colgen returns dual solution (#843)

* colgen returns dual solution

* Update test/revise.jl

src/Algorithm/colgen.jl

@@ -142,10 +142,14 @@ function run!(algo::ColumnGeneration, env::Env, reform::Reformulation, input::Op
         update_ip_primal_sol!(optstate, result.master_ip_primal_sol)
     end
 
+    if !isnothing(result.master_lp_dual_sol)
+        update_lp_dual_sol!(optstate, result.master_lp_dual_sol)
+    end
+
     if !isnothing(result.db)
         set_lp_dual_bound!(optstate, DualBound(master, result.db))
         set_ip_dual_bound!(optstate, DualBound(master, result.db))
-    end    
+    end
     return optstate
 end
 

src/Algorithm/colgen/default.jl

@@ -53,6 +53,7 @@ ColGen.get_pricing_subprobs(ctx::ColGenContext) = get_dw_pricing_sps(ctx.reform)
 struct ColGenPhaseOutput <: ColGen.AbstractColGenPhaseOutput
     master_lp_primal_sol::Union{Nothing,PrimalSolution}
     master_ip_primal_sol::Union{Nothing,PrimalSolution}
+    master_lp_dual_sol::Union{Nothing,DualSolution}
     mlp::Union{Nothing, Float64}
     db::Union{Nothing, Float64}
     new_cut_in_master::Bool
@@ -61,14 +62,16 @@ end
 struct ColGenOutput <: ColGen.AbstractColGenOutput
     master_lp_primal_sol::Union{Nothing,PrimalSolution}
     master_ip_primal_sol::Union{Nothing,PrimalSolution}
+    master_lp_dual_sol::Union{Nothing,DualSolution}
     mlp::Union{Nothing, Float64}
     db::Union{Nothing, Float64}
 end
 
 function ColGen.new_output(::Type{<:ColGenOutput}, output::ColGenPhaseOutput)
     return ColGenOutput(
         output.master_lp_primal_sol, 
-        output.master_ip_primal_sol, 
+        output.master_ip_primal_sol,
+        output.master_lp_dual_sol,
         output.mlp, 
         output.db
     )
@@ -486,6 +489,7 @@ struct ColGenIterationOutput <: ColGen.AbstractColGenIterationOutput
     time_limit_reached::Bool
     master_lp_primal_sol::Union{Nothing, PrimalSolution}
     master_ip_primal_sol::Union{Nothing, PrimalSolution}
+    master_lp_dual_sol::Union{Nothing, DualSolution}
 end
 
 ColGen.colgen_iteration_output_type(::ColGenContext) = ColGenIterationOutput
@@ -502,7 +506,8 @@ function ColGen.new_iteration_output(::Type{<:ColGenIterationOutput},
     unbounded_subproblem,
     time_limit_reached,
     master_lp_primal_sol,
-    master_ip_primal_sol
+    master_ip_primal_sol,
+    master_lp_dual_sol
 )
     return ColGenIterationOutput(
         min_sense,
@@ -516,7 +521,8 @@ function ColGen.new_iteration_output(::Type{<:ColGenIterationOutput},
         unbounded_subproblem,
         time_limit_reached,
         master_lp_primal_sol,
-        master_ip_primal_sol
+        master_ip_primal_sol,
+        master_lp_dual_sol
     )
 end
 
@@ -556,6 +562,7 @@ function ColGen.new_phase_output(::Type{<:ColGenPhaseOutput}, colgen_iter_output
     return ColGenPhaseOutput(
         colgen_iter_output.master_lp_primal_sol,
         colgen_iter_output.master_ip_primal_sol,
+        colgen_iter_output.master_lp_dual_sol,
         colgen_iter_output.mlp,
         colgen_iter_output.db,
         colgen_iter_output.new_cut_in_master

src/ColGen/interface.jl

@@ -224,7 +224,8 @@ abstract type AbstractColGenIterationOutput end
     unbounded_subproblem,
     time_limit_reached,
     master_primal_sol,
-    ip_primal_sol
+    ip_primal_sol,
+    dual_sol
 ) = nothing
 
 @mustimplement "ColGenIterationOutput" get_nb_new_cols(::AbstractColGenIterationOutput) = nothing
@@ -249,7 +250,7 @@ function run_colgen_iteration!(context, phase, env, ip_primal_sol)
     # Iteration continues only if master is not infeasible nor unbounded and has dual
     # solution.
     if is_infeasible(mast_result)
-        return new_iteration_output(O, is_min_sense, nothing, _inf(is_min_sense), 0, false, true, false, false, false, false, nothing, nothing)
+        return new_iteration_output(O, is_min_sense, nothing, _inf(is_min_sense), 0, false, true, false, false, false, false, nothing, nothing, nothing)
     elseif is_unbounded(mast_result)
         throw(UnboundedProblemError("Unbounded master problem."))
     end
@@ -269,7 +270,7 @@ function run_colgen_iteration!(context, phase, env, ip_primal_sol)
         # memoization to calculate reduced costs and stabilization.
         new_ip_primal_sol, new_cut_in_master = check_primal_ip_feasibility!(mast_primal_sol, context, phase, get_reform(context), env)
         if new_cut_in_master
-            return new_iteration_output(O, is_min_sense, nothing, nothing, 0, true, false, false, false, false, false, nothing, ip_primal_sol)
+            return new_iteration_output(O, is_min_sense, nothing, nothing, 0, true, false, false, false, false, false, nothing, ip_primal_sol, nothing)
         end
         if !isnothing(new_ip_primal_sol) && isbetter(new_ip_primal_sol, ip_primal_sol)
             ip_primal_sol = new_ip_primal_sol
@@ -332,7 +333,7 @@ function run_colgen_iteration!(context, phase, env, ip_primal_sol)
         # Iteration continues only if the pricing solution is not infeasible nor unbounded.
         if is_infeasible(pricing_result)
             # TODO: if the lower multiplicity of the subproblem is zero, we can continue.
-            return new_iteration_output(O, is_min_sense, nothing, _inf(is_min_sense), 0, false, false, false, true, false, false, mast_primal_sol, ip_primal_sol)
+            return new_iteration_output(O, is_min_sense, nothing, _inf(is_min_sense), 0, false, false, false, true, false, false, mast_primal_sol, ip_primal_sol, mast_dual_sol)
         elseif is_unbounded(pricing_result)
             # We do not support unbounded pricing (even if it's theorically possible).
             # We must stop Coluna here by throwing an exception because we can't claim
@@ -376,6 +377,6 @@ function run_colgen_iteration!(context, phase, env, ip_primal_sol)
 
     # update_stab_after_gencols!
 
-    return new_iteration_output(O, is_min_sense, master_lp_obj_val, valid_db, nb_cols_inserted, false, false, false, false, false, false, mast_primal_sol, ip_primal_sol)
+    return new_iteration_output(O, is_min_sense, master_lp_obj_val, valid_db, nb_cols_inserted, false, false, false, false, false, false, mast_primal_sol, ip_primal_sol, mast_dual_sol)
 end
 

test/.222-revise-exit-code

@@ -0,0 +1 @@
+222

test/unit/ColGen/colgen_iteration.jl

@@ -220,6 +220,7 @@ struct TestColGenIterationOutput <: ColGen.AbstractColGenIterationOutput
     time_limit_reached::Bool
     master_lp_primal_sol::Union{Nothing, Vector{Float64}}
     master_ip_primal_sol::Union{Nothing, Vector{Float64}}
+    master_lp_dual_sol::Union{Nothing, Vector{Float64}}
 end
 
 ColGen.colgen_iteration_output_type(::ColGenIterationTestContext) = TestColGenIterationOutput
@@ -236,7 +237,8 @@ function ColGen.new_iteration_output(::Type{<:TestColGenIterationOutput},
     unbounded_subproblem,
     time_limit_reached,
     master_lp_primal_sol,
-    master_ip_primal_sol
+    master_ip_primal_sol,
+    master_lp_dual_sol
 )
     return TestColGenIterationOutput(
         min_sense,
@@ -250,7 +252,8 @@ function ColGen.new_iteration_output(::Type{<:TestColGenIterationOutput},
         unbounded_subproblem,
         time_limit_reached,
         master_lp_primal_sol,
-        master_ip_primal_sol
+        master_ip_primal_sol,
+        master_lp_dual_sol
     )
 end
 

test/unit/ColGen/colgen_phase.jl

@@ -129,6 +129,7 @@ function stop_colgen_phase_if_colgen_converged_eq()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -155,6 +156,7 @@ function stop_colgen_phase_if_colgen_converged_min()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -181,6 +183,7 @@ function stop_colgen_phase_if_colgen_converged_max()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -207,6 +210,7 @@ function stop_colgen_phase_if_iterations_limit()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -233,6 +237,7 @@ function stop_colgen_phase_if_time_limit()
         false,
         true,
         nothing,
+        nothing,
         nothing
     )
 
@@ -259,6 +264,7 @@ function stop_colgen_phase_if_subproblem_infeasible()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -285,6 +291,7 @@ function stop_colgen_phase_if_subproblem_unbounded()
         true,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -311,6 +318,7 @@ function stop_colgen_phase_if_master_unbounded()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
 
@@ -337,6 +345,7 @@ function stop_colgen_phase_if_no_new_column()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     @test ColGen.stop_colgen_phase(ctx, ClA.ColGenPhase1(), env, colgen_iter_output, colgen_iteration, cutsep_iteration)
@@ -362,6 +371,7 @@ function stop_colgen_phase_if_new_cut_in_master()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     @test ColGen.stop_colgen_phase(ctx, ClA.ColGenPhase3(), env, colgen_iter_output, colgen_iteration, cutsep_iteration)
@@ -387,6 +397,7 @@ function continue_colgen_phase_otherwise()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     @test !ColGen.stop_colgen_phase(ctx, ClA.ColGenPhase1(), env, colgen_iter_output, colgen_iteration, cutsep_iteration)

test/unit/ColGen/colgen_printer.jl

@@ -12,6 +12,7 @@ function printer_colgen_iteration_master_ok_pricing_ok()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = "  <it=  1> <et= 2.34> <mst= 1.23> <sp= 0.12> <cols= 1> <al= 0.00> <DB=   16.7500> <mlp=   22.5000> <PB=Inf>"
@@ -33,6 +34,7 @@ function printer_colgen_iteration_master_infeasible()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = "  <it=  1> <et= 2.34> - infeasible master"
@@ -54,6 +56,7 @@ function printer_colgen_iteration_pricing_infeasible()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = "  <it=  1> <et= 2.34> - infeasible subproblem"
@@ -75,6 +78,7 @@ function printer_colgen_iteration_master_unbounded()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = ""
@@ -96,6 +100,7 @@ function printer_colgen_iteration_pricing_unbounded()
         true,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = "  <it=  1> <et= 2.34> - unbounded subproblem"
@@ -139,6 +144,7 @@ function printer_colgen_new_cuts_in_master()
         false,
         false,
         nothing,
+        nothing,
         nothing
     )
     expected_str = "  <it=  1> <et= 2.34> <mst= 1.23> <sp= 0.12> <cols= 1> <al= 0.00> <DB=   16.7500> <mlp=   22.5000> <PB=Inf>"