/*++ Copyright (c) 2017 Microsoft Corporation Module Name: Abstract: Author: Lev Nachmanson (levnach) Revision History: --*/ #include "math/lp/lp_dual_simplex.h" namespace lp{ template void lp_dual_simplex::decide_on_status_after_stage1() { switch (m_core_solver->get_status()) { case lp_status::OPTIMAL: if (this->m_settings.abs_val_is_smaller_than_artificial_tolerance(m_core_solver->get_cost())) { this->m_status = lp_status::FEASIBLE; } else { this->m_status = lp_status::UNBOUNDED; } break; case lp_status::DUAL_UNBOUNDED: lp_unreachable(); case lp_status::ITERATIONS_EXHAUSTED: this->m_status = lp_status::ITERATIONS_EXHAUSTED; break; case lp_status::TIME_EXHAUSTED: this->m_status = lp_status::TIME_EXHAUSTED; break; case lp_status::FLOATING_POINT_ERROR: this->m_status = lp_status::FLOATING_POINT_ERROR; break; default: lp_unreachable(); } } template void lp_dual_simplex::fix_logical_for_stage2(unsigned j) { lp_assert(j >= this->number_of_core_structurals()); switch (m_column_types_of_logicals[j - this->number_of_core_structurals()]) { case column_type::lower_bound: m_lower_bounds[j] = numeric_traits::zero(); m_column_types_of_core_solver[j] = column_type::lower_bound; m_can_enter_basis[j] = true; break; case column_type::fixed: this->m_upper_bounds[j] = m_lower_bounds[j] = numeric_traits::zero(); m_column_types_of_core_solver[j] = column_type::fixed; m_can_enter_basis[j] = false; break; default: lp_unreachable(); } } template void lp_dual_simplex::fix_structural_for_stage2(unsigned j) { column_info * ci = this->m_map_from_var_index_to_column_info[this->m_core_solver_columns_to_external_columns[j]]; switch (ci->get_column_type()) { case column_type::lower_bound: m_lower_bounds[j] = numeric_traits::zero(); m_column_types_of_core_solver[j] = column_type::lower_bound; m_can_enter_basis[j] = true; break; case column_type::fixed: case column_type::upper_bound: lp_unreachable(); case column_type::boxed: this->m_upper_bounds[j] = ci->get_adjusted_upper_bound() / this->m_column_scale[j]; m_lower_bounds[j] = numeric_traits::zero(); m_column_types_of_core_solver[j] = column_type::boxed; m_can_enter_basis[j] = true; break; case column_type::free_column: m_can_enter_basis[j] = true; m_column_types_of_core_solver[j] = column_type::free_column; break; default: lp_unreachable(); } // T cost_was = this->m_costs[j]; this->set_scaled_cost(j); } template void lp_dual_simplex::unmark_boxed_and_fixed_columns_and_fix_structural_costs() { unsigned j = this->m_A->column_count(); while (j-- > this->number_of_core_structurals()) { fix_logical_for_stage2(j); } j = this->number_of_core_structurals(); while (j--) { fix_structural_for_stage2(j); } } template void lp_dual_simplex::restore_right_sides() { unsigned i = this->m_A->row_count(); while (i--) { this->m_b[i] = m_b_copy[i]; } } template void lp_dual_simplex::solve_for_stage2() { m_core_solver->restore_non_basis(); m_core_solver->solve_yB(m_core_solver->m_y); m_core_solver->fill_reduced_costs_from_m_y_by_rows(); m_core_solver->start_with_initial_basis_and_make_it_dual_feasible(); m_core_solver->set_status(lp_status::FEASIBLE); m_core_solver->solve(); switch (m_core_solver->get_status()) { case lp_status::OPTIMAL: this->m_status = lp_status::OPTIMAL; break; case lp_status::DUAL_UNBOUNDED: this->m_status = lp_status::INFEASIBLE; break; case lp_status::TIME_EXHAUSTED: this->m_status = lp_status::TIME_EXHAUSTED; break; case lp_status::FLOATING_POINT_ERROR: this->m_status = lp_status::FLOATING_POINT_ERROR; break; default: lp_unreachable(); } this->m_second_stage_iterations = m_core_solver->total_iterations(); this->m_total_iterations = (this->m_first_stage_iterations + this->m_second_stage_iterations); } template void lp_dual_simplex::fill_x_with_zeros() { unsigned j = this->m_A->column_count(); while (j--) { this->m_x[j] = numeric_traits::zero(); } } template void lp_dual_simplex::stage1() { lp_assert(m_core_solver == nullptr); this->m_x.resize(this->m_A->column_count(), numeric_traits::zero()); if (this->m_settings.get_message_ostream() != nullptr) this->print_statistics_on_A(*this->m_settings.get_message_ostream()); m_core_solver = new lp_dual_core_solver( *this->m_A, m_can_enter_basis, this->m_b, // the right side vector this->m_x, this->m_basis, this->m_nbasis, this->m_heading, this->m_costs, this->m_column_types_of_core_solver, this->m_lower_bounds, this->m_upper_bounds, this->m_settings, *this); m_core_solver->fill_reduced_costs_from_m_y_by_rows(); m_core_solver->start_with_initial_basis_and_make_it_dual_feasible(); if (this->m_settings.abs_val_is_smaller_than_artificial_tolerance(m_core_solver->get_cost())) { // skipping stage 1 m_core_solver->set_status(lp_status::OPTIMAL); m_core_solver->set_total_iterations(0); } else { m_core_solver->solve(); } decide_on_status_after_stage1(); this->m_first_stage_iterations = m_core_solver->total_iterations(); } template void lp_dual_simplex::stage2() { unmark_boxed_and_fixed_columns_and_fix_structural_costs(); restore_right_sides(); solve_for_stage2(); } template void lp_dual_simplex::fill_first_stage_solver_fields() { unsigned slack_var = this->number_of_core_structurals(); unsigned artificial = this->number_of_core_structurals() + this->m_slacks; for (unsigned row = 0; row < this->row_count(); row++) { fill_first_stage_solver_fields_for_row_slack_and_artificial(row, slack_var, artificial); } fill_costs_and_bounds_and_column_types_for_the_first_stage_solver(); } template column_type lp_dual_simplex::get_column_type(unsigned j) { lp_assert(j < this->m_A->column_count()); if (j >= this->number_of_core_structurals()) { return m_column_types_of_logicals[j - this->number_of_core_structurals()]; } return this->m_map_from_var_index_to_column_info[this->m_core_solver_columns_to_external_columns[j]]->get_column_type(); } template void lp_dual_simplex::fill_costs_bounds_types_and_can_enter_basis_for_the_first_stage_solver_structural_column(unsigned j) { // see 4.7 in the dissertation of Achim Koberstein lp_assert(this->m_core_solver_columns_to_external_columns.find(j) != this->m_core_solver_columns_to_external_columns.end()); T free_bound = T(1e4); // see 4.8 unsigned jj = this->m_core_solver_columns_to_external_columns[j]; lp_assert(this->m_map_from_var_index_to_column_info.find(jj) != this->m_map_from_var_index_to_column_info.end()); column_info * ci = this->m_map_from_var_index_to_column_info[jj]; switch (ci->get_column_type()) { case column_type::upper_bound: { std::stringstream s; s << "unexpected bound type " << j << " " << column_type_to_string(get_column_type(j)); throw_exception(s.str()); break; } case column_type::lower_bound: { m_can_enter_basis[j] = true; this->set_scaled_cost(j); this->m_lower_bounds[j] = numeric_traits::zero(); this->m_upper_bounds[j] =numeric_traits::one(); break; } case column_type::free_column: { m_can_enter_basis[j] = true; this->set_scaled_cost(j); this->m_upper_bounds[j] = free_bound; this->m_lower_bounds[j] = -free_bound; break; } case column_type::boxed: m_can_enter_basis[j] = false; this->m_costs[j] = numeric_traits::zero(); this->m_upper_bounds[j] = this->m_lower_bounds[j] = numeric_traits::zero(); // is it needed? break; default: lp_unreachable(); } m_column_types_of_core_solver[j] = column_type::boxed; } template void lp_dual_simplex::fill_costs_bounds_types_and_can_enter_basis_for_the_first_stage_solver_logical_column(unsigned j) { this->m_costs[j] = 0; lp_assert(get_column_type(j) != column_type::upper_bound); if ((m_can_enter_basis[j] = (get_column_type(j) == column_type::lower_bound))) { m_column_types_of_core_solver[j] = column_type::boxed; this->m_lower_bounds[j] = numeric_traits::zero(); this->m_upper_bounds[j] = numeric_traits::one(); } else { m_column_types_of_core_solver[j] = column_type::fixed; this->m_lower_bounds[j] = numeric_traits::zero(); this->m_upper_bounds[j] = numeric_traits::zero(); } } template void lp_dual_simplex::fill_costs_and_bounds_and_column_types_for_the_first_stage_solver() { unsigned j = this->m_A->column_count(); while (j-- > this->number_of_core_structurals()) { // go over logicals here fill_costs_bounds_types_and_can_enter_basis_for_the_first_stage_solver_logical_column(j); } j = this->number_of_core_structurals(); while (j--) { fill_costs_bounds_types_and_can_enter_basis_for_the_first_stage_solver_structural_column(j); } } template void lp_dual_simplex::fill_first_stage_solver_fields_for_row_slack_and_artificial(unsigned row, unsigned & slack_var, unsigned & artificial) { lp_assert(row < this->row_count()); auto & constraint = this->m_constraints[this->m_core_solver_rows_to_external_rows[row]]; // we need to bring the program to the form Ax = b T rs = this->m_b[row]; switch (constraint.m_relation) { case Equal: // no slack variable here set_type_for_logical(artificial, column_type::fixed); this->m_basis[row] = artificial; this->m_costs[artificial] = numeric_traits::zero(); (*this->m_A)(row, artificial) = numeric_traits::one(); artificial++; break; case Greater_or_equal: set_type_for_logical(slack_var, column_type::lower_bound); (*this->m_A)(row, slack_var) = - numeric_traits::one(); if (rs > 0) { // adding one artificial set_type_for_logical(artificial, column_type::fixed); (*this->m_A)(row, artificial) = numeric_traits::one(); this->m_basis[row] = artificial; this->m_costs[artificial] = numeric_traits::zero(); artificial++; } else { // we can put a slack_var into the basis, and avoid adding an artificial variable this->m_basis[row] = slack_var; this->m_costs[slack_var] = numeric_traits::zero(); } slack_var++; break; case Less_or_equal: // introduce a non-negative slack variable set_type_for_logical(slack_var, column_type::lower_bound); (*this->m_A)(row, slack_var) = numeric_traits::one(); if (rs < 0) { // adding one artificial set_type_for_logical(artificial, column_type::fixed); (*this->m_A)(row, artificial) = - numeric_traits::one(); this->m_basis[row] = artificial; this->m_costs[artificial] = numeric_traits::zero(); artificial++; } else { // we can put slack_var into the basis, and avoid adding an artificial variable this->m_basis[row] = slack_var; this->m_costs[slack_var] = numeric_traits::zero(); } slack_var++; break; } } template void lp_dual_simplex::augment_matrix_A_and_fill_x_and_allocate_some_fields() { this->count_slacks_and_artificials(); this->m_A->add_columns_at_the_end(this->m_slacks + this->m_artificials); unsigned n = this->m_A->column_count(); this->m_column_types_of_core_solver.resize(n); m_column_types_of_logicals.resize(this->m_slacks + this->m_artificials); this->m_costs.resize(n); this->m_upper_bounds.resize(n); this->m_lower_bounds.resize(n); m_can_enter_basis.resize(n); this->m_basis.resize(this->m_A->row_count()); } template void lp_dual_simplex::copy_m_b_aside_and_set_it_to_zeros() { for (unsigned i = 0; i < this->m_b.size(); i++) { m_b_copy.push_back(this->m_b[i]); this->m_b[i] = numeric_traits::zero(); // preparing for the first stage } } template void lp_dual_simplex::find_maximal_solution(){ if (this->problem_is_empty()) { this->m_status = lp_status::EMPTY; return; } this->flip_costs(); // do it for now, todo ( remove the flipping) this->cleanup(); if (this->m_status == lp_status::INFEASIBLE) { return; } this->fill_matrix_A_and_init_right_side(); this->fill_m_b(); this->scale(); augment_matrix_A_and_fill_x_and_allocate_some_fields(); fill_first_stage_solver_fields(); copy_m_b_aside_and_set_it_to_zeros(); stage1(); if (this->m_status == lp_status::FEASIBLE) { stage2(); } } template T lp_dual_simplex::get_current_cost() const { T ret = numeric_traits::zero(); for (auto it : this->m_map_from_var_index_to_column_info) { ret += this->get_column_cost_value(it.first, it.second); } return -ret; // we flip costs for now } }