1 | /* $Id: ClpNonLinearCost.hpp 2385 2019-01-06 19:43:06Z stefan $ */ |
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2 | // Copyright (C) 2002, International Business Machines |
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3 | // Corporation and others. 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 ClpNonLinearCost_H |
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7 | #define ClpNonLinearCost_H |
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8 | |
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9 | #include "CoinPragma.hpp" |
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10 | |
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11 | class ClpSimplex; |
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12 | class CoinIndexedVector; |
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13 | |
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14 | /** Trivial class to deal with non linear costs |
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15 | |
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16 | I don't make any explicit assumptions about convexity but I am |
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17 | sure I do make implicit ones. |
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18 | |
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19 | One interesting idea for normal LP's will be to allow non-basic |
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20 | variables to come into basis as infeasible i.e. if variable at |
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21 | lower bound has very large positive reduced cost (when problem |
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22 | is infeasible) could it reduce overall problem infeasibility more |
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23 | by bringing it into basis below its lower bound. |
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24 | |
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25 | Another feature would be to automatically discover when problems |
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26 | are convex piecewise linear and re-formulate to use non-linear. |
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27 | I did some work on this many years ago on "grade" problems, but |
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28 | while it improved primal interior point algorithms were much better |
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29 | for that particular problem. |
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30 | */ |
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31 | /* status has original status and current status |
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32 | 0 - below lower so stored is upper |
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33 | 1 - in range |
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34 | 2 - above upper so stored is lower |
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35 | 4 - (for current) - same as original |
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36 | */ |
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37 | #define CLP_BELOW_LOWER 0 |
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38 | #define CLP_FEASIBLE 1 |
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39 | #define CLP_ABOVE_UPPER 2 |
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40 | #define CLP_SAME 4 |
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41 | inline int originalStatus(unsigned char status) |
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42 | { |
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43 | return (status & 15); |
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44 | } |
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45 | inline int currentStatus(unsigned char status) |
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46 | { |
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47 | return (status >> 4); |
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48 | } |
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49 | inline void setOriginalStatus(unsigned char &status, int value) |
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50 | { |
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51 | status = static_cast< unsigned char >(status & ~15); |
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52 | status = static_cast< unsigned char >(status | value); |
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53 | } |
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54 | inline void setCurrentStatus(unsigned char &status, int value) |
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55 | { |
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56 | status = static_cast< unsigned char >(status & ~(15 << 4)); |
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57 | status = static_cast< unsigned char >(status | (value << 4)); |
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58 | } |
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59 | inline void setInitialStatus(unsigned char &status) |
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60 | { |
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61 | status = static_cast< unsigned char >(CLP_FEASIBLE | (CLP_SAME << 4)); |
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62 | } |
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63 | inline void setSameStatus(unsigned char &status) |
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64 | { |
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65 | status = static_cast< unsigned char >(status & ~(15 << 4)); |
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66 | status = static_cast< unsigned char >(status | (CLP_SAME << 4)); |
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67 | } |
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68 | // Use second version to get more speed |
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69 | //#define FAST_CLPNON |
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70 | #ifndef FAST_CLPNON |
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71 | #define CLP_METHOD1 ((method_ & 1) != 0) |
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72 | #define CLP_METHOD2 ((method_ & 2) != 0) |
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73 | #else |
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74 | #define CLP_METHOD1 (false) |
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75 | #define CLP_METHOD2 (true) |
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76 | #endif |
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77 | class ClpNonLinearCost { |
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78 | |
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79 | public: |
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80 | public: |
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81 | /**@name Constructors, destructor */ |
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82 | //@{ |
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83 | /// Default constructor. |
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84 | ClpNonLinearCost(); |
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85 | /** Constructor from simplex. |
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86 | This will just set up wasteful arrays for linear, but |
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87 | later may do dual analysis and even finding duplicate columns . |
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88 | */ |
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89 | ClpNonLinearCost(ClpSimplex *model, int method = 1); |
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90 | /** Constructor from simplex and list of non-linearities (columns only) |
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91 | First lower of each column has to match real lower |
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92 | Last lower has to be <= upper (if == then cost ignored) |
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93 | This could obviously be changed to make more user friendly |
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94 | */ |
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95 | ClpNonLinearCost(ClpSimplex *model, const int *starts, |
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96 | const double *lower, const double *cost); |
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97 | /// Destructor |
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98 | ~ClpNonLinearCost(); |
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99 | // Copy |
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100 | ClpNonLinearCost(const ClpNonLinearCost &); |
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101 | // Assignment |
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102 | ClpNonLinearCost &operator=(const ClpNonLinearCost &); |
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103 | //@} |
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104 | |
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105 | /**@name Actual work in primal */ |
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106 | //@{ |
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107 | /** Changes infeasible costs and computes number and cost of infeas |
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108 | Puts all non-basic (non free) variables to bounds |
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109 | and all free variables to zero if oldTolerance is non-zero |
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110 | - but does not move those <= oldTolerance away*/ |
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111 | void checkInfeasibilities(double oldTolerance = 0.0); |
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112 | /** Changes infeasible costs for each variable |
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113 | The indices are row indices and need converting to sequences |
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114 | */ |
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115 | void checkInfeasibilities(int numberInArray, const int *index); |
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116 | /** Puts back correct infeasible costs for each variable |
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117 | The input indices are row indices and need converting to sequences |
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118 | for costs. |
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119 | On input array is empty (but indices exist). On exit just |
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120 | changed costs will be stored as normal CoinIndexedVector |
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121 | */ |
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122 | void checkChanged(int numberInArray, CoinIndexedVector *update); |
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123 | /** Goes through one bound for each variable. |
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124 | If multiplier*work[iRow]>0 goes down, otherwise up. |
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125 | The indices are row indices and need converting to sequences |
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126 | Temporary offsets may be set |
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127 | Rhs entries are increased |
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128 | */ |
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129 | void goThru(int numberInArray, double multiplier, |
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130 | const int *index, const double *work, |
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131 | double *rhs); |
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132 | /** Takes off last iteration (i.e. offsets closer to 0) |
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133 | */ |
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134 | void goBack(int numberInArray, const int *index, |
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135 | double *rhs); |
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136 | /** Puts back correct infeasible costs for each variable |
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137 | The input indices are row indices and need converting to sequences |
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138 | for costs. |
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139 | At the end of this all temporary offsets are zero |
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140 | */ |
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141 | void goBackAll(const CoinIndexedVector *update); |
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142 | /// Temporary zeroing of feasible costs |
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143 | void zapCosts(); |
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144 | /// Refreshes costs always makes row costs zero |
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145 | void refreshCosts(const double *columnCosts); |
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146 | /// Puts feasible bounds into lower and upper |
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147 | void feasibleBounds(); |
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148 | /// Refresh - assuming regions OK |
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149 | void refresh(); |
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150 | /// Refresh one- assuming regions OK |
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151 | void refresh(int iSequence); |
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152 | /** Sets bounds and cost for one variable |
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153 | Returns change in cost |
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154 | May need to be inline for speed */ |
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155 | double setOne(int sequence, double solutionValue); |
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156 | /** Sets bounds and infeasible cost and true cost for one variable |
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157 | This is for gub and column generation etc */ |
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158 | void setOne(int sequence, double solutionValue, double lowerValue, double upperValue, |
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159 | double costValue = 0.0); |
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160 | /** Sets bounds and cost for outgoing variable |
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161 | may change value |
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162 | Returns direction */ |
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163 | int setOneOutgoing(int sequence, double &solutionValue); |
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164 | /// Returns nearest bound |
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165 | double nearest(int sequence, double solutionValue); |
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166 | /** Returns change in cost - one down if alpha >0.0, up if <0.0 |
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167 | Value is current - new |
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168 | */ |
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169 | inline double changeInCost(int sequence, double alpha) const |
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170 | { |
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171 | double returnValue = 0.0; |
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172 | if (CLP_METHOD1) { |
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173 | int iRange = whichRange_[sequence] + offset_[sequence]; |
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174 | if (alpha > 0.0) |
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175 | returnValue = cost_[iRange] - cost_[iRange - 1]; |
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176 | else |
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177 | returnValue = cost_[iRange] - cost_[iRange + 1]; |
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178 | } |
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179 | if (CLP_METHOD2) { |
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180 | returnValue = (alpha > 0.0) ? infeasibilityWeight_ : -infeasibilityWeight_; |
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181 | } |
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182 | return returnValue; |
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183 | } |
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184 | inline double changeUpInCost(int sequence) const |
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185 | { |
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186 | double returnValue = 0.0; |
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187 | if (CLP_METHOD1) { |
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188 | int iRange = whichRange_[sequence] + offset_[sequence]; |
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189 | if (iRange + 1 != start_[sequence + 1] && !infeasible(iRange + 1)) |
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190 | returnValue = cost_[iRange] - cost_[iRange + 1]; |
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191 | else |
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192 | returnValue = -1.0e100; |
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193 | } |
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194 | if (CLP_METHOD2) { |
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195 | returnValue = -infeasibilityWeight_; |
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196 | } |
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197 | return returnValue; |
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198 | } |
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199 | inline double changeDownInCost(int sequence) const |
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200 | { |
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201 | double returnValue = 0.0; |
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202 | if (CLP_METHOD1) { |
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203 | int iRange = whichRange_[sequence] + offset_[sequence]; |
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204 | if (iRange != start_[sequence] && !infeasible(iRange - 1)) |
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205 | returnValue = cost_[iRange] - cost_[iRange - 1]; |
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206 | else |
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207 | returnValue = 1.0e100; |
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208 | } |
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209 | if (CLP_METHOD2) { |
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210 | returnValue = infeasibilityWeight_; |
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211 | } |
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212 | return returnValue; |
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213 | } |
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214 | /// This also updates next bound |
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215 | inline double changeInCost(int sequence, double alpha, double &rhs) |
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216 | { |
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217 | double returnValue = 0.0; |
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218 | #ifdef NONLIN_DEBUG |
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219 | double saveRhs = rhs; |
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220 | #endif |
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221 | if (CLP_METHOD1) { |
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222 | int iRange = whichRange_[sequence] + offset_[sequence]; |
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223 | if (alpha > 0.0) { |
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224 | assert(iRange - 1 >= start_[sequence]); |
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225 | offset_[sequence]--; |
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226 | rhs += lower_[iRange] - lower_[iRange - 1]; |
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227 | returnValue = alpha * (cost_[iRange] - cost_[iRange - 1]); |
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228 | } else { |
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229 | assert(iRange + 1 < start_[sequence + 1] - 1); |
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230 | offset_[sequence]++; |
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231 | rhs += lower_[iRange + 2] - lower_[iRange + 1]; |
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232 | returnValue = alpha * (cost_[iRange] - cost_[iRange + 1]); |
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233 | } |
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234 | } |
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235 | if (CLP_METHOD2) { |
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236 | #ifdef NONLIN_DEBUG |
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237 | double saveRhs1 = rhs; |
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238 | rhs = saveRhs; |
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239 | #endif |
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240 | unsigned char iStatus = status_[sequence]; |
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241 | int iWhere = currentStatus(iStatus); |
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242 | if (iWhere == CLP_SAME) |
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243 | iWhere = originalStatus(iStatus); |
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244 | // rhs always increases |
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245 | if (iWhere == CLP_FEASIBLE) { |
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246 | if (alpha > 0.0) { |
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247 | // going below |
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248 | iWhere = CLP_BELOW_LOWER; |
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249 | rhs = COIN_DBL_MAX; |
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250 | } else { |
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251 | // going above |
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252 | iWhere = CLP_ABOVE_UPPER; |
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253 | rhs = COIN_DBL_MAX; |
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254 | } |
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255 | } else if (iWhere == CLP_BELOW_LOWER) { |
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256 | assert(alpha < 0); |
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257 | // going feasible |
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258 | iWhere = CLP_FEASIBLE; |
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259 | rhs += bound_[sequence] - model_->upperRegion()[sequence]; |
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260 | } else { |
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261 | assert(iWhere == CLP_ABOVE_UPPER); |
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262 | // going feasible |
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263 | iWhere = CLP_FEASIBLE; |
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264 | rhs += model_->lowerRegion()[sequence] - bound_[sequence]; |
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265 | } |
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266 | setCurrentStatus(status_[sequence], iWhere); |
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267 | #ifdef NONLIN_DEBUG |
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268 | assert(saveRhs1 == rhs); |
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269 | #endif |
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270 | returnValue = fabs(alpha) * infeasibilityWeight_; |
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271 | } |
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272 | return returnValue; |
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273 | } |
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274 | /// Returns current lower bound |
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275 | inline double lower(int sequence) const |
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276 | { |
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277 | return lower_[whichRange_[sequence] + offset_[sequence]]; |
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278 | } |
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279 | /// Returns current upper bound |
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280 | inline double upper(int sequence) const |
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281 | { |
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282 | return lower_[whichRange_[sequence] + offset_[sequence] + 1]; |
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283 | } |
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284 | /// Returns current cost |
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285 | inline double cost(int sequence) const |
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286 | { |
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287 | return cost_[whichRange_[sequence] + offset_[sequence]]; |
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288 | } |
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289 | /// Returns full status |
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290 | inline int fullStatus(int sequence) const |
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291 | { |
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292 | return status_[sequence]; |
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293 | } |
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294 | /// Returns if changed from beginning of iteration |
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295 | inline bool changed(int sequence) const |
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296 | { |
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297 | return (status_[sequence] & 64) == 0; |
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298 | } |
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299 | |
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300 | //@} |
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301 | |
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302 | /**@name Gets and sets */ |
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303 | //@{ |
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304 | /// Number of infeasibilities |
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305 | inline int numberInfeasibilities() const |
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306 | { |
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307 | return numberInfeasibilities_; |
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308 | } |
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309 | /// Change in cost |
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310 | inline double changeInCost() const |
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311 | { |
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312 | return changeCost_; |
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313 | } |
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314 | /// Feasible cost |
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315 | inline double feasibleCost() const |
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316 | { |
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317 | return feasibleCost_; |
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318 | } |
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319 | /// Feasible cost with offset and direction (i.e. for reporting) |
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320 | double feasibleReportCost() const; |
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321 | /// Sum of infeasibilities |
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322 | inline double sumInfeasibilities() const |
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323 | { |
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324 | return sumInfeasibilities_; |
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325 | } |
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326 | /// Largest infeasibility |
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327 | inline double largestInfeasibility() const |
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328 | { |
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329 | return largestInfeasibility_; |
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330 | } |
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331 | /// Average theta |
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332 | inline double averageTheta() const |
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333 | { |
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334 | return averageTheta_; |
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335 | } |
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336 | inline void setAverageTheta(double value) |
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337 | { |
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338 | averageTheta_ = value; |
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339 | } |
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340 | inline void setChangeInCost(double value) |
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341 | { |
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342 | changeCost_ = value; |
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343 | } |
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344 | inline void setMethod(int value) |
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345 | { |
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346 | method_ = value; |
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347 | } |
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348 | /// See if may want to look both ways |
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349 | inline bool lookBothWays() const |
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350 | { |
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351 | return bothWays_; |
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352 | } |
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353 | //@} |
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354 | ///@name Private functions to deal with infeasible regions |
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355 | inline bool infeasible(int i) const |
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356 | { |
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357 | return ((infeasible_[i >> 5] >> (i & 31)) & 1) != 0; |
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358 | } |
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359 | inline void setInfeasible(int i, bool trueFalse) |
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360 | { |
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361 | unsigned int &value = infeasible_[i >> 5]; |
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362 | int bit = i & 31; |
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363 | if (trueFalse) |
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364 | value |= (1 << bit); |
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365 | else |
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366 | value &= ~(1 << bit); |
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367 | } |
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368 | inline unsigned char *statusArray() const |
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369 | { |
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370 | return status_; |
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371 | } |
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372 | /// For debug |
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373 | void validate(); |
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374 | //@} |
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375 | |
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376 | private: |
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377 | /**@name Data members */ |
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378 | //@{ |
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379 | /// Change in cost because of infeasibilities |
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380 | double changeCost_; |
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381 | /// Feasible cost |
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382 | double feasibleCost_; |
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383 | /// Current infeasibility weight |
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384 | double infeasibilityWeight_; |
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385 | /// Largest infeasibility |
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386 | double largestInfeasibility_; |
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387 | /// Sum of infeasibilities |
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388 | double sumInfeasibilities_; |
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389 | /// Average theta - kept here as only for primal |
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390 | double averageTheta_; |
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391 | /// Number of rows (mainly for checking and copy) |
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392 | int numberRows_; |
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393 | /// Number of columns (mainly for checking and copy) |
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394 | int numberColumns_; |
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395 | /// Starts for each entry (columns then rows) |
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396 | int *start_; |
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397 | /// Range for each entry (columns then rows) |
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398 | int *whichRange_; |
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399 | /// Temporary range offset for each entry (columns then rows) |
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400 | int *offset_; |
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401 | /** Lower bound for each range (upper bound is next lower). |
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402 | For various reasons there is always an infeasible range |
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403 | at bottom - even if lower bound is - infinity */ |
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404 | double *lower_; |
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405 | /// Cost for each range |
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406 | double *cost_; |
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407 | /// Model |
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408 | ClpSimplex *model_; |
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409 | // Array to say which regions are infeasible |
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410 | unsigned int *infeasible_; |
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411 | /// Number of infeasibilities found |
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412 | int numberInfeasibilities_; |
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413 | // new stuff |
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414 | /// Contains status at beginning and current |
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415 | unsigned char *status_; |
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416 | /// Bound which has been replaced in lower_ or upper_ |
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417 | double *bound_; |
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418 | /// Feasible cost array |
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419 | double *cost2_; |
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420 | /// Method 1 old, 2 new, 3 both! |
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421 | int method_; |
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422 | /// If all non-linear costs convex |
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423 | bool convex_; |
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424 | /// If we should look both ways for djs |
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425 | bool bothWays_; |
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426 | //@} |
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427 | }; |
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428 | |
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429 | #endif |
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430 | |
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431 | /* vi: softtabstop=2 shiftwidth=2 expandtab tabstop=2 |
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432 | */ |
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