1 | /* $Id: AbcNonLinearCost.hpp 2385 2019-01-06 19:43:06Z tkr $ */ |
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2 | // Copyright (C) 2002, International Business Machines |
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3 | // Corporation and others, Copyright (C) 2012, FasterCoin. All Rights Reserved. |
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4 | // This code is licensed under the terms of the Eclipse Public License (EPL). |
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5 | |
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6 | #ifndef AbcNonLinearCost_H |
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7 | #define AbcNonLinearCost_H |
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8 | |
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9 | #include "CoinPragma.hpp" |
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10 | #include "AbcCommon.hpp" |
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11 | |
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12 | class AbcSimplex; |
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13 | class CoinIndexedVector; |
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14 | |
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15 | /** Trivial class to deal with non linear costs |
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16 | |
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17 | I don't make any explicit assumptions about convexity but I am |
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18 | sure I do make implicit ones. |
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19 | |
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20 | One interesting idea for normal LP's will be to allow non-basic |
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21 | variables to come into basis as infeasible i.e. if variable at |
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22 | lower bound has very large positive reduced cost (when problem |
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23 | is infeasible) could it reduce overall problem infeasibility more |
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24 | by bringing it into basis below its lower bound. |
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25 | |
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26 | Another feature would be to automatically discover when problems |
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27 | are convex piecewise linear and re-formulate to use non-linear. |
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28 | I did some work on this many years ago on "grade" problems, but |
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29 | while it improved primal interior point algorithms were much better |
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30 | for that particular problem. |
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31 | */ |
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32 | /* status has original status and current status |
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33 | 0 - below lower so stored is upper |
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34 | 1 - in range |
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35 | 2 - above upper so stored is lower |
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36 | 4 - (for current) - same as original |
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37 | */ |
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38 | #define CLP_BELOW_LOWER 0 |
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39 | #define CLP_FEASIBLE 1 |
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40 | #define CLP_ABOVE_UPPER 2 |
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41 | #define CLP_SAME 4 |
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42 | #ifndef ClpNonLinearCost_H |
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43 | inline int originalStatus(unsigned char status) |
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44 | { |
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45 | return (status & 15); |
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46 | } |
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47 | inline int currentStatus(unsigned char status) |
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48 | { |
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49 | return (status >> 4); |
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50 | } |
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51 | inline void setOriginalStatus(unsigned char &status, int value) |
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52 | { |
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53 | status = static_cast< unsigned char >(status & ~15); |
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54 | status = static_cast< unsigned char >(status | value); |
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55 | } |
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56 | inline void setCurrentStatus(unsigned char &status, int value) |
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57 | { |
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58 | status = static_cast< unsigned char >(status & ~(15 << 4)); |
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59 | status = static_cast< unsigned char >(status | (value << 4)); |
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60 | } |
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61 | inline void setInitialStatus(unsigned char &status) |
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62 | { |
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63 | status = static_cast< unsigned char >(CLP_FEASIBLE | (CLP_SAME << 4)); |
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64 | } |
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65 | inline void setSameStatus(unsigned char &status) |
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66 | { |
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67 | status = static_cast< unsigned char >(status & ~(15 << 4)); |
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68 | status = static_cast< unsigned char >(status | (CLP_SAME << 4)); |
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69 | } |
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70 | #endif |
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71 | class AbcNonLinearCost { |
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72 | |
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73 | public: |
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74 | /**@name Constructors, destructor */ |
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75 | //@{ |
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76 | /// Default constructor. |
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77 | AbcNonLinearCost(); |
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78 | /** Constructor from simplex. |
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79 | This will just set up wasteful arrays for linear, but |
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80 | later may do dual analysis and even finding duplicate columns . |
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81 | */ |
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82 | AbcNonLinearCost(AbcSimplex *model); |
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83 | /// Destructor |
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84 | ~AbcNonLinearCost(); |
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85 | // Copy |
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86 | AbcNonLinearCost(const AbcNonLinearCost &); |
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87 | // Assignment |
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88 | AbcNonLinearCost &operator=(const AbcNonLinearCost &); |
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89 | //@} |
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90 | |
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91 | /**@name Actual work in primal */ |
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92 | //@{ |
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93 | /** Changes infeasible costs and computes number and cost of infeas |
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94 | Puts all non-basic (non free) variables to bounds |
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95 | and all free variables to zero if oldTolerance is non-zero |
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96 | - but does not move those <= oldTolerance away*/ |
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97 | void checkInfeasibilities(double oldTolerance = 0.0); |
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98 | /** Changes infeasible costs for each variable |
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99 | The indices are row indices and need converting to sequences |
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100 | */ |
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101 | void checkInfeasibilities(int numberInArray, const int *index); |
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102 | /** Puts back correct infeasible costs for each variable |
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103 | The input indices are row indices and need converting to sequences |
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104 | for costs. |
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105 | On input array is empty (but indices exist). On exit just |
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106 | changed costs will be stored as normal CoinIndexedVector |
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107 | */ |
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108 | void checkChanged(int numberInArray, CoinIndexedVector *update); |
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109 | /** Goes through one bound for each variable. |
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110 | If multiplier*work[iRow]>0 goes down, otherwise up. |
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111 | The indices are row indices and need converting to sequences |
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112 | Temporary offsets may be set |
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113 | Rhs entries are increased |
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114 | */ |
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115 | void goThru(int numberInArray, double multiplier, |
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116 | const int *index, const double *work, |
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117 | double *rhs); |
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118 | /** Takes off last iteration (i.e. offsets closer to 0) |
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119 | */ |
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120 | void goBack(int numberInArray, const int *index, |
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121 | double *rhs); |
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122 | /** Puts back correct infeasible costs for each variable |
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123 | The input indices are row indices and need converting to sequences |
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124 | for costs. |
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125 | At the end of this all temporary offsets are zero |
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126 | */ |
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127 | void goBackAll(const CoinIndexedVector *update); |
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128 | /// Temporary zeroing of feasible costs |
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129 | void zapCosts(); |
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130 | /// Refreshes costs always makes row costs zero |
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131 | void refreshCosts(const double *columnCosts); |
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132 | /// Puts feasible bounds into lower and upper |
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133 | void feasibleBounds(); |
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134 | /// Refresh - assuming regions OK |
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135 | void refresh(); |
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136 | /// Refresh - from original |
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137 | void refreshFromPerturbed(double tolerance); |
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138 | /** Sets bounds and cost for one variable |
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139 | Returns change in cost |
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140 | May need to be inline for speed */ |
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141 | double setOne(int sequence, double solutionValue); |
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142 | /** Sets bounds and cost for one variable |
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143 | Returns change in cost |
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144 | May need to be inline for speed */ |
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145 | double setOneBasic(int iRow, double solutionValue); |
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146 | /** Sets bounds and cost for outgoing variable |
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147 | may change value |
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148 | Returns direction */ |
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149 | int setOneOutgoing(int sequence, double &solutionValue); |
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150 | /// Returns nearest bound |
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151 | double nearest(int iRow, double solutionValue); |
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152 | /** Returns change in cost - one down if alpha >0.0, up if <0.0 |
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153 | Value is current - new |
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154 | */ |
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155 | inline double changeInCost(int /*sequence*/, double alpha) const |
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156 | { |
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157 | return (alpha > 0.0) ? infeasibilityWeight_ : -infeasibilityWeight_; |
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158 | } |
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159 | inline double changeUpInCost(int /*sequence*/) const |
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160 | { |
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161 | return -infeasibilityWeight_; |
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162 | } |
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163 | inline double changeDownInCost(int /*sequence*/) const |
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164 | { |
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165 | return infeasibilityWeight_; |
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166 | } |
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167 | /// This also updates next bound |
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168 | inline double changeInCost(int iRow, double alpha, double &rhs) |
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169 | { |
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170 | int sequence = model_->pivotVariable()[iRow]; |
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171 | double returnValue = 0.0; |
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172 | unsigned char iStatus = status_[sequence]; |
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173 | int iWhere = currentStatus(iStatus); |
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174 | if (iWhere == CLP_SAME) |
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175 | iWhere = originalStatus(iStatus); |
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176 | // rhs always increases |
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177 | if (iWhere == CLP_FEASIBLE) { |
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178 | if (alpha > 0.0) { |
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179 | // going below |
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180 | iWhere = CLP_BELOW_LOWER; |
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181 | rhs = COIN_DBL_MAX; |
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182 | } else { |
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183 | // going above |
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184 | iWhere = CLP_ABOVE_UPPER; |
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185 | rhs = COIN_DBL_MAX; |
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186 | } |
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187 | } else if (iWhere == CLP_BELOW_LOWER) { |
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188 | assert(alpha < 0); |
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189 | // going feasible |
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190 | iWhere = CLP_FEASIBLE; |
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191 | rhs += bound_[sequence] - model_->upperRegion()[sequence]; |
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192 | } else { |
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193 | assert(iWhere == CLP_ABOVE_UPPER); |
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194 | // going feasible |
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195 | iWhere = CLP_FEASIBLE; |
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196 | rhs += model_->lowerRegion()[sequence] - bound_[sequence]; |
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197 | } |
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198 | setCurrentStatus(status_[sequence], iWhere); |
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199 | returnValue = fabs(alpha) * infeasibilityWeight_; |
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200 | return returnValue; |
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201 | } |
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202 | //@} |
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203 | |
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204 | /**@name Gets and sets */ |
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205 | //@{ |
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206 | /// Number of infeasibilities |
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207 | inline int numberInfeasibilities() const |
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208 | { |
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209 | return numberInfeasibilities_; |
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210 | } |
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211 | /// Change in cost |
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212 | inline double changeInCost() const |
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213 | { |
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214 | return changeCost_; |
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215 | } |
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216 | /// Feasible cost |
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217 | inline double feasibleCost() const |
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218 | { |
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219 | return feasibleCost_; |
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220 | } |
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221 | /// Feasible cost with offset and direction (i.e. for reporting) |
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222 | double feasibleReportCost() const; |
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223 | /// Sum of infeasibilities |
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224 | inline double sumInfeasibilities() const |
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225 | { |
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226 | return sumInfeasibilities_; |
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227 | } |
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228 | /// Largest infeasibility |
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229 | inline double largestInfeasibility() const |
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230 | { |
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231 | return largestInfeasibility_; |
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232 | } |
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233 | /// Average theta |
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234 | inline double averageTheta() const |
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235 | { |
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236 | return averageTheta_; |
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237 | } |
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238 | inline void setAverageTheta(double value) |
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239 | { |
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240 | averageTheta_ = value; |
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241 | } |
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242 | inline void setChangeInCost(double value) |
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243 | { |
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244 | changeCost_ = value; |
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245 | } |
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246 | //@} |
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247 | ///@name Private functions to deal with infeasible regions |
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248 | inline unsigned char *statusArray() const |
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249 | { |
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250 | return status_; |
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251 | } |
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252 | inline int getCurrentStatus(int sequence) |
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253 | { |
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254 | return (status_[sequence] >> 4); |
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255 | } |
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256 | /// For debug |
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257 | void validate(); |
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258 | //@} |
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259 | |
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260 | private: |
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261 | /**@name Data members */ |
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262 | //@{ |
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263 | /// Change in cost because of infeasibilities |
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264 | double changeCost_; |
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265 | /// Feasible cost |
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266 | double feasibleCost_; |
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267 | /// Current infeasibility weight |
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268 | double infeasibilityWeight_; |
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269 | /// Largest infeasibility |
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270 | double largestInfeasibility_; |
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271 | /// Sum of infeasibilities |
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272 | double sumInfeasibilities_; |
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273 | /// Average theta - kept here as only for primal |
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274 | double averageTheta_; |
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275 | /// Number of rows (mainly for checking and copy) |
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276 | int numberRows_; |
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277 | /// Number of columns (mainly for checking and copy) |
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278 | int numberColumns_; |
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279 | /// Model |
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280 | AbcSimplex *model_; |
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281 | /// Number of infeasibilities found |
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282 | int numberInfeasibilities_; |
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283 | // new stuff |
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284 | /// Contains status at beginning and current |
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285 | unsigned char *status_; |
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286 | /// Bound which has been replaced in lower_ or upper_ |
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287 | double *bound_; |
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288 | /// Feasible cost array |
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289 | double *cost_; |
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290 | //@} |
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291 | }; |
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292 | |
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293 | #endif |
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294 | |
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295 | /* vi: softtabstop=2 shiftwidth=2 expandtab tabstop=2 |
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296 | */ |
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