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Speed up computation of reduced costs #309

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Apr 15, 2020
Merged

Speed up computation of reduced costs #309

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9a1d06a
Speed up computation of reduced costs
guimarqu Apr 14, 2020
c26e6a8
improve
guimarqu Apr 15, 2020
b1288d5
clean code
guimarqu Apr 15, 2020
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132 changes: 113 additions & 19 deletions src/Algorithm/colgen.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,25 @@ function ColGenRuntimeData(
return ColGenRuntimeData(inc, false, true, [], 2)
end

struct ReducedCostsVector
length::Int
varids::Vector{VarId}
perenecosts::Vector{Float64}
form::Vector{Formulation}
end

function ReducedCostsVector(varids::Vector{VarId}, form::Vector{Formulation})
len = length(varids)
perenecosts = zeros(Float64, len)
p = sortperm(varids)
permute!(varids, p)
permute!(form, p)
for i in 1:len
perenecosts[i] = getperenecost(form[i], varids[i])
end
return ReducedCostsVector(len, varids, perenecosts, form)
end

function run!(algo::ColumnGeneration, reform::Reformulation, input::NewOptimizationInput)::OptimizationOutput
input_result = getinputresult(input)
data = ColGenRuntimeData(algo, reform, get_ip_primal_bound(input_result))
Expand Down Expand Up @@ -93,15 +112,15 @@ function set_ph_one(master::Formulation, data::ColGenRuntimeData)
return
end

function update_pricing_problem!(spform::Formulation, dual_sol::DualSolution)
masterform = getmaster(spform)
for (varid, var) in getvars(spform)
iscuractive(spform, varid) || continue
getduty(varid) <= AbstractDwSpVar || continue
setcurcost!(spform, var, computereducedcost(masterform, varid, dual_sol))
end
return false
end
# function update_pricing_problem!(spform::Formulation, dual_sol::DualSolution)
# masterform = getmaster(spform)
# for (varid, var) in getvars(spform)
# iscuractive(spform, varid) || continue
# getduty(varid) <= AbstractDwSpVar || continue
# #(spform, var, computereducedcost(masterform, varid, dual_sol))
# end
# return false
# end

function update_pricing_target!(spform::Formulation)
# println("pricing target will only be needed after automating convexity constraints")
Expand Down Expand Up @@ -172,13 +191,13 @@ function solve_sp_to_gencol!(
update_pricing_target!(spform)

# Reset var bounds, var cost, sp minCost
if update_pricing_problem!(spform, dual_sol) # Never returns true
#if update_pricing_problem!(spform, dual_sol) # Never returns true
# This code is never executed because update_pricing_prob always returns false
# @logmsg LogLevel(-3) "pricing prob is infeasible"
# # In case one of the subproblem is infeasible, the master is infeasible
# compute_pricing_dual_bound_contrib(alg, pricing_prob)
# return flag_is_sp_infeasible
end
#end

# if alg.colgen_stabilization != nothing && true #= TODO add conds =#
# # switch off the reduced cost estimation when stabilization is applied
Expand Down Expand Up @@ -223,8 +242,62 @@ function solve_sp_to_gencol!(
return sp_is_feasible, recorded_solution_ids, sp_solution_ids_to_activate, pricing_db_contrib
end

function computereducedcosts(reform::Reformulation, redcostsvec::ReducedCostsVector, dualsol::DualSolution)
redcosts = deepcopy(redcostsvec.perenecosts)
master = getmaster(reform)
sign = getobjsense(master) == MinSense ? -1 : 1
matrix = getcoefmatrix(master)

cmm = matrix.cols_major

term::Float64 = 0.0

var_key_pos = 1
next_var_key_pos = 2
for (i, varid) in enumerate(redcostsvec.varids)
term = 0.0
while var_key_pos <= length(cmm.col_keys) && cmm.col_keys[var_key_pos] != varid
var_key_pos += 1
end
(var_key_pos > length(cmm.col_keys)) && break
next_var_key_pos = var_key_pos + 1
while next_var_key_pos <= length(cmm.col_keys) && cmm.col_keys[next_var_key_pos] === nothing
next_var_key_pos += 1
end

pma_start = cmm.pcsc.semaphores[var_key_pos]
pma_end = length(cmm.pcsc.pma.array)
if next_var_key_pos <= length(cmm.col_keys)
pma_end = cmm.pcsc.semaphores[next_var_key_pos] - 1
end

k = pma_start
for (constrid, val) in dualsol
found_next_entry = false
while !found_next_entry && k <= pma_end
found_sym_entry = false
entry = cmm.pcsc.pma.array[k]
if entry !== nothing
cmm_constrid, coeff = cmm.pcsc.pma.array[k]
found_next_entry = cmm_constrid >= constrid
if cmm_constrid == constrid
found_sym_entry = true
term += val * coeff
end
end
if !found_next_entry || found_sym_entry
k += 1
end
end
k > pma_end && break
end
redcosts[i] += sign * term
end
return redcosts
end

function solve_sps_to_gencols!(
reform::Reformulation, dual_sol::DualSolution,
reform::Reformulation, redcostsvec::ReducedCostsVector, dual_sol::DualSolution,
sp_lbs::Dict{FormId, Float64}, sp_ubs::Dict{FormId, Float64}
)
masterform = getmaster(reform)
Expand All @@ -236,6 +309,13 @@ function solve_sps_to_gencols!(
sp_solution_to_activate = Dict{FormId, Vector{VarId}}()
sp_dual_bound_contribs = Dict{FormId, Float64}()

# update reduced costs
redcosts = computereducedcosts(reform, redcostsvec, dual_sol)

for i in 1:length(redcosts)
setcurcost!(redcostsvec.form[i], redcostsvec.varids[i], redcosts[i])
end

### BEGIN LOOP TO BE PARALLELIZED
for (spuid, spform) in sps
gen_status, new_sp_solution_ids, sp_solution_ids_to_activate, sp_dual_contrib = solve_sp_to_gencol!(
Expand Down Expand Up @@ -279,12 +359,12 @@ function calculate_lagrangian_db(
end

function generatecolumns!(
data::ColGenRuntimeData, reform::Reformulation, master_val,
dual_sol, sp_lbs, sp_ubs
data::ColGenRuntimeData, reform::Reformulation, redcostsvec::ReducedCostsVector,
master_val, dual_sol, sp_lbs, sp_ubs
)
nb_new_columns = 0
while true # TODO Replace this condition when starting implement stabilization
nb_new_col, sp_db_contrib = solve_sps_to_gencols!(reform, dual_sol, sp_lbs, sp_ubs)
nb_new_col, sp_db_contrib = solve_sps_to_gencols!(reform, redcostsvec, dual_sol, sp_lbs, sp_ubs)
nb_new_columns += nb_new_col
lagran_bnd = calculate_lagrangian_db(data, master_val, sp_db_contrib)
update_ip_dual_bound!(data.incumbents, lagran_bnd)
Expand All @@ -310,11 +390,25 @@ function cg_main_loop!(algo::ColumnGeneration, data::ColGenRuntimeData, reform::
sp_ubs = Dict{FormId, Float64}()

# collect multiplicity current bounds for each sp
for (sp_uid, spform) in get_dw_pricing_sps(reform)
sp_lbs[sp_uid] = getcurrhs(masterform, reform.dw_pricing_sp_lb[sp_uid])
sp_ubs[sp_uid] = getcurrhs(masterform, reform.dw_pricing_sp_ub[sp_uid])
dwspvars = Vector{VarId}()
dwspforms = Vector{Formulation}()

for (spid, spform) in get_dw_pricing_sps(reform)
lb_convexity_constr_id = reform.dw_pricing_sp_lb[spid]
ub_convexity_constr_id = reform.dw_pricing_sp_ub[spid]
sp_lbs[spid] = getcurrhs(masterform, lb_convexity_constr_id)
sp_ubs[spid] = getcurrhs(masterform, ub_convexity_constr_id)

for (varid, var) in getvars(spform)
if iscuractive(spform, varid) && getduty(varid) <= AbstractDwSpVar
push!(dwspvars, varid)
push!(dwspforms, spform)
end
end
end

redcostsvec = ReducedCostsVector(dwspvars, dwspforms)

while true

master_time = @elapsed begin
Expand Down Expand Up @@ -353,7 +447,7 @@ function cg_main_loop!(algo::ColumnGeneration, data::ColGenRuntimeData, reform::
# generate new columns by solving the subproblems
sp_time = @elapsed begin
nb_new_col = generatecolumns!(
data, reform, master_val, dual_sols[1], sp_lbs, sp_ubs
data, reform, redcostsvec, master_val, dual_sols[1], sp_lbs, sp_ubs
)
end

Expand Down
2 changes: 1 addition & 1 deletion src/Algorithm/solveipform.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ function run_ipform!(algo::SolveIpForm, form::Formulation, input::SolveIpFormInp
if bestprimalsol !== nothing
add_ip_primal_sol!(algoresult, bestprimalsol)

@logmsg LogLevel(1) string(
@logmsg LogLevel(-1) string(
"Found primal solution of ",
@sprintf "%.4f" getvalue(get_ip_primal_bound(algoresult))
)
Expand Down