// Osi interface for Mosek ver. 5.0 // Lower versions are not supported //----------------------------------------------------------------------------- // name: OSI Interface for MOSEK // author: Bo Jensen // email: support@MOSEK.com //----------------------------------------------------------------------------- // This code is licensed under the terms of the Eclipse Public License (EPL). #ifndef OsiMskSolverInterface_H #define OsiMskSolverInterface_H #include "OsiSolverInterface.hpp" #include "OsiMskConfig.h" typedef void* MSKtask_t; typedef void* MSKenv_t; /* MOSEK Solver Interface Instantiation of OsiMskSolverInterface for MOSEK */ class OSIMSKLIB_EXPORT OsiMskSolverInterface : virtual public OsiSolverInterface { friend void OsiMskSolverInterfaceUnitTest(const std::string & mpsDir, const std::string & netlibDir); public: //--------------------------------------------------------------------------- /**@name Solve methods */ //@{ /// Solve initial LP relaxation virtual void initialSolve(); /// Resolve an LP relaxation after problem modification virtual void resolve(); /// Invoke solver's built-in enumeration algorithm virtual void branchAndBound(); //@} //--------------------------------------------------------------------------- /**@name Parameter set/get methods The set methods return true if the parameter was set to the given value, false otherwise. There can be various reasons for failure: the given parameter is not applicable for the solver (e.g., refactorization frequency for the volume algorithm), the parameter is not yet implemented for the solver or simply the value of the parameter is out of the range the solver accepts. If a parameter setting call returns false check the details of your solver. The get methods return true if the given parameter is applicable for the solver and is implemented. In this case the value of the parameter is returned in the second argument. Otherwise they return false. */ //@{ // Set an integer parameter bool setIntParam(OsiIntParam key, int value); // Set an double parameter bool setDblParam(OsiDblParam key, double value); // Set a string parameter bool setStrParam(OsiStrParam key, const std::string & value); // Get an integer parameter bool getIntParam(OsiIntParam key, int& value) const; // Get an double parameter bool getDblParam(OsiDblParam key, double& value) const; // Get a string parameter bool getStrParam(OsiStrParam key, std::string& value) const; //@} //--------------------------------------------------------------------------- ///@name Methods returning info on how the solution process terminated //@{ /// Are there a numerical difficulties? virtual bool isAbandoned() const; /// Is optimality proven? virtual bool isProvenOptimal() const; /// Is primal infeasiblity proven? virtual bool isProvenPrimalInfeasible() const; /// Is dual infeasiblity proven? virtual bool isProvenDualInfeasible() const; /// Is the given primal objective limit reached? virtual bool isPrimalObjectiveLimitReached() const; /// Is the given dual objective limit reached? virtual bool isDualObjectiveLimitReached() const; /// Iteration limit reached? virtual bool isIterationLimitReached() const; /// Has there been a license problem? virtual bool isLicenseError() const; /// Get rescode return of last Mosek optimizer call int getRescode() const { return Mskerr; } //@} //--------------------------------------------------------------------------- /**@name WarmStart related methods */ /*! \brief Get an empty warm start object This routine returns an empty CoinWarmStartBasis object. Its purpose is to provide a way to give a client a warm start basis object of the appropriate type, which can resized and modified as desired. */ CoinWarmStart* getEmptyWarmStart () const; //@{ /// Get warmstarting information virtual CoinWarmStart* getWarmStart() const; /** Set warmstarting information. Return true/false depending on whether the warmstart information was accepted or not. */ virtual bool setWarmStart(const CoinWarmStart* warmstart); //@} //--------------------------------------------------------------------------- /**@name Hotstart related methods (primarily used in strong branching).
The user can create a hotstart (a snapshot) of the optimization process then reoptimize over and over again always starting from there.
NOTE: between hotstarted optimizations only bound changes are allowed. */ //@{ /// Create a hotstart point of the optimization process virtual void markHotStart(); /// Optimize starting from the hotstart virtual void solveFromHotStart(); /// Delete the snapshot virtual void unmarkHotStart(); //@} //--------------------------------------------------------------------------- /**@name Problem information methods These methods call the solver's query routines to return information about the problem referred to by the current object. Querying a problem that has no data associated with it result in zeros for the number of rows and columns, and NULL pointers from the methods that return vectors. Const pointers returned from any data-query method are valid as long as the data is unchanged and the solver is not called. */ //@{ /**@name Methods related to querying the input data */ //@{ /// Get number of columns virtual int getNumCols() const; /// Get number of rows virtual int getNumRows() const; /// Get number of nonzero elements virtual int getNumElements() const; /// Get pointer to array[getNumCols()] of column lower bounds virtual const double * getColLower() const; /// Get pointer to array[getNumCols()] of column upper bounds virtual const double * getColUpper() const; /** Get pointer to array[getNumRows()] of row constraint senses. */ virtual const char * getRowSense() const; /** Get pointer to array[getNumRows()] of rows right-hand sides */ virtual const double * getRightHandSide() const; /** Get pointer to array[getNumRows()] of row ranges. */ virtual const double * getRowRange() const; /// Get pointer to array[getNumRows()] of row lower bounds virtual const double * getRowLower() const; /// Get pointer to array[getNumRows()] of row upper bounds virtual const double * getRowUpper() const; /// Get pointer to array[getNumCols()] of objective function coefficients virtual const double * getObjCoefficients() const; /// Get objective function sense (1 for min (default), -1 for max) virtual double getObjSense() const; /// Return true if column is continuous virtual bool isContinuous(int colNumber) const; #if 0 /// Return true if column is binary virtual bool isBinary(int columnNumber) const; /** Return true if column is integer. Note: This function returns true if the the column is binary or a general integer. */ virtual bool isInteger(int columnNumber) const; /// Return true if column is general integer virtual bool isIntegerNonBinary(int columnNumber) const; /// Return true if column is binary and not fixed at either bound virtual bool isFreeBinary(int columnNumber) const; #endif /// Get pointer to row-wise copy of matrix virtual const CoinPackedMatrix * getMatrixByRow() const; /// Get pointer to column-wise copy of matrix virtual const CoinPackedMatrix * getMatrixByCol() const; /// Get solver's value for infinity virtual double getInfinity() const; //@} /**@name Methods related to querying the solution */ //@{ /// Get pointer to array[getNumCols()] of primal solution vector virtual const double * getColSolution() const; /// Get pointer to array[getNumRows()] of dual prices virtual const double * getRowPrice() const; /// Get a pointer to array[getNumCols()] of reduced costs virtual const double * getReducedCost() const; /** Get pointer to array[getNumRows()] of row activity levels (constraint matrix times the solution vector */ virtual const double * getRowActivity() const; /// Get objective function value virtual double getObjValue() const; /** Get how many iterations it took to solve the problem (whatever "iteration" mean to the solver. */ virtual int getIterationCount() const; /** Get as many dual rays as the solver can provide. (In case of proven primal infeasibility there should be at least one.) The first getNumRows() ray components will always be associated with the row duals (as returned by getRowPrice()). If \c fullRay is true, the final getNumCols() entries will correspond to the ray components associated with the nonbasic variables. If the full ray is requested and the method cannot provide it, it will throw an exception. NOTE for implementers of solver interfaces:
The double pointers in the vector should point to arrays of length getNumRows() and they should be allocated via new[].
NOTE for users of solver interfaces:
It is the user's responsibility to free the double pointers in the vector using delete[]. */ virtual std::vector getDualRays(int maxNumRays, bool fullRay=false) const; /** Get as many primal rays as the solver can provide. (In case of proven dual infeasibility there should be at least one.) NOTE for implementers of solver interfaces:
The double pointers in the vector should point to arrays of length getNumCols() and they should be allocated via new[].
NOTE for users of solver interfaces:
It is the user's responsibility to free the double pointers in the vector using delete[]. */ virtual std::vector getPrimalRays(int maxNumRays) const; #if 0 /** Get vector of indices of solution which are integer variables presently at fractional values */ virtual OsiVectorInt getFractionalIndices(const double etol=1.e-05) const; #endif //@} //@} //--------------------------------------------------------------------------- /**@name Problem modifying methods */ //@{ //------------------------------------------------------------------------- /**@name Changing bounds on variables and constraints */ //@{ /** Set an objective function coefficient */ virtual void setObjCoeff( int elementIndex, double elementValue ); /** Set a a set of objective function coefficients */ virtual void setObjCoeffSet(const int* indexFirst, const int* indexLast, const double* coeffList); /** Set a single column lower bound
Use -COIN_DBL_MAX for -infinity. */ virtual void setColLower( int elementIndex, double elementValue ); /** Set a single column upper bound
Use COIN_DBL_MAX for infinity. */ virtual void setColUpper( int elementIndex, double elementValue ); /** Set a single column lower and upper bound
The default implementation just invokes setColLower() and setColUpper() */ virtual void setColBounds( int elementIndex, double lower, double upper ); /** Set the bounds on a number of columns simultaneously
The default implementation just invokes setCollower() and setColupper() over and over again. @param [indexfirst,indexLast] contains the indices of the constraints whose either bound changes @param boundList the new lower/upper bound pairs for the variables */ virtual void setColSetBounds(const int* indexFirst, const int* indexLast, const double* boundList); /** Set a single row lower bound
Use -COIN_DBL_MAX for -infinity. */ virtual void setRowLower( int elementIndex, double elementValue ); /** Set a single row upper bound
Use COIN_DBL_MAX for infinity. */ virtual void setRowUpper( int elementIndex, double elementValue ); /** Set a single row lower and upper bound
The default implementation just invokes setRowLower() and setRowUpper() */ virtual void setRowBounds( int elementIndex, double lower, double upper ); /** Set the type of a single row
*/ virtual void setRowType(int index, char sense, double rightHandSide, double range); /** Set the bounds on a number of rows simultaneously
The default implementation just invokes setRowLower() and setRowUpper() over and over again. @param [indexfirst,indexLast] contains the indices of the constraints whose either bound changes @param boundList the new lower/upper bound pairs for the constraints */ virtual void setRowSetBounds(const int* indexFirst, const int* indexLast, const double* boundList); /** Set the type of a number of rows simultaneously
The default implementation just invokes setRowType() and over and over again. @param [indexfirst,indexLast] contains the indices of the constraints whose type changes @param senseList the new senses @param rhsList the new right hand sides @param rangeList the new ranges */ virtual void setRowSetTypes(const int* indexFirst, const int* indexLast, const char* senseList, const double* rhsList, const double* rangeList); //@} //------------------------------------------------------------------------- /**@name Integrality related changing methods */ //@{ /** Set the index-th variable to be a continuous variable */ virtual void setContinuous(int index); /** Set the index-th variable to be an integer variable */ virtual void setInteger(int index); /** Set the variables listed in indices (which is of length len) to be continuous variables */ virtual void setContinuous(const int* indices, int len); /** Set the variables listed in indices (which is of length len) to be integer variables */ virtual void setInteger(const int* indices, int len); //@} //------------------------------------------------------------------------- /// Set objective function sense (1 for min (default), -1 for max,) virtual void setObjSense(double s); /** Set the primal solution column values colsol[numcols()] is an array of values of the problem column variables. These values are copied to memory owned by the solver object or the solver. They will be returned as the result of colsol() until changed by another call to setColsol() or by a call to any solver routine. Whether the solver makes use of the solution in any way is solver-dependent. */ virtual void setColSolution(const double * colsol); /** Set dual solution vector rowprice[numrows()] is an array of values of the problem row dual variables. These values are copied to memory owned by the solver object or the solver. They will be returned as the result of rowprice() until changed by another call to setRowprice() or by a call to any solver routine. Whether the solver makes use of the solution in any way is solver-dependent. */ virtual void setRowPrice(const double * rowprice); //------------------------------------------------------------------------- /**@name Methods to expand a problem.
Note that if a column is added then by default it will correspond to a continuous variable. */ //@{ /** */ virtual void addCol(const CoinPackedVectorBase& vec, const double collb, const double colub, const double obj); /** */ virtual void addCols(const int numcols, const CoinPackedVectorBase * const * cols, const double* collb, const double* colub, const double* obj); /** */ virtual void deleteCols(const int num, const int * colIndices); /** */ virtual void addRow(const CoinPackedVectorBase& vec, const double rowlb, const double rowub); /** */ virtual void addRow(const CoinPackedVectorBase& vec, const char rowsen, const double rowrhs, const double rowrng); /** */ virtual void addRows(const int numrows, const CoinPackedVectorBase * const * rows, const double* rowlb, const double* rowub); /** */ virtual void addRows(const int numrows, const CoinPackedVectorBase * const * rows, const char* rowsen, const double* rowrhs, const double* rowrng); /** */ virtual void deleteRows(const int num, const int * rowIndices); #if 0 // ??? implemented in OsiSolverInterface //----------------------------------------------------------------------- /** Apply a collection of cuts.
Only cuts which have an effectiveness >= effectivenessLb are applied. */ virtual ApplyCutsReturnCode applyCuts(const OsiCuts & cs, double effectivenessLb = 0.0); #endif //@} //@} //--------------------------------------------------------------------------- /**@name Methods to input a problem */ //@{ /** Load in an problem by copying the arguments (the constraints on the rows are given by lower and upper bounds). If a pointer is 0 then the following values are the default: */ 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 assuming ownership of the arguments (the constraints on the rows are given by lower and upper bounds). For default values see the previous method.
WARNING: The arguments passed to this method will be freed using the C++ delete and delete[] functions. */ virtual void assignProblem(CoinPackedMatrix*& matrix, double*& collb, double*& colub, double*& obj, double*& rowlb, double*& rowub); /** Load in an problem by copying the arguments (the constraints on the rows are given by sense/rhs/range triplets). If a pointer is 0 then the following values are the default: */ virtual void loadProblem(const CoinPackedMatrix& matrix, const double* collb, const double* colub, const double* obj, const char* rowsen, const double* rowrhs, const double* rowrng); /** Load in an problem by assuming ownership of the arguments (the constraints on the rows are given by sense/rhs/range triplets). For default values see the previous method.
WARNING: The arguments passed to this method will be freed using the C++ delete and delete[] functions. */ virtual void assignProblem(CoinPackedMatrix*& matrix, double*& collb, double*& colub, double*& obj, char*& rowsen, double*& rowrhs, double*& rowrng); /** Just like the other loadProblem() methods except that the matrix is given in a standard column major ordered format (without gaps). */ virtual void loadProblem(const int numcols, const int numrows, const int* start, const int* index, const double* value, const double* collb, const double* colub, const double* obj, const double* rowlb, const double* rowub); /** Just like the other loadProblem() methods except that the matrix is given in a standard column major ordered format (without gaps). */ virtual void loadProblem(const int numcols, const int numrows, const int* start, const int* index, const double* value, const double* collb, const double* colub, const double* obj, const char* rowsen, const double* rowrhs, const double* rowrng); /** Read an mps file from the given filename */ virtual int readMps(const char *filename, const char *extension = "mps"); /** Write the problem into an mps file of the given filename. If objSense is non zero then -1.0 forces the code to write a maximization objective and +1.0 to write a minimization one. If 0.0 then solver can do what it wants */ virtual void writeMps(const char *filename, const char *extension = "mps", double objSense=0.0) const; //@} /**@name Message handling */ //@{ /** Pass in a message handler It is the client's responsibility to destroy a message handler installed by this routine; it will not be destroyed when the solver interface is destroyed. */ void passInMessageHandler(CoinMessageHandler * handler); //@} //--------------------------------------------------------------------------- /**@name MOSEK specific public interfaces */ //@{ /** Get pointer to MOSEK model and free all specified cached data entries (combined with logical or-operator '|' ): */ enum keepCachedFlag { /// discard all cached data (default) KEEPCACHED_NONE = 0, /// column information: objective values, lower and upper bounds, variable types KEEPCACHED_COLUMN = 1, /// row information: right hand sides, ranges and senses, lower and upper bounds for row KEEPCACHED_ROW = 2, /// problem matrix: matrix ordered by column and by row KEEPCACHED_MATRIX = 4, /// LP solution: primal and dual solution, reduced costs, row activities KEEPCACHED_RESULTS = 8, /// only discard cached LP solution KEEPCACHED_PROBLEM = KEEPCACHED_COLUMN | KEEPCACHED_ROW | KEEPCACHED_MATRIX, /// keep all cached data (similar to getMutableLpPtr()) KEEPCACHED_ALL = KEEPCACHED_PROBLEM | KEEPCACHED_RESULTS, /// free only cached column and LP solution information FREECACHED_COLUMN = KEEPCACHED_PROBLEM & ~KEEPCACHED_COLUMN, /// free only cached row and LP solution information FREECACHED_ROW = KEEPCACHED_PROBLEM & ~KEEPCACHED_ROW, /// free only cached matrix and LP solution information FREECACHED_MATRIX = KEEPCACHED_PROBLEM & ~KEEPCACHED_MATRIX, /// free only cached LP solution information FREECACHED_RESULTS = KEEPCACHED_ALL & ~KEEPCACHED_RESULTS }; MSKtask_t getLpPtr( int keepCached = KEEPCACHED_NONE ); //@{ /// Method to access MOSEK environment pointer MSKenv_t getEnvironmentPtr(); //@} /// return a vector of variable types (continous, binary, integer) const char* getCtype() const; /**@name Static instance counter methods */ /** MOSEK has a context which must be created prior to all other MOSEK calls. This method: */ static void incrementInstanceCounter(); /** MOSEK has a context which should be deleted after MOSEK calls. This method: */ static void decrementInstanceCounter(); /// Return the number of instances of instantiated objects using MOSEK services. static unsigned int getNumInstances(); //@} //@} /**@name Constructors and destructor */ //@{ /// Default Constructor /// optional argument mskenv can be used to reach in an initialized user environment /// OsiMsk assumes membership of mskenv, so it will be freed when the last instanciation of OsiMsk is deleted OsiMskSolverInterface(MSKenv_t mskenv = NULL); /// Clone virtual OsiSolverInterface * clone(bool copyData = true) const; /// Copy constructor OsiMskSolverInterface( const OsiMskSolverInterface& ); /// Assignment operator OsiMskSolverInterface& operator=( const OsiMskSolverInterface& rhs ); /// Destructor virtual ~OsiMskSolverInterface(); //@} protected: /**@name Protected methods */ //@{ /// Apply a row cut. Return true if cut was applied. virtual void applyRowCut( const OsiRowCut & rc ); /** Apply a column cut (bound adjustment). Return true if cut was applied. */ virtual void applyColCut( const OsiColCut & cc ); //@} private: /**@name Private static class functions */ //@{ /// switches MOSEK to prob type LP void switchToLP(); /// switches MOSEK to prob type MIP void switchToMIP(); /// resizes coltype_ vector to be able to store at least minsize elements void resizeColType( int minsize ); /// frees colsize_ vector void freeColType(); bool definedSolution(int solution) const; int solverUsed() const; //@} /**@name Private static class data */ //@{ /// MOSEK environment pointer static MSKenv_t env_ ; /// Number of live problem instances //static unsigned int numInstances_; //@} static unsigned int numInstances_; /**@name Private methods */ //@{ int Mskerr; int MSKsolverused_; double ObjOffset_; int InitialSolver; /// Get task Pointer for const methods public: MSKtask_t getMutableLpPtr() const; /// The real work of a copy constructor (used by copy and assignment) void gutsOfCopy( const OsiMskSolverInterface & source ); /// The real work of the constructor void gutsOfConstructor(); /// The real work of the destructor void gutsOfDestructor(); /// free cached column rim vectors void freeCachedColRim(); /// free cached row rim vectors void freeCachedRowRim(); /// free cached result vectors void freeCachedResults(); /// free cached matrices void freeCachedMatrix(); /// free all cached data (except specified entries, see getLpPtr()) void freeCachedData( int keepCached = KEEPCACHED_NONE ); /// free all allocated memory void freeAllMemory(); /**@name Private member data */ //@{ /// MOSEK model represented by this class instance mutable MSKtask_t task_; /// Hotstart information int *hotStartCStat_; int hotStartCStatSize_; int *hotStartRStat_; int hotStartRStatSize_; int hotStartMaxIteration_; /**@name Cached information derived from the MOSEK model */ //@{ /// Pointer to objective vector mutable double *obj_; /// Pointer to dense vector of variable lower bounds mutable double *collower_; /// Pointer to dense vector of variable lower bounds mutable double *colupper_; /// Pointer to dense vector of row sense indicators mutable char *rowsense_; /// Pointer to dense vector of row right-hand side values mutable double *rhs_; /// Pointer to dense vector of slack upper bounds for range constraints (undefined for non-range rows) mutable double *rowrange_; /// Pointer to dense vector of row lower bounds mutable double *rowlower_; /// Pointer to dense vector of row upper bounds mutable double *rowupper_; /// Pointer to primal solution vector mutable double *colsol_; /// Pointer to dual solution vector mutable double *rowsol_; /// Pointer to reduced cost vector mutable double *redcost_; /// Pointer to row activity (slack) vector mutable double *rowact_; /// Pointer to row-wise copy of problem matrix coefficients. mutable CoinPackedMatrix *matrixByRow_; /// Pointer to row-wise copy of problem matrix coefficients. mutable CoinPackedMatrix *matrixByCol_; //@} /**@name Additional information needed for storing MIP problems */ //@{ /// Pointer to dense vector of variable types (continous, binary, integer) char *coltype_; /// Size of allocated memory for coltype_ int coltypesize_; /// Stores whether MOSEK' prob type is currently set to MIP mutable bool probtypemip_; //@} }; #endif