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ortools-clone/ortools/sat/linear_programming_constraint.cc

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// Copyright 2010-2017 Google
// 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/sat/linear_programming_constraint.h"
#include <cmath>
#include <limits>
#include <string>
#include "ortools/base/commandlineflags.h"
#include "ortools/base/integral_types.h"
#include "ortools/base/logging.h"
#include "ortools/graph/strongly_connected_components.h"
#include "ortools/base/int_type_indexed_vector.h"
#include "ortools/base/map_util.h"
#include "ortools/glop/parameters.pb.h"
#include "ortools/glop/status.h"
#include "ortools/util/time_limit.h"
namespace operations_research {
namespace sat {
const double LinearProgrammingConstraint::kEpsilon = 1e-6;
LinearProgrammingConstraint::LinearProgrammingConstraint(Model* model)
: sat_parameters_(model->GetOrCreate<SatSolver>()->parameters()),
integer_trail_(model->GetOrCreate<IntegerTrail>()),
trail_(model->GetOrCreate<Trail>()),
dispatcher_(model->GetOrCreate<LinearProgrammingDispatcher>()) {
// TODO(user): Find a way to make GetOrCreate<TimeLimit>() construct it by
// default.
time_limit_ = model->Mutable<TimeLimit>();
if (time_limit_ == nullptr) {
model->SetSingleton(TimeLimit::Infinite());
time_limit_ = model->Mutable<TimeLimit>();
}
// Tweak the default parameters to make the solve incremental.
glop::GlopParameters parameters;
parameters.set_use_dual_simplex(true);
simplex_.SetParameters(parameters);
}
LinearProgrammingConstraint::ConstraintIndex
LinearProgrammingConstraint::CreateNewConstraint(double lb, double ub) {
DCHECK(!lp_constraint_is_registered_);
const ConstraintIndex ct = lp_data_.CreateNewConstraint();
lp_data_.SetConstraintBounds(ct, lb, ub);
return ct;
}
glop::ColIndex LinearProgrammingConstraint::GetOrCreateMirrorVariable(
IntegerVariable positive_variable) {
DCHECK(VariableIsPositive(positive_variable));
if (!ContainsKey(integer_variable_to_index_, positive_variable)) {
integer_variable_to_index_[positive_variable] = integer_variables_.size();
integer_variables_.push_back(positive_variable);
mirror_lp_variables_.push_back(lp_data_.CreateNewVariable());
lp_solution_.push_back(std::numeric_limits<double>::infinity());
lp_reduced_cost_.push_back(0.0);
(*dispatcher_)[positive_variable] = this;
}
return mirror_lp_variables_[integer_variable_to_index_[positive_variable]];
}
void LinearProgrammingConstraint::SetCoefficient(ConstraintIndex ct,
IntegerVariable ivar,
double coefficient) {
CHECK(!lp_constraint_is_registered_);
IntegerVariable pos_var = VariableIsPositive(ivar) ? ivar : NegationOf(ivar);
if (ivar != pos_var) coefficient *= -1.0;
glop::ColIndex cvar = GetOrCreateMirrorVariable(pos_var);
lp_data_.SetCoefficient(ct, cvar, coefficient);
}
void LinearProgrammingConstraint::SetObjectiveCoefficient(IntegerVariable ivar,
double coeff) {
CHECK(!lp_constraint_is_registered_);
objective_is_defined_ = true;
IntegerVariable pos_var = VariableIsPositive(ivar) ? ivar : NegationOf(ivar);
if (ivar != pos_var) coeff *= -1.0;
objective_lp_.push_back(
std::make_pair(GetOrCreateMirrorVariable(pos_var), coeff));
}
void LinearProgrammingConstraint::RegisterWith(GenericLiteralWatcher* watcher) {
DCHECK(!lp_constraint_is_registered_);
lp_constraint_is_registered_ = true;
// Note that the order is important so that the lp objective is exactly the
// same as the cp objective after scaling by the factor stored in lp_data_.
if (objective_is_defined_) {
for (const auto& var_coeff : objective_lp_) {
lp_data_.SetObjectiveCoefficient(var_coeff.first, var_coeff.second);
}
}
lp_data_.Scale(&scaler_);
lp_data_.ScaleObjective();
lp_data_.AddSlackVariablesWhereNecessary(false);
const int watcher_id = watcher->Register(this);
const int num_vars = integer_variables_.size();
for (int i = 0; i < num_vars; i++) {
watcher->WatchIntegerVariable(integer_variables_[i], watcher_id, i);
}
if (objective_is_defined_) {
watcher->WatchUpperBound(objective_cp_, watcher_id);
}
watcher->SetPropagatorPriority(watcher_id, 2);
}
void LinearProgrammingConstraint::AddCutGenerator(CutGenerator generator) {
for (const IntegerVariable var : generator.vars) {
GetOrCreateMirrorVariable(VariableIsPositive(var) ? var : NegationOf(var));
}
cut_generators_.push_back(std::move(generator));
}
// Check whether the change breaks the current LP solution.
// Call Propagate() only if it does.
bool LinearProgrammingConstraint::IncrementalPropagate(
const std::vector<int>& watch_indices) {
for (const int index : watch_indices) {
const double lb = static_cast<double>(
integer_trail_->LowerBound(integer_variables_[index]).value());
const double ub = static_cast<double>(
integer_trail_->UpperBound(integer_variables_[index]).value());
const double value = lp_solution_[index];
if (value < lb - kEpsilon || value > ub + kEpsilon) return Propagate();
}
return true;
}
glop::Fractional LinearProgrammingConstraint::GetVariableValueAtCpScale(
glop::ColIndex var) {
return simplex_.GetVariableValue(var) / scaler_.col_scale(var);
}
double LinearProgrammingConstraint::GetSolutionValue(
IntegerVariable variable) const {
return lp_solution_[FindOrDie(integer_variable_to_index_, variable)];
}
double LinearProgrammingConstraint::GetSolutionReducedCost(
IntegerVariable variable) const {
return lp_reduced_cost_[FindOrDie(integer_variable_to_index_, variable)];
}
bool LinearProgrammingConstraint::Propagate() {
// Copy CP state into LP state.
const int num_vars = integer_variables_.size();
for (int i = 0; i < num_vars; i++) {
const IntegerVariable cp_var = integer_variables_[i];
const double lb =
static_cast<double>(integer_trail_->LowerBound(cp_var).value());
const double ub =
static_cast<double>(integer_trail_->UpperBound(cp_var).value());
const double factor = scaler_.col_scale(mirror_lp_variables_[i]);
lp_data_.SetVariableBounds(mirror_lp_variables_[i], lb * factor,
ub * factor);
}
glop::GlopParameters parameters = simplex_.GetParameters();
if (objective_is_defined_) {
// We put a limit on the dual objective since there is no point increasing
// it past our current objective upper-bound (we will already fail as soon
// as we pass it). Note that this limit is properly transformed using the
// objective scaling factor and offset stored in lp_data_.
//
// Note that we use a bigger epsilon here to be sure that if we abort
// because of this, we will report a conflict.
parameters.set_objective_upper_limit(static_cast<double>(
integer_trail_->UpperBound(objective_cp_).value() + 100.0 * kEpsilon));
}
// Put an iteration limit on the work we do in the simplex for this call. Note
// that because we are "incremental", even if we don't solve it this time we
// will make progress towards a solve in the lower node of the tree search.
//
// TODO(user): Put more at the root, and less afterwards?
parameters.set_max_number_of_iterations(500);
simplex_.SetParameters(parameters);
simplex_.NotifyThatMatrixIsUnchangedForNextSolve();
const auto status = simplex_.Solve(lp_data_, time_limit_);
CHECK(status.ok()) << "LinearProgrammingConstraint encountered an error: "
<< status.error_message();
// Add cuts and resolve.
if (!cut_generators_.empty() && num_cuts_ < sat_parameters_.max_num_cuts() &&
(trail_->CurrentDecisionLevel() == 0 ||
!sat_parameters_.only_add_cuts_at_level_zero()) &&
(simplex_.GetProblemStatus() == glop::ProblemStatus::OPTIMAL ||
simplex_.GetProblemStatus() == glop::ProblemStatus::DUAL_FEASIBLE)) {
int num_new_cuts = 0;
for (const CutGenerator& generator : cut_generators_) {
std::vector<double> local_solution;
for (const IntegerVariable var : generator.vars) {
if (VariableIsPositive(var)) {
const int index = integer_variable_to_index_[var];
local_solution.push_back(
GetVariableValueAtCpScale(mirror_lp_variables_[index]));
} else {
const int index = integer_variable_to_index_[NegationOf(var)];
local_solution.push_back(
-GetVariableValueAtCpScale(mirror_lp_variables_[index]));
}
}
std::vector<LinearConstraint> cuts =
generator.generate_cuts(local_solution);
if (cuts.empty()) continue;
// Add the cuts to the LP!
lp_data_.DeleteSlackVariables();
for (const LinearConstraint& cut : cuts) {
++num_new_cuts;
const glop::RowIndex row = lp_data_.CreateNewConstraint();
lp_data_.SetConstraintBounds(row, cut.lb, cut.ub);
for (int i = 0; i < cut.vars.size(); ++i) {
const glop::ColIndex col = GetOrCreateMirrorVariable(cut.vars[i]);
lp_data_.SetCoefficient(row, col,
cut.coeffs[i] / scaler_.col_scale(col));
}
}
}
// Resolve if we added some cuts.
if (num_new_cuts > 0) {
num_cuts_ += num_new_cuts;
VLOG(1) << "#cuts " << num_cuts_;
lp_data_.AddSlackVariablesWhereNecessary(false);
const auto status = simplex_.Solve(lp_data_, time_limit_);
CHECK(status.ok()) << "LinearProgrammingConstraint encountered an error: "
<< status.error_message();
}
}
// A dual-unbounded problem is infeasible. We use the dual ray reason.
if (simplex_.GetProblemStatus() == glop::ProblemStatus::DUAL_UNBOUNDED) {
FillDualRayReason();
return integer_trail_->ReportConflict(integer_reason_);
}
// Optimality deductions if problem has an objective.
if (objective_is_defined_ &&
(simplex_.GetProblemStatus() == glop::ProblemStatus::OPTIMAL ||
simplex_.GetProblemStatus() == glop::ProblemStatus::DUAL_FEASIBLE)) {
// Try to filter optimal objective value. Note that GetObjectiveValue()
// already take care of the scaling so that it returns an objective in the
// CP world.
const double relaxed_optimal_objective = simplex_.GetObjectiveValue();
const IntegerValue old_lb = integer_trail_->LowerBound(objective_cp_);
const IntegerValue new_lb(
static_cast<int64>(std::ceil(relaxed_optimal_objective - kEpsilon)));
if (old_lb < new_lb) {
FillReducedCostsReason();
const IntegerLiteral deduction =
IntegerLiteral::GreaterOrEqual(objective_cp_, new_lb);
if (!integer_trail_->Enqueue(deduction, {}, integer_reason_)) {
return false;
}
}
// Reduced cost strengthening.
const double objective_cp_ub =
static_cast<double>(integer_trail_->UpperBound(objective_cp_).value());
ReducedCostStrengtheningDeductions(objective_cp_ub -
relaxed_optimal_objective);
if (!deductions_.empty()) {
FillReducedCostsReason();
integer_reason_.push_back(
integer_trail_->UpperBoundAsLiteral(objective_cp_));
const int trail_index_with_same_reason = integer_trail_->Index();
for (const IntegerLiteral deduction : deductions_) {
if (!integer_trail_->Enqueue(deduction, {}, integer_reason_,
trail_index_with_same_reason)) {
return false;
}
}
}
}
// Copy current LP solution.
if (simplex_.GetProblemStatus() == glop::ProblemStatus::OPTIMAL) {
const double objective_scale = lp_data_.objective_scaling_factor();
for (int i = 0; i < num_vars; i++) {
lp_solution_[i] = GetVariableValueAtCpScale(mirror_lp_variables_[i]);
lp_reduced_cost_[i] = simplex_.GetReducedCost(mirror_lp_variables_[i]) *
scaler_.col_scale(mirror_lp_variables_[i]) *
objective_scale;
}
}
return true;
}
void LinearProgrammingConstraint::FillReducedCostsReason() {
integer_reason_.clear();
const int num_vars = integer_variables_.size();
for (int i = 0; i < num_vars; i++) {
// TODO(user): try to extend the bounds that are put in the
// explanation of feasibility: can we compute bounds of variables for which
// the objective would still not be low/high enough for the problem to be
// feasible? If the violation minimum is 10 and a variable has rc 1,
// then decreasing it by 9 would still leave the problem infeasible.
// Using this could allow to generalize some explanations.
const double rc = simplex_.GetReducedCost(mirror_lp_variables_[i]);
if (rc > kEpsilon) {
integer_reason_.push_back(
integer_trail_->LowerBoundAsLiteral(integer_variables_[i]));
} else if (rc < -kEpsilon) {
integer_reason_.push_back(
integer_trail_->UpperBoundAsLiteral(integer_variables_[i]));
}
}
}
void LinearProgrammingConstraint::FillDualRayReason() {
integer_reason_.clear();
const int num_vars = integer_variables_.size();
for (int i = 0; i < num_vars; i++) {
// TODO(user): Like for FillReducedCostsReason(), the bounds could be
// extended here. Actually, the "dual ray cost updates" is the reduced cost
// of an optimal solution if we were optimizing one direction of one basic
// variable. The simplex_ interface would need to be slightly extended to
// retrieve the basis column in question and the variable values though.
const double rc =
simplex_.GetDualRayRowCombination()[mirror_lp_variables_[i]];
if (rc > kEpsilon) {
integer_reason_.push_back(
integer_trail_->LowerBoundAsLiteral(integer_variables_[i]));
} else if (rc < -kEpsilon) {
integer_reason_.push_back(
integer_trail_->UpperBoundAsLiteral(integer_variables_[i]));
}
}
}
void LinearProgrammingConstraint::ReducedCostStrengtheningDeductions(
double cp_objective_delta) {
deductions_.clear();
// TRICKY: while simplex_.GetObjectiveValue() use the objective scaling factor
// stored in the lp_data_, all the other functions like GetReducedCost() or
// GetVariableValue() do not.
const double lp_objective_delta =
cp_objective_delta / lp_data_.objective_scaling_factor();
const int num_vars = integer_variables_.size();
for (int i = 0; i < num_vars; i++) {
const IntegerVariable cp_var = integer_variables_[i];
const glop::ColIndex lp_var = mirror_lp_variables_[i];
const double rc = simplex_.GetReducedCost(lp_var);
const double value = simplex_.GetVariableValue(lp_var);
const double lp_other_bound = value + lp_objective_delta / rc;
const double cp_other_bound = lp_other_bound / scaler_.col_scale(lp_var);
if (rc > kEpsilon) {
const double ub =
static_cast<double>(integer_trail_->UpperBound(cp_var).value());
const double new_ub = std::floor(cp_other_bound + kEpsilon);
if (new_ub < ub) {
const IntegerValue new_ub_int(static_cast<IntegerValue>(new_ub));
deductions_.push_back(IntegerLiteral::LowerOrEqual(cp_var, new_ub_int));
}
} else if (rc < -kEpsilon) {
const double lb =
static_cast<double>(integer_trail_->LowerBound(cp_var).value());
const double new_lb = std::ceil(cp_other_bound - kEpsilon);
if (new_lb > lb) {
const IntegerValue new_lb_int(static_cast<IntegerValue>(new_lb));
deductions_.push_back(
IntegerLiteral::GreaterOrEqual(cp_var, new_lb_int));
}
}
}
}
// We use a basic algorithm to detect components that are not connected to the
// rest of the graph in the LP solution, and add cuts to force some arcs to
// enter and leave this component from outside.
CutGenerator CreateStronglyConnectedGraphCutGenerator(
int num_nodes, const std::vector<int>& tails, const std::vector<int>& heads,
const std::vector<IntegerVariable>& vars) {
CutGenerator result;
result.vars = vars;
result.generate_cuts = [num_nodes, tails, heads,
vars](const std::vector<double>& lp_solution) {
int num_arcs_in_lp_solution = 0;
std::vector<std::vector<int>> graph(num_nodes);
for (int i = 0; i < lp_solution.size(); ++i) {
// TODO(user): a more advanced algorithm consist of adding the arcs
// in the decreasing order of their lp_solution, and for each strongly
// connected components S along the way, try to add the corresponding
// cuts. We can stop as soon as there is only two components left, after
// adding the corresponding cut.
if (lp_solution[i] > 1e-6) {
++num_arcs_in_lp_solution;
graph[tails[i]].push_back(heads[i]);
}
}
std::vector<LinearConstraint> cuts;
std::vector<std::vector<int>> components;
FindStronglyConnectedComponents(num_nodes, graph, &components);
if (components.size() == 1) return cuts;
VLOG(1) << "num_arcs_in_lp_solution:" << num_arcs_in_lp_solution
<< " sccs:" << components.size();
for (const std::vector<int>& component : components) {
if (component.size() == 1) continue;
// TODO(user): we could use a sparser algorithm, even if this do not
// seems to matter for now.
LinearConstraint incoming;
LinearConstraint outgoing;
double sum_incoming = 0.0;
double sum_outgoing = 0.0;
incoming.lb = outgoing.lb = 1.0;
incoming.ub = outgoing.ub = std::numeric_limits<double>::infinity();
const std::set<int> component_as_set(component.begin(), component.end());
for (int i = 0; i < tails.size(); ++i) {
const bool out = ContainsKey(component_as_set, tails[i]);
const bool in = ContainsKey(component_as_set, heads[i]);
if (out && in) continue;
if (out) {
sum_outgoing += lp_solution[i];
outgoing.vars.push_back(vars[i]);
outgoing.coeffs.push_back(1.0);
}
if (in) {
sum_incoming += lp_solution[i];
incoming.vars.push_back(vars[i]);
incoming.coeffs.push_back(1.0);
}
}
if (sum_incoming < 1.0 - 1e-6) cuts.push_back(std::move(incoming));
if (sum_outgoing < 1.0 - 1e-6) cuts.push_back(std::move(outgoing));
// In this case, the cuts for each component are the same.
if (components.size() == 2) break;
}
return cuts;
};
return result;
}
std::function<LiteralIndex()> HeuristicLPMostInfeasibleBinary(Model* model) {
// Gather all 0-1 variables that appear in some LP.
IntegerTrail* integer_trail = model->GetOrCreate<IntegerTrail>();
LinearProgrammingDispatcher* dispatcher =
model->GetOrCreate<LinearProgrammingDispatcher>();
std::vector<IntegerVariable> variables;
for (const auto entry : *dispatcher) {
IntegerVariable var = entry.first;
if (integer_trail->LowerBound(var) == 0 &&
integer_trail->UpperBound(var) == 1) {
variables.push_back(var);
}
}
std::sort(variables.begin(), variables.end());
LOG(INFO) << "HeuristicLPMostInfeasibleBinary has " << variables.size()
<< " variables.";
IntegerEncoder* integer_encoder = model->GetOrCreate<IntegerEncoder>();
SatSolver* sat_solver = model->GetOrCreate<SatSolver>();
return [variables, dispatcher, integer_trail, integer_encoder, sat_solver]() {
const double kEpsilon = 1e-6;
// Find most fractional value.
IntegerVariable fractional_var = kNoIntegerVariable;
double fractional_distance_best = -1.0;
for (const IntegerVariable var : variables) {
// Check variable is not ignored and unfixed.
if (integer_trail->IsCurrentlyIgnored(var)) continue;
const IntegerValue lb = integer_trail->LowerBound(var);
const IntegerValue ub = integer_trail->UpperBound(var);
if (lb == ub) continue;
// Check variable's support is fractional.
LinearProgrammingConstraint* lp = (*dispatcher)[var];
const double lp_value = lp->GetSolutionValue(var);
const double fractional_distance =
std::min(std::ceil(lp_value - kEpsilon) - lp_value,
lp_value - std::floor(lp_value + kEpsilon));
if (fractional_distance < kEpsilon) continue;
// Keep variable if it is farther from integrality than the previous.
if (fractional_distance > fractional_distance_best) {
fractional_var = var;
fractional_distance_best = fractional_distance;
}
}
if (fractional_var != kNoIntegerVariable) {
return integer_encoder
->GetOrCreateAssociatedLiteral(
IntegerLiteral::GreaterOrEqual(fractional_var, IntegerValue(1)))
.Index();
}
return kNoLiteralIndex;
};
}
std::function<LiteralIndex()> HeuristicLPPseudoCostBinary(Model* model) {
// Gather all 0-1 variables that appear in some LP.
IntegerTrail* integer_trail = model->GetOrCreate<IntegerTrail>();
LinearProgrammingDispatcher* dispatcher =
model->GetOrCreate<LinearProgrammingDispatcher>();
std::vector<IntegerVariable> variables;
for (const auto entry : *dispatcher) {
IntegerVariable var = entry.first;
if (integer_trail->LowerBound(var) == 0 &&
integer_trail->UpperBound(var) == 1) {
variables.push_back(var);
}
}
std::sort(variables.begin(), variables.end());
LOG(INFO) << "HeuristicLPPseudoCostBinary has " << variables.size()
<< " variables.";
// Store average of reduced cost from 1 to 0. The best heuristic only sets
// variables to one and cares about cost to zero, even though classic
// pseudocost will use max_var std::min(cost_to_one[var], cost_to_zero[var]).
const int num_vars = variables.size();
std::vector<double> cost_to_zero(num_vars, 0.0);
std::vector<int> num_cost_to_zero(num_vars);
int num_calls = 0;
IntegerEncoder* integer_encoder = model->GetOrCreate<IntegerEncoder>();
return [=]() mutable {
const double kEpsilon = 1e-6;
// Every 10000 calls, decay pseudocosts.
num_calls++;
if (num_calls == 10000) {
for (int i = 0; i < num_vars; i++) {
cost_to_zero[i] /= 2;
num_cost_to_zero[i] /= 2;
}
num_calls = 0;
}
// Accumulate pseudo-costs of all unassigned variables.
for (int i = 0; i < num_vars; i++) {
const IntegerVariable var = variables[i];
if (integer_trail->LowerBound(var) == integer_trail->UpperBound(var))
continue;
LinearProgrammingConstraint* lp = (*dispatcher)[var];
const double rc = lp->GetSolutionReducedCost(var);
// Skip reduced costs that are nonzero because of numerical issues.
if (std::abs(rc) < kEpsilon) continue;
const double value = std::round(lp->GetSolutionValue(var));
if (value == 1.0 && rc < 0.0) {
cost_to_zero[i] -= rc;
num_cost_to_zero[i]++;
}
}
// Select noninstantiated variable with highest pseudo-cost.
int selected_index = -1;
double best_cost = 0.0;
for (int i = 0; i < num_vars; i++) {
const IntegerVariable var = variables[i];
if (integer_trail->LowerBound(var) == integer_trail->UpperBound(var)) {
continue;
}
if (num_cost_to_zero[i] > 0 &&
best_cost < cost_to_zero[i] / num_cost_to_zero[i]) {
best_cost = cost_to_zero[i] / num_cost_to_zero[i];
selected_index = i;
}
}
if (selected_index >= 0) {
const Literal decision = integer_encoder->GetOrCreateAssociatedLiteral(
IntegerLiteral::GreaterOrEqual(variables[selected_index],
IntegerValue(1)));
return decision.Index();
}
return kNoLiteralIndex;
};
}
} // namespace sat
} // namespace operations_research