improve scaling

ortools/glop/reduced_costs.cc

@@ -237,7 +237,6 @@ void ReducedCosts::PerturbCosts() {
   SCOPED_TIME_STAT(&stats_);
   VLOG(1) << "Perturbing the costs ... ";
 
-  // Note(user): The max_cost_magnitude should be 1.0 when cost scaling is on.
   Fractional max_cost_magnitude = 0.0;
   const ColIndex structural_size =
       matrix_.num_cols() - RowToColIndex(matrix_.num_rows());

ortools/glop/revised_simplex.cc

@@ -2909,12 +2909,17 @@ void RevisedSimplex::DisplayVariableBounds() {
   }
 }
 
-ITIVector<RowIndex, SparseRow> RevisedSimplex::ComputeDictionary() {
+ITIVector<RowIndex, SparseRow> RevisedSimplex::ComputeDictionary(
+    const SparseMatrixScaler* scaler) {
   ITIVector<RowIndex, SparseRow> dictionary(num_rows_.value());
   for (ColIndex col(0); col < num_cols_; ++col) {
     ComputeDirection(col);
     for (const RowIndex row : direction_non_zero_) {
-      dictionary[row].SetCoefficient(col, direction_[row]);
+      const Fractional scale_coefficient =
+          scaler == nullptr
+              ? 1.0
+              : scaler->col_scale(col) / scaler->col_scale(GetBasis(row));
+      dictionary[row].SetCoefficient(col, direction_[row] * scale_coefficient);
     }
   }
   return dictionary;
@@ -2933,7 +2938,7 @@ void RevisedSimplex::DisplayRevisedSimplexDebugInfo() {
     }
     VLOG(3) << output << ";";
 
-    const RevisedSimplexDictionary dictionary(this);
+    const RevisedSimplexDictionary dictionary(nullptr, this);
     RowIndex r(0);
     for (const SparseRow& row : dictionary) {
       output.clear();

ortools/glop/revised_simplex.h

@@ -228,7 +228,7 @@ class RevisedSimplex {
   // Computes the dictionary B^-1*N on-the-fly row by row. Returns the resulting
   // matrix as a vector of sparse rows so that it is easy to use it on the left
   // side in the matrix multiplication. Runs in O(num_non_zeros_in_matrix).
-  RowMajorSparseMatrix ComputeDictionary();
+  RowMajorSparseMatrix ComputeDictionary(const SparseMatrixScaler* scaler);
 
  private:
   // Propagates parameters_ to all the other classes that need it.
@@ -799,8 +799,9 @@ class RevisedSimplexDictionary {
 
   // RevisedSimplex cannot be passed const because we have to call a non-const
   // method ComputeDictionary.
-  explicit RevisedSimplexDictionary(RevisedSimplex* revised_simplex)
-      : dictionary_(CHECK_NOTNULL(revised_simplex)->ComputeDictionary()),
+  RevisedSimplexDictionary(const SparseMatrixScaler* scaler,
+                           RevisedSimplex* revised_simplex)
+      : dictionary_(CHECK_NOTNULL(revised_simplex)->ComputeDictionary(scaler)),
         basis_vars_(CHECK_NOTNULL(revised_simplex)->GetBasisVector()) {}
 
   ConstIterator begin() const { return dictionary_.begin(); }