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Add ReducedCost attribute to speedup query of reduced costs of variables #211

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merged 3 commits into from
Nov 29, 2023
Merged

Add ReducedCost attribute to speedup query of reduced costs of variables #211

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be1a328
cleanup get bounds
May 24, 2023
aea1a3a
add ReducedCost
May 24, 2023
6432567
update checked macro
guilhermebodin May 30, 2023
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71 changes: 57 additions & 14 deletions src/MOI/MOI_wrapper.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -1375,6 +1375,7 @@ function _throw_if_existing_lower(
if existing_set !== nothing
throw(MOI.LowerBoundAlreadySet{existing_set, new_set}(variable))
end
return
end

function _throw_if_existing_upper(
Expand All @@ -1399,6 +1400,7 @@ function _throw_if_existing_upper(
if existing_set !== nothing
throw(MOI.UpperBoundAlreadySet{existing_set, new_set}(variable))
end
return
end

function MOI.add_constraint(
Expand Down Expand Up @@ -1483,6 +1485,7 @@ function MOI.delete(
MOI.throw_if_not_valid(model, c)
info = _info(model, c)
_set_variable_upper_bound(model, info, Inf)
info.previous_upper_bound = Inf
if info.bound == LESS_AND_GREATER_THAN
info.bound = GREATER_THAN
else
Expand All @@ -1491,8 +1494,6 @@ function MOI.delete(
info.lessthan_name = ""
model.name_to_constraint_index = nothing
if info.type == BINARY
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
@checked Lib.XPRSchgcoltype(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')))
end
return
Expand All @@ -1513,11 +1514,13 @@ function _set_variable_fixed_bound(model, info, value)
# No SOC constraints, set directly.
@assert isnan(info.lower_bound_if_soc)
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')), Ref(value))
return
elseif value >= 0.0
# Regardless of whether there are SOC constraints, this is a valid bound
# for the SOC constraint and should over-ride any previous bounds.
info.lower_bound_if_soc = NaN
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')), Ref(value))
return
elseif isnan(info.lower_bound_if_soc)
# Previously, we had a non-negative lower bound (i.e., it was set in the
# case above). Now we're setting this with a negative one, but there are
Expand All @@ -1528,6 +1531,7 @@ function _set_variable_fixed_bound(model, info, value)
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('L')), Ref(0.0))
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('U')), Ref(value))
info.lower_bound_if_soc = value
return
else
# Previously, we had a negative lower bound. We're setting this with
# another negative one, but there are still some SOC constraints.
Expand All @@ -1536,6 +1540,7 @@ function _set_variable_fixed_bound(model, info, value)
@assert info.lower_bound_if_soc < 0.0
info.lower_bound_if_soc = value
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('U')), Ref(value))
return
end
end

Expand All @@ -1554,11 +1559,13 @@ function _set_variable_lower_bound(model, info, value)
# No SOC constraints, set directly.
@assert isnan(info.lower_bound_if_soc)
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('L')), Ref(value))
return
elseif value >= 0.0
# Regardless of whether there are SOC constraints, this is a valid bound
# for the SOC constraint and should over-ride any previous bounds.
info.lower_bound_if_soc = NaN
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('L')), Ref(value))
return
elseif isnan(info.lower_bound_if_soc)
# Previously, we had a non-negative lower bound (i.e., it was set in the
# case above). Now we're setting this with a negative one, but there are
Expand All @@ -1567,11 +1574,13 @@ function _set_variable_lower_bound(model, info, value)
@assert value < 0.0
@checked Lib.XPRSchgbounds(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('L')), Ref(0.0))
info.lower_bound_if_soc = value
return
else
# Previously, we had a negative lower bound. We're setting this with
# another negative one, but there are still some SOC constraints.
@assert info.lower_bound_if_soc < 0.0
info.lower_bound_if_soc = value
return
end
end

Expand Down Expand Up @@ -1635,6 +1644,7 @@ function MOI.delete(
MOI.throw_if_not_valid(model, c)
info = _info(model, c)
_set_variable_lower_bound(model, info, -Inf)
info.previous_lower_bound = -Inf
if info.bound == LESS_AND_GREATER_THAN
info.bound = LESS_THAN
else
Expand All @@ -1643,8 +1653,6 @@ function MOI.delete(
info.greaterthan_interval_or_equalto_name = ""
model.name_to_constraint_index = nothing
if info.type == BINARY
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
@checked Lib.XPRSchgcoltype(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')))
end
return
Expand All @@ -1657,13 +1665,13 @@ function MOI.delete(
MOI.throw_if_not_valid(model, c)
info = _info(model, c)
_set_variable_lower_bound(model, info, -Inf)
info.previous_lower_bound = -Inf
_set_variable_upper_bound(model, info, Inf)
info.previous_upper_bound = Inf
info.bound = NONE
info.greaterthan_interval_or_equalto_name = ""
model.name_to_constraint_index = nothing
if info.type == BINARY
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
@checked Lib.XPRSchgcoltype(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')))
end
return
Expand All @@ -1676,13 +1684,13 @@ function MOI.delete(
MOI.throw_if_not_valid(model, c)
info = _info(model, c)
_set_variable_lower_bound(model, info, -Inf)
info.previous_lower_bound = -Inf
_set_variable_upper_bound(model, info, Inf)
info.previous_upper_bound = Inf
info.bound = NONE
info.greaterthan_interval_or_equalto_name = ""
model.name_to_constraint_index = nothing
if info.type == BINARY
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
@checked Lib.XPRSchgcoltype(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('B')))
end
return
Expand Down Expand Up @@ -1739,26 +1747,26 @@ function MOI.set(
if lower == upper
if lower !== nothing
_set_variable_fixed_bound(model, info, lower)
info.previous_lower_bound = lower
info.previous_upper_bound = upper
end
else
if lower !== nothing
_set_variable_lower_bound(model, info, lower)
info.previous_lower_bound = lower
end
if upper !== nothing
_set_variable_upper_bound(model, info, upper)
info.previous_upper_bound = upper
end
end
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
return
end

function MOI.add_constraint(
model::Optimizer, f::MOI.VariableIndex, ::MOI.ZeroOne
)
info = _info(model, f)
info.previous_lower_bound = _get_variable_lower_bound(model, info)
info.previous_upper_bound = _get_variable_upper_bound(model, info)
lower, upper = info.previous_lower_bound, info.previous_upper_bound
if info.type == CONTINUOUS
if lower !== nothing
Expand Down Expand Up @@ -1802,8 +1810,12 @@ function MOI.delete(
MOI.throw_if_not_valid(model, c)
info = _info(model, c)
@checked Lib.XPRSchgcoltype(model.inner, Cint(1), Ref(Cint(info.column-1)), Ref(UInt8('C')))
_set_variable_lower_bound(model, info, info.previous_lower_bound)
_set_variable_upper_bound(model, info, info.previous_upper_bound)
if !isnan(info.previous_lower_bound)
_set_variable_lower_bound(model, info, info.previous_lower_bound)
end
if !isnan(info.previous_upper_bound)
_set_variable_upper_bound(model, info, info.previous_upper_bound)
end
info.type = CONTINUOUS
info.type_constraint_name = ""
model.name_to_constraint_index = nothing
Expand Down Expand Up @@ -3080,6 +3092,10 @@ function _farkas_variable_dual(model::Optimizer, col::Int64)
return sum(v * model.cached_solution.linear_dual[i + 1] for (i, v) in zip(mrwind, dmatval))
end

#=
Duals
=#

function MOI.get(
model::Optimizer, attr::MOI.ConstraintDual,
c::MOI.ConstraintIndex{MOI.VariableIndex, MOI.LessThan{Float64}}
Expand Down Expand Up @@ -4384,4 +4400,31 @@ function _get_constraint_names(model)
end
con_names = split(all_names, '\0')[1:num_constraints]
return strip.(con_names)
end

#=
Reduced costs
=#

struct ReducedCost <: MOI.AbstractVariableAttribute
result_index::Int
ReducedCost(result_index::Int = 1) = new(result_index)
end

function MOI.supports(
::Optimizer, ::ReducedCost, ::Type{MOI.VariableIndex})
return true
end

MOI.is_set_by_optimize(::ReducedCost) = true

MOI.attribute_value_type(::ReducedCost) = Float64

function MOI.get(
model::Optimizer, attr::ReducedCost, vi::MOI.VariableIndex
)
_throw_if_optimize_in_progress(model, attr)
MOI.check_result_index_bounds(model, attr)
column = _info(model, vi).column
return model.cached_solution.variable_dual[column]
end
8 changes: 4 additions & 4 deletions src/utils.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -132,10 +132,10 @@ macro checked(expr)
@assert ( expr.args[1].head == :(.) ) && ( expr.args[1].args[1] == :Lib) "Can only use @checked on Lib.\$function"
@assert length(expr.args) >= 2 "Lib.\$function must be contain atleast one argument and the first argument must be of type XpressProblem"
f = replace(String(expr.args[1].args[2].value), "XPRS" => "")
return esc(quote
r = $(expr)::Cint
_check($(expr.args[2]), r)::Nothing
end)
return quote
r = $(esc(expr))::Cint
_check($(esc(expr.args[2])), r)::Nothing
end
end

function _check(prob, val::Cint)
Expand Down
29 changes: 29 additions & 0 deletions test/MathOptInterface/MOI_wrapper.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -976,6 +976,35 @@ function test_dummy_nlp()
return nothing
end

function test_multiple_modifications()
model = Xpress.Optimizer(OUTPUTLOG = 0)

x = MOI.add_variable(model)

c = MOI.add_constraint(model, x, MOI.GreaterThan(1.0))

MOI.set(
model,
MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(),
2.0 * x,
)

MOI.set(
model,
MOI.ObjectiveSense(),
MOI.MIN_SENSE,
)

MOI.optimize!(model)

@test MOI.get(model, MOI.VariablePrimal(), x) == 1.0

@test MOI.get(model, MOI.ConstraintDual(), c) == 2.0
@test MOI.get(model, Xpress.ReducedCost(), x) == 2.0

return
end

end

TestMOIWrapper.runtests()
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