGG_constraint_t *c, int t);
00407 
00408 /******************** CONFIGURATION *******************************************/
00409 void DGG_list_init (DGG_list_t *l);
00410 int DGG_list_addcut (DGG_list_t *l, DGG_constraint_t *cut, int ctype, double alpha);
00411 void DGG_list_delcut (DGG_list_t *l, int i);
00412 void DGG_list_free(DGG_list_t *l);
00413 
00414 /******************* SOLVER SPECIFIC METHODS **********************************/
00415 DGG_data_t *DGG_getData(const void *solver_ptr);
00416 
00417 /******************* CONSTRAINT MANIPULATION **********************************/
00418 
00419 /* DGG_transformConstraint: manipulates a constraint in the following way: 
00420 
00421 packs everything in output
00422 
00423 1 - variables at their upper bounds are substituted for their 
00424 complements. This is done by adjusting the coefficients and 
00425 the right hand side (simple substitution). 
00426 
00427 2 - variables with non-zero lower bounds are shifted.            */
00428 
00429 int DGG_transformConstraint( DGG_data_t *data,
00430                              double **x_out, 
00431                              double **rc_out,
00432                              char **isint_out,
00433                              DGG_constraint_t *constraint );
00434 
00435 /* DGG_unTransformConstraint : 
00436 
00437 1 - Undoes step (1) of DGG_transformConstraint 
00438 2 - Undoes step (2) of DGG_transformConstraint                  */
00439  
00440 int DGG_unTransformConstraint( DGG_data_t *data, 
00441                                DGG_constraint_t *constraint );
00442 
00443 /* substitutes each slack variable by the structural variables which 
00444    define it. This function, hence, changes the constraint 'cut'.    */
00445 
00446 int DGG_substituteSlacks( const void *solver_ptr, 
00447                           DGG_data_t *data, 
00448                           DGG_constraint_t *cut );
00449 
00450 int DGG_nicefyConstraint( const void *solver_ptr, 
00451                           DGG_data_t *data,
00452                           DGG_constraint_t *cut);
00453 
00454 /******************* CUT GENERATION *******************************************/
00455 int DGG_getFormulaConstraint( int row_idx,  
00456                               const void *solver_ptr,   
00457                               DGG_data_t *data, 
00458                               DGG_constraint_t* row );
00459 
00460 int DGG_getTableauConstraint( int index, 
00461                               const void *solver_ptr, 
00462                               DGG_data_t *data, 
00463                               DGG_constraint_t* tabrow,
00464                               const int * colIsBasic,
00465                               const int * rowIsBasic,
00466                               CoinFactorization & factorization,
00467                               int mode );
00468 
00469 DGG_constraint_t* DGG_getSlackExpression(const void *solver_ptr, DGG_data_t* data, int row_index);
00470 
00471   int DGG_generateTabRowCuts( DGG_list_t *list,
00472                               DGG_data_t *data,
00473                               const void *solver_ptr );
00474 
00475   int DGG_generateFormulationCuts( DGG_list_t *list,
00476                                    DGG_data_t *data,
00477                                    const void *solver_ptr,
00478                                    int nrows,
00479                                    CoinThreadRandom & generator);
00480 
00481 
00482   int DGG_generateFormulationCutsFromBase( DGG_constraint_t *base,
00483                                            double slack,
00484                                            DGG_list_t *list,
00485                                            DGG_data_t *data,
00486                                            const void *solver_ptr,
00487                                            CoinThreadRandom & generator);
00488 
00489   int DGG_generateCutsFromBase( DGG_constraint_t *base,
00490                                 DGG_list_t *list,
00491                                 DGG_data_t *data,
00492                                 const void *solver_ptr );
00493 
00494 int DGG_buildMir( char *isint,
00495                   DGG_constraint_t *base,
00496                   DGG_constraint_t **cut_out );
00497 
00498 int DGG_build2step( double alpha,
00499                     char *isint,
00500                     DGG_constraint_t *base,
00501                     DGG_constraint_t **cut_out );
00502 
00503   int DGG_addMirToList   ( DGG_constraint_t *base,
00504                            char *isint,
00505                            double *x,
00506                            DGG_list_t *list,
00507                            DGG_data_t *data,
00508                            DGG_constraint_t *orig_base );
00509 
00510   int DGG_add2stepToList ( DGG_constraint_t *base,
00511                            char *isint,
00512                            double *x,
00513                            double *rc,
00514                            DGG_list_t *list,
00515                            DGG_data_t *data,
00516                            DGG_constraint_t *orig_base );
00517 
00518 /******************* CUT INFORMATION ******************************************/
00519 
00520 double DGG_cutLHS(DGG_constraint_t *c, double *x);
00521 int DGG_isCutDesirable(DGG_constraint_t *c, DGG_data_t *d);
00522 
00523 /******************* TEST / DEBUGGING ROUTINES ********************************/
00524 
00525 int DGG_isConstraintViolated(DGG_data_t *d, DGG_constraint_t *c);
00526 
00527 int DGG_isBaseTrivial(DGG_data_t *d, DGG_constraint_t* c);
00528 int DGG_is2stepValid(double alpha, double bht);
00529 
00530 int DGG_cutsOffPoint(double *x, DGG_constraint_t *cut);
00531 
00532 //#############################################################################
00538 void CglTwomirUnitTest(const OsiSolverInterface * siP,
00539                        const std::string mpdDir);
00540 
00541 
00542 #endif
00543 
00544 
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