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Overview
| Comment: | Merge error-handling |
|---|---|
| Downloads: | Tarball | ZIP archive |
| Timelines: | family | ancestors | descendants | both | trunk |
| Files: | files | file ages | folders |
| SHA1: |
a3040981477bdd68cf9c9523536786e6 |
| User & Date: | fifr 2018-08-30 13:31:41.679 |
Context
|
2018-12-12
| ||
| 15:30 | Update to 2018 edition check-in: 80cbe311ac user: fifr tags: trunk | |
|
2018-08-30
| ||
| 13:31 | Merge error-handling check-in: a304098147 user: fifr tags: trunk | |
|
2018-08-18
| ||
| 11:15 | Reformat Closed-Leaf check-in: 4dad0cad83 user: fifr tags: error-handling | |
|
2018-06-08
| ||
| 08:48 | Remove unused Gurobi master problem check-in: b7b953a03f user: fifr tags: trunk | |
Changes
Added .editorconfig.
> > > > > > > | 1 2 3 4 5 6 7 | [*.rs] charset = utf-8 end_of_line = lf insert_final_newline = true indent_style = space indent_size = 4 trim_trailing_whitespace = true |
Changes to Cargo.toml.
1 2 | [package] name = "bundle" | | < < | | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 | [package] name = "bundle" version = "0.5.0" authors = ["Frank Fischer <frank-fischer@shadow-soft.de>"] [dependencies] itertools = "^0.7.2" libc = "^0.2.6" log = "^0.4" c_str_macro = "^1.0" cplex-sys = "^0.5" [dev-dependencies] env_logger = "^0.5.3" |
Changes to examples/mmcf.rs.
| ︙ | ︙ | |||
16 17 18 19 20 21 22 | */ extern crate bundle; extern crate env_logger; #[macro_use] extern crate log; | < > | 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 |
*/
extern crate bundle;
extern crate env_logger;
#[macro_use]
extern crate log;
use bundle::mcf;
use bundle::{FirstOrderProblem, Solver, SolverParams, StandardTerminator};
use std::env;
fn main() {
env_logger::init();
let mut args = env::args();
let program = args.next().unwrap();
|
| ︙ | ︙ | |||
50 51 52 53 54 55 56 |
solver.solve().unwrap();
let costs: f64 = (0..solver.problem().num_subproblems())
.map(|i| {
let primals = solver.aggregated_primals(i);
let aggr_primals = solver.problem().aggregate_primals_ref(&primals);
solver.problem().get_primal_costs(i, &aggr_primals)
| < | | 50 51 52 53 54 55 56 57 58 59 60 61 62 |
solver.solve().unwrap();
let costs: f64 = (0..solver.problem().num_subproblems())
.map(|i| {
let primals = solver.aggregated_primals(i);
let aggr_primals = solver.problem().aggregate_primals_ref(&primals);
solver.problem().get_primal_costs(i, &aggr_primals)
}).sum();
info!("Primal costs: {}", costs);
} else {
panic!("Usage: {} FILENAME", program);
}
}
|
Changes to examples/quadratic.rs.
| ︙ | ︙ | |||
11 12 13 14 15 16 17 18 19 20 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU * General Public License for more details. * * You should have received a copy of the GNU General Public License * along with this program. If not, see <http://www.gnu.org/licenses/> */ #[macro_use] extern crate bundle; extern crate env_logger; | > > < < | > | | | < | | | | | < | | 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 |
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>
*/
use std::error::Error;
#[macro_use]
extern crate bundle;
extern crate env_logger;
#[macro_use]
extern crate log;
use bundle::{DVector, FirstOrderProblem, Minorant, Real, SimpleEvaluation, Solver, SolverParams};
struct QuadraticProblem {
a: [[Real; 2]; 2],
b: [Real; 2],
c: Real,
}
impl QuadraticProblem {
fn new() -> QuadraticProblem {
QuadraticProblem {
a: [[5.0, 1.0], [1.0, 4.0]],
b: [-12.0, -10.0],
c: 3.0,
}
}
}
impl FirstOrderProblem for QuadraticProblem {
type Err = Box<dyn Error>;
type Primal = ();
type EvalResult = SimpleEvaluation<()>;
fn num_variables(&self) -> usize {
2
}
#[allow(unused_variables)]
fn evaluate(
&mut self,
fidx: usize,
x: &[Real],
nullstep_bnd: Real,
relprec: Real,
) -> Result<Self::EvalResult, Self::Err> {
assert_eq!(fidx, 0);
let mut objective = self.c;
let mut g = dvec![0.0; 2];
for i in 0..2 {
g[i] += (0..2).map(|j| self.a[i][j] * x[j]).sum::<Real>();
objective += x[i] * (g[i] + self.b[i]);
g[i] = 2.0 * g[i] + self.b[i];
}
debug!("Evaluation at {:?}", x);
debug!(" objective={}", objective);
debug!(" subgradient={}", g);
Ok(SimpleEvaluation {
objective: objective,
minorants: vec![(
Minorant {
constant: objective,
linear: g,
},
(),
)],
})
}
}
fn main() {
env_logger::init();
|
| ︙ | ︙ |
Changes to src/firstorderproblem.rs.
| ︙ | ︙ | |||
12 13 14 15 16 17 18 | // // You should have received a copy of the GNU General Public License // along with this program. If not, see <http://www.gnu.org/licenses/> // //! Problem description of a first-order convex optimization problem. | < > < | | 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 |
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
//! Problem description of a first-order convex optimization problem.
use solver::UpdateState;
use {Minorant, Real};
use std::result::Result;
use std::vec::IntoIter;
/**
* Trait for results of an evaluation.
*
* An evaluation returns the function value at the point of evaluation
* and one or more subgradients.
*
|
| ︙ | ︙ | |||
72 73 74 75 76 77 78 |
pub enum Update {
/// Add a variable with bounds.
///
/// The initial value of the variable will be the feasible value
/// closest to 0.
AddVariable { lower: Real, upper: Real },
/// Add a variable with bounds and initial value.
| | < < < < | > > > | 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 |
pub enum Update {
/// Add a variable with bounds.
///
/// The initial value of the variable will be the feasible value
/// closest to 0.
AddVariable { lower: Real, upper: Real },
/// Add a variable with bounds and initial value.
AddVariableValue { lower: Real, upper: Real, value: Real },
/// Change the current value of a variable. The bounds remain
/// unchanged.
MoveVariable { index: usize, value: Real },
}
/**
* Trait for implementing a first-order problem description.
*
*/
pub trait FirstOrderProblem {
/// Error raised by this oracle.
type Err;
/// The primal information associated with a minorant.
type Primal;
/// Custom evaluation result value.
type EvalResult: Evaluation<Self::Primal>;
/// Return the number of variables.
|
| ︙ | ︙ | |||
145 146 147 148 149 150 151 |
* otherwise the returned objective should be the maximum of all
* linear minorants at $y$.
*
* Note that `nullstep_bound` and `relprec` are usually only
* useful if there is only a `single` subproblem.
*/
fn evaluate(
| | | | 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 |
* otherwise the returned objective should be the maximum of all
* linear minorants at $y$.
*
* Note that `nullstep_bound` and `relprec` are usually only
* useful if there is only a `single` subproblem.
*/
fn evaluate(
&mut self,
i: usize,
y: &[Real],
nullstep_bound: Real,
relprec: Real,
) -> Result<Self::EvalResult, Self::Err>;
/// Aggregate primal information.
///
/// This function is called from the solver when minorants are
/// aggregated. The problem can use this information to aggregate
/// the corresponding primal information.
///
|
| ︙ | ︙ | |||
175 176 177 178 179 180 181 |
let mut primals = primals;
primals.pop().unwrap().1
}
/// Return updates of the problem.
///
/// The default implementation returns no updates.
| | | | 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 |
let mut primals = primals;
primals.pop().unwrap().1
}
/// Return updates of the problem.
///
/// The default implementation returns no updates.
fn update(&mut self, _state: &UpdateState<Self::Primal>) -> Result<Vec<Update>, Self::Err> {
Ok(vec![])
}
/// Return new components for a subgradient.
///
/// The components are typically generated by some primal
/// information. The corresponding primal is passed as a
/// parameter.
///
/// The default implementation fails because it should never be
/// called.
fn extend_subgradient(&mut self, _primal: &Self::Primal, _vars: &[usize]) -> Result<Vec<Real>, Self::Err> {
unimplemented!()
}
}
|
Changes to src/hkweighter.rs.
| ︙ | ︙ | |||
80 81 82 83 84 85 86 |
self.eps_weight = 1e30;
self.iter = 0;
return if state.cur_y.len() == 0 || state.sgnorm < state.cur_y.len() as Real * 1e-10 {
1.0
} else {
state.sgnorm.max(1e-4)
}.max(params.min_weight)
| | | | 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 |
self.eps_weight = 1e30;
self.iter = 0;
return if state.cur_y.len() == 0 || state.sgnorm < state.cur_y.len() as Real * 1e-10 {
1.0
} else {
state.sgnorm.max(1e-4)
}.max(params.min_weight)
.min(params.max_weight);
}
let cur_nxt = state.cur_val - state.nxt_val;
let cur_mod = state.cur_val - state.nxt_mod;
let w = 2.0 * state.weight * (1.0 - cur_nxt / cur_mod);
debug!(" cur_nxt={} cur_mod={} w={}", cur_nxt, cur_mod, w);
if state.step == Step::Null {
let sgnorm = state.sgnorm;
let lin_err = state.cur_val - state.new_cutval;
self.eps_weight = self.eps_weight.min(sgnorm + cur_mod - sgnorm * sgnorm / state.weight);
let new_weight = if self.iter < -3 && lin_err > self.eps_weight.max(FACTOR * cur_mod) {
w
} else {
state.weight
}.min(FACTOR * state.weight)
.min(params.max_weight);
if new_weight > state.weight {
self.iter = -1
} else {
self.iter = min(self.iter - 1, -1);
}
debug!(
|
| ︙ | ︙ | |||
121 122 123 124 125 126 127 |
let new_weight = if self.iter > 0 && cur_nxt > self.m_r * cur_mod {
w
} else if self.iter > 3 || state.nxt_val < self.model_max {
state.weight / 2.0
} else {
state.weight
}.max(state.weight / FACTOR)
| | | 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 |
let new_weight = if self.iter > 0 && cur_nxt > self.m_r * cur_mod {
w
} else if self.iter > 3 || state.nxt_val < self.model_max {
state.weight / 2.0
} else {
state.weight
}.max(state.weight / FACTOR)
.max(params.min_weight);
self.eps_weight = self.eps_weight.max(2.0 * cur_mod);
if new_weight < state.weight {
self.iter = 1;
self.model_max = NEG_INFINITY;
} else {
self.iter = max(self.iter + 1, 1);
}
|
| ︙ | ︙ |
Changes to src/lib.rs.
| ︙ | ︙ | |||
14 15 16 17 18 19 20 | // along with this program. If not, see <http://www.gnu.org/licenses/> // //! Proximal bundle method implementation. #[macro_use] extern crate c_str_macro; | < < < | 14 15 16 17 18 19 20 21 22 23 24 25 26 27 | // along with this program. If not, see <http://www.gnu.org/licenses/> // //! Proximal bundle method implementation. #[macro_use] extern crate c_str_macro; extern crate itertools; #[macro_use] extern crate log; /// Type used for real numbers throughout the library. pub type Real = f64; |
| ︙ | ︙ | |||
45 46 47 48 49 50 51 |
pub mod minorant;
pub use minorant::Minorant;
pub mod firstorderproblem;
pub use firstorderproblem::{Evaluation, FirstOrderProblem, SimpleEvaluation, Update};
pub mod solver;
| > | | | 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 |
pub mod minorant;
pub use minorant::Minorant;
pub mod firstorderproblem;
pub use firstorderproblem::{Evaluation, FirstOrderProblem, SimpleEvaluation, Update};
pub mod solver;
pub use solver::{
BundleState, IterationInfo, Solver, SolverParams, StandardTerminator, Step, Terminator, UpdateState, Weighter,
};
mod hkweighter;
pub use hkweighter::HKWeighter;
mod master;
pub mod mcf;
|
Changes to src/master/base.rs.
| ︙ | ︙ | |||
12 13 14 15 16 17 18 |
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use {DVector, Minorant, Real};
| > > | | > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > | | | | | | | | | | 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 |
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use {DVector, Minorant, Real};
use std::error::Error;
use std::fmt;
use std::result;
/// Error type for master problems.
#[derive(Debug)]
pub enum MasterProblemError {
/// Extension of the subgradient failed with some user error.
SubgradientExtension(Box<dyn Error>),
/// No minorants available when solving the master problem
NoMinorants,
/// An error in the solver backend occurred.
Solver(Box<dyn Error>),
/// A custom error (specific to the master problem solver) occurred.
Custom(Box<dyn Error>),
}
impl fmt::Display for MasterProblemError {
fn fmt(&self, fmt: &mut fmt::Formatter) -> result::Result<(), fmt::Error> {
use self::MasterProblemError::*;
match self {
SubgradientExtension(err) => write!(fmt, "Subgradient extension failed: {}", err),
NoMinorants => write!(fmt, "No minorants when solving the master problem"),
Solver(err) => write!(fmt, "Solver error: {}", err),
Custom(err) => err.fmt(fmt),
}
}
}
impl Error for MasterProblemError {
fn cause(&self) -> Option<&Error> {
use self::MasterProblemError::*;
match self {
SubgradientExtension(err) | Solver(err) | Custom(err) => Some(err.as_ref()),
NoMinorants => None,
}
}
}
/// Result type of master problems.
pub type Result<T> = result::Result<T, MasterProblemError>;
pub trait MasterProblem {
/// Unique index for a minorant.
type MinorantIndex: Copy + Eq;
/// Set the number of subproblems.
fn set_num_subproblems(&mut self, n: usize) -> Result<()>;
/// Set the lower and upper bounds of the variables.
fn set_vars(&mut self, nvars: usize, lb: Option<DVector>, ub: Option<DVector>) -> Result<()>;
/// Return the current number of minorants of subproblem `fidx`.
fn num_minorants(&self, fidx: usize) -> usize;
/// Return the current weight of the quadratic term.
fn weight(&self) -> Real;
/// Set the weight of the quadratic term, must be > 0.
fn set_weight(&mut self, weight: Real) -> Result<()>;
/// Set the maximal number of inner iterations.
fn set_max_updates(&mut self, max_updates: usize) -> Result<()>;
/// Return the current number of inner iterations.
fn cnt_updates(&self) -> usize;
/// Add or movesome variables with bounds.
///
/// If an index is specified, existing variables are moved,
/// otherwise new variables are generated.
fn add_vars(
&mut self,
bounds: &[(Option<usize>, Real, Real)],
extend_subgradient: &mut FnMut(usize, Self::MinorantIndex, &[usize]) -> result::Result<DVector, Box<dyn Error>>,
) -> Result<()>;
/// Add a new minorant to the model.
///
/// The function returns a unique (among all minorants of all
/// subproblems) index of the minorant. This index must remain
/// valid until the minorant is aggregated.
fn add_minorant(&mut self, fidx: usize, minorant: Minorant) -> Result<Self::MinorantIndex>;
/// Solve the master problem.
fn solve(&mut self, cur_value: Real) -> Result<()>;
/// Aggregate the given minorants according to the current
/// solution.
///
/// The (indices of the) minorants to be aggregated get invalid
/// after this operation. The function returns the index of the
/// aggregated minorant along with the coefficients of the convex
/// combination. The index of the new aggregated minorant might or
/// might not be one of indices of the original minorants.
///
/// # Error The indices of the minorants `mins` must belong to
/// subproblem `fidx`.
fn aggregate(&mut self, fidx: usize, mins: &[usize]) -> Result<(Self::MinorantIndex, DVector)>;
/// Return the (primal) optimal solution $\\|d\^*\\|$.
fn get_primopt(&self) -> DVector;
/// Return the value of the linear model in the optimal solution.
///
/// This is the term $\langle g\^*, d\^* \rangle$ where $g^\*$ is
|
| ︙ | ︙ |
Changes to src/master/boxed.rs.
| ︙ | ︙ | |||
14 15 16 17 18 19 20 |
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use master::MasterProblem;
use master::UnconstrainedMasterProblem;
use {DVector, Minorant, Real};
| | > | | 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 |
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use master::MasterProblem;
use master::UnconstrainedMasterProblem;
use {DVector, Minorant, Real};
use super::Result;
use itertools::multizip;
use std::error::Error;
use std::f64::{EPSILON, INFINITY, NEG_INFINITY};
use std::result;
/**
* Turn unconstrained master problem into box-constrained one.
*
* This master problem adds box constraints to an unconstrainted
* master problem implementation. The box constraints are enforced by
* an additional outer optimization loop.
|
| ︙ | ︙ | |||
72 73 74 75 76 77 78 |
max_updates: 100,
cnt_updates: 0,
need_new_candidate: true,
master,
}
}
| | | 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 |
max_updates: 100,
cnt_updates: 0,
need_new_candidate: true,
master,
}
}
pub fn set_max_updates(&mut self, max_updates: usize) -> Result<()> {
assert!(max_updates > 0);
self.max_updates = max_updates;
Ok(())
}
/**
* Update box multipliers $\eta$.
|
| ︙ | ︙ | |||
156 157 158 159 160 161 162 |
0.0
}
} else if ub < INFINITY {
ub * eta
} else {
0.0
}
| < | | | | | | | | | 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 |
0.0
}
} else if ub < INFINITY {
ub * eta
} else {
0.0
}
}).sum()
}
/**
* Return $\\|G \alpha - \eta\\|_2\^2$.
*
* This is the norm-square of the dual optimal solution including
* the current box-multipliers $\eta$.
*/
fn get_norm_subg2(&self) -> Real {
let dualopt = self.master.dualopt();
dualopt.iter().zip(self.eta.iter()).map(|(x, y)| x * y).sum()
}
}
impl<M: UnconstrainedMasterProblem> MasterProblem for BoxedMasterProblem<M> {
type MinorantIndex = M::MinorantIndex;
fn set_num_subproblems(&mut self, n: usize) -> Result<()> {
self.master.set_num_subproblems(n)
}
fn set_vars(&mut self, n: usize, lb: Option<DVector>, ub: Option<DVector>) -> Result<()> {
assert_eq!(lb.as_ref().map(|x| x.len()).unwrap_or(n), n);
assert_eq!(ub.as_ref().map(|x| x.len()).unwrap_or(n), n);
self.lb = lb.unwrap_or_else(|| dvec![NEG_INFINITY; n]);
self.ub = ub.unwrap_or_else(|| dvec![INFINITY; n]);
Ok(())
}
fn num_minorants(&self, fidx: usize) -> usize {
self.master.num_minorants(fidx)
}
fn add_minorant(&mut self, fidx: usize, minorant: Minorant) -> Result<Self::MinorantIndex> {
self.master.add_minorant(fidx, minorant)
}
fn weight(&self) -> Real {
self.master.weight()
}
fn set_weight(&mut self, weight: Real) -> Result<()> {
self.master.set_weight(weight)
}
fn add_vars(
&mut self,
bounds: &[(Option<usize>, Real, Real)],
extend_subgradient: &mut FnMut(usize, Self::MinorantIndex, &[usize]) -> result::Result<DVector, Box<dyn Error>>,
) -> Result<()> {
if !bounds.is_empty() {
for (index, l, u) in bounds.iter().filter_map(|v| v.0.map(|i| (i, v.1, v.2))) {
self.lb[index] = l;
self.ub[index] = u;
}
self.lb.extend(bounds.iter().filter(|v| v.0.is_none()).map(|x| x.1));
self.ub.extend(bounds.iter().filter(|v| v.0.is_none()).map(|x| x.2));
self.eta.resize(self.lb.len(), 0.0);
self.need_new_candidate = true;
let nnew = bounds.iter().filter(|v| v.0.is_none()).count();
let changed = bounds.iter().filter_map(|v| v.0).collect::<Vec<_>>();
self.master.add_vars(nnew, &changed, extend_subgradient)
} else {
Ok(())
}
}
#[cfg_attr(feature = "cargo-clippy", allow(cyclomatic_complexity))]
fn solve(&mut self, center_value: Real) -> Result<()> {
debug!("Solve Master");
debug!(" lb ={}", self.lb);
debug!(" ub ={}", self.ub);
if self.need_new_candidate {
self.compute_candidate();
}
|
| ︙ | ︙ | |||
303 304 305 306 307 308 309 |
debug!(" dualopt={}", self.master.dualopt());
debug!(" etaopt={}", self.eta);
debug!(" primoptval={}", self.primoptval);
Ok(())
}
| | | 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 |
debug!(" dualopt={}", self.master.dualopt());
debug!(" etaopt={}", self.eta);
debug!(" primoptval={}", self.primoptval);
Ok(())
}
fn aggregate(&mut self, fidx: usize, mins: &[usize]) -> Result<(Self::MinorantIndex, DVector)> {
self.master.aggregate(fidx, mins)
}
fn get_primopt(&self) -> DVector {
self.primopt.clone()
}
|
| ︙ | ︙ | |||
330 331 332 333 334 335 336 |
fn move_center(&mut self, alpha: Real, d: &DVector) {
self.need_new_candidate = true;
self.master.move_center(alpha, d);
self.lb.add_scaled(-alpha, d);
self.ub.add_scaled(-alpha, d);
}
| | | 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 |
fn move_center(&mut self, alpha: Real, d: &DVector) {
self.need_new_candidate = true;
self.master.move_center(alpha, d);
self.lb.add_scaled(-alpha, d);
self.ub.add_scaled(-alpha, d);
}
fn set_max_updates(&mut self, max_updates: usize) -> Result<()> {
BoxedMasterProblem::set_max_updates(self, max_updates)
}
fn cnt_updates(&self) -> usize {
self.cnt_updates
}
}
|
Changes to src/master/cpx.rs.
| ︙ | ︙ | |||
14 15 16 17 18 19 20 | // along with this program. If not, see <http://www.gnu.org/licenses/> // //! Master problem implementation using CPLEX. #![allow(unused_unsafe)] | | | > | | < | | < > | 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 |
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
//! Master problem implementation using CPLEX.
#![allow(unused_unsafe)]
use master::{Error as MasterProblemError, UnconstrainedMasterProblem};
use {DVector, Minorant, Real};
use cplex_sys as cpx;
use super::Result;
use std;
use std::error::Error;
use std::f64::{self, NEG_INFINITY};
use std::os::raw::{c_char, c_int};
use std::ptr;
use std::result;
impl From<cpx::CplexError> for MasterProblemError {
fn from(err: cpx::CplexError) -> MasterProblemError {
MasterProblemError::Solver(err.into())
}
}
pub struct CplexMaster {
lp: *mut cpx::Lp,
/// True if the QP must be updated.
force_update: bool,
|
| ︙ | ︙ | |||
74 75 76 77 78 79 80 |
unsafe { cpx::freeprob(cpx::env(), &mut self.lp) };
}
}
impl UnconstrainedMasterProblem for CplexMaster {
type MinorantIndex = usize;
| | | | | | 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 |
unsafe { cpx::freeprob(cpx::env(), &mut self.lp) };
}
}
impl UnconstrainedMasterProblem for CplexMaster {
type MinorantIndex = usize;
fn new() -> Result<CplexMaster> {
Ok(CplexMaster {
lp: ptr::null_mut(),
force_update: true,
freeinds: vec![],
updateinds: vec![],
min2index: vec![],
index2min: vec![],
qterm: vec![],
weight: 1.0,
minorants: vec![],
opt_mults: vec![],
opt_minorant: Minorant::default(),
})
}
fn num_subproblems(&self) -> usize {
self.minorants.len()
}
fn set_num_subproblems(&mut self, n: usize) -> Result<()> {
trycpx!(cpx::setintparam(
cpx::env(),
cpx::Param::Qpmethod.to_c(),
cpx::Alg::Barrier.to_c()
));
trycpx!(cpx::setdblparam(cpx::env(), cpx::Param::Barepcomp.to_c(), 1e-12));
self.min2index = vec![vec![]; n];
self.index2min.clear();
self.freeinds.clear();
self.minorants = vec![vec![]; n];
self.opt_mults = vec![dvec![]; n];
Ok(())
}
fn weight(&self) -> Real {
self.weight
}
fn set_weight(&mut self, weight: Real) -> Result<()> {
assert!(weight > 0.0);
self.weight = weight;
Ok(())
}
fn num_minorants(&self, fidx: usize) -> usize {
self.minorants[fidx].len()
}
fn add_minorant(&mut self, fidx: usize, minorant: Minorant) -> Result<usize> {
debug!("Add minorant");
debug!(" fidx={} index={}: {}", fidx, self.minorants[fidx].len(), minorant);
let min_idx = self.minorants[fidx].len();
self.minorants[fidx].push(minorant);
self.opt_mults[fidx].push(0.0);
|
| ︙ | ︙ | |||
153 154 155 156 157 158 159 |
}
}
fn add_vars(
&mut self,
nnew: usize,
changed: &[usize],
| | | | > | 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 |
}
}
fn add_vars(
&mut self,
nnew: usize,
changed: &[usize],
extend_subgradient: &mut FnMut(usize, Self::MinorantIndex, &[usize]) -> result::Result<DVector, Box<dyn Error>>,
) -> Result<()> {
debug_assert!(!self.minorants[0].is_empty());
let noldvars = self.minorants[0][0].linear.len();
let nnewvars = noldvars + nnew;
let mut changedvars = vec![];
changedvars.extend_from_slice(changed);
changedvars.extend(noldvars..nnewvars);
for (fidx, mins) in self.minorants.iter_mut().enumerate() {
if !mins.is_empty() {
for (i, m) in mins.iter_mut().enumerate() {
let new_subg =
extend_subgradient(fidx, i, &changedvars).map_err(MasterProblemError::SubgradientExtension)?;
for (&j, &g) in changed.iter().zip(new_subg.iter()) {
m.linear[j] = g;
}
m.linear.extend_from_slice(&new_subg[changed.len()..]);
}
}
}
|
| ︙ | ︙ | |||
200 201 202 203 204 205 206 |
// WORST CASE: DO THIS
// self.force_update = true;
Ok(())
}
| | | | 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 |
// WORST CASE: DO THIS
// self.force_update = true;
Ok(())
}
fn solve(&mut self, eta: &DVector, _fbound: Real, _augbound: Real, _relprec: Real) -> Result<()> {
if self.force_update || !self.updateinds.is_empty() {
try!(self.init_qp());
}
let nvars = unsafe { cpx::getnumcols(cpx::env(), self.lp) as usize };
if nvars == 0 {
return Err(MasterProblemError::NoMinorants);
}
// update linear costs
{
let mut c = Vec::with_capacity(nvars);
let mut inds = Vec::with_capacity(nvars);
for mins in &self.minorants {
for m in mins {
|
| ︙ | ︙ | |||
274 275 276 277 278 279 280 |
this_val = this_val.max(m.eval(y));
}
result += this_val;
}
result
}
| | | 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 |
this_val = this_val.max(m.eval(y));
}
result += this_val;
}
result
}
fn aggregate(&mut self, fidx: usize, mins: &[usize]) -> Result<(usize, DVector)> {
assert!(!mins.is_empty(), "No minorants specified to be aggregated");
if mins.len() == 1 {
return Ok((mins[0], dvec![1.0]));
}
// scale coefficients
|
| ︙ | ︙ | |||
368 369 370 371 372 373 374 |
m.move_center(alpha, d);
}
}
}
}
impl CplexMaster {
| | | 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 |
m.move_center(alpha, d);
}
}
}
}
impl CplexMaster {
fn init_qp(&mut self) -> Result<()> {
if !self.lp.is_null() {
trycpx!(cpx::freeprob(cpx::env(), &mut self.lp));
}
trycpx!({
let mut status = 0;
self.lp = cpx::createprob(cpx::env(), &mut status, c_str!("mastercp").as_ptr());
status
|
| ︙ | ︙ |
Changes to src/master/minimal.rs.
| ︙ | ︙ | |||
10 11 12 13 14 15 16 17 |
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use {DVector, Minorant, Real};
| > < > > | | < | < | | > | > > > > > | > > > | > > > > > > | 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 |
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use master::{Error as MasterProblemError, UnconstrainedMasterProblem};
use {DVector, Minorant, Real};
use super::Result;
use std::error::Error;
use std::f64::NEG_INFINITY;
use std::fmt;
use std::result;
/// Minimal master problem error.
#[derive(Debug)]
pub enum MinimalMasterError {
NumSubproblems { nsubs: usize },
MaxMinorants,
}
impl fmt::Display for MinimalMasterError {
fn fmt(&self, fmt: &mut fmt::Formatter) -> result::Result<(), fmt::Error> {
use self::MinimalMasterError::*;
match self {
NumSubproblems { nsubs } => write!(fmt, "Too many subproblems (got: {} must be <= 2)", nsubs),
MaxMinorants => write!(fmt, "The minimal master problem allows at most two minorants"),
}
}
}
impl Error for MinimalMasterError {}
impl Into<MasterProblemError> for MinimalMasterError {
fn into(self) -> MasterProblemError {
MasterProblemError::Custom(self.into())
}
}
/**
* A minimal master problem with only two minorants.
*
* This is the simplest possible master problem for bundle methods. It
* has only two minorants and only one function model. The advantage
|
| ︙ | ︙ | |||
56 57 58 59 60 61 62 |
/// Optimal aggregated minorant.
opt_minorant: Minorant,
}
impl UnconstrainedMasterProblem for MinimalMaster {
type MinorantIndex = usize;
| | | | | | | | > | | 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 |
/// Optimal aggregated minorant.
opt_minorant: Minorant,
}
impl UnconstrainedMasterProblem for MinimalMaster {
type MinorantIndex = usize;
fn new() -> Result<MinimalMaster> {
Ok(MinimalMaster {
weight: 1.0,
minorants: vec![],
opt_mult: dvec![],
opt_minorant: Minorant::default(),
})
}
fn num_subproblems(&self) -> usize {
1
}
fn set_num_subproblems(&mut self, n: usize) -> Result<()> {
if n != 1 {
Err(MinimalMasterError::NumSubproblems { nsubs: n }.into())
} else {
Ok(())
}
}
fn weight(&self) -> Real {
self.weight
}
fn set_weight(&mut self, weight: Real) -> Result<()> {
assert!(weight > 0.0);
self.weight = weight;
Ok(())
}
fn num_minorants(&self, fidx: usize) -> usize {
assert_eq!(fidx, 0);
self.minorants.len()
}
fn add_minorant(&mut self, fidx: usize, minorant: Minorant) -> Result<usize> {
assert_eq!(fidx, 0);
if self.minorants.len() >= 2 {
return Err(MinimalMasterError::MaxMinorants.into());
}
self.minorants.push(minorant);
self.opt_mult.push(0.0);
Ok(self.minorants.len() - 1)
}
fn add_vars(
&mut self,
nnew: usize,
changed: &[usize],
extend_subgradient: &mut FnMut(usize, Self::MinorantIndex, &[usize]) -> result::Result<DVector, Box<dyn Error>>,
) -> Result<()> {
if !self.minorants.is_empty() {
let noldvars = self.minorants[0].linear.len();
let mut changedvars = vec![];
changedvars.extend_from_slice(changed);
changedvars.extend(noldvars..noldvars + nnew);
for (i, m) in self.minorants.iter_mut().enumerate() {
let new_subg =
extend_subgradient(0, i, &changedvars).map_err(MasterProblemError::SubgradientExtension)?;
for (&j, &g) in changed.iter().zip(new_subg.iter()) {
m.linear[j] = g;
}
m.linear.extend_from_slice(&new_subg[changed.len()..]);
}
}
Ok(())
}
#[allow(unused_variables)]
fn solve(&mut self, eta: &DVector, fbound: Real, augbound: Real, relprec: Real) -> Result<()> {
for (i, m) in self.minorants.iter().enumerate() {
debug!(" {}:min[{},{}] = {}", i, 0, 0, m);
}
if self.minorants.len() == 2 {
let xx = self.minorants[0].linear.dot(&self.minorants[0].linear);
let yy = self.minorants[1].linear.dot(&self.minorants[1].linear);
|
| ︙ | ︙ | |||
154 155 156 157 158 159 160 |
self.opt_mult[1] = alpha2;
self.opt_minorant = self.minorants[0].combine(1.0 - alpha2, alpha2, &self.minorants[1]);
} else if self.minorants.len() == 1 {
self.opt_minorant = self.minorants[0].clone();
self.opt_mult.resize(1, 1.0);
self.opt_mult[0] = 1.0;
} else {
| | | 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 |
self.opt_mult[1] = alpha2;
self.opt_minorant = self.minorants[0].combine(1.0 - alpha2, alpha2, &self.minorants[1]);
} else if self.minorants.len() == 1 {
self.opt_minorant = self.minorants[0].clone();
self.opt_mult.resize(1, 1.0);
self.opt_mult[0] = 1.0;
} else {
return Err(MasterProblemError::NoMinorants);
}
debug!("Unrestricted");
debug!(" opt_minorant={}", self.opt_minorant);
if self.opt_mult.len() == 2 {
debug!(" opt_mult={}", self.opt_mult);
}
|
| ︙ | ︙ | |||
186 187 188 189 190 191 192 |
let mut result = NEG_INFINITY;
for m in &self.minorants {
result = result.max(m.eval(y));
}
result
}
| | | 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 |
let mut result = NEG_INFINITY;
for m in &self.minorants {
result = result.max(m.eval(y));
}
result
}
fn aggregate(&mut self, fidx: usize, mins: &[usize]) -> Result<(usize, DVector)> {
assert_eq!(fidx, 0);
if mins.len() == 2 {
debug!("Aggregate");
debug!(" {} * {}", self.opt_mult[0], self.minorants[0]);
debug!(" {} * {}", self.opt_mult[1], self.minorants[1]);
self.minorants[0] = self.minorants[0].combine(self.opt_mult[0], self.opt_mult[1], &self.minorants[1]);
self.minorants.truncate(1);
|
| ︙ | ︙ |
Changes to src/master/mod.rs.
| ︙ | ︙ | |||
34 35 36 37 38 39 40 |
//! * changing the weight parameter $w$,
//! * modifying $\hat{f}$ by adding or removing linear functions $\ell_i$,
//! * moving the center of the linear functions $\ell_i$ (and the
//! bounds), i.e. replacing $\hat{f}$ by $d \mapsto \hat{f}(d -
//! \hat{d})$ for some given $\hat{d} \in \mathbb{R}\^n$.
mod base;
| | | 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 |
//! * changing the weight parameter $w$,
//! * modifying $\hat{f}$ by adding or removing linear functions $\ell_i$,
//! * moving the center of the linear functions $\ell_i$ (and the
//! bounds), i.e. replacing $\hat{f}$ by $d \mapsto \hat{f}(d -
//! \hat{d})$ for some given $\hat{d} \in \mathbb{R}\^n$.
mod base;
pub use self::base::{MasterProblem, MasterProblemError as Error, Result};
mod boxed;
pub use self::boxed::BoxedMasterProblem;
mod unconstrained;
pub use self::unconstrained::UnconstrainedMasterProblem;
|
| ︙ | ︙ |
Changes to src/master/unconstrained.rs.
| ︙ | ︙ | |||
12 13 14 15 16 17 18 |
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use {DVector, Minorant, Real};
| > > > | < | 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 |
//
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use {DVector, Minorant, Real};
use super::Result;
use std::error::Error;
use std::result;
/**
* Trait for master problems without box constraints.
*
* Implementors of this trait are supposed to solve quadratic
* optimization problems of the form
*
|
| ︙ | ︙ | |||
44 45 46 47 48 49 50 |
* \sum_{i=1}\^k \alpha_i \ell_i(d) + \frac{u}{2} \\| d \\|\^2. \\]
*/
pub trait UnconstrainedMasterProblem {
/// Unique index for a minorant.
type MinorantIndex: Copy + Eq;
/// Return a new instance of the unconstrained master problem.
| | | | | | | | | 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 |
* \sum_{i=1}\^k \alpha_i \ell_i(d) + \frac{u}{2} \\| d \\|\^2. \\]
*/
pub trait UnconstrainedMasterProblem {
/// Unique index for a minorant.
type MinorantIndex: Copy + Eq;
/// Return a new instance of the unconstrained master problem.
fn new() -> Result<Self>
where
Self: Sized;
/// Return the number of subproblems.
fn num_subproblems(&self) -> usize;
/// Set the number of subproblems (different function models.)
fn set_num_subproblems(&mut self, n: usize) -> Result<()>;
/// Return the current weight.
fn weight(&self) -> Real;
/// Set the weight of the quadratic term, must be > 0.
fn set_weight(&mut self, weight: Real) -> Result<()>;
/// Return the number of minorants of subproblem `fidx`.
fn num_minorants(&self, fidx: usize) -> usize;
/// Add a new minorant to the model.
fn add_minorant(&mut self, fidx: usize, minorant: Minorant) -> Result<Self::MinorantIndex>;
/// Add or move some variables.
///
/// The variables in `changed` have been changed, so the subgradient
/// information must be updated. Furthermore, `nnew` new variables
/// are added.
fn add_vars(
&mut self,
nnew: usize,
changed: &[usize],
extend_subgradient: &mut FnMut(usize, Self::MinorantIndex, &[usize]) -> result::Result<DVector, Box<dyn Error>>,
) -> Result<()>;
/// Solve the master problem.
fn solve(&mut self, eta: &DVector, fbound: Real, augbound: Real, relprec: Real) -> Result<()>;
/// Return the current dual optimal solution.
fn dualopt(&self) -> &DVector;
/// Return the current dual optimal solution value.
fn dualopt_cutval(&self) -> Real;
|
| ︙ | ︙ | |||
103 104 105 106 107 108 109 |
/// after this operation. The function returns the index of the
/// aggregated minorant along with the coefficients of the convex
/// combination. The index of the new aggregated minorant might or
/// might not be one of indices of the original minorants.
///
/// # Error
/// The indices of the minorants `mins` must belong to subproblem `fidx`.
| | | 105 106 107 108 109 110 111 112 113 114 115 116 |
/// after this operation. The function returns the index of the
/// aggregated minorant along with the coefficients of the convex
/// combination. The index of the new aggregated minorant might or
/// might not be one of indices of the original minorants.
///
/// # Error
/// The indices of the minorants `mins` must belong to subproblem `fidx`.
fn aggregate(&mut self, fidx: usize, mins: &[usize]) -> Result<(Self::MinorantIndex, DVector)>;
/// Move the center of the master problem along $\alpha \cdot d$.
fn move_center(&mut self, alpha: Real, d: &DVector);
}
|
Changes to src/mcf/problem.rs.
| ︙ | ︙ | |||
13 14 15 16 17 18 19 20 21 22 |
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use mcf;
use {DVector, FirstOrderProblem, Minorant, Real, SimpleEvaluation};
use std::f64::INFINITY;
use std::fs::File;
use std::io::Read;
| > > | < | < | < | > > > > > > > > > > > | 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 |
// You should have received a copy of the GNU General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>
//
use mcf;
use {DVector, FirstOrderProblem, Minorant, Real, SimpleEvaluation};
use std::error::Error;
use std::f64::INFINITY;
use std::fmt;
use std::fs::File;
use std::io::Read;
use std::result;
/// An error in the mmcf file format.
#[derive(Debug)]
pub struct MMCFFormatError {
msg: String,
}
impl fmt::Display for MMCFFormatError {
fn fmt(&self, fmt: &mut fmt::Formatter) -> result::Result<(), fmt::Error> {
write!(fmt, "Format error: {}", self.msg)
}
}
impl Error for MMCFFormatError {}
/// Result type of the MMCFProblem.
pub type Result<T> = result::Result<T, Box<Error>>;
#[derive(Clone, Copy, Debug)]
struct ArcInfo {
arc: usize,
src: usize,
snk: usize,
}
|
| ︙ | ︙ | |||
52 53 54 55 56 57 58 |
rhs: DVector,
rhsval: Real,
cbase: Vec<DVector>,
c: Vec<DVector>,
}
impl MMCFProblem {
| | | | 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 |
rhs: DVector,
rhsval: Real,
cbase: Vec<DVector>,
c: Vec<DVector>,
}
impl MMCFProblem {
pub fn read_mnetgen(basename: &str) -> Result<MMCFProblem> {
let mut buffer = String::new();
{
let mut f = try!(File::open(&format!("{}.nod", basename)));
try!(f.read_to_string(&mut buffer));
}
let fnod = buffer
.split_whitespace()
.map(|x| x.parse::<usize>().unwrap())
.collect::<Vec<_>>();
if fnod.len() != 4 {
return Err(MMCFFormatError {
msg: format!("Expected 4 numbers in {}.nod, but got {}", basename, fnod.len()),
}.into());
}
let ncom = fnod[0];
let nnodes = fnod[1];
let narcs = fnod[2];
|
| ︙ | ︙ | |||
194 195 196 197 198 199 200 |
let mut aggr = primals[0]
.1
.iter()
.map(|x| {
let mut r = dvec![];
r.scal(primals[0].0, x);
r
| < | | > > | 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 |
let mut aggr = primals[0]
.1
.iter()
.map(|x| {
let mut r = dvec![];
r.scal(primals[0].0, x);
r
}).collect::<Vec<_>>();
for &(alpha, primal) in &primals[1..] {
for (j, x) in primal.iter().enumerate() {
aggr[j].add_scaled(alpha, x);
}
}
aggr
}
}
impl FirstOrderProblem for MMCFProblem {
type Err = Box<dyn Error>;
type Primal = Vec<DVector>;
type EvalResult = SimpleEvaluation<Vec<DVector>>;
fn num_variables(&self) -> usize {
self.lhs.len()
}
|
| ︙ | ︙ | |||
233 234 235 236 237 238 239 |
self.nets.len()
} else {
1
}
}
#[allow(unused_variables)]
| < < < < < < | | 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 |
self.nets.len()
} else {
1
}
}
#[allow(unused_variables)]
fn evaluate(&mut self, fidx: usize, y: &[Real], nullstep_bound: Real, relprec: Real) -> Result<Self::EvalResult> {
// compute costs
self.rhsval = 0.0;
for i in 0..self.c.len() {
self.c[i].clear();
self.c[i].extend(self.cbase[i].iter());
}
|
| ︙ | ︙ |
Changes to src/mcf/solver.rs.
| ︙ | ︙ | |||
17 18 19 20 21 22 23 24 25 |
#![allow(unused_unsafe)]
use {DVector, Real};
use cplex_sys as cpx;
use std;
use std::ffi::CString;
use std::ptr;
| > | | | | 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 |
#![allow(unused_unsafe)]
use {DVector, Real};
use cplex_sys as cpx;
use std;
use std::error::Error;
use std::ffi::CString;
use std::ptr;
use std::result;
use std::os::raw::{c_char, c_double, c_int};
pub type Result<T> = result::Result<T, Box<dyn Error>>;
pub struct Solver {
net: *mut cpx::Net,
}
impl Drop for Solver {
fn drop(&mut self) {
unsafe {
cpx::NETfreeprob(cpx::env(), &mut self.net);
}
}
}
impl Solver {
pub fn new(nnodes: usize) -> Result<Solver> {
let mut status: c_int;
let mut net = ptr::null_mut();
unsafe {
#[cfg_attr(feature = "cargo-clippy", allow(never_loop))]
loop {
status = cpx::setlogfilename(cpx::env(), c_str!("mcf.cpxlog").as_ptr(), c_str!("w").as_ptr());
|
| ︙ | ︙ | |||
87 88 89 90 91 92 93 |
unsafe { cpx::NETgetnumnodes(cpx::env(), self.net) as usize }
}
pub fn num_arcs(&self) -> usize {
unsafe { cpx::NETgetnumarcs(cpx::env(), self.net) as usize }
}
| | | | | | | | | 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 |
unsafe { cpx::NETgetnumnodes(cpx::env(), self.net) as usize }
}
pub fn num_arcs(&self) -> usize {
unsafe { cpx::NETgetnumarcs(cpx::env(), self.net) as usize }
}
pub fn set_balance(&mut self, node: usize, supply: Real) -> Result<()> {
let n = node as c_int;
let s = supply as c_double;
trycpx!(cpx::NETchgsupply(cpx::env(), self.net, 1, &n, &s as *const c_double));
Ok(())
}
pub fn set_objective(&mut self, obj: &DVector) -> Result<()> {
let inds = (0..obj.len() as c_int).collect::<Vec<_>>();
trycpx!(cpx::NETchgobj(
cpx::env(),
self.net,
obj.len() as c_int,
inds.as_ptr(),
obj.as_ptr()
));
Ok(())
}
pub fn add_arc(&mut self, src: usize, snk: usize, cost: Real, cap: Real) -> Result<()> {
let f = src as c_int;
let t = snk as c_int;
let c = cost as c_double;
let u = cap as c_double;
let name = CString::new(format!("x{}#{}_{}", self.num_arcs() + 1, f + 1, t + 1)).unwrap();
let cname = name.as_ptr();
trycpx!(cpx::NETaddarcs(
cpx::env(),
self.net,
1,
&f,
&t,
ptr::null(),
&u,
&c,
&cname as *const *const c_char
));
Ok(())
}
pub fn solve(&mut self) -> Result<()> {
trycpx!(cpx::NETprimopt(cpx::env(), self.net));
Ok(())
}
pub fn objective(&self) -> Result<Real> {
let mut objval: c_double = 0.0;
trycpx!(cpx::NETgetobjval(cpx::env(), self.net, &mut objval as *mut c_double));
Ok(objval)
}
pub fn get_solution(&self) -> Result<DVector> {
let mut sol = dvec![0.0; self.num_arcs()];
let mut stat: c_int = 0;
let mut objval: c_double = 0.0;
trycpx!(cpx::NETsolution(
cpx::env(),
self.net,
&mut stat as *mut c_int,
&mut objval as *mut c_double,
sol.as_mut_ptr(),
ptr::null_mut(),
ptr::null_mut(),
ptr::null_mut()
));
Ok(sol)
}
pub fn writelp(&self, filename: &str) -> Result<()> {
let fname = CString::new(filename).unwrap();
trycpx!(cpx::NETwriteprob(cpx::env(), self.net, fname.as_ptr(), ptr::null_mut()));
Ok(())
}
}
|
Changes to src/solver.rs.
| ︙ | ︙ | |||
15 16 17 18 19 20 21 |
//
//! The main bundle method solver.
use {DVector, Real};
use {Evaluation, FirstOrderProblem, HKWeighter, Update};
| | > > < < | | < | < | < | < < < | < < < < > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > | 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 |
//
//! The main bundle method solver.
use {DVector, Real};
use {Evaluation, FirstOrderProblem, HKWeighter, Update};
use master::{BoxedMasterProblem, Error as MasterProblemError, MasterProblem, UnconstrainedMasterProblem};
use master::{CplexMaster, MinimalMaster};
use std::error::Error;
use std::f64::{INFINITY, NEG_INFINITY};
use std::fmt;
use std::mem::swap;
use std::result::Result;
use std::time::Instant;
/// A solver error.
#[derive(Debug)]
pub enum SolverError<E> {
/// An error occured during oracle evaluation.
Evaluation(E),
/// An error occured during oracle update.
Update(E),
/// An error has been raised by the master problem.
Master(MasterProblemError),
/// The oracle did not return a minorant.
NoMinorant,
/// The dimension of some data is wrong.
Dimension,
/// Some parameter has an invalid value.
Parameter(ParameterError),
/// The lower bound of a variable is larger than the upper bound.
InvalidBounds { lower: Real, upper: Real },
/// The value of a variable is outside its bounds.
ViolatedBounds { lower: Real, upper: Real, value: Real },
/// The variable index is out of bounds.
InvalidVariable { index: usize, nvars: usize },
/// Iteration limit has been reached.
IterationLimit { limit: usize },
}
impl<E: fmt::Display> fmt::Display for SolverError<E> {
fn fmt(&self, fmt: &mut fmt::Formatter) -> Result<(), fmt::Error> {
use self::SolverError::*;
match self {
Evaluation(err) => write!(fmt, "Oracle evaluation failed: {}", err),
Update(err) => write!(fmt, "Oracle update failed: {}", err),
Master(err) => write!(fmt, "Master problem failed: {}", err),
NoMinorant => write!(fmt, "The oracle did not return a minorant"),
Dimension => write!(fmt, "Dimension of lower bounds does not match number of variables"),
Parameter(msg) => write!(fmt, "Parameter error: {}", msg),
InvalidBounds { lower, upper } => write!(fmt, "Invalid bounds, lower:{}, upper:{}", lower, upper),
ViolatedBounds { lower, upper, value } => write!(
fmt,
"Violated bounds, lower:{}, upper:{}, value:{}",
lower, upper, value
),
InvalidVariable { index, nvars } => {
write!(fmt, "Variable index out of bounds, got:{} must be < {}", index, nvars)
}
IterationLimit { limit } => write!(fmt, "The iteration limit of {} has been reached.", limit),
}
}
}
impl<E: Error> Error for SolverError<E> {
fn cause(&self) -> Option<&Error> {
match self {
SolverError::Evaluation(err) => Some(err),
SolverError::Update(err) => Some(err),
SolverError::Master(err) => Some(err),
_ => None,
}
}
}
impl<E> From<ParameterError> for SolverError<E> {
fn from(err: ParameterError) -> SolverError<E> {
SolverError::Parameter(err)
}
}
/**
* The current state of the bundle method.
*
* Captures the current state of the bundle method during the run of
* the algorithm. This state is passed to certain callbacks like
* Terminator or Weighter so that they can compute their result
|
| ︙ | ︙ | |||
159 160 161 162 163 164 165 166 167 168 169 170 171 172 |
* Given the current state of the bundle method, this function determines the
* weight factor of the quadratic term for the next iteration.
*/
pub trait Weighter {
/// Return the new weight of the quadratic term.
fn weight(&mut self, state: &BundleState, params: &SolverParams) -> Real;
}
/// Parameters for tuning the solver.
#[derive(Clone, Debug)]
pub struct SolverParams {
/// Maximal individual bundle size.
pub max_bundle_size: usize,
| > > > > > > > > > > > > | 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 |
* Given the current state of the bundle method, this function determines the
* weight factor of the quadratic term for the next iteration.
*/
pub trait Weighter {
/// Return the new weight of the quadratic term.
fn weight(&mut self, state: &BundleState, params: &SolverParams) -> Real;
}
/// An invalid value for some parameter has been passes.
#[derive(Debug)]
pub struct ParameterError(String);
impl fmt::Display for ParameterError {
fn fmt(&self, fmt: &mut fmt::Formatter) -> Result<(), fmt::Error> {
write!(fmt, "{}", self.0)
}
}
impl Error for ParameterError {}
/// Parameters for tuning the solver.
#[derive(Clone, Debug)]
pub struct SolverParams {
/// Maximal individual bundle size.
pub max_bundle_size: usize,
|
| ︙ | ︙ | |||
210 211 212 213 214 215 216 |
* variables.
*/
pub max_updates: usize,
}
impl SolverParams {
/// Verify that all parameters are valid.
| | | | | | | | | 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 |
* variables.
*/
pub max_updates: usize,
}
impl SolverParams {
/// Verify that all parameters are valid.
fn check(&self) -> Result<(), ParameterError> {
if self.max_bundle_size < 2 {
Err(ParameterError(format!(
"max_bundle_size must be >= 2 (got: {})",
self.max_bundle_size
)))
} else if self.acceptance_factor <= 0.0 || self.acceptance_factor >= 1.0 {
Err(ParameterError(format!(
"acceptance_factor must be in (0,1) (got: {})",
self.acceptance_factor
)))
} else if self.nullstep_factor <= 0.0 || self.nullstep_factor > self.acceptance_factor {
Err(ParameterError(format!(
"nullstep_factor must be in (0,acceptance_factor] (got: {}, acceptance_factor:{})",
self.nullstep_factor, self.acceptance_factor
)))
} else if self.min_weight <= 0.0 {
Err(ParameterError(format!(
"min_weight must be in > 0 (got: {})",
self.min_weight
)))
} else if self.max_weight < self.min_weight {
Err(ParameterError(format!(
"max_weight must be in >= min_weight (got: {}, min_weight: {})",
self.max_weight, self.min_weight
)))
} else if self.max_updates == 0 {
Err(ParameterError(format!(
"max_updates must be in > 0 (got: {})",
self.max_updates
)))
} else {
Ok(())
}
}
|
| ︙ | ︙ | |||
328 329 330 331 332 333 334 |
self.minorants[fidx].last().and_then(|m| m.primal.as_ref())
}
}
/**
* Implementation of a bundle method.
*/
| | < < < < | 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 |
self.minorants[fidx].last().and_then(|m| m.primal.as_ref())
}
}
/**
* Implementation of a bundle method.
*/
pub struct Solver<P: FirstOrderProblem> {
/// The first order problem description.
problem: P,
/// The solver parameter.
pub params: SolverParams,
/// Termination predicate.
|
| ︙ | ︙ | |||
415 416 417 418 419 420 421 |
*/
start_time: Instant,
/// The master problem.
master: Box<MasterProblem<MinorantIndex = usize>>,
/// The active minorant indices for each subproblem.
| | | | < | | 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 |
*/
start_time: Instant,
/// The master problem.
master: Box<MasterProblem<MinorantIndex = usize>>,
/// The active minorant indices for each subproblem.
minorants: Vec<Vec<MinorantInfo<P::Primal>>>,
/// Accumulated information about the last iteration.
iterinfos: Vec<IterationInfo>,
}
impl<P: FirstOrderProblem> Solver<P>
where
P::Err: Into<Box<dyn Error>>,
{
/**
* Create a new solver for the given problem.
*
* 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>, SolverError<P::Err>> {
Ok(Solver {
problem,
params,
terminator: Box::new(StandardTerminator {
termination_precision: 1e-3,
}),
weighter: Box::new(HKWeighter::new()),
|
| ︙ | ︙ | |||
470 471 472 473 474 475 476 |
)),
minorants: vec![],
iterinfos: vec![],
})
}
/// A new solver with default parameter.
| | | 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 |
)),
minorants: vec![],
iterinfos: vec![],
})
}
/// A new solver with default parameter.
pub fn new(problem: P) -> Result<Solver<P>, SolverError<P::Err>> {
Solver::new_params(problem, SolverParams::default())
}
/**
* Set the first order problem description associated with this
* solver.
*
|
| ︙ | ︙ | |||
493 494 495 496 497 498 499 |
/// Returns a reference to the solver's current problem.
pub fn problem(&self) -> &P {
&self.problem
}
/// Initialize the solver.
| | | 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 |
/// Returns a reference to the solver's current problem.
pub fn problem(&self) -> &P {
&self.problem
}
/// Initialize the solver.
pub fn init(&mut self) -> Result<(), SolverError<P::Err>> {
self.params.check()?;
if self.cur_y.len() != self.problem.num_variables() {
self.cur_valid = false;
self.cur_y.init0(self.problem.num_variables());
}
let lb = self.problem.lower_bounds();
|
| ︙ | ︙ | |||
535 536 537 538 539 540 541 |
self.start_time = Instant::now();
Ok(())
}
/// Solve the problem.
| | | | | 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 |
self.start_time = Instant::now();
Ok(())
}
/// Solve the problem.
pub fn solve(&mut self) -> Result<(), SolverError<P::Err>> {
const LIMIT: usize = 10_000;
if self.solve_iter(LIMIT)? {
Ok(())
} else {
Err(SolverError::IterationLimit { limit: LIMIT })
}
}
/// Solve the problem but stop after `niter` iterations.
///
/// The function returns `Ok(true)` if the termination criterion
/// has been satisfied. Otherwise it returns `Ok(false)` or an
/// error code.
///
/// If this function is called again, the solution process is
/// continued from the previous point. Because of this one must
/// call `init()` before the first call to this function.
pub fn solve_iter(&mut self, niter: usize) -> Result<bool, SolverError<P::Err>> {
for _ in 0..niter {
let mut term = self.step()?;
let changed = self.update_problem(term)?;
// do not stop if the problem has been changed
if changed && term == Step::Term {
term = Step::Null
}
self.show_info(term);
if term == Step::Term {
return Ok(true);
}
}
Ok(false)
}
/// Called to update the problem.
///
/// Calling this function typically triggers the problem to
/// separate new constraints depending on the current solution.
fn update_problem(&mut self, term: Step) -> Result<bool, SolverError<P::Err>> {
let updates = {
let state = UpdateState {
minorants: &self.minorants,
step: term,
iteration_info: &self.iterinfos,
// this is a dirty trick: when updating the center, we
// simply swapped the `cur_*` fields with the `nxt_*`
|
| ︙ | ︙ | |||
641 642 643 644 645 646 647 |
}
newvars.push((Some(index), lower - value, upper - value, value));
}
}
}
if !newvars.is_empty() {
| | | | < | | 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 |
}
newvars.push((Some(index), lower - value, upper - value, value));
}
}
}
if !newvars.is_empty() {
let problem = &mut self.problem;
let minorants = &self.minorants;
self.master
.add_vars(
&newvars.iter().map(|v| (v.0, v.1, v.2)).collect::<Vec<_>>(),
&mut |fidx, minidx, vars| {
problem
.extend_subgradient(minorants[fidx][minidx].primal.as_ref().unwrap(), vars)
.map(DVector)
.map_err(|e| e.into())
},
).map_err(SolverError::Master)?;
// 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
|
| ︙ | ︙ | |||
676 677 678 679 680 681 682 |
/// Return the current aggregated primal information for a subproblem.
///
/// This function returns all currently used minorants $x_i$ along
/// with their coefficients $\alpha_i$. The aggregated primal can
/// be computed by combining the minorants $\bar{x} =
/// \sum_{i=1}\^m \alpha_i x_i$.
| | | 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 |
/// Return the current aggregated primal information for a subproblem.
///
/// This function returns all currently used minorants $x_i$ along
/// with their coefficients $\alpha_i$. The aggregated primal can
/// be computed by combining the minorants $\bar{x} =
/// \sum_{i=1}\^m \alpha_i x_i$.
pub fn aggregated_primals(&self, subproblem: usize) -> Vec<(Real, &P::Primal)> {
self.minorants[subproblem]
.iter()
.map(|m| (m.multiplier, m.primal.as_ref().unwrap()))
.collect()
}
fn show_info(&self, step: Step) {
|
| ︙ | ︙ | |||
722 723 724 725 726 727 728 |
/**
* Initializes the master problem.
*
* The oracle is evaluated once at the initial center and the
* master problem is initialized with the returned subgradient
* information.
*/
| | | 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 |
/**
* Initializes the master problem.
*
* The oracle is evaluated once at the initial center and the
* master problem is initialized with the returned subgradient
* information.
*/
fn init_master(&mut self) -> Result<(), SolverError<P::Err>> {
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)?,
))
|
| ︙ | ︙ | |||
813 814 815 816 817 818 819 |
debug!("Init master completed");
Ok(())
}
/// Solve the model (i.e. master problem) to compute the next candidate.
| | | 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 |
debug!("Init master completed");
Ok(())
}
/// Solve the model (i.e. master problem) to compute the next candidate.
fn solve_model(&mut self) -> Result<(), SolverError<P::Err>> {
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;
|
| ︙ | ︙ | |||
836 837 838 839 840 841 842 |
debug!(" cur_val ={}", self.cur_val);
debug!(" nxt_mod ={}", self.nxt_mod);
debug!(" expected={}", self.expected_progress);
Ok(())
}
/// Reduce size of bundle.
| | | 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 |
debug!(" cur_val ={}", self.cur_val);
debug!(" nxt_mod ={}", self.nxt_mod);
debug!(" expected={}", self.expected_progress);
Ok(())
}
/// Reduce size of bundle.
fn compress_bundle(&mut self) -> Result<(), SolverError<P::Err>> {
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();
|
| ︙ | ︙ | |||
862 863 864 865 866 867 868 |
});
}
}
Ok(())
}
/// Perform a descent step.
| | | | | 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 |
});
}
}
Ok(())
}
/// Perform a descent step.
fn descent_step(&mut self) -> Result<(), SolverError<P::Err>> {
let new_weight = self.weighter.weight(¤t_state!(self, Step::Descent), &self.params);
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<P::Err>> {
let new_weight = self.weighter.weight(¤t_state!(self, Step::Null), &self.params);
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<P::Err>> {
self.iterinfos.clear();
if !self.cur_valid {
// current point needs new evaluation
self.init_master()?;
}
|
| ︙ | ︙ |