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MIPSolverGurobi.cpp
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MIPSolverGurobi.cpp
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/**
The Supporting Hyperplane Optimization Toolkit (SHOT).
@author Andreas Lundell, Åbo Akademi University
@section LICENSE
This software is licensed under the Eclipse Public License 2.0.
Please see the README and LICENSE files for more information.
*/
#include "MIPSolverGurobi.h"
#include "../DualSolver.h"
#include "../EventHandler.h"
#include "../Iteration.h"
#include "../Output.h"
#include "../PrimalSolver.h"
#include "../Results.h"
#include "../Settings.h"
#include "../TaskHandler.h"
#include "../Timing.h"
#include "../Utilities.h"
#include "../Model/Problem.h"
namespace SHOT
{
MIPSolverGurobi::MIPSolverGurobi()
{
// Should not be called
}
MIPSolverGurobi::MIPSolverGurobi(EnvironmentPtr envPtr) { env = envPtr; }
MIPSolverGurobi::~MIPSolverGurobi()
{
objectiveLinearExpression.clear();
objectiveQuadraticExpression.clear();
constraintLinearExpression.clear();
constraintQuadraticExpression.clear();
}
bool MIPSolverGurobi::initializeProblem()
{
discreteVariablesActivated = true;
if(alreadyInitialized)
{
std::shared_ptr<GRBEnv> gurobiEnv;
std::shared_ptr<GRBModel> gurobiModel;
}
else
{
prevSolutionLimit = 1;
alreadyInitialized = true;
}
try
{
gurobiEnv = std::make_shared<GRBEnv>();
gurobiModel = std::make_shared<GRBModel>(*gurobiEnv.get());
}
catch(GRBException& e)
{
env->output->outputError(" Error when initializing Gurobi:", e.getMessage());
return (false);
}
cachedSolutionHasChanged = true;
isVariablesFixed = false;
checkParameters();
return (true);
}
bool MIPSolverGurobi::addVariable(
std::string name, E_VariableType type, double lowerBound, double upperBound, double semiBound)
{
if(lowerBound < -getUnboundedVariableBoundValue())
lowerBound = -getUnboundedVariableBoundValue();
if(upperBound > getUnboundedVariableBoundValue())
upperBound = getUnboundedVariableBoundValue();
try
{
switch(type)
{
case E_VariableType::Real:
gurobiModel->addVar(lowerBound, upperBound, 0.0, GRB_CONTINUOUS, name);
break;
case E_VariableType::Integer:
isProblemDiscrete = true;
gurobiModel->addVar(lowerBound, upperBound, 0.0, GRB_INTEGER, name);
break;
case E_VariableType::Binary:
isProblemDiscrete = true;
gurobiModel->addVar(lowerBound, upperBound, 0.0, GRB_BINARY, name);
break;
case E_VariableType::Semicontinuous:
isProblemDiscrete = true;
if(semiBound < 0.0)
upperBound = semiBound;
else
lowerBound = semiBound;
gurobiModel->addVar(lowerBound, upperBound, 0.0, GRB_SEMICONT, name);
break;
case E_VariableType::Semiinteger:
isProblemDiscrete = true;
if(semiBound < 0.0)
upperBound = semiBound;
else
lowerBound = semiBound;
gurobiModel->addVar(lowerBound, upperBound, 0.0, GRB_SEMIINT, name);
break;
default:
break;
}
}
catch(GRBException& e)
{
env->output->outputError(" Gurobi exception caught when adding variable to model: ", e.getMessage());
return (false);
}
variableTypes.push_back(type);
variableNames.push_back(name);
variableLowerBounds.push_back(lowerBound);
variableUpperBounds.push_back(upperBound);
numberOfVariables++;
return (true);
}
bool MIPSolverGurobi::initializeObjective()
{
try
{
gurobiModel->update(); // Needed to make sure variables are available
objectiveQuadraticExpression = GRBQuadExpr(0);
objectiveLinearExpression = GRBLinExpr(0);
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when initializing objective function: ", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::addLinearTermToObjective(double coefficient, int variableIndex)
{
try
{
objectiveLinearExpression += coefficient * gurobiModel->getVar(variableIndex);
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when adding linear term to objective: ", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::addQuadraticTermToObjective(double coefficient, int firstVariableIndex, int secondVariableIndex)
{
try
{
objectiveQuadraticExpression
+= coefficient * gurobiModel->getVar(firstVariableIndex) * gurobiModel->getVar(secondVariableIndex);
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when adding quadratic term to objective: ", e.getMessage());
return (false);
}
hasQuadraticObjective = true;
return (true);
}
bool MIPSolverGurobi::finalizeObjective(bool isMinimize, double constant)
{
try
{
if(constant != 0.0)
objectiveLinearExpression += constant;
if(isMinimize)
{
gurobiModel->setObjective(objectiveLinearExpression + objectiveQuadraticExpression, GRB_MINIMIZE);
isMinimizationProblem = true;
}
else
{
gurobiModel->setObjective(objectiveLinearExpression + objectiveQuadraticExpression, GRB_MAXIMIZE);
isMinimizationProblem = false;
}
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when adding objective function to model: ", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::initializeConstraint()
{
try
{
constraintQuadraticExpression = GRBQuadExpr(0);
constraintLinearExpression = GRBLinExpr(0);
}
catch(GRBException& e)
{
env->output->outputError(" Gurobi exception caught when initializing constraint: ", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::addLinearTermToConstraint(double coefficient, int variableIndex)
{
try
{
constraintLinearExpression += coefficient * gurobiModel->getVar(variableIndex);
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when adding linear term to constraint: ", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::addQuadraticTermToConstraint(double coefficient, int firstVariableIndex, int secondVariableIndex)
{
try
{
constraintQuadraticExpression
+= coefficient * gurobiModel->getVar(firstVariableIndex) * gurobiModel->getVar(secondVariableIndex);
}
catch(GRBException& e)
{
env->output->outputError(
" Gurobi exception caught when adding quadratic term to constraint: ", e.getMessage());
return (false);
}
hasQudraticConstraint = true;
return (true);
}
bool MIPSolverGurobi::finalizeConstraint(std::string name, double valueLHS, double valueRHS, double constant)
{
try
{
if(constant != 0.0)
constraintLinearExpression += constant;
if(constraintQuadraticExpression.size() == 0)
{
if(valueLHS == valueRHS)
{
gurobiModel->addConstr(constraintLinearExpression == valueRHS, name);
}
else if(valueLHS < valueRHS)
{
if(valueLHS > SHOT_DBL_MIN)
gurobiModel->addConstr(valueLHS <= constraintLinearExpression, name + "_a");
if(valueRHS < SHOT_DBL_MAX)
gurobiModel->addConstr(constraintLinearExpression <= valueRHS, name + "_b");
}
else
{
if(valueLHS < SHOT_DBL_MAX)
gurobiModel->addConstr(valueLHS >= constraintLinearExpression, name + "_a");
if(valueRHS > SHOT_DBL_MIN)
gurobiModel->addConstr(constraintLinearExpression >= valueRHS, name + "_b");
}
}
else
{
if(valueLHS == valueRHS)
{
gurobiModel->addQConstr(constraintLinearExpression + constraintQuadraticExpression == valueRHS, name);
}
else if(valueLHS < valueRHS)
{
if(valueLHS > SHOT_DBL_MIN)
gurobiModel->addQConstr(
valueLHS <= constraintLinearExpression + constraintQuadraticExpression, name + "_a");
if(valueRHS < SHOT_DBL_MAX)
gurobiModel->addQConstr(
constraintLinearExpression + constraintQuadraticExpression <= valueRHS, name + "_b");
}
else
{
if(valueLHS < SHOT_DBL_MAX)
gurobiModel->addQConstr(
valueLHS >= constraintLinearExpression + constraintQuadraticExpression, name + "_a");
if(valueRHS > SHOT_DBL_MIN)
gurobiModel->addQConstr(
constraintLinearExpression + constraintQuadraticExpression >= valueRHS, name + "_b");
}
}
if(constraintQuadraticExpression.size() == 0)
allowRepairOfConstraint.push_back(false);
}
catch(GRBException& e)
{
env->output->outputError(" Gurobi exception caught when adding constraint to model: ", e.getMessage());
return (false);
}
numberOfConstraints++;
return (true);
}
bool MIPSolverGurobi::finalizeProblem()
{
try
{
if(env->settings->getSetting<bool>("TreeStrategy.Multi.Reinitialize", "Dual"))
{
int setSolLimit;
bool discreteVariablesActivated = getDiscreteVariableStatus();
if(env->results->getNumberOfIterations() > 0)
{
setSolLimit = env->results->getCurrentIteration()->usedMIPSolutionLimit;
discreteVariablesActivated = env->results->getCurrentIteration()->isMIP();
}
else
{
setSolLimit = env->settings->getSetting<int>("MIP.SolutionLimit.Initial", "Dual");
}
setSolutionLimit(setSolLimit);
if(!discreteVariablesActivated)
{
activateDiscreteVariables(false);
}
}
modelUpdated = true;
}
catch(GRBException& e)
{
env->output->outputError(" Gurobi exception caught when finalizing model", e.getMessage());
return (false);
}
return (true);
}
void MIPSolverGurobi::initializeSolverSettings()
{
try
{
// Console output controlled in callback, but need to disable it so messages won't appear twice
gurobiModel->getEnv().set(GRB_IntParam_LogToConsole, 0);
// Set termination tolerances
gurobiModel->getEnv().set(
GRB_DoubleParam_MIPGap, env->settings->getSetting<double>("ObjectiveGap.Relative", "Termination") / 1.0);
gurobiModel->getEnv().set(
GRB_DoubleParam_MIPGapAbs, env->settings->getSetting<double>("ObjectiveGap.Absolute", "Termination") / 1.0);
gurobiModel->getEnv().set(
GRB_DoubleParam_FeasibilityTol, env->settings->getSetting<double>("Tolerance.LinearConstraint", "Primal"));
gurobiModel->getEnv().set(
GRB_DoubleParam_IntFeasTol, env->settings->getSetting<double>("Tolerance.Integer", "Primal"));
gurobiModel->getEnv().set(
GRB_DoubleParam_OptimalityTol, env->settings->getSetting<double>("MIP.OptimalityTolerance", "Dual"));
// Add a user-provided node limit
if(auto nodeLimit = env->settings->getSetting<double>("MIP.NodeLimit", "Dual"); nodeLimit > 0)
gurobiModel->getEnv().set(GRB_DoubleParam_NodeLimit, nodeLimit);
// Set solution pool settings
gurobiModel->getEnv().set(GRB_IntParam_SolutionLimit, GRB_MAXINT);
gurobiModel->getEnv().set(
GRB_IntParam_SolutionNumber, env->settings->getSetting<int>("MIP.SolutionPool.Capacity", "Dual") + 1);
gurobiModel->getEnv().set(
GRB_IntParam_PoolSearchMode, env->settings->getSetting<int>("Gurobi.PoolSearchMode", "Subsolver"));
gurobiModel->getEnv().set(
GRB_IntParam_PoolSolutions, env->settings->getSetting<int>("Gurobi.PoolSolutions", "Subsolver"));
// Set solver emphasis
gurobiModel->getEnv().set(
GRB_IntParam_NumericFocus, env->settings->getSetting<int>("Gurobi.NumericFocus", "Subsolver"));
// Set parameters for quadratics
gurobiModel->getEnv().set(GRB_DoubleParam_PSDTol,
env->settings->getSetting<double>("Convexity.Quadratics.EigenValueTolerance", "Model"));
#if GRB_VERSION_MAJOR >= 9
// Supports nonconvex MIQCQP
if(static_cast<ES_QuadraticProblemStrategy>(
env->settings->getSetting<int>("Reformulation.Quadratics.Strategy", "Model"))
== ES_QuadraticProblemStrategy::NonconvexQuadraticallyConstrained)
{
gurobiModel->getEnv().set(GRB_IntParam_NonConvex, 2);
}
#endif
// Set various solver specific MIP settings
gurobiModel->getEnv().set(
GRB_IntParam_ScaleFlag, env->settings->getSetting<int>("Gurobi.ScaleFlag", "Subsolver"));
gurobiModel->getEnv().set(
GRB_IntParam_MIPFocus, env->settings->getSetting<int>("Gurobi.MIPFocus", "Subsolver"));
gurobiModel->getEnv().set(
GRB_DoubleParam_Heuristics, env->settings->getSetting<double>("Gurobi.Heuristics", "Subsolver"));
// Set number of threads
gurobiModel->getEnv().set(GRB_IntParam_Threads, env->settings->getSetting<int>("MIP.NumberOfThreads", "Dual"));
}
catch(GRBException& e)
{
env->output->outputError(" Error when initializing Gurobi parameters: ", e.getMessage());
}
}
int MIPSolverGurobi::addLinearConstraint(
const std::map<int, double>& elements, double constant, std::string name, bool isGreaterThan, bool allowRepair)
{
try
{
int numConstraintsBefore = gurobiModel->get(GRB_IntAttr_NumConstrs);
auto expr = std::make_unique<GRBLinExpr>(0.0);
for(auto E : elements)
{
auto variable = gurobiModel->getVar(E.first);
if(std::abs(E.second) > 1e-13) // Gurobi might crash otherwise
*expr.get() = *expr.get() + E.second * variable;
}
if(isGreaterThan)
{
gurobiModel->addConstr(-constant >= *expr, name);
}
else
{
gurobiModel->addConstr(*expr <= -constant, name);
}
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > numConstraintsBefore)
{
allowRepairOfConstraint.push_back(allowRepair);
}
else
{
env->output->outputInfo(" Hyperplane not added by Gurobi");
return (-1);
}
}
catch(GRBException& e)
{
env->output->outputError(" Error when adding linear constraint", e.getMessage());
return (-1);
}
return (gurobiModel->get(GRB_IntAttr_NumConstrs) - 1);
}
bool MIPSolverGurobi::addSpecialOrderedSet(E_SOSType type, VectorInteger variableIndexes, VectorDouble variableWeights)
{
try
{
std::vector<GRBVar> variables;
for(auto I : variableIndexes)
variables.push_back(gurobiModel->getVar(I));
if(variableWeights.size() == 0)
{
variableWeights.resize(variableIndexes.size());
for(size_t i = 0; i < variableIndexes.size(); i++)
variableWeights[i] = i;
}
assert(variableWeights.size() == variableIndexes.size());
gurobiModel->addSOS(&variables[0], &variableWeights[0], variables.size(),
(type == E_SOSType::One) ? GRB_SOS_TYPE1 : GRB_SOS_TYPE2);
}
catch(GRBException& e)
{
env->output->outputError(" Error when adding special ordered set constraint", e.getMessage());
return (false);
}
return (true);
}
bool MIPSolverGurobi::createIntegerCut(IntegerCut& integerCut)
{
bool allowIntegerCutRepair = env->settings->getSetting<bool>("MIP.InfeasibilityRepair.IntegerCuts", "Dual");
try
{
int numConstraintsBefore = gurobiModel->get(GRB_IntAttr_NumConstrs);
GRBLinExpr expr = 0;
size_t index = 0;
// Verify that no integer values are outside of variable bounds
for(size_t i = 0; i < integerCut.variableIndexes.size(); i++)
{
auto VAR = env->reformulatedProblem->getVariable(integerCut.variableIndexes[i]);
int variableValue = integerCut.variableValues[i];
if(variableValue < VAR->lowerBound || variableValue > VAR->upperBound)
return (false);
}
for(auto& I : integerCut.variableIndexes)
{
auto VAR = env->reformulatedProblem->getVariable(I);
int variableValue = integerCut.variableValues[index];
auto variable = gurobiModel->getVar(I);
assert(VAR->properties.type == E_VariableType::Binary || VAR->properties.type == E_VariableType::Integer
|| VAR->properties.type == E_VariableType::Semiinteger);
if(variableValue == VAR->upperBound)
{
expr += (variableValue - variable);
}
else if(variableValue == VAR->lowerBound)
{
expr += variable;
}
else
{
numberOfVariables += 2;
auto w = gurobiModel->addVar(0, getUnboundedVariableBoundValue(), 0.0, GRB_CONTINUOUS,
fmt::format("wIC{}_{}", env->solutionStatistics.numberOfIntegerCuts, index));
auto v = gurobiModel->addVar(
0, 1, 0.0, GRB_BINARY, fmt::format("vIC{}_{}", env->solutionStatistics.numberOfIntegerCuts, index));
gurobiModel->update();
expr += 1.0 * w;
double M1 = 2 * (variableValue - VAR->lowerBound);
double M2 = 2 * (VAR->upperBound - variableValue);
int tmpNumConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs);
gurobiModel->addConstr(-w <= variable - variableValue,
fmt::format("IC{}_{}_1a", env->solutionStatistics.numberOfIntegerCuts, index));
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > tmpNumConstraints)
{
integerCuts.push_back(numConstraintsBefore + index);
allowRepairOfConstraint.push_back(false);
}
tmpNumConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs);
gurobiModel->addConstr(variable - variableValue <= w,
fmt::format("IC{}_{}_1b", env->solutionStatistics.numberOfIntegerCuts, index));
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > tmpNumConstraints)
{
integerCuts.push_back(numConstraintsBefore + index);
allowRepairOfConstraint.push_back(false);
}
tmpNumConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs);
gurobiModel->addConstr(w <= variable - variableValue + M1 * (1 - v),
fmt::format("IC{}_{}_2", env->solutionStatistics.numberOfIntegerCuts, index));
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > tmpNumConstraints)
{
integerCuts.push_back(numConstraintsBefore + index);
allowRepairOfConstraint.push_back(false);
}
tmpNumConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs);
gurobiModel->addConstr(w <= variableValue - variable + M2 * v,
fmt::format("IC{}_{}_3", env->solutionStatistics.numberOfIntegerCuts, index));
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > tmpNumConstraints)
{
integerCuts.push_back(numConstraintsBefore + index);
allowRepairOfConstraint.push_back(false);
}
}
index++;
}
int tmpNumConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs);
gurobiModel->addConstr(expr >= 1, fmt::format("IC{}_4", env->solutionStatistics.numberOfIntegerCuts));
gurobiModel->update();
if(gurobiModel->get(GRB_IntAttr_NumConstrs) > tmpNumConstraints)
{
integerCuts.push_back(numConstraintsBefore + index);
allowRepairOfConstraint.push_back(allowIntegerCutRepair);
}
gurobiModel->update();
auto addedConstraints = gurobiModel->get(GRB_IntAttr_NumConstrs) - numConstraintsBefore;
if(addedConstraints == 0)
{
env->output->outputInfo(" Integer cut not added by Gurobi");
return (false);
}
}
catch(GRBException& e)
{
env->output->outputError(" Gurobi error when adding integer cut", e.getMessage());
return (false);
}
return (true);
}
VectorDouble MIPSolverGurobi::getVariableSolution(int solIdx)
{
bool isMIP = getDiscreteVariableStatus();
int numVar = gurobiModel->get(GRB_IntAttr_NumVars);
VectorDouble solution(numVar);
try
{
if(isMIP && solIdx > 0)
{
gurobiModel->getEnv().set(GRB_IntParam_SolutionNumber, solIdx);
for(int i = 0; i < numVar; i++)
{
GRBVar tmpVar = gurobiModel->getVar(i);
solution.at(i) = tmpVar.get(GRB_DoubleAttr_Xn);
}
}
else
{
for(int i = 0; i < numVar; i++)
{
GRBVar tmpVar = gurobiModel->getVar(i);
solution.at(i) = tmpVar.get(GRB_DoubleAttr_X);
}
}
}
catch(GRBException& e)
{
env->output->outputError(
" Error when reading solution with index " + std::to_string(solIdx), e.getMessage());
}
return (solution);
}
int MIPSolverGurobi::getNumberOfSolutions()
{
int numSols = 0;
numSols = gurobiModel->get(GRB_IntAttr_SolCount);
return (numSols);
}
void MIPSolverGurobi::activateDiscreteVariables(bool activate)
{
if(env->reformulatedProblem->properties.numberOfSemiintegerVariables > 0
|| env->reformulatedProblem->properties.numberOfSemicontinuousVariables > 0)
return;
if(activate)
{
env->output->outputDebug(" Activating MIP strategy.");
for(int i = 0; i < numberOfVariables; i++)
{
assert(variableTypes.at(i) != E_VariableType::Semicontinuous
&& variableTypes.at(i) != E_VariableType::Semiinteger);
if(variableTypes.at(i) == E_VariableType::Integer)
{
GRBVar tmpVar = gurobiModel->getVar(i);
tmpVar.set(GRB_CharAttr_VType, 'I');
}
else if(variableTypes.at(i) == E_VariableType::Binary)
{
GRBVar tmpVar = gurobiModel->getVar(i);
tmpVar.set(GRB_CharAttr_VType, 'B');
}
}
discreteVariablesActivated = true;
}
else
{
env->output->outputDebug(" Activating LP strategy.");
for(int i = 0; i < numberOfVariables; i++)
{
assert(variableTypes.at(i) != E_VariableType::Semicontinuous
&& variableTypes.at(i) != E_VariableType::Semiinteger);
if(variableTypes.at(i) == E_VariableType::Integer || variableTypes.at(i) == E_VariableType::Binary)
{
GRBVar tmpVar = gurobiModel->getVar(i);
tmpVar.set(GRB_CharAttr_VType, 'C');
}
}
discreteVariablesActivated = false;
}
modelUpdated = true;
}
E_ProblemSolutionStatus MIPSolverGurobi::getSolutionStatus()
{
E_ProblemSolutionStatus MIPSolutionStatus;
int status = gurobiModel->get(GRB_IntAttr_Status);
if(status == GRB_OPTIMAL)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Optimal;
}
else if(status == GRB_INFEASIBLE)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Infeasible;
}
else if(status == GRB_INF_OR_UNBD)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Unbounded;
}
else if(status == GRB_UNBOUNDED)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Unbounded;
}
else if(status == GRB_ITERATION_LIMIT)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Unbounded;
}
else if(status == GRB_NODE_LIMIT)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Unbounded;
}
else if(status == GRB_TIME_LIMIT)
{
MIPSolutionStatus = E_ProblemSolutionStatus::TimeLimit;
}
else if(status == GRB_SOLUTION_LIMIT)
{
MIPSolutionStatus = E_ProblemSolutionStatus::SolutionLimit;
}
else if(status == GRB_INTERRUPTED)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Abort;
}
else if(status == GRB_NUMERIC)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Numeric;
}
else if(status == GRB_CUTOFF)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Infeasible;
}
else if(status == GRB_SUBOPTIMAL)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Feasible;
}
else if(status == GRB_LOADED)
{
MIPSolutionStatus = E_ProblemSolutionStatus::Infeasible;
}
else
{
env->output->outputError(" MIP solver return status " + std::to_string(status));
MIPSolutionStatus = E_ProblemSolutionStatus::Error;
}
return (MIPSolutionStatus);
}
E_ProblemSolutionStatus MIPSolverGurobi::solveProblem()
{
E_ProblemSolutionStatus MIPSolutionStatus;
cachedSolutionHasChanged = true;
try
{
if(modelUpdated)
{
gurobiModel->update();
modelUpdated = false;
}
auto gurobiCallback = GurobiCallbackMultiTree(env);
gurobiModel->setCallback(&gurobiCallback);
gurobiModel->optimize();
MIPSolutionStatus = getSolutionStatus();
}
catch(GRBException& e)
{
env->output->outputError(" Error when solving MIP/LP problem", e.getMessage());
MIPSolutionStatus = E_ProblemSolutionStatus::Error;
}
// To find a feasible point for an unbounded dual problem and not when solving the minimax-problem
if(MIPSolutionStatus == E_ProblemSolutionStatus::Unbounded && env->results->getNumberOfIterations() > 0)
{
std::vector<PairIndexValue> originalObjectiveCoefficients;
bool problemUpdated = false;
if((env->reformulatedProblem->objectiveFunction->properties.classification
== E_ObjectiveFunctionClassification::Linear
&& std::dynamic_pointer_cast<LinearObjectiveFunction>(env->reformulatedProblem->objectiveFunction)
->isDualUnbounded())
|| (env->reformulatedProblem->objectiveFunction->properties.classification
== E_ObjectiveFunctionClassification::Quadratic
&& std::dynamic_pointer_cast<QuadraticObjectiveFunction>(env->reformulatedProblem->objectiveFunction)
->isDualUnbounded()))
{
for(auto& V : env->reformulatedProblem->allVariables)
{
if(!V->properties.inObjectiveFunction)
continue;
if(V->isDualUnbounded())
{
// Temporarily remove unbounded terms from objective
originalObjectiveCoefficients.emplace_back(
V->index, gurobiModel->getVar(V->index).get(GRB_DoubleAttr_Obj));
gurobiModel->getVar(V->index).set(GRB_DoubleAttr_Obj, 0.0);
problemUpdated = true;
}
}
}
else if(env->reformulatedProblem->objectiveFunction->properties.classification
>= E_ObjectiveFunctionClassification::QuadraticConsideredAsNonlinear
&& hasDualAuxiliaryObjectiveVariable())
{
// The auxiliary variable in the dual problem is unbounded
updateVariableBound(getDualAuxiliaryObjectiveVariableIndex(), -getUnboundedVariableBoundValue() / 1.1,
getUnboundedVariableBoundValue() / 1.1);
problemUpdated = true;
}
if(problemUpdated)
{
gurobiModel->update();
auto gurobiCallback = GurobiCallbackMultiTree(env);
gurobiModel->setCallback(&gurobiCallback);
gurobiModel->optimize();
MIPSolutionStatus = getSolutionStatus();
for(auto& P : originalObjectiveCoefficients)
gurobiModel->getVar(P.index).set(GRB_DoubleAttr_Obj, P.value);
gurobiModel->update();
if(env->results->iterations.size() > 0) // Might not have iterations if we are using the minimax solver
env->results->getCurrentIteration()->hasInfeasibilityRepairBeenPerformed = true;
}
}
return (MIPSolutionStatus);
}
bool MIPSolverGurobi::repairInfeasibility()
{
if(env->dualSolver->generatedHyperplanes.size() == 0)
return (false);
try
{
gurobiModel->update();
auto feasModel = GRBModel(*gurobiModel);
// Gurobi copies over the cutoff from the original model
if(isMinimizationProblem)
feasModel.set(GRB_DoubleParam_Cutoff, SHOT_DBL_MAX);
else
feasModel.set(GRB_DoubleParam_Cutoff, SHOT_DBL_MIN);
int numOrigConstraints = env->reformulatedProblem->properties.numberOfLinearConstraints;
int numOrigVariables = gurobiModel->get(GRB_IntAttr_NumVars);
int numCurrConstraints = feasModel.get(GRB_IntAttr_NumConstrs);
std::vector<GRBConstr> repairConstraints;
std::vector<GRBConstr> originalConstraints;
VectorDouble relaxParameters;
int numConstraintsToRepair = 0;
for(int i = numOrigConstraints; i < numCurrConstraints; i++)
{
if(allowRepairOfConstraint[i])
{
repairConstraints.push_back(feasModel.getConstr(i));
originalConstraints.push_back(gurobiModel->getConstr(i));
relaxParameters.push_back(1 / (((double)i - numOrigConstraints) + 1.0));
numConstraintsToRepair++;
}
}
// Saves the relaxation weights to a file
if(env->settings->getSetting<bool>("Debug.Enable", "Output"))
{
VectorString constraints(relaxParameters.size());
for(size_t i = 0; i < relaxParameters.size(); i++)
{
std::ostringstream expression;
constraints[i] = repairConstraints[i].get(GRB_StringAttr_ConstrName);
}
std::stringstream ss;
ss << env->settings->getSetting<std::string>("Debug.Path", "Output");
ss << "/lp";
ss << env->results->getCurrentIteration()->iterationNumber - 1;
ss << "repairedweights.txt";
Utilities::saveVariablePointVectorToFile(relaxParameters, constraints, ss.str());
}
// Gurobi modifies the value when running feasModel.optimize()
int numConstraintsToRepairOrig = numConstraintsToRepair;
if(feasModel.feasRelax(GRB_FEASRELAX_LINEAR, false, 0, nullptr, nullptr, nullptr, numConstraintsToRepair,
&repairConstraints[0], &relaxParameters[0])
< 0)
{
env->output->outputDebug(" Could not repair the infeasible dual problem.");
return (false);
}
feasModel.optimize();
// Saves the relaxation model to file
if(env->settings->getSetting<bool>("Debug.Enable", "Output"))
{
std::stringstream ss;
ss << env->settings->getSetting<std::string>("Debug.Path", "Output");
ss << "/lp";
ss << env->results->getCurrentIteration()->iterationNumber - 1;
ss << "infeasrelax.lp";
try
{
feasModel.write(ss.str());
}
catch(GRBException& e)
{
env->output->outputError(" Error when saving model to file", e.getMessage());
}
}