// 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. #ifndef OR_TOOLS_MATH_OPT_CPP_SOLVE_RESULT_H_ #define OR_TOOLS_MATH_OPT_CPP_SOLVE_RESULT_H_ #include #include #include #include #include "absl/time/time.h" #include "absl/types/span.h" #include "ortools/base/logging.h" #include "ortools/gscip/gscip.pb.h" #include "ortools/math_opt/core/model_storage.h" #include "ortools/math_opt/cpp/enums.h" // IWYU pragma: export #include "ortools/math_opt/cpp/linear_constraint.h" #include "ortools/math_opt/cpp/solution.h" // IWYU pragma: export #include "ortools/math_opt/cpp/variable_and_expressions.h" #include "ortools/math_opt/result.pb.h" // IWYU pragma: export namespace operations_research { namespace math_opt { // Problem feasibility status as claimed by the solver (solver is not required // to return a certificate for the claim). enum class FeasibilityStatus { // Solver does not claim a status. kUndetermined = FEASIBILITY_STATUS_UNDETERMINED, // Solver claims the problem is feasible. kFeasible = FEASIBILITY_STATUS_FEASIBLE, // Solver claims the problem is infeasible. kInfeasible = FEASIBILITY_STATUS_INFEASIBLE, }; MATH_OPT_DEFINE_ENUM(FeasibilityStatus, FEASIBILITY_STATUS_UNSPECIFIED); // Feasibility status of the primal problem and its dual (or the dual of a // continuous relaxation) as claimed by the solver. The solver is not required // to return a certificate for the claim (e.g. the solver may claim primal // feasibility without returning a primal feasible solutuion). This combined // status gives a comprehensive description of a solver's claims about // feasibility and unboundedness of the solved problem. For instance, // * a feasible status for primal and dual problems indicates the primal is // feasible and bounded and likely has an optimal solution (guaranteed for // problems without non-linear constraints). // * a primal feasible and a dual infeasible status indicates the primal // problem is unbounded (i.e. has arbitrarily good solutions). // Note that a dual infeasible status by itself (i.e. accompanied by an // undetermined primal status) does not imply the primal problem is unbounded as // we could have both problems be infeasible. Also, while a primal and dual // feasible status may imply the existence of an optimal solution, it does not // guarantee the solver has actually found such optimal solution. struct ProblemStatus { // Status for the primal problem. FeasibilityStatus primal_status = FeasibilityStatus::kUndetermined; // Status for the dual problem (or for the dual of a continuous relaxation). FeasibilityStatus dual_status = FeasibilityStatus::kUndetermined; // If true, the solver claims the primal or dual problem is infeasible, but // it does not know which (or if both are infeasible). Can be true only when // primal_problem_status = dual_problem_status = kUndetermined. This extra // information is often needed when preprocessing determines there is no // optimal solution to the problem (but can't determine if it is due to // infeasibility, unboundedness, or both). bool primal_or_dual_infeasible = false; static ProblemStatus FromProto( const ProblemStatusProto& problem_status_proto); ProblemStatusProto ToProto() const; std::string ToString() const; }; std::ostream& operator<<(std::ostream& ostr, const ProblemStatus& status); struct SolveStats { // Elapsed wall clock time as measured by math_opt, roughly the time inside // Solver::Solve(). Note: this does not include work done building the model. absl::Duration solve_time = absl::ZeroDuration(); // TODO(b/195295177): Update to add clearer contracts once PDLP's bounds // contract is clarified. // Solver claims the optimal value is equal or better (smaller for // minimization and larger for maximization) than best_primal_bound: // * best_primal_bound is trivial (+inf for minimization and -inf // maximization) when the solver does not claim to have such bound. This // may happen for some solvers (e.g., PDLP, typically continuous solvers) // even when returning optimal (solver could terminate with slightly // infeasible primal solutions). // * best_primal_bound can be closer to the optimal value than the objective // of the best primal feasible solution. In particular, best_primal_bound // may be non-trivial even when no primal feasible solutions are returned. // * best_dual_bound is always better (smaller for minimization and larger // for maximization) than best_primal_bound. double best_primal_bound = 0.0; // Solver claims the optimal value is equal or worse (larger for // minimization and smaller for maximization) than best_dual_bound: // * best_dual_bound is always better (smaller for minimization and larger // for maximization) than best_primal_bound. // * best_dual_bound is trivial (-inf for minimization and +inf // maximization) when the solver does not claim to have such bound. // Similarly to best_primal_bound, this may happen for some solvers even // when returning optimal. MIP solvers will typically report a bound even // if it is imprecise. // * for continuous problems best_dual_bound can be closer to the optimal // value than the objective of the best dual feasible solution. For MIP // one of the first non-trivial values for best_dual_bound is often the // optimal value of the LP relaxation of the MIP. double best_dual_bound = 0.0; // Feasibility statuses for primal and dual problems. ProblemStatus problem_status; int simplex_iterations = 0; int barrier_iterations = 0; int first_order_iterations = 0; int node_count = 0; // Will CHECK fail on invalid input, if problem_status is invalid. static SolveStats FromProto(const SolveStatsProto& solve_stats_proto); SolveStatsProto ToProto() const; std::string ToString() const; }; std::ostream& operator<<(std::ostream& ostr, const SolveStats& stats); // The reason a call to Solve() terminates. enum class TerminationReason { // A provably optimal solution (up to numerical tolerances) has been found. kOptimal = TERMINATION_REASON_OPTIMAL, // The primal problem has no feasible solutions. kInfeasible = TERMINATION_REASON_INFEASIBLE, // The primal problem is feasible and arbitrarily good solutions can be // found along a primal ray. kUnbounded = TERMINATION_REASON_UNBOUNDED, // The primal problem is either infeasible or unbounded. More details on the // problem status may be available in solve_stats.problem_status. Note that // Gurobi's unbounded status may be mapped here as explained in // go/mathopt-solver-specific#gurobi-inf-or-unb. kInfeasibleOrUnbounded = TERMINATION_REASON_INFEASIBLE_OR_UNBOUNDED, // The problem was solved to one of the criteria above (Optimal, Infeasible, // Unbounded, or InfeasibleOrUnbounded), but one or more tolerances was not // met. Some primal/dual solutions/rays be present, but either they will be // slightly infeasible, or (if the problem was nearly optimal) their may be // a gap between the best solution objective and best objective bound. // // Users can still query primal/dual solutions/rays and solution stats, but // they are responsible for dealing with the numerical imprecision. kImprecise = TERMINATION_REASON_IMPRECISE, // The optimizer reached some kind of limit and a primal feasible solution // is returned. See SolveResultProto.limit_detail for detailed description of // the kind of limit that was reached. kFeasible = TERMINATION_REASON_FEASIBLE, // The optimizer reached some kind of limit and it did not find a primal // feasible solution. See SolveResultProto.limit_detail for detailed // description of the kind of limit that was reached. kNoSolutionFound = TERMINATION_REASON_NO_SOLUTION_FOUND, // The algorithm stopped because it encountered unrecoverable numerical // error. No solution information is available. kNumericalError = TERMINATION_REASON_NUMERICAL_ERROR, // The algorithm stopped because of an error not covered by one of the // statuses defined above. No solution information is available. kOtherError = TERMINATION_REASON_OTHER_ERROR }; MATH_OPT_DEFINE_ENUM(TerminationReason, TERMINATION_REASON_UNSPECIFIED); // When a Solve() stops early with TerminationReason kFeasible or // kNoSolutionFound, the specific limit that was hit. enum class Limit { // Used if the underlying solver cannot determine which limit was reached, or // as a null value when we terminated not from a limit (e.g. kOptimal). kUndetermined = LIMIT_UNDETERMINED, // An iterative algorithm stopped after conducting the maximum number of // iterations (e.g. simplex or barrier iterations). kIteration = LIMIT_ITERATION, // The algorithm stopped after a user-specified computation time. kTime = LIMIT_TIME, // A branch-and-bound algorithm stopped because it explored a maximum number // of nodes in the branch-and-bound tree. kNode = LIMIT_NODE, // The algorithm stopped because it found the required number of solutions. // This is often used in MIPs to get the solver to return the first feasible // solution it encounters. kSolution = LIMIT_SOLUTION, // The algorithm stopped because it ran out of memory. kMemory = LIMIT_MEMORY, // The solver was run with a cutoff (e.g. SolveParameters.cutoff_limit was // set) on the objective, indicating that the user did not want any solution // worse than the cutoff, and the solver concluded there were no solutions at // least as good as the cutoff. Typically no further solution information is // provided. kCutoff = LIMIT_CUTOFF, // The algorithm stopped because it found a solution better than a minimum // limit set by the user. kObjective = LIMIT_OBJECTIVE, // The algorithm stopped because the norm of an iterate became too large. kNorm = LIMIT_NORM, // The algorithm stopped because of an interrupt signal or a user interrupt // request. kInterrupted = LIMIT_INTERRUPTED, // The algorithm stopped because it was unable to continue making progress // towards the solution. kSlowProgress = LIMIT_SLOW_PROGRESS, // The algorithm stopped due to a limit not covered by one of the above. Note // that kUndetermined is used when the reason cannot be determined, and kOther // is used when the reason is known but does not fit into any of the above // alternatives. kOther = LIMIT_OTHER }; MATH_OPT_DEFINE_ENUM(Limit, LIMIT_UNSPECIFIED); // All information regarding why a call to Solve() terminated. struct Termination { // When the reason is kFeasible or kNoSolutionFound, please use the static // functions Feasible and NoSolutionFound. explicit Termination(TerminationReason reason, std::string detail = {}); TerminationReason reason; // Is set iff reason is kFeasible or kNoSolutionFound. std::optional limit; // Additional typically solver specific information about termination. // Not all solvers can always determine the limit which caused termination, // Limit::kUndetermined is used when the cause cannot be determined. std::string detail; // Returns true if a limit was reached (i.e. if reason is kFeasible or // kNoSolutionFound, and limit is not empty). bool limit_reached() const; // Will CHECK fail on invalid input, if reason is unspecified, if limit is // set when reason is not TERMINATION_REASON_FEASIBLE or // TERMINATION_REASON_NO_SOLUTION_FOUND, or if limit is unspecified when // reason is TERMINATION_REASON_FEASIBLE or // TERMINATION_REASON_NO_SOLUTION_FOUND (see solution_validator.h). static Termination FromProto(const TerminationProto& termination_proto); // Sets the reason to kFeasible static Termination Feasible(Limit limit, std::string detail = {}); // Sets the reason to kNoSolutionFound static Termination NoSolutionFound(Limit limit, std::string detail = {}); TerminationProto ToProto() const; std::string ToString() const; }; std::ostream& operator<<(std::ostream& ostr, const Termination& termination); // The result of solving an optimization problem with Solve(). struct SolveResult { explicit SolveResult(Termination termination) : termination(std::move(termination)) {} // The reason the solver stopped. Termination termination; // Statistics on the solve process, e.g. running time, iterations. SolveStats solve_stats; // Basic solutions use, as of Nov 2021: // * All convex optimization solvers (LP, convex QP) return only one // solution as a primal dual pair. // * Only MI(Q)P solvers return more than one solution. MIP solvers do not // return any dual information, or primal infeasible solutions. Solutions // are returned in order of best primal objective first. Gurobi solves // nonconvex QP (integer or continuous) as MIQP. // The general contract for the order of solutions that future solvers should // implement is to order by: // 1. The solutions with a primal feasible solution, ordered by best primal // objective first. // 2. The solutions with a dual feasible solution, ordered by best dual // objective (unknown dual objective is worst) // 3. All remaining solutions can be returned in any order. std::vector solutions; // Directions of unbounded primal improvement, or equivalently, dual // infeasibility certificates. Typically provided for TerminationReasons // kUnbounded and kInfeasibleOrUnbounded. std::vector primal_rays; // Directions of unbounded dual improvement, or equivalently, primal // infeasibility certificates. Typically provided for TerminationReason // kInfeasible. std::vector dual_rays; // Solver specific output from Gscip. Only populated if Gscip is used. GScipOutput gscip_solver_specific_output; static SolveResult FromProto(const ModelStorage* model, const SolveResultProto& solve_result_proto); absl::Duration solve_time() const { return solve_stats.solve_time; } // Indicates if at least one primal feasible solution is available. // // When termination.reason is TerminationReason::kOptimal, this is guaranteed // to be true and need not be checked. bool has_primal_feasible_solution() const; // The objective value of the best primal feasible solution. Will CHECK fail // if there are no primal feasible solutions. double objective_value() const; // A bound on the best possible objective value. double best_objective_bound() const; // The variable values from the best primal feasible solution. Will CHECK fail // if there are no primal feasible solutions. const VariableMap& variable_values() const; // Returns true only if the problem has been shown to be feasible and bounded. bool bounded() const; // Indicates if at least one primal ray is available. // // This is NOT guaranteed to be true when termination.reason is // TerminationReason::kUnbounded or TerminationReason::kInfeasibleOrUnbounded. bool has_ray() const { return !primal_rays.empty(); } // The variable values from the first primal ray. Will CHECK fail if there // are no primal rays. const VariableMap& ray_variable_values() const; // Indicates if the best primal solution has an associated dual feasible // solution. // // This is NOT guaranteed to be true when termination.reason is // TerminationReason::kOptimal. It also may be true even when the best primal // solution is not feasible. bool has_dual_feasible_solution() const; // The dual values from the best dual solution. Will CHECK fail if there // are no dual solutions. const LinearConstraintMap& dual_values() const; // The reduced from the best dual solution. Will CHECK fail if there // are no dual solutions. const VariableMap& reduced_costs() const; // Indicates if at least one dual ray is available. // // This is NOT guaranteed to be true when termination.reason is // TerminationReason::kInfeasible. bool has_dual_ray() const { return !dual_rays.empty(); } // The dual values from the first dual ray. Will CHECK fail if there // are no dual rays. const LinearConstraintMap& ray_dual_values() const; // The reduced from the first dual ray. Will CHECK fail if there // are no dual rays. const VariableMap& ray_reduced_costs() const; // Indicates if at least one basis is available. bool has_basis() const; // The constraint basis status for the first primal/dual pair. const LinearConstraintMap& constraint_status() const; // The variable basis status for the first primal/dual pair. const VariableMap& variable_status() const; }; } // namespace math_opt } // namespace operations_research #endif // OR_TOOLS_MATH_OPT_CPP_SOLVE_RESULT_H_