RsBundle  Diff

// Copyright (c) 2016, 2017 Frank Fischer <frank-fischer@shadow-soft.de>
// Copyright (c) 2016, 2017, 2018 Frank Fischer <frank-fischer@shadow-soft.de>
//
// This program is free software: you can redistribute it and/or
// modify it under the terms of the GNU General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful, but

use {DVector, Real};
use {Evaluation, FirstOrderProblem, HKWeighter, Update};

use master::{BoxedMasterProblem, MasterProblem, UnconstrainedMasterProblem};
use master::{CplexMaster, MinimalMaster};

use std::mem::swap;
use std::f64::{INFINITY, NEG_INFINITY};
use std::time::Instant;
use std::mem::swap;
use std::result::Result;
use std::time::Instant;

use failure::Error;

/// A solver error.
#[derive(Debug, Fail)]
pub enum SolverError {
    /// An error occured during oracle evaluation.

    #[fail(display = "Parameter error: {}", _0)]
    Parameter(String),
    /// The lower bound of a variable is larger than the upper bound.
    #[fail(display = "Invalid bounds, lower:{} upper:{}", lower, upper)]
    InvalidBounds { lower: Real, upper: Real },
    /// The value of a variable is outside its bounds.
    #[fail(display = "Violated bounds, lower:{} upper:{} value:{}", lower, upper, value)]
    ViolatedBounds {
    ViolatedBounds { lower: Real, upper: Real, value: Real },
        lower: Real,
        upper: Real,
        value: Real,
    },
    /// The variable index is out of bounds.
    #[fail(display = "Variable index out of bounds, got:{} must be < {}", index, nvars)]
    InvalidVariable { index: usize, nvars: usize },
    /// Iteration limit has been reached.
    #[fail(display = "The iteration limit of {} has been reached.", limit)]
    IterationLimit { limit: usize },
}

     */
    pub step: Step,
}

impl<'a> BundleState<'a> {}

macro_rules! current_state {
    ($slf: ident, $step: expr) => {
        BundleState{
            cur_y : &$slf.cur_y,
            cur_val : $slf.cur_val,
            nxt_y : &$slf.nxt_y,
            nxt_mod : $slf.nxt_mod,
            nxt_val : $slf.nxt_val,
            new_cutval : $slf.new_cutval,
            sgnorm : $slf.sgnorm,
    ($slf:ident, $step:expr) => {
        BundleState {
            cur_y: &$slf.cur_y,
            cur_val: $slf.cur_val,
            nxt_y: &$slf.nxt_y,
            nxt_mod: $slf.nxt_mod,
            nxt_val: $slf.nxt_val,
            new_cutval: $slf.new_cutval,
            sgnorm: $slf.sgnorm,
            weight: $slf.master.weight(),
            step: $step,
            expected_progress: $slf.expected_progress,
        }
    };
}

     * Note that the solver owns the problem, so you cannot use the
     * same problem description elsewhere as long as it is assigned to
     * the solver. However, it is possible to get a reference to the
     * internally stored problem using `Solver::problem()`.
     */
    pub fn new_params(problem: P, params: SolverParams) -> Result<Solver<P, Pr, E>, SolverError> {
        Ok(Solver {
            problem: problem,
            params: params,
            problem,
            params,
            terminator: Box::new(StandardTerminator {
                termination_precision: 1e-3,
            }),
            weighter: Box::new(HKWeighter::new()),
            bounds: vec![],
            cur_y: dvec![],
            cur_val: 0.0,

            nxt_mods: dvec![],
            new_cutval: 0.0,
            sgnorm: 0.0,
            expected_progress: 0.0,
            cnt_descent: 0,
            cnt_null: 0,
            start_time: Instant::now(),
            master: Box::new(BoxedMasterProblem::new(MinimalMaster::new()
                .map_err(SolverError::Master)?)),
            master: Box::new(BoxedMasterProblem::new(
                MinimalMaster::new().map_err(SolverError::Master)?,
            )),
            minorants: vec![],
            iterinfos: vec![],
        })
    }

    /// A new solver with default parameter.
    pub fn new(problem: P) -> Result<Solver<P, Pr, E>, SolverError> {

                        upper
                    } else {
                        0.0
                    };
                    self.bounds.push((lower, upper));
                    newvars.push((None, lower - value, upper - value, value));
                }
                Update::AddVariableValue {
                Update::AddVariableValue { lower, upper, value } => {
                    lower,
                    upper,
                    value,
                } => {
                    if lower > upper {
                        return Err(SolverError::InvalidBounds { lower, upper });
                    }
                    if value < lower || value > upper {
                        return Err(SolverError::ViolatedBounds {
                        return Err(SolverError::ViolatedBounds { lower, upper, value });
                            lower,
                            upper,
                            value,
                        });
                    }
                    self.bounds.push((lower, upper));
                    newvars.push((None, lower - value, upper - value, value));
                }
                Update::MoveVariable { index, value } => {
                    if index >= self.bounds.len() {
                        return Err(SolverError::InvalidVariable {
                            index,
                            nvars: self.bounds.len(),
                        });
                    }
                    let (lower, upper) = self.bounds[index];
                    if value < lower || value > upper {
                        return Err(SolverError::ViolatedBounds {
                        return Err(SolverError::ViolatedBounds { lower, upper, value });
                            lower,
                            upper,
                            value,
                        });
                    }
                    newvars.push((Some(index), lower - value, upper - value, value));
                }
            }
        }

        if !newvars.is_empty() {

            // modify moved variables
            for (index, val) in newvars.iter().filter_map(|v| v.0.map(|i| (i, v.3))) {
                self.cur_y[index] = val;
                self.nxt_y[index] = val;
                self.nxt_d[index] = 0.0;
            }
            // add new variables
            self.cur_y
                .extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
            self.cur_y.extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
            self.nxt_y
                .extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
            self.nxt_y.extend(newvars.iter().filter(|v| v.0.is_none()).map(|v| v.3));
            self.nxt_d.resize(self.nxt_y.len(), 0.0);
            Ok(true)
        } else {
            Ok(false)
        }
    }

    }

    fn show_info(&self, step: Step) {
        let time = self.start_time.elapsed();
        info!(
            "{} {:0>2}:{:0>2}:{:0>2}.{:0>2} {:4} {:4} {:4}{:1}  {:9.4} {:9.4} \
             {:12.6e}({:12.6e}) {:12.6e}",
            if step == Step::Term {
            if step == Step::Term { "_endit" } else { "endit " },
                "_endit"
            } else {
                "endit "
            },
            time.as_secs() / 3600,
            (time.as_secs() / 60) % 60,
            time.as_secs() % 60,
            time.subsec_nanos() / 10_000_000,
            self.cnt_descent,
            self.cnt_descent + self.cnt_null,
            self.master.cnt_updates(),

     * information.
     */
    fn init_master(&mut self) -> Result<(), SolverError> {
        let m = self.problem.num_subproblems();

        self.master = if m == 1 && self.params.max_bundle_size == 2 {
            debug!("Use minimal master problem");
            Box::new(BoxedMasterProblem::new(MinimalMaster::new()
                .map_err(SolverError::Master)?))
            Box::new(BoxedMasterProblem::new(
                MinimalMaster::new().map_err(SolverError::Master)?,
            ))
        } else {
            debug!("Use CPLEX master problem");
            Box::new(BoxedMasterProblem::new(CplexMaster::new()
                .map_err(SolverError::Master)?))
            Box::new(BoxedMasterProblem::new(
                CplexMaster::new().map_err(SolverError::Master)?,
            ))
        };

        let lb = self.problem.lower_bounds().map(DVector);
        let ub = self.problem.upper_bounds().map(DVector);

        if lb
        if lb.as_ref()
            .as_ref()
            .map(|lb| lb.len() != self.problem.num_variables())
            .unwrap_or(false)
        {
            return Err(SolverError::Dimension);
        }
        if ub
        if ub.as_ref()
            .as_ref()
            .map(|ub| ub.len() != self.problem.num_variables())
            .unwrap_or(false)
        {
            return Err(SolverError::Dimension);
        }

        self.master
            .set_num_subproblems(m)
        self.master.set_num_subproblems(m).map_err(SolverError::Master)?;
            .map_err(SolverError::Master)?;
        self.master
            .set_vars(self.problem.num_variables(), lb, ub)
            .map_err(SolverError::Master)?;
        self.master
            .set_max_updates(self.params.max_updates)
            .map_err(SolverError::Master)?;

        self.minorants = (0..m).map(|_| vec![]).collect();

        self.cur_val = 0.0;
        for i in 0..m {
            let result = self.problem
            let result = self
                .problem
                .evaluate(i, &self.cur_y, INFINITY, 0.0)
                .map_err(SolverError::Evaluation)?;
            self.cur_vals[i] = result.objective();
            self.cur_val += self.cur_vals[i];

            let mut minorants = result.into_iter();
            if let Some((minorant, primal)) = minorants.next() {
                self.cur_mods[i] = minorant.constant;
                self.cur_mod += self.cur_mods[i];
                self.minorants[i].push(MinorantInfo {
                    index: self.master
                    index: self.master.add_minorant(i, minorant).map_err(SolverError::Master)?,
                        .add_minorant(i, minorant)
                        .map_err(SolverError::Master)?,
                    multiplier: 0.0,
                    primal: Some(primal),
                });
            } else {
                return Err(SolverError::NoMinorant);
            }
        }

        self.cur_valid = true;

        // Solve the master problem once to compute the initial
        // subgradient.
        //
        // We could compute that subgradient directly by
        // adding up the initial minorants, but this would not include
        // the eta terms. However, this is a heuristic anyway because
        // we assume an initial weight of 1.0, which, in general, will
        // *not* be the initial weight for the first iteration.
        self.master.set_weight(1.0).map_err(SolverError::Master)?;
        self.master
            .solve(self.cur_val)
            .map_err(SolverError::Master)?;
        self.master.solve(self.cur_val).map_err(SolverError::Master)?;
        self.sgnorm = self.master.get_dualoptnorm2().sqrt();

        // Compute the real initial weight.
        let state = current_state!(self, Step::Term);
        let new_weight = self.weighter.weight(&state, &self.params);
        self.master
            .set_weight(new_weight)
            .map_err(SolverError::Master)?;
        self.master.set_weight(new_weight).map_err(SolverError::Master)?;

        debug!("Init master completed");

        Ok(())
    }

    /// Solve the model (i.e. master problem) to compute the next candidate.
    fn solve_model(&mut self) -> Result<(), SolverError> {
        self.master
            .solve(self.cur_val)
            .map_err(SolverError::Master)?;
        self.master.solve(self.cur_val).map_err(SolverError::Master)?;
        self.nxt_d = self.master.get_primopt();
        self.nxt_y.add(&self.cur_y, &self.nxt_d);
        self.nxt_mod = self.master.get_primoptval();
        self.sgnorm = self.master.get_dualoptnorm2().sqrt();
        self.expected_progress = self.cur_val - self.nxt_mod;

        // update multiplier from master solution

        for i in 0..self.problem.num_subproblems() {
            let n = self.master.num_minorants(i);
            if n >= self.params.max_bundle_size {
                // aggregate minorants with smallest coefficients
                self.minorants[i].sort_by_key(|m| -((1e6 * m.multiplier) as isize));
                let aggr = self.minorants[i].split_off(self.params.max_bundle_size - 2);
                let aggr_sum = aggr.iter().map(|m| m.multiplier).sum();
                let (aggr_mins, aggr_primals): (Vec<_>, Vec<_>) = aggr.into_iter()
                    .map(|m| (m.index, m.primal.unwrap()))
                let (aggr_mins, aggr_primals): (Vec<_>, Vec<_>) =
                    aggr.into_iter().map(|m| (m.index, m.primal.unwrap())).unzip();
                    .unzip();
                let (aggr_min, aggr_coeffs) = self.master
                let (aggr_min, aggr_coeffs) = self.master.aggregate(i, &aggr_mins).map_err(SolverError::Master)?;
                    .aggregate(i, &aggr_mins)
                    .map_err(SolverError::Master)?;
                // append aggregated minorant
                self.minorants[i].push(MinorantInfo {
                    index: aggr_min,
                    multiplier: aggr_sum,
                    primal: Some(
                        self.problem.aggregate_primals(
                        self.problem
                            aggr_coeffs
                                .into_iter()
                                .zip(aggr_primals.into_iter())
                            .aggregate_primals(aggr_coeffs.into_iter().zip(aggr_primals.into_iter()).collect()),
                                .collect(),
                        ),
                    ),
                });
            }
        }
        Ok(())
    }

    /// Perform a descent step.
    fn descent_step(&mut self) -> Result<(), SolverError> {
        let new_weight = self.weighter
            .weight(&current_state!(self, Step::Descent), &self.params);
        let new_weight = self.weighter.weight(&current_state!(self, Step::Descent), &self.params);
        self.master
            .set_weight(new_weight)
            .map_err(SolverError::Master)?;
        self.master.set_weight(new_weight).map_err(SolverError::Master)?;
        self.cnt_descent += 1;
        swap(&mut self.cur_y, &mut self.nxt_y);
        swap(&mut self.cur_val, &mut self.nxt_val);
        swap(&mut self.cur_mod, &mut self.nxt_mod);
        swap(&mut self.cur_vals, &mut self.nxt_vals);
        swap(&mut self.cur_mods, &mut self.nxt_mods);
        self.master.move_center(1.0, &self.nxt_d);
        debug!("Descent Step");
        debug!("  dir ={}", self.nxt_d);
        debug!("  newy={}", self.cur_y);
        Ok(())
    }

    /// Perform a null step.
    fn null_step(&mut self) -> Result<(), SolverError> {
        let new_weight = self.weighter
            .weight(&current_state!(self, Step::Null), &self.params);
        let new_weight = self.weighter.weight(&current_state!(self, Step::Null), &self.params);
        self.master
            .set_weight(new_weight)
            .map_err(SolverError::Master)?;
        self.master.set_weight(new_weight).map_err(SolverError::Master)?;
        self.cnt_null += 1;
        debug!("Null Step");
        Ok(())
    }

    /// Perform one bundle iteration.
    #[cfg_attr(feature = "cargo-clippy", allow(collapsible_if))]
    pub fn step(&mut self) -> Result<Step, SolverError> {
        self.iterinfos.clear();

        if !self.cur_valid {
            // current point needs new evaluation
            self.init_master()?;
        }

        self.solve_model()?;
        if self.terminator
        if self
            .terminator
            .terminate(&current_state!(self, Step::Term), &self.params)
        {
            return Ok(Step::Term);
        }

        let m = self.problem.num_subproblems();
        let descent_bnd = self.get_descent_bound();
        let nullstep_bnd = if m == 1 {
        let nullstep_bnd = if m == 1 { self.get_nullstep_bound() } else { INFINITY };
            self.get_nullstep_bound()
        } else {
            INFINITY
        };
        let relprec = if m == 1 {
        let relprec = if m == 1 { self.get_relative_precision() } else { 0.0 };
            self.get_relative_precision()
        } else {
            0.0
        };

        self.compress_bundle()?;

        let mut nxt_lb = 0.0;
        let mut nxt_ub = 0.0;
        self.new_cutval = 0.0;
        for fidx in 0..self.problem.num_subproblems() {
            let result = self.problem
            let result = self
                .problem
                .evaluate(fidx, &self.nxt_y, nullstep_bnd, relprec)
                .map_err(SolverError::Evaluation)?;
            let fun_ub = result.objective();

            let mut minorants = result.into_iter();
            let mut nxt_minorant;
            let nxt_primal;

            nxt_ub += fun_ub;
            self.nxt_vals[fidx] = fun_ub;

            // move center of minorant to cur_y
            nxt_minorant.move_center(-1.0, &self.nxt_d);
            self.new_cutval += nxt_minorant.constant;
            self.minorants[fidx].push(MinorantInfo {
                index: self.master
                index: self
                    .master
                    .add_minorant(fidx, nxt_minorant)
                    .map_err(SolverError::Master)?,
                multiplier: 0.0,
                primal: Some(nxt_primal),
            });
        }