scipy 1.16.2__cp314-cp314t-win_arm64.whl

scipy/optimize/tests/test_milp.py

@@ -0,0 +1,459 @@
+"""
+Unit test for Mixed Integer Linear Programming
+"""
+import re
+import sys
+
+import numpy as np
+from numpy.testing import assert_allclose, assert_array_equal
+import pytest
+
+from .test_linprog import magic_square
+from scipy.optimize import milp, Bounds, LinearConstraint
+from scipy import sparse
+
+
+_IS_32BIT = (sys.maxsize < 2**32)
+
+def test_milp_iv():
+
+    message = "`c` must be a dense array"
+    with pytest.raises(ValueError, match=message):
+        milp(sparse.coo_array([0, 0]))
+
+    message = "`c` must be a one-dimensional array of finite numbers with"
+    with pytest.raises(ValueError, match=message):
+        milp(np.zeros((3, 4)))
+    with pytest.raises(ValueError, match=message):
+        milp([])
+    with pytest.raises(ValueError, match=message):
+        milp(None)
+
+    message = "`bounds` must be convertible into an instance of..."
+    with pytest.raises(ValueError, match=message):
+        milp(1, bounds=10)
+
+    message = "`constraints` (or each element within `constraints`) must be"
+    with pytest.raises(ValueError, match=re.escape(message)):
+        milp(1, constraints=10)
+    with pytest.raises(ValueError, match=re.escape(message)):
+        milp(np.zeros(3), constraints=([[1, 2, 3]], [2, 3], [2, 3]))
+    with pytest.raises(ValueError, match=re.escape(message)):
+        milp(np.zeros(2), constraints=([[1, 2]], [2], sparse.coo_array([2])))
+
+    message = "The shape of `A` must be (len(b_l), len(c))."
+    with pytest.raises(ValueError, match=re.escape(message)):
+        milp(np.zeros(3), constraints=([[1, 2]], [2], [2]))
+
+    message = "`integrality` must be a dense array"
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2], integrality=sparse.coo_array([1, 2]))
+
+    message = ("`integrality` must contain integers 0-3 and be broadcastable "
+               "to `c.shape`.")
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], integrality=[1, 2])
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], integrality=[1, 5, 3])
+
+    message = "Lower and upper bounds must be dense arrays."
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2], sparse.coo_array([3, 4])))
+
+    message = "`lb`, `ub`, and `keep_feasible` must be broadcastable."
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2], [3, 4, 5]))
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2, 3], [4, 5]))
+
+    message = "`bounds.lb` and `bounds.ub` must contain reals and..."
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2], [3, 4]))
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2, 3], ["3+4", 4, 5]))
+    with pytest.raises(ValueError, match=message):
+        milp([1, 2, 3], bounds=([1, 2, 3], [set(), 4, 5]))
+
+
+@pytest.mark.xfail(run=False,
+                   reason="Needs to be fixed in `_highs_wrapper`")
+def test_milp_options(capsys):
+    # run=False now because of gh-16347
+    message = "Unrecognized options detected: {'ekki'}..."
+    options = {'ekki': True}
+    with pytest.warns(RuntimeWarning, match=message):
+        milp(1, options=options)
+
+    A, b, c, numbers, M = magic_square(3)
+    options = {"disp": True, "presolve": False, "time_limit": 0.05}
+    res = milp(c=c, constraints=(A, b, b), bounds=(0, 1), integrality=1,
+               options=options)
+
+    captured = capsys.readouterr()
+    assert "Presolve is switched off" in captured.out
+    assert "Time Limit Reached" in captured.out
+    assert not res.success
+
+
+def test_result():
+    A, b, c, numbers, M = magic_square(3)
+    res = milp(c=c, constraints=(A, b, b), bounds=(0, 1), integrality=1)
+    assert res.status == 0
+    assert res.success
+    msg = "Optimization terminated successfully. (HiGHS Status 7:"
+    assert res.message.startswith(msg)
+    assert isinstance(res.x, np.ndarray)
+    assert isinstance(res.fun, float)
+    assert isinstance(res.mip_node_count, int)
+    assert isinstance(res.mip_dual_bound, float)
+    assert isinstance(res.mip_gap, float)
+
+    A, b, c, numbers, M = magic_square(6)
+    res = milp(c=c*0, constraints=(A, b, b), bounds=(0, 1), integrality=1,
+               options={'time_limit': 0.05})
+    assert res.status == 1
+    assert not res.success
+    msg = "Time limit reached. (HiGHS Status 13:"
+    assert res.message.startswith(msg)
+    assert (res.fun is res.mip_dual_bound is res.mip_gap
+            is res.mip_node_count is res.x is None)
+
+    res = milp(1, bounds=(1, -1))
+    assert res.status == 2
+    assert not res.success
+    msg = "The problem is infeasible. (HiGHS Status 8:"
+    assert res.message.startswith(msg)
+    assert (res.fun is res.mip_dual_bound is res.mip_gap
+            is res.mip_node_count is res.x is None)
+
+    res = milp(-1)
+    assert res.status == 3
+    assert not res.success
+    msg = "The problem is unbounded. (HiGHS Status 10:"
+    assert res.message.startswith(msg)
+    assert (res.fun is res.mip_dual_bound is res.mip_gap
+            is res.mip_node_count is res.x is None)
+
+
+def test_milp_optional_args():
+    # check that arguments other than `c` are indeed optional
+    res = milp(1)
+    assert res.fun == 0
+    assert_array_equal(res.x, [0])
+
+
+def test_milp_1():
+    # solve magic square problem
+    n = 3
+    A, b, c, numbers, M = magic_square(n)
+    A = sparse.csc_array(A)  # confirm that sparse arrays are accepted
+    res = milp(c=c*0, constraints=(A, b, b), bounds=(0, 1), integrality=1)
+
+    # check that solution is a magic square
+    x = np.round(res.x)
+    s = (numbers.flatten() * x).reshape(n**2, n, n)
+    square = np.sum(s, axis=0)
+    np.testing.assert_allclose(square.sum(axis=0), M)
+    np.testing.assert_allclose(square.sum(axis=1), M)
+    np.testing.assert_allclose(np.diag(square).sum(), M)
+    np.testing.assert_allclose(np.diag(square[:, ::-1]).sum(), M)
+
+
+def test_milp_2():
+    # solve MIP with inequality constraints and all integer constraints
+    # source: slide 5,
+    # https://www.cs.upc.edu/~erodri/webpage/cps/theory/lp/milp/slides.pdf
+    # also check that `milp` accepts all valid ways of specifying constraints
+    c = -np.ones(2)
+    A = [[-2, 2], [-8, 10]]
+    b_l = [1, -np.inf]
+    b_u = [np.inf, 13]
+    linear_constraint = LinearConstraint(A, b_l, b_u)
+
+    # solve original problem
+    res1 = milp(c=c, constraints=(A, b_l, b_u), integrality=True)
+    res2 = milp(c=c, constraints=linear_constraint, integrality=True)
+    res3 = milp(c=c, constraints=[(A, b_l, b_u)], integrality=True)
+    res4 = milp(c=c, constraints=[linear_constraint], integrality=True)
+    res5 = milp(c=c, integrality=True,
+                constraints=[(A[:1], b_l[:1], b_u[:1]),
+                             (A[1:], b_l[1:], b_u[1:])])
+    res6 = milp(c=c, integrality=True,
+                constraints=[LinearConstraint(A[:1], b_l[:1], b_u[:1]),
+                             LinearConstraint(A[1:], b_l[1:], b_u[1:])])
+    res7 = milp(c=c, integrality=True,
+                constraints=[(A[:1], b_l[:1], b_u[:1]),
+                             LinearConstraint(A[1:], b_l[1:], b_u[1:])])
+    xs = np.array([res1.x, res2.x, res3.x, res4.x, res5.x, res6.x, res7.x])
+    funs = np.array([res1.fun, res2.fun, res3.fun,
+                     res4.fun, res5.fun, res6.fun, res7.fun])
+    np.testing.assert_allclose(xs, np.broadcast_to([1, 2], xs.shape))
+    np.testing.assert_allclose(funs, -3)
+
+    # solve relaxed problem
+    res = milp(c=c, constraints=(A, b_l, b_u))
+    np.testing.assert_allclose(res.x, [4, 4.5])
+    np.testing.assert_allclose(res.fun, -8.5)
+
+
+def test_milp_3():
+    # solve MIP with inequality constraints and all integer constraints
+    # source: https://en.wikipedia.org/wiki/Integer_programming#Example
+    c = [0, -1]
+    A = [[-1, 1], [3, 2], [2, 3]]
+    b_u = [1, 12, 12]
+    b_l = np.full_like(b_u, -np.inf, dtype=np.float64)
+    constraints = LinearConstraint(A, b_l, b_u)
+
+    integrality = np.ones_like(c)
+
+    # solve original problem
+    res = milp(c=c, constraints=constraints, integrality=integrality)
+    assert_allclose(res.fun, -2)
+    # two optimal solutions possible, just need one of them
+    assert np.allclose(res.x, [1, 2]) or np.allclose(res.x, [2, 2])
+
+    # solve relaxed problem
+    res = milp(c=c, constraints=constraints)
+    assert_allclose(res.fun, -2.8)
+    assert_allclose(res.x, [1.8, 2.8])
+
+
+def test_milp_4():
+    # solve MIP with inequality constraints and only one integer constraint
+    # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
+    c = [8, 1]
+    integrality = [0, 1]
+    A = [[1, 2], [-4, -1], [2, 1]]
+    b_l = [-14, -np.inf, -np.inf]
+    b_u = [np.inf, -33, 20]
+    constraints = LinearConstraint(A, b_l, b_u)
+    bounds = Bounds(-np.inf, np.inf)
+
+    res = milp(c, integrality=integrality, bounds=bounds,
+               constraints=constraints)
+    assert_allclose(res.fun, 59)
+    assert_allclose(res.x, [6.5, 7])
+
+
+def test_milp_5():
+    # solve MIP with inequality and equality constraints
+    # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
+    c = [-3, -2, -1]
+    integrality = [0, 0, 1]
+    lb = [0, 0, 0]
+    ub = [np.inf, np.inf, 1]
+    bounds = Bounds(lb, ub)
+    A = [[1, 1, 1], [4, 2, 1]]
+    b_l = [-np.inf, 12]
+    b_u = [7, 12]
+    constraints = LinearConstraint(A, b_l, b_u)
+
+    res = milp(c, integrality=integrality, bounds=bounds,
+               constraints=constraints)
+    # there are multiple solutions
+    assert_allclose(res.fun, -12)
+
+
+@pytest.mark.xslow
+def test_milp_6():
+    # solve a larger MIP with only equality constraints
+    # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
+    integrality = 1
+    A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
+                     [39, 16, 22, 28, 26, 30, 23, 24],
+                     [18, 14, 29, 27, 30, 38, 26, 26],
+                     [41, 26, 28, 36, 18, 38, 16, 26]])
+    b_eq = np.array([7872, 10466, 11322, 12058])
+    c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
+
+    res = milp(c=c, constraints=(A_eq, b_eq, b_eq), integrality=integrality)
+
+    np.testing.assert_allclose(res.fun, 1854)
+
+
+def test_infeasible_prob_16609():
+    # Ensure presolve does not mark trivially infeasible problems
+    # as Optimal -- see gh-16609
+    c = [1.0, 0.0]
+    integrality = [0, 1]
+
+    lb = [0, -np.inf]
+    ub = [np.inf, np.inf]
+    bounds = Bounds(lb, ub)
+
+    A_eq = [[0.0, 1.0]]
+    b_eq = [0.5]
+    constraints = LinearConstraint(A_eq, b_eq, b_eq)
+
+    res = milp(c, integrality=integrality, bounds=bounds,
+               constraints=constraints)
+    np.testing.assert_equal(res.status, 2)
+
+
+_msg_time = "Time limit reached. (HiGHS Status 13:"
+_msg_iter = "Iteration limit reached. (HiGHS Status 14:"
+
+@pytest.mark.thread_unsafe
+# See https://github.com/scipy/scipy/pull/19255#issuecomment-1778438888
+@pytest.mark.xfail(reason="Often buggy, revisit with callbacks, gh-19255")
+@pytest.mark.skipif(np.intp(0).itemsize < 8,
+                    reason="Unhandled 32-bit GCC FP bug")
+@pytest.mark.slow
+@pytest.mark.parametrize(["options", "msg"], [({"time_limit": 0.1}, _msg_time),
+                                              ({"node_limit": 1}, _msg_iter)])
+def test_milp_timeout_16545(options, msg):
+    # Ensure solution is not thrown away if MILP solver times out
+    # -- see gh-16545
+    rng = np.random.default_rng(5123833489170494244)
+    A = rng.integers(0, 5, size=(100, 100))
+    b_lb = np.full(100, fill_value=-np.inf)
+    b_ub = np.full(100, fill_value=25)
+    constraints = LinearConstraint(A, b_lb, b_ub)
+    variable_lb = np.zeros(100)
+    variable_ub = np.ones(100)
+    variable_bounds = Bounds(variable_lb, variable_ub)
+    integrality = np.ones(100)
+    c_vector = -np.ones(100)
+    res = milp(
+        c_vector,
+        integrality=integrality,
+        bounds=variable_bounds,
+        constraints=constraints,
+        options=options,
+    )
+
+    assert res.message.startswith(msg)
+    assert res["x"] is not None
+
+    # ensure solution is feasible
+    x = res["x"]
+    tol = 1e-8  # sometimes needed due to finite numerical precision
+    assert np.all(b_lb - tol <= A @ x) and np.all(A @ x <= b_ub + tol)
+    assert np.all(variable_lb - tol <= x) and np.all(x <= variable_ub + tol)
+    assert np.allclose(x, np.round(x))
+
+
+def test_three_constraints_16878():
+    # `milp` failed when exactly three constraints were passed
+    # Ensure that this is no longer the case.
+    rng = np.random.default_rng(5123833489170494244)
+    A = rng.integers(0, 5, size=(6, 6))
+    bl = np.full(6, fill_value=-np.inf)
+    bu = np.full(6, fill_value=10)
+    constraints = [LinearConstraint(A[:2], bl[:2], bu[:2]),
+                   LinearConstraint(A[2:4], bl[2:4], bu[2:4]),
+                   LinearConstraint(A[4:], bl[4:], bu[4:])]
+    constraints2 = [(A[:2], bl[:2], bu[:2]),
+                    (A[2:4], bl[2:4], bu[2:4]),
+                    (A[4:], bl[4:], bu[4:])]
+    lb = np.zeros(6)
+    ub = np.ones(6)
+    variable_bounds = Bounds(lb, ub)
+    c = -np.ones(6)
+    res1 = milp(c, bounds=variable_bounds, constraints=constraints)
+    res2 = milp(c, bounds=variable_bounds, constraints=constraints2)
+    ref = milp(c, bounds=variable_bounds, constraints=(A, bl, bu))
+    assert res1.success and res2.success
+    assert_allclose(res1.x, ref.x)
+    assert_allclose(res2.x, ref.x)
+
+
+@pytest.mark.xslow
+def test_mip_rel_gap_passdown():
+    # Solve problem with decreasing mip_gap to make sure mip_rel_gap decreases
+    # Adapted from test_linprog::TestLinprogHiGHSMIP::test_mip_rel_gap_passdown
+    # MIP taken from test_mip_6 above
+    A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
+                     [39, 16, 22, 28, 26, 30, 23, 24],
+                     [18, 14, 29, 27, 30, 38, 26, 26],
+                     [41, 26, 28, 36, 18, 38, 16, 26]])
+    b_eq = np.array([7872, 10466, 11322, 12058])
+    c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
+
+    mip_rel_gaps = [0.25, 0.01, 0.001]
+    sol_mip_gaps = []
+    for mip_rel_gap in mip_rel_gaps:
+        res = milp(c=c, bounds=(0, np.inf), constraints=(A_eq, b_eq, b_eq),
+                   integrality=True, options={"mip_rel_gap": mip_rel_gap})
+        # assert that the solution actually has mip_gap lower than the
+        # required mip_rel_gap supplied
+        assert res.mip_gap <= mip_rel_gap
+        # check that `res.mip_gap` is as defined in the documentation
+        assert res.mip_gap == (res.fun - res.mip_dual_bound)/res.fun
+        sol_mip_gaps.append(res.mip_gap)
+
+    # make sure that the mip_rel_gap parameter is actually doing something
+    # check that differences between solution gaps are declining
+    # monotonically with the mip_rel_gap parameter.
+    assert np.all(np.diff(sol_mip_gaps) < 0)
+
+@pytest.mark.xfail(reason='Upstream / Wrapper issue, see gh-20116')
+def test_large_numbers_gh20116():
+    h = 10 ** 12
+    A = np.array([[100.4534, h], [100.4534, -h]])
+    b = np.array([h, 0])
+    constraints = LinearConstraint(A=A, ub=b)
+    bounds = Bounds([0, 0], [1, 1])
+    c = np.array([0, 0])
+    res = milp(c=c, constraints=constraints, bounds=bounds, integrality=1)
+    assert res.status == 0
+    assert np.all(A @ res.x < b)
+
+
+def test_presolve_gh18907():
+    from scipy.optimize import milp
+    import numpy as np
+    inf = np.inf
+
+    # set up problem
+    c = np.array([-0.85850509, -0.82892676, -0.80026454, -0.63015535, -0.5099006,
+                  -0.50077193, -0.4894404, -0.47285865,  -0.39867774, -0.38069646,
+                  -0.36733012, -0.36733012, -0.35820411, -0.31576141, -0.20626091,
+                  -0.12466144, -0.10679516, -0.1061887, -0.1061887, -0.1061887,
+                  -0., -0., -0., -0., 0., 0., 0., 0.])
+
+    A = np.array([[1., 1., 1., 1., 1., 1., 1., 1., 1., 1., 1., 1., 1., 1.,
+                   1., 1., 1., 1., 1., 1., 1., 1., 1., 1., 0., 0., 0., 0.],
+                  [0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
+                   1., 0., 0., 0., 0., 0., 1., 0., 0., 0., -25., -0., -0., -0.],
+                  [0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
+                   -1., 0., 0., 0., 0., 0., -1., 0., 0., 0., 2., 0., 0., 0.],
+                  [0., 0., 0., 0., 1., 1., 1., 1., 0., 1., 0., 0., 0., 0., 0.,
+                   0., 0., 0., 0., 0., 0., 0., 0., 0., -0., -25., -0., -0.],
+                  [0., 0., 0., 0., -1., -1., -1., -1., 0., -1., 0., 0., 0.,
+                   0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 2., 0., 0.],
+                  [0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
+                   0., 0., 1., 1., 1., 0., 0., 0., 0., -0., -0., -25., -0.],
+                  [0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
+                   0., 0., -1., -1., -1., 0., 0., 0., 0., 0., 0., 2., 0.],
+                  [1., 1., 1., 1., 0., 0., 0., 0., 1., 0., 1., 1., 1., 1., 0.,
+                   1., 1., 0., 0., 0., 0., 1., 1., 1., -0., -0., -0., -25.],
+                  [-1., -1., -1., -1., 0., 0., 0., 0., -1., 0., -1., -1., -1., -1.,
+                   0., -1., -1., 0., 0., 0., 0., -1., -1., -1., 0., 0., 0., 2.]])
+    bl = np.array([-inf, -inf, -inf, -inf, -inf, -inf, -inf, -inf, -inf])
+    bu = np.array([100., 0., 0., 0., 0., 0., 0., 0., 0.])
+    constraints = LinearConstraint(A, bl, bu)
+    integrality = 1
+    bounds = (0, 1)
+    r1 = milp(c=c, constraints=constraints, integrality=integrality, bounds=bounds,
+              options={'presolve': True})
+    r2 = milp(c=c, constraints=constraints, integrality=integrality, bounds=bounds,
+              options={'presolve': False})
+    assert r1.status == r2.status
+    assert_allclose(r1.x, r2.x)
+
+    # another example from the same issue
+    bounds = Bounds(lb=0, ub=1)
+    integrality = [1, 1, 0, 0]
+    c = [10, 9.52380952, -1000, -952.38095238]
+    A = [[1, 1, 0, 0], [0, 0, 1, 1], [200, 0, 0, 0], [0, 200, 0, 0],
+         [0, 0, 2000, 0], [0, 0, 0, 2000], [-1, 0, 1, 0], [-1, -1, 0, 1]]
+    ub = [1, 1, 200, 200, 1000, 1000, 0, 0]
+    constraints = LinearConstraint(A, ub=ub)
+    r1 = milp(c=c, constraints=constraints,  bounds=bounds,
+              integrality=integrality, options={"presolve": False})
+    r2 = milp(c=c, constraints=constraints,  bounds=bounds,
+              integrality=integrality, options={"presolve": False})
+    assert r1.status == r2.status
+    assert_allclose(r1.x, r2.x)