An implementation of the Feasibility pump that uses linearization and Ipopt to find the two sequences of points. More...
#include <CouenneFeasPump.hpp>
Public Types | |
enum | fpCompDistIntType { FP_DIST_INT, FP_DIST_ALL, FP_DIST_POST } |
enum | fpCutPlane { FP_CUT_NONE, FP_CUT_INTEGRATED, FP_CUT_EXTERNAL, FP_CUT_POST } |
enum | fpTabuMgtPolicy { FP_TABU_NONE, FP_TABU_POOL, FP_TABU_PERTURB, FP_TABU_CUT } |
Public Member Functions | |
CouenneFeasPump (CouenneProblem *couenne=NULL, CouenneCutGenerator *cg=NULL, Ipopt::SmartPtr< Ipopt::OptionsList > options=NULL) | |
Constructor with (optional) MINLP pointer. | |
CouenneFeasPump (const CouenneFeasPump &other) | |
Copy constructor. | |
virtual | ~CouenneFeasPump () |
Destructor. | |
virtual CbcHeuristic * | clone () const |
Clone. | |
CouenneFeasPump & | operator= (const CouenneFeasPump &rhs) |
Assignment operator. | |
virtual void | resetModel (CbcModel *model) |
Does nothing, but necessary as CbcHeuristic declares it pure virtual. | |
virtual int | solution (double &objectiveValue, double *newSolution) |
Run heuristic, return 1 if a better solution than the one passed is found and 0 otherwise. | |
void | setNumberSolvePerLevel (int value) |
set number of nlp's solved for each given level of the tree | |
CouNumber | solveMILP (CouNumber *nSol, CouNumber *&iSol, int niter, int *nsuciter) |
find integer (possibly NLP-infeasible) point isol closest (according to the l-1 norm of the hessian) to the current NLP-feasible (but fractional) solution nsol | |
CouNumber | solveNLP (CouNumber *nSol, CouNumber *&iSol) |
obtain solution to NLP | |
expression * | updateNLPObj (const double *) |
set new expression as the NLP objective function using argument as point to minimize distance from. | |
void | fixIntVariables (double *sol) |
admits a (possibly fractional) solution and fixes the integer components in the nonlinear problem for later re-solve | |
double | findSolution (double *&sol, int niter, int *nsuciter) |
find feasible solution (called by solveMILP ()) | |
void | init_MILP () |
initialize all solvers at the first call, where the initial MILP is built | |
void | initIpoptApp () |
Common code for initializing non-smartptr ipopt application. | |
CouenneProblem * | Problem () const |
return pointer to problem | |
enum fpCompDistIntType | compDistInt () const |
return type of MILP solved | |
double | multDistNLP () const |
Return Weights in computing distance, in both MILP and NLP (must sum up to 1 for MILP and for NLP):. | |
double | multHessNLP () const |
weight of Hessian in NLP | |
double | multObjFNLP () const |
weight of objective in NLP | |
double | multDistMILP () const |
weight of distance in MILP | |
double | multHessMILP () const |
weight of Hessian in MILP | |
double | multObjFMILP () const |
weight of objective in MILP | |
CouenneTNLP * | nlp () const |
return NLP | |
Static Public Member Functions | |
static void | registerOptions (Ipopt::SmartPtr< Bonmin::RegisteredOptions >) |
initialize options to be read later | |
Private Attributes | |
CouenneProblem * | problem_ |
Couenne representation of the problem. | |
CouenneCutGenerator * | couenneCG_ |
CouenneCutGenerator for linearization cuts. | |
CouenneTNLP * | nlp_ |
Continuous relaxation of the problem, with an interface for Ipopt only. | |
Ipopt::IpoptApplication * | app_ |
Ipopt Application pointer for solving NLPs. | |
OsiSolverInterface * | milp_ |
MILP relaxation of the MINLP (used to find integer non-NLP-feasible solution). | |
OsiSolverInterface * | postlp_ |
LP relaxation of the MINLP used when fixing integer variables (used for compDistInt_ in FP_DIST_POST and possibly FP_DIST_INT). | |
CouenneFPpool * | pool_ |
Pool of solutions. | |
std::set< CouenneFPsolution, compareSol > | tabuPool_ |
Solutions to avoid. | |
int | numberSolvePerLevel_ |
Number of NLPs solved for each given level of the tree. | |
double | multDistNLP_ |
Weights in computing distance, in both MILP and NLP (must sum up to 1 for MILP and for NLP):. | |
double | multHessNLP_ |
weight of Hessian in NLP | |
double | multObjFNLP_ |
weight of objective in NLP | |
double | multDistMILP_ |
weight of distance in MILP | |
double | multHessMILP_ |
weight of Hessian in MILP | |
double | multObjFMILP_ |
weight of objective in MILP | |
enum fpCompDistIntType | compDistInt_ |
compute distance from integer variables only, not all variables; | |
enum fpCutPlane | milpCuttingPlane_ |
Separate convexification cuts during or after MILP. | |
int | nSepRounds_ |
Number of separation rounds for MILP convexification cuts. | |
int | maxIter_ |
maximum iterations per call | |
bool | useSCIP_ |
use SCIP instead of Cbc for solving MILPs | |
int | milpMethod_ |
Which SCIP MILP method to use. | |
enum fpTabuMgtPolicy | tabuMgt_ |
Tabu management policy: none, use from pool, random perturbation of current solution. |
An implementation of the Feasibility pump that uses linearization and Ipopt to find the two sequences of points.
Definition at line 48 of file CouenneFeasPump.hpp.
Definition at line 52 of file CouenneFeasPump.hpp.
Definition at line 53 of file CouenneFeasPump.hpp.
Definition at line 54 of file CouenneFeasPump.hpp.
CouenneFeasPump::CouenneFeasPump | ( | CouenneProblem * | couenne = NULL , |
|
CouenneCutGenerator * | cg = NULL , |
|||
Ipopt::SmartPtr< Ipopt::OptionsList > | options = NULL | |||
) |
Constructor with (optional) MINLP pointer.
Definition at line 55 of file CouenneFeasPumpConstructors.cpp.
CouenneFeasPump::CouenneFeasPump | ( | const CouenneFeasPump & | other | ) |
Copy constructor.
Definition at line 152 of file CouenneFeasPumpConstructors.cpp.
CouenneFeasPump::~CouenneFeasPump | ( | ) | [virtual] |
Destructor.
Definition at line 251 of file CouenneFeasPumpConstructors.cpp.
CbcHeuristic * CouenneFeasPump::clone | ( | ) | const [virtual] |
Clone.
Definition at line 198 of file CouenneFeasPumpConstructors.cpp.
CouenneFeasPump & CouenneFeasPump::operator= | ( | const CouenneFeasPump & | rhs | ) |
Assignment operator.
Definition at line 203 of file CouenneFeasPumpConstructors.cpp.
virtual void Couenne::CouenneFeasPump::resetModel | ( | CbcModel * | model | ) | [inline, virtual] |
Does nothing, but necessary as CbcHeuristic declares it pure virtual.
Definition at line 74 of file CouenneFeasPump.hpp.
int CouenneFeasPump::solution | ( | double & | objectiveValue, | |
double * | newSolution | |||
) | [virtual] |
Run heuristic, return 1 if a better solution than the one passed is found and 0 otherwise.
objectiveValue Best known solution in input and value of solution found in output
newSolution Solution found by heuristic.
Definition at line 39 of file CouenneFeasPump.cpp.
void Couenne::CouenneFeasPump::setNumberSolvePerLevel | ( | int | value | ) | [inline] |
set number of nlp's solved for each given level of the tree
Definition at line 86 of file CouenneFeasPump.hpp.
CouNumber CouenneFeasPump::solveMILP | ( | CouNumber * | nSol, | |
CouNumber *& | iSol, | |||
int | niter, | |||
int * | nsuciter | |||
) |
find integer (possibly NLP-infeasible) point isol closest (according to the l-1 norm of the hessian) to the current NLP-feasible (but fractional) solution nsol
find integer (possibly NLP-infeasible) point isol closest (according to the l-1 norm of the Hessian) to the current NLP-feasible (but fractional) solution nsol
Definition at line 52 of file CouenneFPSolveMILP.cpp.
obtain solution to NLP
obtain continuous (if fractional) solution
Definition at line 27 of file CouenneFPSolveNLP.cpp.
expression * CouenneFeasPump::updateNLPObj | ( | const double * | iSol | ) |
set new expression as the NLP objective function using argument as point to minimize distance from.
Set new expression as the NLP objective function using argument as point to minimize distance from.
Return new objective function
Return new objective function.
Definition at line 265 of file CouenneFeasPumpConstructors.cpp.
void CouenneFeasPump::fixIntVariables | ( | double * | sol | ) |
admits a (possibly fractional) solution and fixes the integer components in the nonlinear problem for later re-solve
Reads a (possibly fractional) solution and fixes the integer components in the nonlinear problem for later re-solve.
Definition at line 419 of file CouenneFeasPumpConstructors.cpp.
void CouenneFeasPump::registerOptions | ( | Ipopt::SmartPtr< Bonmin::RegisteredOptions > | roptions | ) | [static] |
initialize options to be read later
initialize options
Definition at line 459 of file CouenneFeasPumpConstructors.cpp.
double CouenneFeasPump::findSolution | ( | double *& | sol, | |
int | niter, | |||
int * | nsuciter | |||
) |
find feasible solution (called by solveMILP ())
find a feasible or optimal solution of MILP
as found on the notes, these methods can be used, from the most expensive and accurate (exact) method to a cheap, inexact one:
1. Solve a MILP relaxation with Manhattan distance as objective 2. Partially solve the MILP with emphasis on good solutions 3. Apply RENS to 1 4. Use Objective FP 2.0 for MILPs 5. round-and-propagate 6. choose from pool, see 4 7. random perturbation
solve MILP
Definition at line 28 of file CouenneFPFindSolution.cpp.
void CouenneFeasPump::init_MILP | ( | ) |
initialize all solvers at the first call, where the initial MILP is built
initialize MILP solvers if needed
Definition at line 482 of file CouenneFPFindSolution.cpp.
void CouenneFeasPump::initIpoptApp | ( | ) |
Common code for initializing non-smartptr ipopt application.
Definition at line 31 of file CouenneFeasPumpConstructors.cpp.
CouenneProblem* Couenne::CouenneFeasPump::Problem | ( | ) | const [inline] |
return pointer to problem
Definition at line 125 of file CouenneFeasPump.hpp.
enum fpCompDistIntType Couenne::CouenneFeasPump::compDistInt | ( | ) | const [inline] |
return type of MILP solved
Definition at line 129 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multDistNLP | ( | ) | const [inline] |
Return Weights in computing distance, in both MILP and NLP (must sum up to 1 for MILP and for NLP):.
weight of distance in NLP
Definition at line 135 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multHessNLP | ( | ) | const [inline] |
weight of Hessian in NLP
Definition at line 136 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multObjFNLP | ( | ) | const [inline] |
weight of objective in NLP
Definition at line 137 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multDistMILP | ( | ) | const [inline] |
weight of distance in MILP
Definition at line 139 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multHessMILP | ( | ) | const [inline] |
weight of Hessian in MILP
Definition at line 140 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multObjFMILP | ( | ) | const [inline] |
weight of objective in MILP
Definition at line 141 of file CouenneFeasPump.hpp.
CouenneTNLP* Couenne::CouenneFeasPump::nlp | ( | ) | const [inline] |
return NLP
Definition at line 144 of file CouenneFeasPump.hpp.
CouenneProblem* Couenne::CouenneFeasPump::problem_ [private] |
Couenne representation of the problem.
Definition at line 155 of file CouenneFeasPump.hpp.
CouenneCutGenerator for linearization cuts.
Definition at line 158 of file CouenneFeasPump.hpp.
CouenneTNLP* Couenne::CouenneFeasPump::nlp_ [private] |
Continuous relaxation of the problem, with an interface for Ipopt only.
Definition at line 169 of file CouenneFeasPump.hpp.
Ipopt::IpoptApplication* Couenne::CouenneFeasPump::app_ [private] |
Ipopt Application pointer for solving NLPs.
Definition at line 172 of file CouenneFeasPump.hpp.
OsiSolverInterface* Couenne::CouenneFeasPump::milp_ [private] |
MILP relaxation of the MINLP (used to find integer non-NLP-feasible solution).
Definition at line 176 of file CouenneFeasPump.hpp.
OsiSolverInterface* Couenne::CouenneFeasPump::postlp_ [private] |
LP relaxation of the MINLP used when fixing integer variables (used for compDistInt_ in FP_DIST_POST and possibly FP_DIST_INT).
Definition at line 181 of file CouenneFeasPump.hpp.
CouenneFPpool* Couenne::CouenneFeasPump::pool_ [private] |
Pool of solutions.
Definition at line 184 of file CouenneFeasPump.hpp.
std::set<CouenneFPsolution, compareSol> Couenne::CouenneFeasPump::tabuPool_ [private] |
Solutions to avoid.
Definition at line 187 of file CouenneFeasPump.hpp.
int Couenne::CouenneFeasPump::numberSolvePerLevel_ [private] |
Number of NLPs solved for each given level of the tree.
Definition at line 194 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multDistNLP_ [private] |
Weights in computing distance, in both MILP and NLP (must sum up to 1 for MILP and for NLP):.
weight of distance in NLP
Definition at line 199 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multHessNLP_ [private] |
weight of Hessian in NLP
Definition at line 200 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multObjFNLP_ [private] |
weight of objective in NLP
Definition at line 201 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multDistMILP_ [private] |
weight of distance in MILP
Definition at line 203 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multHessMILP_ [private] |
weight of Hessian in MILP
Definition at line 204 of file CouenneFeasPump.hpp.
double Couenne::CouenneFeasPump::multObjFMILP_ [private] |
weight of objective in MILP
Definition at line 205 of file CouenneFeasPump.hpp.
enum fpCompDistIntType Couenne::CouenneFeasPump::compDistInt_ [private] |
compute distance from integer variables only, not all variables;
Definition at line 208 of file CouenneFeasPump.hpp.
enum fpCutPlane Couenne::CouenneFeasPump::milpCuttingPlane_ [private] |
Separate convexification cuts during or after MILP.
Definition at line 211 of file CouenneFeasPump.hpp.
int Couenne::CouenneFeasPump::nSepRounds_ [private] |
Number of separation rounds for MILP convexification cuts.
Definition at line 214 of file CouenneFeasPump.hpp.
int Couenne::CouenneFeasPump::maxIter_ [private] |
maximum iterations per call
Definition at line 217 of file CouenneFeasPump.hpp.
bool Couenne::CouenneFeasPump::useSCIP_ [private] |
use SCIP instead of Cbc for solving MILPs
Definition at line 220 of file CouenneFeasPump.hpp.
int Couenne::CouenneFeasPump::milpMethod_ [private] |
Which SCIP MILP method to use.
Definition at line 223 of file CouenneFeasPump.hpp.
enum fpTabuMgtPolicy Couenne::CouenneFeasPump::tabuMgt_ [private] |
Tabu management policy: none, use from pool, random perturbation of current solution.
Definition at line 226 of file CouenneFeasPump.hpp.