stop colgen when db reaches ipb (#1020)

* fix bug in colgen when db reaches ipb

* fix a last bug

src/Algorithm/colgen/default.jl

@@ -87,8 +87,9 @@ 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}
+    ipb::Union{Nothing,Float64}
+    mlp::Union{Nothing,Float64}
+    db::Union{Nothing,Float64}
     new_cut_in_master::Bool
     no_more_columns::Bool
     infeasible::Bool
@@ -103,8 +104,9 @@ 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}
+    ipb::Union{Nothing,Float64}
+    mlp::Union{Nothing,Float64}
+    db::Union{Nothing,Float64}
     infeasible::Bool
 end
 
@@ -113,6 +115,7 @@ function ColGen.new_output(::Type{<:ColGenOutput}, output::ColGenPhaseOutput)
         output.master_lp_primal_sol, 
         output.master_ip_primal_sol,
         output.master_lp_dual_sol,
+        output.ipb,
         output.mlp, 
         output.db,
         output.infeasible
@@ -193,12 +196,23 @@ end
 
 colgen_master_has_new_cuts(output::ColGenPhaseOutput) = output.new_cut_in_master
 colgen_uses_exact_stage(output::ColGenPhaseOutput) = output.exact_stage
-colgen_has_converged(output::ColGenPhaseOutput) = !isnothing(output.mlp) && 
-                                                  !isnothing(output.db) && (
-                                                  ( abs(output.mlp - output.db) < 1e-5 ) ||
-                                                  ( (output.min_sense) && (output.db >= output.mlp) ) ||
-                                                  ( !(output.min_sense) && (output.db <= output.mlp) ) 
-                                                  )
+
+function colgen_has_converged(output::ColGenPhaseOutput)
+    # Check if master LP and dual bound converged.
+    db_mlp =  !isnothing(output.mlp) && !isnothing(output.db) && (
+        abs(output.mlp - output.db) < 1e-5 ||
+        (output.min_sense && output.db >= output.mlp) ||
+        (!output.min_sense && output.db <= output.mlp)
+    )
+    # Check is global IP bound and dual bound converged.
+    db_ipb = !isnothing(output.ipb) && !isnothing(output.db) && (
+        abs(output.ipb - output.db) < 1e-5 ||
+        (output.min_sense && output.db >= output.ipb) ||
+        (!output.min_sense && output.db <= output.ipb)
+    )
+    return db_mlp || db_ipb
+end
+
 colgen_has_no_new_cols(output::ColGenPhaseOutput) = output.no_more_columns
 
 ## Implementation of `next_phase`.
@@ -810,8 +824,9 @@ end
 "Object for the output of an iteration of the column generation default implementation."
 struct ColGenIterationOutput <: ColGen.AbstractColGenIterationOutput
     min_sense::Bool
-    mlp::Union{Nothing, Float64}
-    db::Union{Nothing, Float64}
+    ipb::Union{Nothing,Float64}
+    mlp::Union{Nothing,Float64}
+    db::Union{Nothing,Float64}
     nb_new_cols::Int
     new_cut_in_master::Bool
     # Equals `true` if the master subsolver returns infeasible.
@@ -845,6 +860,7 @@ function ColGen.new_iteration_output(::Type{<:ColGenIterationOutput},
 )
     return ColGenIterationOutput(
         min_sense,
+        get_global_primal_bound(master_ip_primal_sol),
         mlp,
         db,
         nb_new_cols,
@@ -872,9 +888,10 @@ ColGen.get_dual_bound(output::ColGenIterationOutput) = output.db
 _gap(mlp, db) = (mlp - db) / abs(db)
 _colgen_gap_closed(mlp, db, atol, rtol) = _gap(mlp, db) < 0 || isapprox(mlp, db, atol = atol, rtol = rtol)
 
-ColGen.stop_colgen_phase(ctx::ColGenContext, phase, env, ::Nothing, inc_dual_bound, colgen_iteration) = false
-function ColGen.stop_colgen_phase(ctx::ColGenContext, phase, env, colgen_iter_output::ColGenIterationOutput, inc_dual_bound, colgen_iteration)
+ColGen.stop_colgen_phase(ctx::ColGenContext, phase, env, ::Nothing, inc_dual_bound, ip_primal_sol, colgen_iteration) = false
+function ColGen.stop_colgen_phase(ctx::ColGenContext, phase, env, colgen_iter_output::ColGenIterationOutput, inc_dual_bound, ip_primal_sol, colgen_iteration)
     mlp = colgen_iter_output.mlp
+    pb = getvalue(get_global_primal_bound(ip_primal_sol))
     db = inc_dual_bound
     sc = colgen_iter_output.min_sense ? 1 : -1
     return colgen_iteration >= ctx.nb_colgen_iteration_limit ||
@@ -885,7 +902,8 @@ function ColGen.stop_colgen_phase(ctx::ColGenContext, phase, env, colgen_iter_ou
         colgen_iter_output.unbounded_subproblem ||
         colgen_iter_output.nb_new_cols <= 0 ||
         colgen_iter_output.new_cut_in_master ||
-        _colgen_gap_closed(sc * mlp, sc * db, 1e-8, 1e-5)
+        _colgen_gap_closed(sc * mlp, sc * db, 1e-8, 1e-5) ||
+        _colgen_gap_closed(sc * pb, sc * db, 1e-8, 1e-5)
 end
 
 ColGen.before_colgen_iteration(ctx::ColGenContext, phase) = nothing
@@ -898,6 +916,7 @@ function ColGen.new_phase_output(::Type{<:ColGenPhaseOutput}, min_sense, phase,
         colgen_iter_output.master_lp_primal_sol,
         colgen_iter_output.master_ip_primal_sol,
         colgen_iter_output.master_lp_dual_sol,
+        colgen_iter_output.ipb,
         colgen_iter_output.mlp,
         inc_dual_bound,
         colgen_iter_output.new_cut_in_master,
@@ -915,6 +934,7 @@ function ColGen.new_phase_output(::Type{<:ColGenPhaseOutput}, min_sense, phase::
         colgen_iter_output.master_lp_primal_sol,
         colgen_iter_output.master_ip_primal_sol,
         colgen_iter_output.master_lp_dual_sol,
+        colgen_iter_output.ipb,
         colgen_iter_output.mlp,
         inc_dual_bound,
         colgen_iter_output.new_cut_in_master,
@@ -929,7 +949,6 @@ end
 
 ColGen.get_master_ip_primal_sol(output::ColGenPhaseOutput) = output.master_ip_primal_sol
 
-
 ColGen.update_stabilization_after_pricing_optim!(::NoColGenStab, ctx::ColGenContext, generated_columns, master, valid_db, pseudo_db, mast_dual_sol) = nothing
 function ColGen.update_stabilization_after_pricing_optim!(stab::ColGenStab, ctx::ColGenContext, generated_columns, master, valid_db, pseudo_db, mast_dual_sol)
     # At each iteration, we always update α after the first pricing optimization.

src/Algorithm/colgen/printer.jl

@@ -123,14 +123,14 @@ function ColGen.colgen_iteration_output_type(ctx::ColGenPrinterContext)
     return ColGen.colgen_iteration_output_type(ctx.inner)
 end
 
-function ColGen.stop_colgen_phase(ctx::ColGenPrinterContext, phase, env, colgen_iter_output, inc_dual_bound, colgen_iteration)
-    return ColGen.stop_colgen_phase(ctx.inner, phase, env, colgen_iter_output, inc_dual_bound, colgen_iteration)
+function ColGen.stop_colgen_phase(ctx::ColGenPrinterContext, phase, env, colgen_iter_output, inc_dual_bound, ip_primal_sol, colgen_iteration)
+    return ColGen.stop_colgen_phase(ctx.inner, phase, env, colgen_iter_output, inc_dual_bound, ip_primal_sol, colgen_iteration)
 end
 
 ColGen.before_colgen_iteration(ctx::ColGenPrinterContext, phase) = nothing
 
 function _colgen_iter_str(
-    colgen_iteration, colgen_iter_output::ColGenIterationOutput, phase::Int, stage::Int, sp_time::Float64, mst_time::Float64, optim_time::Float64, alpha, pb
+    colgen_iteration, colgen_iter_output::ColGenIterationOutput, phase::Int, stage::Int, sp_time::Float64, mst_time::Float64, optim_time::Float64, alpha
 )
     phase_string = "  "
     if phase == 1
@@ -173,6 +173,7 @@ function _colgen_iter_str(
 
     mlp::Float64 = colgen_iter_output.mlp
     db::Float64 = colgen_iter_output.db
+    pb::Float64 = colgen_iter_output.ipb
 
     nb_new_col::Int = ColGen.get_nb_new_cols(colgen_iter_output)
 
@@ -183,7 +184,7 @@ function _colgen_iter_str(
 end
 
 function ColGen.after_colgen_iteration(ctx::ColGenPrinterContext, phase, stage, env, colgen_iteration, stab, ip_primal_sol, colgen_iter_output)
-    println(_colgen_iter_str(colgen_iteration, colgen_iter_output, ctx.phase, ColGen.stage_id(stage), ctx.sp_elapsed_time, ctx.mst_elapsed_time, elapsed_optim_time(env), ColGen.get_output_str(stab), getvalue(get_global_primal_bound(ip_primal_sol))))
+    println(_colgen_iter_str(colgen_iteration, colgen_iter_output, ctx.phase, ColGen.stage_id(stage), ctx.sp_elapsed_time, ctx.mst_elapsed_time, elapsed_optim_time(env), ColGen.get_output_str(stab)))
     return
 end
 

src/Algorithm/treesearch/branch_and_bound.jl

@@ -227,13 +227,14 @@ function after_conquer!(space::BaBSearchSpace, current, conquer_output)
 
     # TODO: remove later but we currently need it to print information in the json file.
     current.conquer_output = conquer_output
+    current.ip_dual_bound = get_lp_dual_bound(conquer_output)
     return
 end
 
 # Conquer
 function is_pruned(space::BaBSearchSpace, current::Node)
     return MathProg.gap_closed(
-        get_global_primal_bound(space.inc_primal_manager),      
+        get_global_primal_bound(space.inc_primal_manager),
         current.ip_dual_bound,
         atol = space.opt_atol,
         rtol = space.opt_rtol

src/ColGen/ColGen.jl

@@ -72,7 +72,7 @@ function run_colgen_phase!(context, phase, stage, env, ip_primal_sol, stab; iter
     iteration = iter
     colgen_iter_output = nothing
     incumbent_dual_bound = nothing
-    while !stop_colgen_phase(context, phase, env, colgen_iter_output, incumbent_dual_bound, iteration)
+    while !stop_colgen_phase(context, phase, env, colgen_iter_output, incumbent_dual_bound, ip_primal_sol, iteration)
         before_colgen_iteration(context, phase)
         colgen_iter_output = run_colgen_iteration!(context, phase, stage, env, ip_primal_sol, stab)
         dual_bound = ColGen.get_dual_bound(colgen_iter_output)

src/ColGen/phases.jl

@@ -28,4 +28,4 @@ Returns `nothing` if the algorithm must stop.
 @mustimplement "ColGenPhase" setup_context!(context, ::AbstractColGenPhase) = nothing
 
 "Returns `true` if the column generation phase must stop."
-@mustimplement "ColGenPhase" stop_colgen_phase(context, phase, env, colgen_iter_output, inc_dual_bound, colgen_iteration) = nothing
+@mustimplement "ColGenPhase" stop_colgen_phase(context, phase, env, colgen_iter_output, inc_dual_bound, ip_primal_sol, colgen_iteration) = nothing

test/e2e/TreeSearch/treesearch.jl

@@ -30,7 +30,6 @@ function test_treesearch_gap_1()
 
     optimize!(model)
     @test_broken JuMP.termination_status(model) == MOI.INFEASIBLE
-
 end
 register!(e2e_tests, "treesearch", test_treesearch_gap_1)