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improve precision in glop

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This commit is contained in:
Laurent Perron
2017-11-10 18:31:37 +01:00
parent e14ee86de3
commit 6df48887ce
2 changed files with 60 additions and 60 deletions
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95
ortools/glop/entering_variable.cc
View File

@@ -95,32 +95,6 @@ Status EnteringVariable::PrimalChooseEnteringColumn(ColIndex* entering_col) {
return Status::OK();
}
namespace {
// Store a column with its update coefficient and ratio.
// This is used during the dual phase I & II ratio tests.
struct ColWithRatio {
ColWithRatio(ColIndex _col, Fractional reduced_cost, Fractional coeff_m)
: col(_col), ratio(reduced_cost / coeff_m), coeff_magnitude(coeff_m) {}
// Returns false if "this" is before "other" in a priority queue.
bool operator<(const ColWithRatio& other) const {
if (ratio == other.ratio) {
if (coeff_magnitude == other.coeff_magnitude) {
return col > other.col;
}
return coeff_magnitude < other.coeff_magnitude;
}
return ratio > other.ratio;
}
ColIndex col;
Fractional ratio;
Fractional coeff_magnitude;
};
} // namespace
Status EnteringVariable::DualChooseEnteringColumn(
const UpdateRow& update_row, Fractional cost_variation,
std::vector<ColIndex>* bound_flip_candidates, ColIndex* entering_col,
@@ -131,8 +105,8 @@ Status EnteringVariable::DualChooseEnteringColumn(
const DenseRow& reduced_costs = reduced_costs_->GetReducedCosts();
SCOPED_TIME_STAT(&stats_);
std::vector<ColWithRatio> breakpoints;
breakpoints.reserve(update_row.GetNonZeroPositions().size());
breakpoints_.clear();
breakpoints_.reserve(update_row.GetNonZeroPositions().size());
const Fractional threshold = parameters_.ratio_test_zero_threshold();
const DenseBitRow& can_decrease = variables_info_.GetCanDecreaseBitRow();
const DenseBitRow& can_increase = variables_info_.GetCanIncreaseBitRow();
@@ -162,7 +136,7 @@ Status EnteringVariable::DualChooseEnteringColumn(
harris_ratio, (-reduced_costs[col] + harris_tolerance) / coeff);
harris_ratio = std::max(0.0, harris_ratio);
}
breakpoints.push_back(ColWithRatio(col, -reduced_costs[col], coeff));
breakpoints_.push_back(ColWithRatio(col, -reduced_costs[col], coeff));
continue;
}
@@ -175,7 +149,7 @@ Status EnteringVariable::DualChooseEnteringColumn(
harris_ratio, (reduced_costs[col] + harris_tolerance) / -coeff);
harris_ratio = std::max(0.0, harris_ratio);
}
breakpoints.push_back(ColWithRatio(col, reduced_costs[col], -coeff));
breakpoints_.push_back(ColWithRatio(col, reduced_costs[col], -coeff));
continue;
}
}
@@ -185,7 +159,7 @@ Status EnteringVariable::DualChooseEnteringColumn(
// of Operational Research, 149(1):1-16, 2003.
// We use directly make_heap() to avoid a copy of breakpoints, benchmark shows
// that it is slightly faster.
std::make_heap(breakpoints.begin(), breakpoints.end());
std::make_heap(breakpoints_.begin(), breakpoints_.end());
// Harris ratio test. Since we process the breakpoints by increasing ratio, we
// do not need a two-pass algorithm as described in the literature. Each time
@@ -203,8 +177,8 @@ Status EnteringVariable::DualChooseEnteringColumn(
Fractional best_coeff = -1.0;
Fractional variation_magnitude = std::abs(cost_variation);
equivalent_entering_choices_.clear();
while (!breakpoints.empty()) {
const ColWithRatio top = breakpoints.front();
while (!breakpoints_.empty()) {
const ColWithRatio top = breakpoints_.front();
if (top.ratio > harris_ratio) break;
// If the column is boxed, we can just switch its bounds and
@@ -218,27 +192,28 @@ Status EnteringVariable::DualChooseEnteringColumn(
//
// Note that the actual flipping will be done afterwards by
// MakeBoxedVariableDualFeasible() in revised_simplex.cc.
bool variable_can_flip = false;
if (variable_type[top.col] == VariableType::UPPER_AND_LOWER_BOUNDED) {
variation_magnitude -=
variables_info_.GetBoundDifference(top.col) * top.coeff_magnitude;
if (variation_magnitude > threshold) {
variable_can_flip = true;
bound_flip_candidates->push_back(top.col);
if (variation_magnitude > threshold) {
if (variable_type[top.col] == VariableType::UPPER_AND_LOWER_BOUNDED) {
variation_magnitude -=
variables_info_.GetBoundDifference(top.col) * top.coeff_magnitude;
if (variation_magnitude > threshold) {
bound_flip_candidates->push_back(top.col);
std::pop_heap(breakpoints_.begin(), breakpoints_.end());
breakpoints_.pop_back();
continue;
}
}
}
// Update harris_ratio (only if the variable cannot flip).
if (!variable_can_flip) {
harris_ratio = std::min(
harris_ratio, top.ratio + harris_tolerance / top.coeff_magnitude);
// Update harris_ratio.
harris_ratio = std::min(harris_ratio,
top.ratio + harris_tolerance / top.coeff_magnitude);
// If the dual infeasibility is too high, the harris_ratio can be
// negative. In this case we set it to 0.0, allowing any infeasible
// position to enter the basis. This is quite important because its helps
// in the choice of a stable pivot.
harris_ratio = std::max(harris_ratio, 0.0);
}
// If the dual infeasibility is too high, the harris_ratio can be
// negative. In this case we set it to 0.0, allowing any infeasible
// position to enter the basis. This is quite important because its helps
// in the choice of a stable pivot.
harris_ratio = std::max(harris_ratio, 0.0);
// TODO(user): We want to maximize both the ratio (objective improvement)
// and the coeff_magnitude (stable pivot), so we have to make some
@@ -260,8 +235,8 @@ Status EnteringVariable::DualChooseEnteringColumn(
// Remove the top breakpoint and maintain the heap structure.
// This is the same as doing a pop() on a priority_queue.
std::pop_heap(breakpoints.begin(), breakpoints.end());
breakpoints.pop_back();
std::pop_heap(breakpoints_.begin(), breakpoints_.end());
breakpoints_.pop_back();
}
// Break the ties randomly.
@@ -309,8 +284,8 @@ Status EnteringVariable::DualPhaseIChooseEnteringColumn(
// List of breakpoints where a variable change from feasibility to
// infeasibility or the opposite.
std::vector<ColWithRatio> breakpoints;
breakpoints.reserve(update_row.GetNonZeroPositions().size());
breakpoints_.clear();
breakpoints_.reserve(update_row.GetNonZeroPositions().size());
// Ratio test.
const Fractional threshold = parameters_.ratio_test_zero_threshold();
@@ -357,12 +332,12 @@ Status EnteringVariable::DualPhaseIChooseEnteringColumn(
}
// We are sure there is a transition, add it to the set of breakpoints.
breakpoints.push_back(
breakpoints_.push_back(
ColWithRatio(col, std::abs(reduced_costs[col]), std::abs(coeff)));
}
// Process the breakpoints in priority order.
std::make_heap(breakpoints.begin(), breakpoints.end());
std::make_heap(breakpoints_.begin(), breakpoints_.end());
// Because of our priority queue, it is easy to choose a sub-optimal step to
// have a stable pivot. The pivot with the highest magnitude and that reduces
@@ -374,8 +349,8 @@ Status EnteringVariable::DualPhaseIChooseEnteringColumn(
*entering_col = kInvalidCol;
*step = -1.0;
Fractional improvement = std::abs(cost_variation);
while (!breakpoints.empty()) {
const ColWithRatio top = breakpoints.front();
while (!breakpoints_.empty()) {
const ColWithRatio top = breakpoints_.front();
// We keep the greatest coeff_magnitude for the same ratio.
DCHECK(top.ratio > *step ||
@@ -396,8 +371,8 @@ Status EnteringVariable::DualPhaseIChooseEnteringColumn(
}
if (improvement <= 0.0) break;
std::pop_heap(breakpoints.begin(), breakpoints.end());
breakpoints.pop_back();
std::pop_heap(breakpoints_.begin(), breakpoints_.end());
breakpoints_.pop_back();
}
*pivot =
(*entering_col == kInvalidCol) ? 0.0 : update_coefficient[*entering_col];

25
ortools/glop/entering_variable.h
View File

@@ -142,6 +142,31 @@ class EnteringVariable {
// anyway.
std::vector<ColIndex> equivalent_entering_choices_;
// Store a column with its update coefficient and ratio.
// This is used during the dual phase I & II ratio tests.
struct ColWithRatio {
ColWithRatio(ColIndex _col, Fractional reduced_cost, Fractional coeff_m)
: col(_col), ratio(reduced_cost / coeff_m), coeff_magnitude(coeff_m) {}
// Returns false if "this" is before "other" in a priority queue.
bool operator<(const ColWithRatio& other) const {
if (ratio == other.ratio) {
if (coeff_magnitude == other.coeff_magnitude) {
return col > other.col;
}
return coeff_magnitude < other.coeff_magnitude;
}
return ratio > other.ratio;
}
ColIndex col;
Fractional ratio;
Fractional coeff_magnitude;
};
// Temporary vector used to hold breakpoints.
std::vector<ColWithRatio> breakpoints_;
DISALLOW_COPY_AND_ASSIGN(EnteringVariable);
};