gurobi_callback.cc

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// Copyright 2010-2021 Google LLC
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
//     http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
 
#include "ortools/math_opt/solvers/gurobi_callback.h"
 
#include <cstdint>
#include <functional>
#include <limits>
#include <optional>
#include <string>
#include <utility>
#include <vector>
 
#include "ortools/base/logging.h"
#include "absl/container/flat_hash_set.h"
#include "absl/status/status.h"
#include "absl/status/statusor.h"
#include "absl/strings/str_cat.h"
#include "absl/time/clock.h"
#include "absl/time/time.h"
#include "absl/types/span.h"
#include "ortools/base/linked_hash_map.h"
#include "ortools/math_opt/callback.pb.h"
#include "ortools/math_opt/core/math_opt_proto_utils.h"
#include "ortools/math_opt/core/solve_interrupter.h"
#include "ortools/math_opt/core/solver_interface.h"
#include "ortools/math_opt/core/sparse_vector_view.h"
#include "ortools/math_opt/solution.pb.h"
#include "ortools/math_opt/solvers/message_callback_data.h"
#include "ortools/math_opt/sparse_containers.pb.h"
#include "ortools/base/status_macros.h"
#include "ortools/base/protoutil.h"
 
#include "ortools/gurobi/environment.h"
 
namespace operations_research {
namespace math_opt {
namespace {
 
// The number of possible values for "where" that Gurobi's callbacks can stop
// at, see the table here:
//   https://www.gurobi.com/documentation/9.1/refman/cb_codes.html
constexpr int kNumGurobiEvents = 9;
constexpr int kGrbOk = 0;
constexpr double kInf = std::numeric_limits<double>::infinity();
 
template <int where>
constexpr int CheckedGuroibWhere() {
  static_assert(where >= 0 && where < kNumGurobiEvents);
  return where;
}
 
inline int GurobiEvent(CallbackEventProto event) {
  switch (event) {
    case CALLBACK_EVENT_PRESOLVE:
      return CheckedGuroibWhere<GRB_CB_PRESOLVE>();
    case CALLBACK_EVENT_SIMPLEX:
      return CheckedGuroibWhere<GRB_CB_SIMPLEX>();
    case CALLBACK_EVENT_MIP:
      return CheckedGuroibWhere<GRB_CB_MIP>();
    case CALLBACK_EVENT_MIP_SOLUTION:
      return CheckedGuroibWhere<GRB_CB_MIPSOL>();
    case CALLBACK_EVENT_MIP_NODE:
      return CheckedGuroibWhere<GRB_CB_MIPNODE>();
    case CALLBACK_EVENT_BARRIER:
      return CheckedGuroibWhere<GRB_CB_BARRIER>();
    case CALLBACK_EVENT_UNSPECIFIED:
    default:
      LOG(FATAL) << "Unexpected callback event: " << event;
  }
}
 
SparseDoubleVectorProto ApplyFilter(
    const std::vector<double>& grb_solution,
    const gtl::linked_hash_map<int64_t, int>& var_ids,
    const SparseVectorFilterProto& filter) {
  SparseVectorFilterPredicate predicate(filter);
  SparseDoubleVectorProto result;
  for (const auto [id, grb_index] : var_ids) {
    const double val = grb_solution[grb_index];
    if (predicate.AcceptsAndUpdate(id, val)) {
      result.add_ids(id);
      result.add_values(val);
    }
  }
  return result;
}
 
absl::StatusOr<int64_t> CbGetInt64(const Gurobi::CallbackContext& context,
                                   int what) {
  ASSIGN_OR_RETURN(const double result, context.CbGetDouble(what));
  int64_t result64 = static_cast<int64_t>(result);
  if (result != static_cast<double>(result64)) {
    return absl::InternalError(
        absl::StrCat("Error converting double attribute: ", what,
                     "with value: ", result, " to int64_t exactly."));
  }
  return result64;
}
 
absl::StatusOr<bool> CbGetBool(const Gurobi::CallbackContext& context,
                               int what) {
  ASSIGN_OR_RETURN(const int result, context.CbGetInt(what));
  bool result_bool = static_cast<bool>(result);
  if (result != static_cast<int>(result_bool)) {
    return absl::InternalError(
        absl::StrCat("Error converting int attribute: ", what,
                     "with value: ", result, " to bool exactly."));
  }
  return result_bool;
}
 
// Invokes setter on a non-error value in statusor or returns the error.
//
// Requires that statusor is a StatusOr<T> and setter(T) is a function.
#define MO_SET_OR_RET(setter, statusor)                                      \
  do {                                                                       \
    auto eval_status_or = statusor;                                          \
    RETURN_IF_ERROR(eval_status_or.status()) << __FILE__ << ":" << __LINE__; \
    setter(*std::move(eval_status_or));                                      \
  } while (false)
 
// Sets the CallbackDataProto.runtime field using the difference between the
// current wall clock time and the start time of the solve.
absl::Status SetRuntime(const GurobiCallbackInput& callback_input,
                        CallbackDataProto& callback_data) {
  return util_time::EncodeGoogleApiProto(absl::Now() - callback_input.start,
                                         callback_data.mutable_runtime());
}
 
// Returns the data for the next callback. Returns nullopt if no callback is
// needed.
absl::StatusOr<std::optional<CallbackDataProto>> CreateCallbackDataProto(
    const Gurobi::CallbackContext& c, const GurobiCallbackInput& callback_input,
    MessageCallbackData& message_callback_data) {
  CallbackDataProto callback_data;
 
  // Query information from Gurobi.
  switch (c.where()) {
    case GRB_CB_PRESOLVE: {
      callback_data.set_event(CALLBACK_EVENT_PRESOLVE);
      CallbackDataProto::PresolveStats* const s =
          callback_data.mutable_presolve_stats();
      MO_SET_OR_RET(s->set_removed_variables, c.CbGetInt(GRB_CB_PRE_COLDEL));
      MO_SET_OR_RET(s->set_removed_constraints, c.CbGetInt(GRB_CB_PRE_ROWDEL));
      MO_SET_OR_RET(s->set_bound_changes, c.CbGetInt(GRB_CB_PRE_BNDCHG));
      MO_SET_OR_RET(s->set_coefficient_changes, c.CbGetInt(GRB_CB_PRE_COECHG));
      break;
    }
    case GRB_CB_SIMPLEX: {
      callback_data.set_event(CALLBACK_EVENT_SIMPLEX);
      CallbackDataProto::SimplexStats* const s =
          callback_data.mutable_simplex_stats();
      MO_SET_OR_RET(s->set_iteration_count, CbGetInt64(c, GRB_CB_SPX_ITRCNT));
      MO_SET_OR_RET(s->set_is_pertubated, CbGetBool(c, GRB_CB_SPX_ISPERT));
      MO_SET_OR_RET(s->set_objective_value, c.CbGetDouble(GRB_CB_SPX_OBJVAL));
      MO_SET_OR_RET(s->set_primal_infeasibility,
                    c.CbGetDouble(GRB_CB_SPX_PRIMINF));
      MO_SET_OR_RET(s->set_dual_infeasibility,
                    c.CbGetDouble(GRB_CB_SPX_DUALINF));
      break;
    }
    case GRB_CB_BARRIER: {
      callback_data.set_event(CALLBACK_EVENT_BARRIER);
      CallbackDataProto::BarrierStats* const s =
          callback_data.mutable_barrier_stats();
      MO_SET_OR_RET(s->set_iteration_count, c.CbGetInt(GRB_CB_BARRIER_ITRCNT));
      MO_SET_OR_RET(s->set_primal_objective,
                    c.CbGetDouble(GRB_CB_BARRIER_PRIMOBJ));
      MO_SET_OR_RET(s->set_dual_objective,
                    c.CbGetDouble(GRB_CB_BARRIER_DUALOBJ));
      MO_SET_OR_RET(s->set_primal_infeasibility,
                    c.CbGetDouble(GRB_CB_BARRIER_PRIMINF));
      MO_SET_OR_RET(s->set_dual_infeasibility,
                    c.CbGetDouble(GRB_CB_BARRIER_DUALINF));
      MO_SET_OR_RET(s->set_complementarity,
                    c.CbGetDouble(GRB_CB_BARRIER_COMPL));
      break;
    }
    case GRB_CB_MIP: {
      callback_data.set_event(CALLBACK_EVENT_MIP);
      CallbackDataProto::MipStats* const s = callback_data.mutable_mip_stats();
      MO_SET_OR_RET(s->set_primal_bound, c.CbGetDouble(GRB_CB_MIP_OBJBST));
      MO_SET_OR_RET(s->set_dual_bound, c.CbGetDouble(GRB_CB_MIP_OBJBND));
      MO_SET_OR_RET(s->set_explored_nodes, CbGetInt64(c, GRB_CB_MIP_NODCNT));
      MO_SET_OR_RET(s->set_open_nodes, CbGetInt64(c, GRB_CB_MIP_NODLFT));
      MO_SET_OR_RET(s->set_simplex_iterations,
                    CbGetInt64(c, GRB_CB_MIP_ITRCNT));
      MO_SET_OR_RET(s->set_number_of_solutions_found,
                    c.CbGetInt(GRB_CB_MIP_SOLCNT));
      MO_SET_OR_RET(s->set_cutting_planes_in_lp, c.CbGetInt(GRB_CB_MIP_CUTCNT));
 
      break;
    }
    case GRB_CB_MIPSOL: {
      callback_data.set_event(CALLBACK_EVENT_MIP_SOLUTION);
      CallbackDataProto::MipStats* const s = callback_data.mutable_mip_stats();
      MO_SET_OR_RET(s->set_primal_bound, c.CbGetDouble(GRB_CB_MIPSOL_OBJBST));
      MO_SET_OR_RET(s->set_dual_bound, c.CbGetDouble(GRB_CB_MIPSOL_OBJBND));
      MO_SET_OR_RET(s->set_explored_nodes, CbGetInt64(c, GRB_CB_MIPSOL_NODCNT));
      MO_SET_OR_RET(s->set_number_of_solutions_found,
                    c.CbGetInt(GRB_CB_MIPSOL_SOLCNT));
      std::vector<double> var_values(callback_input.num_gurobi_vars);
      RETURN_IF_ERROR(
          c.CbGetDoubleArray(GRB_CB_MIPSOL_SOL, absl::MakeSpan(var_values)))
          << "Error reading solution at event MIP_SOLUTION";
      *callback_data.mutable_primal_solution_vector() =
          ApplyFilter(var_values, callback_input.variable_ids,
                      callback_input.mip_solution_filter);
      break;
    }
    case GRB_CB_MIPNODE: {
      callback_data.set_event(CALLBACK_EVENT_MIP_NODE);
      CallbackDataProto::MipStats* const s = callback_data.mutable_mip_stats();
      MO_SET_OR_RET(s->set_primal_bound, c.CbGetDouble(GRB_CB_MIPNODE_OBJBST));
      MO_SET_OR_RET(s->set_dual_bound, c.CbGetDouble(GRB_CB_MIPNODE_OBJBND));
      MO_SET_OR_RET(s->set_explored_nodes,
                    CbGetInt64(c, GRB_CB_MIPNODE_NODCNT));
 
      MO_SET_OR_RET(s->set_number_of_solutions_found,
                    c.CbGetInt(GRB_CB_MIPNODE_SOLCNT));
      const absl::StatusOr<int> grb_status = c.CbGetInt(GRB_CB_MIPNODE_STATUS);
      RETURN_IF_ERROR(grb_status.status())
          << "Error reading solution status at event MIP_NODE";
      if (*grb_status == GRB_OPTIMAL) {
        std::vector<double> var_values(callback_input.num_gurobi_vars);
        RETURN_IF_ERROR(
            c.CbGetDoubleArray(GRB_CB_MIPNODE_REL, absl::MakeSpan(var_values)))
            << "Error reading solution at event MIP_NODE";
        *callback_data.mutable_primal_solution_vector() =
            ApplyFilter(var_values, callback_input.variable_ids,
                        callback_input.mip_node_filter);
        // Note: Gurobi does not offer an objective value for the LP relaxation.
      }
      break;
    }
    default:
      LOG(FATAL) << "Unknown gurobi callback code " << c.where();
  }
 
  RETURN_IF_ERROR(SetRuntime(callback_input, callback_data))
      << "Error encoding runtime at callback event: " << c.where();
 
  return callback_data;
}
 
#undef MO_SET_OR_RET
 
absl::Status ApplyResult(const Gurobi::CallbackContext& context,
                         const GurobiCallbackInput& callback_input,
                         const CallbackResultProto& result,
                         SolveInterrupter& local_interrupter) {
  for (const CallbackResultProto::GeneratedLinearConstraint& cut :
       result.cuts()) {
    std::vector<int> gurobi_vars;
    gurobi_vars.reserve(cut.linear_expression().ids_size());
    for (const int64_t id : cut.linear_expression().ids()) {
      gurobi_vars.push_back(callback_input.variable_ids.at(id));
    }
    std::vector<std::pair<char, double>> sense_bound_pairs;
    if (cut.lower_bound() == cut.upper_bound()) {
      sense_bound_pairs.emplace_back(GRB_EQUAL, cut.upper_bound());
    } else {
      if (cut.upper_bound() < kInf) {
        sense_bound_pairs.emplace_back(GRB_LESS_EQUAL, cut.upper_bound());
      }
      if (cut.lower_bound() > -kInf) {
        sense_bound_pairs.emplace_back(GRB_GREATER_EQUAL, cut.lower_bound());
      }
    }
    for (const auto [sense, bound] : sense_bound_pairs) {
      if (cut.is_lazy()) {
        RETURN_IF_ERROR(context.CbLazy(
            gurobi_vars, cut.linear_expression().values(), sense, bound));
      } else {
        RETURN_IF_ERROR(context.CbCut(
            gurobi_vars, cut.linear_expression().values(), sense, bound));
      }
    }
  }
  for (const SparseDoubleVectorProto& solution_vector :
       result.suggested_solutions()) {
    // TODO(b/175829773): we cannot fill in auxiliary variables from range
    // constraints.
    std::vector<double> gurobi_var_values(callback_input.num_gurobi_vars,
                                          GRB_UNDEFINED);
    for (const auto [id, value] : MakeView(solution_vector)) {
      gurobi_var_values[callback_input.variable_ids.at(id)] = value;
    }
    RETURN_IF_ERROR(context.CbSolution(gurobi_var_values).status());
  }
 
  if (result.terminate()) {
    local_interrupter.Interrupt();
    return absl::OkStatus();
  }
  return absl::OkStatus();
}
 
}  // namespace
 
std::vector<bool> EventToGurobiWhere(
    const absl::flat_hash_set<CallbackEventProto>& events) {
  std::vector<bool> result(kNumGurobiEvents);
  for (const auto event : events) {
    result[GurobiEvent(event)] = true;
  }
  return result;
}
 
absl::Status GurobiCallbackImpl(const Gurobi::CallbackContext& context,
                                const GurobiCallbackInput& callback_input,
                                MessageCallbackData& message_callback_data,
                                SolveInterrupter* const local_interrupter) {
  // Gurobi 9 ignores early calls to GRBterminate(). For example calling
  // GRBterminate() in the first call of a MESSAGE callback only will not
  // interrupt the solve. The rationale is that it is likely Gurobi resets its
  // own internal "terminated" flag at the beginning of the solve but do make
  // some callbacks calls first.
  //
  // Hence here we make sure to call GRBterminate() for every event once the
  // interrupter has been triggered. This in particular includes POLLING which
  // is regularly emitted by Gurobi during the solve.
  if (local_interrupter != nullptr && local_interrupter->IsInterrupted()) {
    context.gurobi()->Terminate();
  }
 
  // The POLLING event is a way for interactive applications that uses Gurobi
  // but don't want to deal with threading to regain some kind of interactivity
  // while a long solve is running by being called back from time to time. No
  // data can be retrieved from this event. This event if thus not wrapped by
  // MathOpt.
  if (context.where() == GRB_CB_POLLING) {
    return absl::OkStatus();
  }
  if (context.where() == GRB_CB_MESSAGE) {
    if (callback_input.message_cb) {
      const absl::StatusOr<std::string> msg = context.CbGetMessage();
      RETURN_IF_ERROR(msg.status())
          << "Error getting message string in callback";
      const std::vector<std::string> lines = message_callback_data.Parse(*msg);
      if (!lines.empty()) {
        callback_input.message_cb(lines);
      }
    }
    return absl::OkStatus();
  }
 
  if (callback_input.user_cb == nullptr ||
      !callback_input.events[context.where()]) {
    return absl::OkStatus();
  }
  // At this point we know we have a user callback, thus we must have a local
  // interrupter to deal with termination.
  CHECK(local_interrupter != nullptr);
 
  ASSIGN_OR_RETURN(
      const std::optional<CallbackDataProto> callback_data,
      CreateCallbackDataProto(context, callback_input, message_callback_data));
  if (!callback_data) {
    return absl::OkStatus();
  }
  const absl::StatusOr<CallbackResultProto> result =
      callback_input.user_cb(*callback_data);
  if (!result.ok()) {
    local_interrupter->Interrupt();
    return result.status();
  }
  RETURN_IF_ERROR(
      ApplyResult(context, callback_input, *result, *local_interrupter));
  return absl::OkStatus();
}
 
void GurobiCallbackImplFlush(const GurobiCallbackInput& callback_input,
                             MessageCallbackData& message_callback_data) {
  const std::vector<std::string> lines = message_callback_data.Flush();
  if (lines.empty()) {
    return;
  }
 
  // Here we know that message_callback_data has only been filled-in if
  // message_cb was not nullptr. Hence it is safe to make this call without
  // testing.
  callback_input.message_cb(lines);
}
 
}  // namespace math_opt
}  // namespace operations_research