Merge pull request #141 from coin-or/evd-fix

Fixes for, e.g. EVD
coin-or · Oct 20, 2021 · 11fda1e · 11fda1e
2 parents a146a13 + 48ed866
commit 11fda1e
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Showing 15 changed files with 286 additions and 132 deletions.
diff --git a/src/DualSolver.cpp b/src/DualSolver.cpp
@@ -72,7 +72,13 @@ void DualSolver::checkDualSolutionCandidates()
             // New dual solution
             env->results->setDualBound(C.objValue);
             currDualBound = C.objValue;
-            env->solutionStatistics.iterationLastDualBoundUpdate = env->results->getCurrentIteration()->iterationNumber;
+
+            if(env->results->getNumberOfIterations() > 0)
+                env->solutionStatistics.iterationLastDualBoundUpdate
+                    = env->results->getCurrentIteration()->iterationNumber;
+            else
+                env->solutionStatistics.iterationLastDualBoundUpdate = 0;
+
             env->solutionStatistics.iterationLastDualBoundUpdate = env->timing->getElapsedTime("Total");
 
             if(C.sourceType == E_DualSolutionSource::MIPSolutionOptimal
@@ -257,7 +263,8 @@ bool DualSolver::hasHyperplaneBeenAdded(double hash, int constraintIndex)
 
 void DualSolver::addIntegerCut(IntegerCut integerCut)
 {
-    if(env->reformulatedProblem->properties.numberOfIntegerVariables > 0 || env->reformulatedProblem->properties.numberOfSemiintegerVariables > 0)
+    if(env->reformulatedProblem->properties.numberOfIntegerVariables > 0
+        || env->reformulatedProblem->properties.numberOfSemiintegerVariables > 0)
         integerCut.areAllVariablesBinary = false;
     else
     {

diff --git a/src/Enums.h b/src/Enums.h
@@ -272,6 +272,12 @@ enum class ES_AddPrimalPointAsInteriorPoint
     OnlyAverage
 };
 
+enum class ES_EigenValueDecompositionFormulation
+{
+    CoefficientReformulated,
+    CoefficientRemains
+};
+
 enum class ES_HyperplaneCutStrategy
 {
     ESH,

diff --git a/src/MIPSolver/MIPSolverCplexSingleTree.cpp b/src/MIPSolver/MIPSolverCplexSingleTree.cpp
@@ -315,21 +315,26 @@ void CplexCallback::invoke(const IloCplex::Callback::Context& context)
 
             if(checkFixedNLPStrategy(candidatePoints.at(0)))
             {
-                env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point, E_PrimalNLPSource::FirstSolution,
-                    context.getCandidateObjective(), env->results->getCurrentIteration()->iterationNumber,
-                    candidatePoints.at(0).maxDeviation);
 
                 if(taskSelectPrimNLPOriginal)
-                    taskSelectPrimNLPOriginal->run();
+                {
+                    env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point,
+                        E_PrimalNLPSource::FirstSolution, context.getCandidateObjective(),
+                        env->results->getCurrentIteration()->iterationNumber, candidatePoints.at(0).maxDeviation);
 
-                env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point, E_PrimalNLPSource::FirstSolution,
-                    context.getCandidateObjective(), env->results->getCurrentIteration()->iterationNumber,
-                    candidatePoints.at(0).maxDeviation);
+                    taskSelectPrimNLPOriginal->run();
+                    env->primalSolver->fixedPrimalNLPCandidates.clear();
+                }
 
                 if(taskSelectPrimNLPReformulated)
-                    taskSelectPrimNLPReformulated->run();
+                {
+                    env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point,
+                        E_PrimalNLPSource::FirstSolution, context.getCandidateObjective(),
+                        env->results->getCurrentIteration()->iterationNumber, candidatePoints.at(0).maxDeviation);
 
-                env->primalSolver->fixedPrimalNLPCandidates.clear();
+                    taskSelectPrimNLPReformulated->run();
+                    env->primalSolver->fixedPrimalNLPCandidates.clear();
+                }
 
                 env->primalSolver->checkPrimalSolutionCandidates();
             }
@@ -554,8 +559,8 @@ void CplexCallback::addLazyConstraint(
 
         for(auto& hp : env->dualSolver->hyperplaneWaitingList)
         {
-            this->createHyperplane(hp, context);
-            this->lastNumAddedHyperplanes++;
+            if(this->createHyperplane(hp, context))
+                this->lastNumAddedHyperplanes++;
         }
 
         env->dualSolver->hyperplaneWaitingList.clear();

diff --git a/src/MIPSolver/MIPSolverCplexSingleTreeLegacy.cpp b/src/MIPSolver/MIPSolverCplexSingleTreeLegacy.cpp
@@ -428,19 +428,23 @@ void CtCallbackI::main()
 
     if(checkFixedNLPStrategy(solutionCandidate))
     {
-        env->primalSolver->addFixedNLPCandidate(solution, E_PrimalNLPSource::FirstSolution, this->getObjValue(),
-            env->results->getCurrentIteration()->iterationNumber, solutionCandidate.maxDeviation);
-
         if(taskSelectPrimNLPOriginal)
-            taskSelectPrimNLPOriginal->run();
+        {
+            env->primalSolver->addFixedNLPCandidate(solution, E_PrimalNLPSource::FirstSolution, this->getObjValue(),
+                env->results->getCurrentIteration()->iterationNumber, solutionCandidate.maxDeviation);
 
-        env->primalSolver->addFixedNLPCandidate(solution, E_PrimalNLPSource::FirstSolution, this->getObjValue(),
-            env->results->getCurrentIteration()->iterationNumber, solutionCandidate.maxDeviation);
+            taskSelectPrimNLPOriginal->run();
+            env->primalSolver->fixedPrimalNLPCandidates.clear();
+        }
 
         if(taskSelectPrimNLPReformulated)
-            taskSelectPrimNLPReformulated->run();
+        {
+            env->primalSolver->addFixedNLPCandidate(solution, E_PrimalNLPSource::FirstSolution, this->getObjValue(),
+                env->results->getCurrentIteration()->iterationNumber, solutionCandidate.maxDeviation);
 
-        env->primalSolver->fixedPrimalNLPCandidates.clear();
+            taskSelectPrimNLPReformulated->run();
+            env->primalSolver->fixedPrimalNLPCandidates.clear();
+        }
 
         env->primalSolver->checkPrimalSolutionCandidates();
 
@@ -485,8 +489,8 @@ void CtCallbackI::main()
 
     for(auto& hp : env->dualSolver->hyperplaneWaitingList)
     {
-        this->createHyperplane(hp);
-        this->lastNumAddedHyperplanes++;
+        if(this->createHyperplane(hp))
+            this->lastNumAddedHyperplanes++;
     }
 
     env->dualSolver->hyperplaneWaitingList.clear();

diff --git a/src/MIPSolver/MIPSolverGurobi.cpp b/src/MIPSolver/MIPSolverGurobi.cpp
@@ -1096,6 +1096,9 @@ void MIPSolverGurobi::setTimeLimit(double seconds)
 
 void MIPSolverGurobi::setCutOff(double cutOff)
 {
+    if(std::abs(cutOff) > 1e20)
+        return;
+
     try
     {
         // Gurobi has problems if not an epsilon value is added to the cutoff...

diff --git a/src/MIPSolver/MIPSolverGurobiSingleTree.cpp b/src/MIPSolver/MIPSolverGurobiSingleTree.cpp
@@ -186,6 +186,31 @@ void GurobiCallbackSingleTree::callback()
 
     try
     {
+
+        // Add current primal bound as new incumbent candidate
+        auto primalBound = env->results->getPrimalBound();
+
+        if(((isMinimization && lastUpdatedPrimal < primalBound)
+               || (!isMinimization && lastUpdatedPrimal > primalBound)))
+        {
+            auto primalSol = env->results->primalSolution;
+
+            if((int)primalSol.size() < env->reformulatedProblem->properties.numberOfVariables)
+                env->reformulatedProblem->augmentAuxiliaryVariableValues(primalSol);
+
+            assert(env->reformulatedProblem->properties.numberOfVariables == primalSol.size());
+
+            if(env->dualSolver->MIPSolver->hasDualAuxiliaryObjectiveVariable())
+                primalSol.push_back(env->reformulatedProblem->objectiveFunction->calculateValue(primalSol));
+
+            for(size_t i = 0; i < primalSol.size(); i++)
+            {
+                setSolution(vars[i], primalSol.at(i));
+            }
+
+            lastUpdatedPrimal = env->results->getPrimalBound();
+        }
+
         // Check if better dual bound
         double tmpDualObjBound;
 
@@ -394,21 +419,25 @@ void GurobiCallbackSingleTree::callback()
 
             if(checkFixedNLPStrategy(candidatePoints.at(0)))
             {
-                env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point, E_PrimalNLPSource::FirstSolution,
-                    getDoubleInfo(GRB_CB_MIPSOL_OBJ), env->results->getCurrentIteration()->iterationNumber,
-                    candidatePoints.at(0).maxDeviation);
-
                 if(taskSelectPrimNLPOriginal)
-                    taskSelectPrimNLPOriginal->run();
+                {
+                    env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point,
+                        E_PrimalNLPSource::FirstSolution, getDoubleInfo(GRB_CB_MIPSOL_OBJ),
+                        env->results->getCurrentIteration()->iterationNumber, candidatePoints.at(0).maxDeviation);
 
-                env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point, E_PrimalNLPSource::FirstSolution,
-                    getDoubleInfo(GRB_CB_MIPSOL_OBJ), env->results->getCurrentIteration()->iterationNumber,
-                    candidatePoints.at(0).maxDeviation);
+                    taskSelectPrimNLPOriginal->run();
+                    env->primalSolver->fixedPrimalNLPCandidates.clear();
+                }
 
                 if(taskSelectPrimNLPReformulated)
-                    taskSelectPrimNLPReformulated->run();
+                {
+                    env->primalSolver->addFixedNLPCandidate(candidatePoints.at(0).point,
+                        E_PrimalNLPSource::FirstSolution, getDoubleInfo(GRB_CB_MIPSOL_OBJ),
+                        env->results->getCurrentIteration()->iterationNumber, candidatePoints.at(0).maxDeviation);
 
-                env->primalSolver->fixedPrimalNLPCandidates.clear();
+                    taskSelectPrimNLPReformulated->run();
+                    env->primalSolver->fixedPrimalNLPCandidates.clear();
+                }
 
                 env->primalSolver->checkPrimalSolutionCandidates();
             }
@@ -443,30 +472,6 @@ void GurobiCallbackSingleTree::callback()
             lastExploredNodes = (int)getDoubleInfo(GRB_CB_MIP_NODCNT);
             lastOpenNodes = (int)getDoubleInfo(GRB_CB_MIP_NODLFT);
         }
-
-        // Add current primal bound as new incumbent candidate
-        auto primalBound = env->results->getPrimalBound();
-
-        if(((isMinimization && lastUpdatedPrimal < primalBound)
-               || (!isMinimization && lastUpdatedPrimal > primalBound)))
-        {
-            auto primalSol = env->results->primalSolution;
-
-            if((int)primalSol.size() < env->reformulatedProblem->properties.numberOfVariables)
-                env->reformulatedProblem->augmentAuxiliaryVariableValues(primalSol);
-
-            assert(env->reformulatedProblem->properties.numberOfVariables == primalSol.size());
-
-            if(env->dualSolver->MIPSolver->hasDualAuxiliaryObjectiveVariable())
-                primalSol.push_back(env->reformulatedProblem->objectiveFunction->calculateValue(primalSol));
-
-            for(size_t i = 0; i < primalSol.size(); i++)
-            {
-                setSolution(vars[i], primalSol.at(i));
-            }
-
-            lastUpdatedPrimal = env->results->getPrimalBound();
-        }
     }
     catch(GRBException& e)
     {
@@ -669,8 +674,8 @@ void GurobiCallbackSingleTree::addLazyConstraint(std::vector<SolutionPoint> cand
 
         for(auto& hp : env->dualSolver->hyperplaneWaitingList)
         {
-            this->createHyperplane(hp);
-            this->lastNumAddedHyperplanes++;
+            if(this->createHyperplane(hp))
+                this->lastNumAddedHyperplanes++;
         }
 
         env->dualSolver->hyperplaneWaitingList.clear();