lpsolver 0.1.0 → 0.2.1

data/ext/lpsolver-highs/highs/simplex/HEkkDual.h

@@ -0,0 +1,513 @@
+/* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * */
+/*                                                                       */
+/*    This file is part of the HiGHS linear optimization suite           */
+/*                                                                       */
+/*    Available as open-source under the MIT License                     */
+/*                                                                       */
+/* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * */
+/**@file simplex/HEkkDual.h
+ * @brief Dual simplex solver for HiGHS
+ */
+#ifndef SIMPLEX_HEKKDUAL_H_
+#define SIMPLEX_HEKKDUAL_H_
+
+#include <set>
+#include <string>
+#include <vector>
+
+#include "simplex/HEkk.h"
+#include "simplex/HEkkDualRHS.h"
+#include "simplex/HEkkDualRow.h"
+#include "simplex/HSimplex.h"
+#include "util/HVector.h"
+#include "util/HVectorBase.h"
+
+// Limit on the number of column slices for parallel calculations. SIP
+// uses num_threads-2 slices; PAMI uses num_threads-1 slices
+const HighsInt kHighsSlicedLimit = kSimplexConcurrencyLimit;
+// Was 100, but can't see why this should be higher than
+// kSimplexConcurrencyLimit; const double kMaxOkGrowth = 1e4;
+
+/**
+ * @brief Dual simplex solver for HiGHS
+ */
+class HEkkDual {
+ public:
+  HEkkDual(HEkk& simplex)
+      : ekk_instance_(simplex), dualRow(simplex), dualRHS(simplex) {
+    initialiseInstance();
+    dualRow.setup();
+    dualRHS.setup();
+    if (!(ekk_instance_.info_.simplex_strategy == kSimplexStrategyDualPlain))
+      initialiseInstanceParallel(simplex);
+  }
+
+  /**
+   * @brief Solve a model instance
+   */
+  HighsStatus solve(const bool force_phase2 = false);
+
+  const SimplexAlgorithm algorithm = SimplexAlgorithm::kDual;
+
+ public:
+  /**
+   * @brief Initialise a dual simplex instance
+   *
+   * Copy dimensions and pointers to matrix, factor and solver-related
+   * model data, plus tolerances. Sets up local std::vectors
+   * (columnDSE, columnBFRT, column, row_ep and row_ap), and buffers
+   * for dualRow and dualRHS.
+   */
+  void initialiseInstance();
+
+  /**
+   * @brief Initialise parallel aspects of a dual simplex instance
+   *
+   * Sets up data structures for SIP or PAMI
+   */
+  void initialiseInstanceParallel(HEkk& simplex);
+
+  /**
+   * @brief Initialise matrix slices and slices of row_ap or dualRow for SIP or
+   * PAMI
+   *
+   * TODO generalise call slice_matrix[i].setup_lgBs so slice can be
+   * used with non-logical initial basis
+   */
+  void initSlice(
+      const HighsInt init_sliced_num  //!< Ideal number of slices - true number
+                                      //!< is modified in light of limits
+  );
+
+  /**
+   * @brief Initialise a dual simplex solve
+   */
+  void initialiseSolve();
+
+  /**
+   * @brief Perform Phase 1 dual simplex iterations
+   */
+  void solvePhase1();
+
+  /**
+   * @brief Perform Phase 2 dual simplex iterations
+   */
+  void solvePhase2();
+
+  /**
+   * @brief Reinvert if INVERT not fresh, then recompute dual and primal values
+   *
+   * Also collects primal infeasibilities and computes the dual objective value
+   */
+
+  void rebuild();
+
+  /**
+   * @brief Remove perturbation and recompute the dual solution
+   *
+   * Also collects primal infeasibilities and computes the dual objective value
+   */
+  void cleanup();
+
+  /**
+   * @brief Perform a single serial dual simplex iteration
+   *
+   * All the methods it calls have as their first line "if (rebuild_reason)
+   * return;", where rebuild_reason is, for example, set to 1 when CHUZR
+   * finds no candidate. This causes a break from the inner loop of
+   * solvePhase% and, hence, a call to rebuild().
+   */
+  void iterate();
+
+  /**
+   * @brief Perform a single SIP dual simplex iteration
+   */
+  void iterateTasks();
+
+  /**
+   * @brief Perform a single PAMI dual simplex iteration - source code in
+   * HEkkDualMulti.cpp
+   */
+  void iterateMulti();  // in HEkkDualMulti.cpp
+
+  /**
+   * @brief Pass the data for the serial iteration analysis, report and rebuild
+   * report
+   */
+  void iterationAnalysisData();
+
+  /**
+   * @brief Perform the serial iteration analysis
+   */
+  void iterationAnalysis();
+
+  /**
+   * @brief Pass the data for the PAMI iteration analysis for a minor iteration,
+   * report and rebuild report
+   */
+  void iterationAnalysisMinorData();
+
+  /**
+   * @brief Perform the PAMI iteration analysis for a minor iteration
+   */
+  void iterationAnalysisMinor();
+
+  /**
+   * @brief Pass the data for the PAMI iteration analysis for a major iteration
+   */
+  void iterationAnalysisMajorData();
+
+  /**
+   * @brief Perform the PAMI iteration analysis for a major iteration
+   */
+  void iterationAnalysisMajor();
+
+  /**
+   * @brief Single line report after rebuild or cleanup
+   */
+  void reportRebuild(const HighsInt reason_for_rebuild);
+
+  /**
+   * @brief Choose the index of a good row to leave the basis (CHUZR)
+   */
+  void chooseRow();
+
+  /**
+   * @brief Determine whether the updated_edge_weight is accurate enough to
+   * be accepted, and update the analysis of weight errors
+   */
+  bool acceptDualSteepestEdgeWeight(const double updated_edge_weight);
+
+  /**
+   * @brief Determine whether the updated_edge_weight error should trigger a new
+   * Devex framework
+   */
+  bool newDevexFramework(const double updated_edge_weight);
+
+  /**
+   * @brief Compute pivot row (PRICE) and choose the index of a good column to
+   * enter the basis (CHUZC)
+   */
+  void chooseColumn(HVector* row_ep);
+  void improveChooseColumnRow(HVector* row_ep);
+
+  /**
+   * @brief Choose the index of a good column to enter the basis (CHUZC) by
+   * exploiting slices of the pivotal row - for SIP and PAMI
+   */
+  void chooseColumnSlice(HVector* row_ep);
+
+  /**
+   * @brief Compute the pivotal column (FTRAN)
+   */
+  void updateFtran();
+
+  /**
+   * @brief Compute the RHS changes corresponding to the BFRT
+   * (FTRAN-BFRT)
+   */
+  void updateFtranBFRT();
+
+  /**
+   * @brief Compute the std::vector required to update DSE weights - being
+   * FTRAN applied to the pivotal column (FTRAN-DSE)
+   */
+  void updateFtranDSE(HVector* DSE_Vector  //!< Pivotal column as RHS for FTRAN
+  );
+  /**
+   * @brief Compare the pivot value computed row-wise and column-wise
+   * and determine whether reinversion is advisable
+   */
+  void updateVerify();
+
+  /**
+   * @brief Update the dual values
+   */
+  void updateDual();
+
+  /**
+   * @brief Update the primal values and any edge weights
+   */
+  void updatePrimal(HVector* DSE_Vector  //!< FTRANned pivotal column
+  );
+
+  /**
+   * @brief Update the basic and nonbasic variables, iteration count,
+   * invertible representation of the basis matrix and row-wise
+   * representation of the nonbasic columns, delete the Freelist entry
+   * for the entering column, update the primal value for the row
+   * where the basis change has occurred, and set the corresponding
+   * primal infeasibility value in dualRHS.work_infeasibility, and
+   * then determine whether to reinvert according to the synthetic
+   * clock
+   */
+  void updatePivots();
+
+  void shiftCost(const HighsInt iCol, const double amount);
+  void shiftBack(const HighsInt iCol);
+
+  /**
+   * @brief Initialise a Devex framework: reference set is all basic
+   * variables
+   */
+  void initialiseDevexFramework();
+
+  /**
+   * @brief Interpret the dual edge weight strategy as setting of a mode and
+   * other actions
+   */
+  void interpretDualEdgeWeightStrategy(
+      const HighsInt simplex_dual_edge_weight_strategy);
+
+  bool reachedExactObjectiveBound();
+  double computeExactDualObjectiveValue(HVector& dual_col, HVector& dual_row);
+
+  /**
+   * @brief PAMI: Choose the indices of a good set of rows to leave the
+   * basis (CHUZR)
+   */
+  void majorChooseRow();
+
+  /**
+   * @brief PAMI: Perform multiple BTRAN
+   */
+  void majorChooseRowBtran();
+
+  /**
+   * @brief PAMI: Choose the index (from the set of indices) of a good
+   * row to leave the basis (CHUZR-MI)
+   */
+  void minorChooseRow();
+
+  /**
+   * @brief PAMI: Update the data during minor iterations
+   */
+  void minorUpdate();
+
+  /**
+   * @brief PAMI: Update the dual values during minor iterations
+   */
+  void minorUpdateDual();
+
+  /**
+   * @brief PAMI: Update the primal values during minor iterations
+   */
+  void minorUpdatePrimal();
+
+  /**
+   * @brief PAMI: Perform a basis change during minor iterations
+   */
+  void minorUpdatePivots();
+
+  /**
+   * @brief PAMI: Update the tableau rows during minor iterations
+   */
+  void minorUpdateRows();
+
+  /**
+   * @brief PAMI: Initialise a new Devex framework during minor iterations
+   */
+  void minorInitialiseDevexFramework();
+
+  /**
+   * @brief PAMI: Perform updates after a set of minor iterations
+   */
+  void majorUpdate();
+
+  /**
+   * @brief PAMI: Prepare for the FTRANs after a set of minor iterations
+   */
+  void majorUpdateFtranPrepare();
+
+  /**
+   * @brief PAMI: Perform the parallel part of multiple FTRANs after a
+   * set of minor iterations
+   */
+  void majorUpdateFtranParallel();
+
+  /**
+   * @brief PAMI: Perform the final part of multiple FTRANs after a set
+   * of minor iterations
+   */
+  void majorUpdateFtranFinal();
+
+  /**
+   * @brief PAMI: Update the primal values after a set of minor
+   * iterations
+   */
+  void majorUpdatePrimal();
+
+  /**
+   * @brief PAMI: Update the invertible representation of the basis
+   * matrix after a set of minor iterations
+   */
+  void majorUpdateFactor();
+
+  /**
+   * @brief PAMI: Roll back some iterations if numerical trouble
+   * detected when updating the invertible representation of the basis
+   * matrix after a set of minor iterations
+   */
+  void majorRollback();
+
+  // private:
+  void possiblyUseLiDualSteepestEdge();
+  void computeDualInfeasibilitiesWithFixedVariableFlips();
+  void correctDualInfeasibilities(HighsInt& free_infeasibility_count);
+
+  bool proofOfPrimalInfeasibility();
+  void saveDualRay();
+  void assessPhase1Optimality();
+  void assessPhase1OptimalityUnperturbed();
+  void exitPhase1ResetDuals();
+  void reportOnPossibleLpDualInfeasibility();
+
+  bool checkNonUnitWeightError(std::string message) const;
+  bool dualInfoOk(const HighsLp& lp) const;
+  bool bailoutOnDualObjective();
+  HighsDebugStatus debugDualSimplex(const std::string message,
+                                    const bool initialise = false);
+
+  bool isBadBasisChange();
+  void assessPossiblyDualUnbounded();
+
+  // Devex scalars
+  HighsInt num_devex_iterations =
+      0;  //!< Number of Devex iterations with the current framework
+  bool new_devex_framework = false;  //!< Set a new Devex framework
+  bool minor_new_devex_framework =
+      false;  //!< Set a new Devex framework in PAMI minor iterations
+
+  // References:
+  HEkk& ekk_instance_;
+
+  // Model
+  HighsInt solver_num_row;
+  HighsInt solver_num_col;
+  HighsInt solver_num_tot;
+  double inv_solver_num_row;  // 1.0 / solver_num_row
+
+  const HighsSparseMatrix* a_matrix;
+  const HSimplexNla* simplex_nla;
+  HighsSimplexAnalysis* analysis;
+
+  const int8_t* jMove;
+  const double* workRange;
+  const double* baseLower;
+  const double* baseUpper;
+  double* baseValue;
+  double* workDual;
+  double* workValue;
+  double* colLower;
+  double* colUpper;
+  double* rowLower;
+  double* rowUpper;
+  int8_t* nonbasicFlag;
+
+  // Retained value
+  bool initial_basis_is_logical_;
+
+  // Options
+  EdgeWeightMode edge_weight_mode;
+  bool allow_dual_steepest_edge_to_devex_switch;
+
+  double Tp;  // Tolerance for primal
+  double primal_feasibility_tolerance;
+
+  double Td;  // Tolerance for dual
+  double dual_feasibility_tolerance;
+  double objective_bound;
+
+  bool force_phase2;
+  HighsInt solve_phase;
+  HighsInt rebuild_reason;
+
+  HVector row_ep;
+  HVector row_ap;
+  HVector col_aq;
+  HVector col_BFRT;
+  HVector col_DSE;
+
+  HVector dev_row_ep;
+  HVector dev_col_DSE;
+
+  HEkkDualRow dualRow;
+
+  // Solving related buffers
+  HighsInt dualInfeasCount;
+
+  HEkkDualRHS dualRHS;
+
+  // Simplex pivotal information
+  HighsInt row_out;
+  HighsInt variable_out;
+  HighsInt move_out;  // -1 from small to lower, +1 to upper
+  HighsInt variable_in;
+  double delta_primal;
+  double theta_dual;
+  double theta_primal;
+  double alpha_col;
+  double alpha_row;
+  double numericalTrouble;
+  // (Local) value of computed weight
+  double computed_edge_weight;
+
+  bool check_invert_condition = false;
+
+  // Partitioned coefficient matrix
+  HighsInt slice_num;
+  HighsInt slice_PRICE;
+  HighsInt slice_start[kHighsSlicedLimit + 1];
+  HighsSparseMatrix slice_a_matrix[kHighsSlicedLimit];
+  HighsSparseMatrix slice_ar_matrix[kHighsSlicedLimit];
+  HVector slice_row_ap[kHighsSlicedLimit];
+  std::vector<HEkkDualRow> slice_dualRow;
+
+  /**
+   * @brief Multiple CHUZR data
+   */
+  struct MChoice {
+    HighsInt row_out;
+    double baseValue;
+    double baseLower;
+    double baseUpper;
+    double infeasValue;
+    double infeasEdWt;
+    double infeasLimit;
+    HVector row_ep;
+    HVector col_aq;
+    HVector col_BFRT;
+  };
+
+  /**
+   * @brief Multiple minor iteration data
+   */
+  struct MFinish {
+    int8_t move_in;
+    double shiftOut;
+    std::vector<HighsInt> flipList;
+
+    HighsInt row_out;
+    HighsInt variable_out;
+    HighsInt variable_in;
+    double alpha_row;
+    double theta_primal;
+    double basicBound;
+    double basicValue;
+    double EdWt;
+    HVector_ptr row_ep;
+    HVector_ptr col_aq;
+    HVector_ptr col_BFRT;
+  };
+
+  HighsInt multi_num;
+  HighsInt multi_chosen;
+  HighsInt multi_iChoice;
+  HighsInt multi_nFinish;
+  HighsInt multi_iteration;
+  HighsInt multi_chooseAgain;
+  MChoice multi_choice[kSimplexConcurrencyLimit];
+  MFinish multi_finish[kSimplexConcurrencyLimit];
+};
+
+#endif /* SIMPLEX_HEKKDUAL_H_ */