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OsiMskSolverInterface.hpp
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1 // Osi interface for Mosek ver. 5.0
2 // Lower versions are not supported
3 //-----------------------------------------------------------------------------
4 // name: OSI Interface for MOSEK
5 // author: Bo Jensen
6 // email: support@MOSEK.com
7 //-----------------------------------------------------------------------------
8 
9 // This code is licensed under the terms of the Eclipse Public License (EPL).
10 
11 #ifndef OsiMskSolverInterface_H
12 #define OsiMskSolverInterface_H
13 
14 #include "OsiSolverInterface.hpp"
15 
16 typedef void* MSKtask_t;
17 typedef void* MSKenv_t;
18 
19 /* MOSEK Solver Interface
20  Instantiation of OsiMskSolverInterface for MOSEK
21 */
22 
24  virtual public OsiSolverInterface {
25  friend void OsiMskSolverInterfaceUnitTest(const std::string & mpsDir, const std::string & netlibDir);
26 public:
27 
28  //---------------------------------------------------------------------------
31  virtual void initialSolve();
33 
35  virtual void resolve();
36 
38  virtual void branchAndBound();
40 
41  //---------------------------------------------------------------------------
57  // Set an integer parameter
58  bool setIntParam(OsiIntParam key, int value);
59  // Set an double parameter
60  bool setDblParam(OsiDblParam key, double value);
61  // Set a string parameter
62  bool setStrParam(OsiStrParam key, const std::string & value);
63  // Get an integer parameter
64  bool getIntParam(OsiIntParam key, int& value) const;
65  // Get an double parameter
66  bool getDblParam(OsiDblParam key, double& value) const;
67  // Get a string parameter
68  bool getStrParam(OsiStrParam key, std::string& value) const;
70 
71  //---------------------------------------------------------------------------
73 
74  virtual bool isAbandoned() const;
77  virtual bool isProvenOptimal() const;
79  virtual bool isProvenPrimalInfeasible() const;
81  virtual bool isProvenDualInfeasible() const;
83  virtual bool isPrimalObjectiveLimitReached() const;
85  virtual bool isDualObjectiveLimitReached() const;
87  virtual bool isIterationLimitReached() const;
89  virtual bool isLicenseError() const;
91  int getRescode() const { return Mskerr; }
93 
94  //---------------------------------------------------------------------------
104 
106  virtual CoinWarmStart* getWarmStart() const;
110  virtual bool setWarmStart(const CoinWarmStart* warmstart);
112 
113  //---------------------------------------------------------------------------
120  virtual void markHotStart();
123  virtual void solveFromHotStart();
125  virtual void unmarkHotStart();
127 
128  //---------------------------------------------------------------------------
143  virtual int getNumCols() const;
145 
147  virtual int getNumRows() const;
148 
150  virtual int getNumElements() const;
151 
153  virtual const double * getColLower() const;
154 
156  virtual const double * getColUpper() const;
157 
167  virtual const char * getRowSense() const;
168 
177  virtual const double * getRightHandSide() const;
178 
187  virtual const double * getRowRange() const;
188 
190  virtual const double * getRowLower() const;
191 
193  virtual const double * getRowUpper() const;
194 
196  virtual const double * getObjCoefficients() const;
197 
199  virtual double getObjSense() const;
200 
202  virtual bool isContinuous(int colNumber) const;
203 
204 #if 0
205  virtual bool isBinary(int columnNumber) const;
207 
212  virtual bool isInteger(int columnNumber) const;
213 
215  virtual bool isIntegerNonBinary(int columnNumber) const;
216 
218  virtual bool isFreeBinary(int columnNumber) const;
219 #endif
220 
222  virtual const CoinPackedMatrix * getMatrixByRow() const;
223 
225  virtual const CoinPackedMatrix * getMatrixByCol() const;
226 
228  virtual double getInfinity() const;
230 
233  virtual const double * getColSolution() const;
235 
237  virtual const double * getRowPrice() const;
238 
240  virtual const double * getReducedCost() const;
241 
244  virtual const double * getRowActivity() const;
245 
247  virtual double getObjValue() const;
248 
251  virtual int getIterationCount() const;
252 
270  virtual std::vector<double*> getDualRays(int maxNumRays,
271  bool fullRay=false) const;
283  virtual std::vector<double*> getPrimalRays(int maxNumRays) const;
284 
285 #if 0
286 
288  virtual OsiVectorInt getFractionalIndices(const double etol=1.e-05)
289  const;
290 #endif
291 
292 
293 
294  //---------------------------------------------------------------------------
295 
298  //-------------------------------------------------------------------------
302  virtual void setObjCoeff( int elementIndex, double elementValue );
303 
305  virtual void setObjCoeffSet(const int* indexFirst,
306  const int* indexLast,
307  const double* coeffList);
308 
311  virtual void setColLower( int elementIndex, double elementValue );
312 
315  virtual void setColUpper( int elementIndex, double elementValue );
316 
320  virtual void setColBounds( int elementIndex,
321  double lower, double upper );
322 
330  virtual void setColSetBounds(const int* indexFirst,
331  const int* indexLast,
332  const double* boundList);
333 
336  virtual void setRowLower( int elementIndex, double elementValue );
337 
340  virtual void setRowUpper( int elementIndex, double elementValue );
341 
345  virtual void setRowBounds( int elementIndex,
346  double lower, double upper );
347 
349  virtual void setRowType(int index, char sense, double rightHandSide,
350  double range);
351 
359  virtual void setRowSetBounds(const int* indexFirst,
360  const int* indexLast,
361  const double* boundList);
362 
372  virtual void setRowSetTypes(const int* indexFirst,
373  const int* indexLast,
374  const char* senseList,
375  const double* rhsList,
376  const double* rangeList);
378 
379  //-------------------------------------------------------------------------
383  virtual void setContinuous(int index);
385  virtual void setInteger(int index);
388  virtual void setContinuous(const int* indices, int len);
391  virtual void setInteger(const int* indices, int len);
393 
394  //-------------------------------------------------------------------------
396  virtual void setObjSense(double s);
397 
408  virtual void setColSolution(const double * colsol);
409 
420  virtual void setRowPrice(const double * rowprice);
421 
422  //-------------------------------------------------------------------------
428  virtual void addCol(const CoinPackedVectorBase& vec,
429  const double collb, const double colub,
430  const double obj);
432  virtual void addCols(const int numcols,
433  const CoinPackedVectorBase * const * cols,
434  const double* collb, const double* colub,
435  const double* obj);
437  virtual void deleteCols(const int num, const int * colIndices);
438 
440  virtual void addRow(const CoinPackedVectorBase& vec,
441  const double rowlb, const double rowub);
443  virtual void addRow(const CoinPackedVectorBase& vec,
444  const char rowsen, const double rowrhs,
445  const double rowrng);
447  virtual void addRows(const int numrows,
448  const CoinPackedVectorBase * const * rows,
449  const double* rowlb, const double* rowub);
451  virtual void addRows(const int numrows,
452  const CoinPackedVectorBase * const * rows,
453  const char* rowsen, const double* rowrhs,
454  const double* rowrng);
456  virtual void deleteRows(const int num, const int * rowIndices);
457 
458 #if 0
459  // ??? implemented in OsiSolverInterface
460  //-----------------------------------------------------------------------
482  virtual ApplyCutsReturnCode applyCuts(const OsiCuts & cs,
483  double effectivenessLb = 0.0);
484 #endif
485 
486 
487 
488  //---------------------------------------------------------------------------
489 
503  virtual void loadProblem(const CoinPackedMatrix& matrix,
504  const double* collb, const double* colub,
505  const double* obj,
506  const double* rowlb, const double* rowub);
507 
515  virtual void assignProblem(CoinPackedMatrix*& matrix,
516  double*& collb, double*& colub, double*& obj,
517  double*& rowlb, double*& rowub);
518 
531  virtual void loadProblem(const CoinPackedMatrix& matrix,
532  const double* collb, const double* colub,
533  const double* obj,
534  const char* rowsen, const double* rowrhs,
535  const double* rowrng);
536 
544  virtual void assignProblem(CoinPackedMatrix*& matrix,
545  double*& collb, double*& colub, double*& obj,
546  char*& rowsen, double*& rowrhs,
547  double*& rowrng);
548 
551  virtual void loadProblem(const int numcols, const int numrows,
552  const int* start, const int* index,
553  const double* value,
554  const double* collb, const double* colub,
555  const double* obj,
556  const double* rowlb, const double* rowub);
557 
560  virtual void loadProblem(const int numcols, const int numrows,
561  const int* start, const int* index,
562  const double* value,
563  const double* collb, const double* colub,
564  const double* obj,
565  const char* rowsen, const double* rowrhs,
566  const double* rowrng);
567 
569  virtual int readMps(const char *filename,
570  const char *extension = "mps");
571 
576  virtual void writeMps(const char *filename,
577  const char *extension = "mps",
578  double objSense=0.0) const;
580 
590 
591  //---------------------------------------------------------------------------
592 
599  {
622  };
623 
624  MSKtask_t getLpPtr( int keepCached = KEEPCACHED_NONE );
625 
630 
632  const char* getCtype() const;
633 
643  static void incrementInstanceCounter();
644 
653  static void decrementInstanceCounter();
654 
656  static unsigned int getNumInstances();
658 
659 
662  OsiMskSolverInterface(MSKenv_t mskenv = NULL);
666 
668  virtual OsiSolverInterface * clone(bool copyData = true) const;
669 
672 
675 
677  virtual ~OsiMskSolverInterface();
679 
680 protected:
681 
684  virtual void applyRowCut( const OsiRowCut & rc );
686 
690  virtual void applyColCut( const OsiColCut & cc );
692 
693 private:
696  void switchToLP();
698 
700  void switchToMIP();
701 
703  void resizeColType( int minsize );
704 
706  void freeColType();
707 
708  bool definedSolution(int solution) const;
709 
710  int solverUsed() const;
711 
713 
716  static MSKenv_t env_ ;
718 
720  //static unsigned int numInstances_;
722  static unsigned int numInstances_;
723 
726 
727  int Mskerr;
729  double ObjOffset_;
730 
732 
734  public: MSKtask_t getMutableLpPtr() const;
735 
737  void gutsOfCopy( const OsiMskSolverInterface & source );
738 
740  void gutsOfConstructor();
741 
743  void gutsOfDestructor();
744 
746  void freeCachedColRim();
747 
749  void freeCachedRowRim();
750 
752  void freeCachedResults();
753 
755  void freeCachedMatrix();
756 
758  void freeCachedData( int keepCached = KEEPCACHED_NONE );
759 
761  void freeAllMemory();
762 
765  mutable MSKtask_t task_;
767 
774 
777  mutable double *obj_;
779 
781  mutable double *collower_;
782 
784  mutable double *colupper_;
785 
787  mutable char *rowsense_;
788 
790  mutable double *rhs_;
791 
793  mutable double *rowrange_;
794 
796  mutable double *rowlower_;
797 
799  mutable double *rowupper_;
800 
802  mutable double *colsol_;
803 
805  mutable double *rowsol_;
806 
808  mutable double *redcost_;
809 
811  mutable double *rowact_;
812 
815 
819 
822  char *coltype_;
824 
827 
829  mutable bool probtypemip_;
830 
832 };
833 
834 //#############################################################################
836 void OsiMskSolverInterfaceUnitTest(const std::string & mpsDir, const std::string & netlibDir);
837 
838 #endif
static void incrementInstanceCounter()
MOSEK has a context which must be created prior to all other MOSEK calls.
char * coltype_
Pointer to dense vector of variable types (continous, binary, integer)
virtual void setColUpper(int elementIndex, double elementValue)
Set a single column upper bound Use COIN_DBL_MAX for infinity.
virtual void setRowBounds(int elementIndex, double lower, double upper)
Set a single row lower and upper bound The default implementation just invokes setRowLower() and set...
MSKtask_t getMutableLpPtr() const
Get task Pointer for const methods.
void freeCachedRowRim()
free cached row rim vectors
static unsigned int getNumInstances()
Return the number of instances of instantiated objects using MOSEK services.
bool setIntParam(OsiIntParam key, int value)
Set an integer parameter.
virtual const double * getRowRange() const
Get pointer to array[getNumRows()] of row ranges.
virtual int getNumElements() const
Get number of nonzero elements.
virtual void resolve()
Resolve an LP relaxation after problem modification.
free only cached row and LP solution information
virtual void deleteRows(const int num, const int *rowIndices)
Delete a set of rows (constraints) from the problem.
virtual bool isIterationLimitReached() const
Iteration limit reached?
virtual bool isIntegerNonBinary(int colIndex) const
Return true if the variable is general integer.
void switchToLP()
switches MOSEK to prob type LP
keepCachedFlag
Get pointer to MOSEK model and free all specified cached data entries (combined with logical or-opera...
void freeCachedData(int keepCached=KEEPCACHED_NONE)
free all cached data (except specified entries, see getLpPtr())
virtual const char * getRowSense() const
Get pointer to array[getNumRows()] of row constraint senses.
virtual bool isDualObjectiveLimitReached() const
Is the given dual objective limit reached?
void passInMessageHandler(CoinMessageHandler *handler)
Pass in a message handler It is the client&#39;s responsibility to destroy a message handler installed by...
virtual void setObjCoeff(int elementIndex, double elementValue)
Set an objective function coefficient.
virtual void setRowType(int index, char sense, double rightHandSide, double range)
Set the type of a single row
double * colsol_
Pointer to primal solution vector.
virtual void loadProblem(const CoinPackedMatrix &matrix, const double *collb, const double *colub, const double *obj, const double *rowlb, const double *rowub)
Load in an problem by copying the arguments (the constraints on the rows are given by lower and upper...
virtual const double * getRowLower() const
Get pointer to array[getNumRows()] of row lower bounds.
int getRescode() const
Get rescode return of last Mosek optimizer call.
virtual void setRowLower(int elementIndex, double elementValue)
Set a single row lower bound Use -COIN_DBL_MAX for -infinity.
int * hotStartCStat_
Hotstart information.
bool setStrParam(OsiStrParam key, const std::string &value)
Set a string parameter.
const char * getCtype() const
return a vector of variable types (continous, binary, integer)
virtual const double * getRightHandSide() const
Get pointer to array[getNumRows()] of rows right-hand sides.
Collections of row cuts and column cuts.
Definition: OsiCuts.hpp:19
Column Cut Class.
Definition: OsiColCut.hpp:23
virtual void unmarkHotStart()
Delete the snapshot.
MSKtask_t getLpPtr(int keepCached=KEEPCACHED_NONE)
void gutsOfDestructor()
The real work of the destructor.
virtual void setObjSense(double s)
Set objective function sense (1 for min (default), -1 for max,)
virtual void applyColCut(const OsiColCut &cc)
Apply a column cut (bound adjustment).
double * rhs_
Pointer to dense vector of row right-hand side values.
virtual void deleteCols(const int num, const int *colIndices)
Remove a set of columns (primal variables) from the problem.
Base class for message handling.
virtual void setObjCoeffSet(const int *indexFirst, const int *indexLast, const double *coeffList)
Set a a set of objective function coefficients.
virtual bool isInteger(int colIndex) const
Return true if the variable is integer.
virtual void addCols(const int numcols, const CoinPackedVectorBase *const *cols, const double *collb, const double *colub, const double *obj)
Add a set of columns (primal variables) to the problem.
virtual bool isPrimalObjectiveLimitReached() const
Is the given primal objective limit reached?
virtual void setRowSetTypes(const int *indexFirst, const int *indexLast, const char *senseList, const double *rhsList, const double *rangeList)
Set the type of a number of rows simultaneously The default implementation just invokes setRowType()...
void freeCachedColRim()
free cached column rim vectors
virtual void assignProblem(CoinPackedMatrix *&matrix, double *&collb, double *&colub, double *&obj, double *&rowlb, double *&rowub)
Load in an problem by assuming ownership of the arguments (the constraints on the rows are given by l...
virtual void setInteger(int index)
Set the index-th variable to be an integer variable.
friend void OsiMskSolverInterfaceUnitTest(const std::string &mpsDir, const std::string &netlibDir)
A function that tests the methods in the OsiMskSolverInterface class.
Abstract Base Class for describing an interface to a solver.
virtual void solveFromHotStart()
Optimize starting from the hotstart.
virtual void setRowSetBounds(const int *indexFirst, const int *indexLast, const double *boundList)
Set the bounds on a number of rows simultaneously The default implementation just invokes setRowLowe...
virtual void setContinuous(int index)
Set the index-th variable to be a continuous variable.
void freeColType()
frees colsize_ vector
discard all cached data (default)
void OsiMskSolverInterfaceUnitTest(const std::string &mpsDir, const std::string &netlibDir)
A function that tests the methods in the OsiMskSolverInterface class.
virtual void addCol(const CoinPackedVectorBase &vec, const double collb, const double colub, const double obj)
Add a column (primal variable) to the problem.
Abstract base class for various sparse vectors.
virtual OsiVectorInt getFractionalIndices(const double etol=1.e-05) const
Get vector of indices of primal variables which are integer variables but have fractional values in t...
virtual bool setWarmStart(const CoinWarmStart *warmstart)
Set warmstarting information.
virtual bool isContinuous(int colNumber) const
Return true if column is continuous.
double * rowupper_
Pointer to dense vector of row upper bounds.
void resizeColType(int minsize)
resizes coltype_ vector to be able to store at least minsize elements
virtual void setColSetBounds(const int *indexFirst, const int *indexLast, const double *boundList)
Set the bounds on a number of columns simultaneously The default implementation just invokes setColl...
std::vector< int > OsiVectorInt
Vector of int.
void * MSKenv_t
virtual const double * getRowActivity() const
Get pointer to array[getNumRows()] of row activity levels (constraint matrix times the solution vecto...
bool getStrParam(OsiStrParam key, std::string &value) const
Get a string parameter.
CoinPackedMatrix * matrixByCol_
Pointer to row-wise copy of problem matrix coefficients.
double * rowrange_
Pointer to dense vector of slack upper bounds for range constraints (undefined for non-range rows) ...
problem matrix: matrix ordered by column and by row
void freeCachedResults()
free cached result vectors
void gutsOfCopy(const OsiMskSolverInterface &source)
The real work of a copy constructor (used by copy and assignment)
virtual void setRowPrice(const double *rowprice)
Set dual solution vector.
virtual int getNumCols() const
Get number of columns.
void freeCachedMatrix()
free cached matrices
double * redcost_
Pointer to reduced cost vector.
int solverUsed() const
virtual const double * getObjCoefficients() const
Get pointer to array[getNumCols()] of objective function coefficients.
virtual bool isBinary(int colIndex) const
Return true if the variable is binary.
virtual CoinWarmStart * getWarmStart() const
Get warmstarting information.
double * collower_
Pointer to dense vector of variable lower bounds.
virtual int getNumRows() const
Get number of rows.
virtual bool isProvenOptimal() const
Is optimality proven?
free only cached column and LP solution information
virtual const double * getRowPrice() const
Get pointer to array[getNumRows()] of dual prices.
int coltypesize_
Size of allocated memory for coltype_.
bool getDblParam(OsiDblParam key, double &value) const
Get a double parameter.
virtual std::vector< double * > getDualRays(int maxNumRays, bool fullRay=false) const
Get as many dual rays as the solver can provide.
bool setDblParam(OsiDblParam key, double value)
Set a double parameter.
Row Cut Class.
Definition: OsiRowCut.hpp:29
virtual const double * getRowUpper() const
Get pointer to array[getNumRows()] of row upper bounds.
virtual void branchAndBound()
Invoke solver&#39;s built-in enumeration algorithm.
char * rowsense_
Pointer to dense vector of row sense indicators.
void switchToMIP()
switches MOSEK to prob type MIP
virtual void setRowUpper(int elementIndex, double elementValue)
Set a single row upper bound Use COIN_DBL_MAX for infinity.
virtual void markHotStart()
Create a hotstart point of the optimization process.
virtual ApplyCutsReturnCode applyCuts(const OsiCuts &cs, double effectivenessLb=0.0)
Apply a collection of cuts.
virtual void setColBounds(int elementIndex, double lower, double upper)
Set a single column lower and upper bound The default implementation just invokes setColLower() and ...
Sparse Matrix Base Class.
void * MSKtask_t
free only cached matrix and LP solution information
row information: right hand sides, ranges and senses, lower and upper bounds for row ...
virtual OsiSolverInterface * clone(bool copyData=true) const
Clone.
bool getIntParam(OsiIntParam key, int &value) const
Get an integer parameter.
virtual ~OsiMskSolverInterface()
Destructor.
virtual const double * getColLower() const
Get pointer to array[getNumCols()] of column lower bounds.
OsiMskSolverInterface & operator=(const OsiMskSolverInterface &rhs)
Assignment operator.
virtual double getInfinity() const
Get solver&#39;s value for infinity.
OsiMskSolverInterface(MSKenv_t mskenv=NULL)
Default Constructor optional argument mskenv can be used to reach in an initialized user environment ...
static MSKenv_t env_
MOSEK environment pointer.
virtual bool isFreeBinary(int colIndex) const
Return true if the variable is binary and not fixed.
double * obj_
Pointer to objective vector.
virtual const double * getReducedCost() const
Get a pointer to array[getNumCols()] of reduced costs.
virtual const double * getColUpper() const
Get pointer to array[getNumCols()] of column upper bounds.
virtual std::vector< double * > getPrimalRays(int maxNumRays) const
Get as many primal rays as the solver can provide.
virtual bool isAbandoned() const
Are there a numerical difficulties?
virtual void initialSolve()
Solve initial LP relaxation.
virtual int getIterationCount() const
Get how many iterations it took to solve the problem (whatever &quot;iteration&quot; mean to the solver...
virtual void writeMps(const char *filename, const char *extension="mps", double objSense=0.0) const
Write the problem into an mps file of the given filename.
virtual int readMps(const char *filename, const char *extension="mps")
Read an mps file from the given filename.
virtual void setColLower(int elementIndex, double elementValue)
Set a single column lower bound Use -COIN_DBL_MAX for -infinity.
static void decrementInstanceCounter()
MOSEK has a context which should be deleted after MOSEK calls.
keep all cached data (similar to getMutableLpPtr())
LP solution: primal and dual solution, reduced costs, row activities.
CoinWarmStart * getEmptyWarmStart() const
Get an empty warm start object.
void gutsOfConstructor()
The real work of the constructor.
MSKenv_t getEnvironmentPtr()
Method to access MOSEK environment pointer.
bool definedSolution(int solution) const
virtual void applyRowCut(const OsiRowCut &rc)
Apply a row cut. Return true if cut was applied.
virtual void addRow(const CoinPackedVectorBase &vec, const double rowlb, const double rowub)
Add a row (constraint) to the problem.
double * colupper_
Pointer to dense vector of variable lower bounds.
column information: objective values, lower and upper bounds, variable types
bool probtypemip_
Stores whether MOSEK&#39; prob type is currently set to MIP.
virtual bool isProvenDualInfeasible() const
Is dual infeasiblity proven?
virtual const double * getColSolution() const
Get pointer to array[getNumCols()] of primal solution vector.
void freeAllMemory()
free all allocated memory
virtual double getObjValue() const
Get objective function value.
static unsigned int numInstances_
Number of live problem instances.
free only cached LP solution information
CoinPackedMatrix * matrixByRow_
Pointer to row-wise copy of problem matrix coefficients.
virtual void setColSolution(const double *colsol)
Set the primal solution column values.
virtual const CoinPackedMatrix * getMatrixByCol() const
Get pointer to column-wise copy of matrix.
Abstract base class for warm start information.
virtual bool isLicenseError() const
Has there been a license problem?
double * rowsol_
Pointer to dual solution vector.
double * rowlower_
Pointer to dense vector of row lower bounds.
virtual bool isProvenPrimalInfeasible() const
Is primal infeasiblity proven?
virtual double getObjSense() const
Get objective function sense (1 for min (default), -1 for max)
virtual void addRows(const int numrows, const CoinPackedVectorBase *const *rows, const double *rowlb, const double *rowub)
Add a set of rows (constraints) to the problem.
double * rowact_
Pointer to row activity (slack) vector.
virtual const CoinPackedMatrix * getMatrixByRow() const
Get pointer to row-wise copy of matrix.
MSKtask_t task_
MOSEK model represented by this class instance.