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Fix conditions to restart colgen when using lazy cut gen #502

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merged 5 commits into from
Apr 15, 2021
Merged

Fix conditions to restart colgen when using lazy cut gen #502

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6af535a
Fix conditions to restart colgen when using lazy cut gen
guimarqu Apr 15, 2021
ee34ef9
formatting
guimarqu Apr 15, 2021
569e36e
Merge branch 'master' into colgen_phases_esscuts
guimarqu Apr 15, 2021
e7a6e87
address Ruslan's comment
guimarqu Apr 15, 2021
97ed490
rm comment
guimarqu Apr 15, 2021
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81 changes: 41 additions & 40 deletions src/Algorithm/colgen.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -22,15 +22,15 @@ Column generation algorithm. It applies `restr_master_solve_alg` to solve the li
restricted master and `pricing_prob_solve_alg` to solve the subproblems.
"""
@with_kw struct ColumnGeneration <: AbstractOptimizationAlgorithm
restr_master_solve_alg = SolveLpForm(get_dual_solution = true)
#TODO : pricing problem solver may be different depending on the
restr_master_solve_alg = SolveLpForm(get_dual_solution=true)
# TODO : pricing problem solver may be different depending on the
# pricing subproblem
pricing_prob_solve_alg = SolveIpForm(
deactivate_artificial_vars = false,
enforce_integrality = false,
log_level = 2
deactivate_artificial_vars=false,
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why did you remove spaces around =? This is a new convention? I think with spaces it looks better

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It's the formatter and it looks like to be the convention : https://github.com/invenia/BlueStyle#keyword-arguments

enforce_integrality=false,
log_level=2
)
essential_cut_gen_alg = CutCallbacks(call_robust_facultative = false)
essential_cut_gen_alg = CutCallbacks(call_robust_facultative=false)
max_nb_iterations::Int64 = 1000
log_print_frequency::Int64 = 1
store_all_ip_primal_sols::Bool = false
Expand All @@ -46,7 +46,7 @@ end
stabilization_is_used(algo::ColumnGeneration) = !iszero(algo.smoothing_stabilization)

function get_child_algorithms(algo::ColumnGeneration, reform::Reformulation)
child_algs = Tuple{AbstractAlgorithm, AbstractModel}[]
child_algs = Tuple{AbstractAlgorithm,AbstractModel}[]
push!(child_algs, (algo.restr_master_solve_alg, getmaster(reform)))
push!(child_algs, (algo.essential_cut_gen_alg, getmaster(reform)))
for (id, spform) in get_dw_pricing_sps(reform)
Expand All @@ -56,7 +56,7 @@ function get_child_algorithms(algo::ColumnGeneration, reform::Reformulation)
end

function get_units_usage(algo::ColumnGeneration, reform::Reformulation)
units_usage = Tuple{AbstractModel, UnitTypePair, UnitAccessMode}[]
units_usage = Tuple{AbstractModel,UnitTypePair,UnitAccessMode}[]
master = getmaster(reform)
push!(units_usage, (master, MasterColumnsUnitPair, READ_AND_WRITE))
push!(units_usage, (master, PartialSolutionUnitPair, READ_ONLY))
Expand Down Expand Up @@ -90,18 +90,15 @@ function run!(algo::ColumnGeneration, env::Env, data::ReformData, input::Optimiz
master = getmaster(reform)
optstate = OptimizationState(master, getoptstate(input), false, false)

restart = true
stop = false
while restart && !stop
set_ph3!(master) # mixed ph1 & ph2
stop, restart = cg_main_loop!(algo, env, 3, optstate, data)
end

set_ph3!(master) # mixed ph1 & ph2
stop, _ = cg_main_loop!(algo, env, 3, optstate, data)

restart = true
while should_do_ph_1(optstate) && restart && !stop
set_ph1!(master, optstate)
stop, restart = cg_main_loop!(algo, env, 1, optstate, data)
restart && break
stop, _ = cg_main_loop!(algo, env, 1, optstate, data)
if !stop
set_ph2!(master, optstate) # pure ph2
stop, restart = cg_main_loop!(algo, env, 2, optstate, data)
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Expand Down Expand Up @@ -172,7 +169,7 @@ mutable struct SubprobInfo
ub::Float64
lb_dual::Float64
ub_dual::Float64
bestsol::Union{Nothing, PrimalSolution}
bestsol::Union{Nothing,PrimalSolution}
valid_dual_bound_contrib::Float64
pseudo_dual_bound_contrib::Float64
recorded_sol_ids::Vector{VarId}
Expand Down Expand Up @@ -220,7 +217,7 @@ function insert_cols_in_master!(
kind = Continuous
duty = MasterCol
mc = setcol_from_sp_primalsol!(
masterform, spform, sol_id, name, duty; lb = lb, ub = ub, kind = kind
masterform, spform, sol_id, name, duty; lb=lb, ub=ub, kind=kind
)
if phase == 1
setcurcost!(masterform, mc, 0.0)
Expand Down Expand Up @@ -267,17 +264,17 @@ function compute_red_cost(
else
red_cost = getvalue(spsol)
end
#red_cost -= (spinfo.lb * spinfo.lb_dual + spinfo.ub * spinfo.ub_dual)
red_cost -= (spinfo.lb_dual + spinfo.ub_dual)
# red_cost -= (spinfo.lb * spinfo.lb_dual + spinfo.ub * spinfo.ub_dual)
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red_cost -= spinfo.lb_dual + spinfo.ub_dual
return red_cost
end

function improving_red_cost(redcost::Float64, algo::ColumnGeneration, ::Type{MinSense})
return (redcost < 0.0 - algo.redcost_tol)
return redcost < 0.0 - algo.redcost_tol
end

function improving_red_cost(redcost::Float64, algo::ColumnGeneration, ::Type{MaxSense})
return (redcost > 0.0 + algo.redcost_tol)
return redcost > 0.0 + algo.redcost_tol
end

function solve_sp_to_gencol!(
Expand Down Expand Up @@ -339,7 +336,7 @@ function updatereducedcosts!(reform::Reformulation, redcostsvec::ReducedCostsVec
row_end = 0
row_pos = 0

terms = Dict{VarId, Float64}(id => 0.0 for id in redcostsvec.varids)
terms = Dict{VarId,Float64}(id => 0.0 for id in redcostsvec.varids)

for dual_pos in 1:length(dualsol.sol.array)
entry = dualsol.sol.array[dual_pos]
Expand Down Expand Up @@ -380,7 +377,7 @@ function updatereducedcosts!(reform::Reformulation, redcostsvec::ReducedCostsVec
end

function solve_sps_to_gencols!(
spinfos::Dict{FormId, SubprobInfo}, algo::ColumnGeneration, env::Env, phase::Int64,
spinfos::Dict{FormId,SubprobInfo}, algo::ColumnGeneration, env::Env, phase::Int64,
data::ReformData, redcostsvec::ReducedCostsVector, lp_dual_sol::DualSolution,
smooth_dual_sol::DualSolution,
)
Expand Down Expand Up @@ -447,7 +444,7 @@ function cleanup_columns(algo::ColumnGeneration, iteration::Int64, data::ReformD
# to quickly check the number of active master columns
iteration % 10 != 0 && return

cols_with_redcost = Vector{Pair{Variable, Float64}}()
cols_with_redcost = Vector{Pair{Variable,Float64}}()
master = getmodel(getmasterdata(data))
for (id, var) in getvars(master)
if getduty(id) <= MasterCol && iscuractive(master, var) && isexplicit(master, var)
Expand All @@ -460,7 +457,7 @@ function cleanup_columns(algo::ColumnGeneration, iteration::Int64, data::ReformD

# sort active master columns by reduced cost
reverse_order = getobjsense(master) == MinSense ? true : false
sort!(cols_with_redcost, by = x -> x.second, rev=reverse_order)
sort!(cols_with_redcost, by=x -> x.second, rev=reverse_order)

num_cols_to_keep = floor(Int64, num_active_cols * algo.cleanup_ratio)

Expand All @@ -483,10 +480,10 @@ ph_one_infeasible_db(algo, db::DualBound{MinSense}) = getvalue(db) > algo.opt_at
ph_one_infeasible_db(algo, db::DualBound{MaxSense}) = getvalue(db) < - algo.opt_atol

function update_lagrangian_dual_bound!(
stabunit::ColGenStabilizationUnit, optstate::OptimizationState{F, S}, algo::ColumnGeneration,
stabunit::ColGenStabilizationUnit, optstate::OptimizationState{F,S}, algo::ColumnGeneration,
master::Formulation, puremastervars::Vector{Pair{VarId,Float64}}, dualsol::DualSolution,
partialsol::PrimalSolution, spinfos::Dict{FormId, SubprobInfo}
) where {F, S}
partialsol::PrimalSolution, spinfos::Dict{FormId,SubprobInfo}
) where {F,S}

sense = getobjsense(master)

Expand All @@ -505,10 +502,10 @@ function update_lagrangian_dual_bound!(
puremastvars_contrib += redcost * mult
end
end

valid_lagr_bound = DualBound{S}(puremastvars_contrib + dualsol.bound)
for (spuid, spinfo) in spinfos
valid_lagr_bound += spinfo.valid_dual_bound_contrib
valid_lagr_bound += spinfo.valid_dual_bound_contrib
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end

update_ip_dual_bound!(optstate, valid_lagr_bound)
Expand All @@ -517,7 +514,7 @@ function update_lagrangian_dual_bound!(
if stabilization_is_used(algo)
pseudo_lagr_bound = DualBound{S}(puremastvars_contrib + dualsol.bound)
for (spuid, spinfo) in spinfos
pseudo_lagr_bound += spinfo.pseudo_dual_bound_contrib
pseudo_lagr_bound += spinfo.pseudo_dual_bound_contrib
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end
update_stability_center!(stabunit, dualsol, valid_lagr_bound, pseudo_lagr_bound)
end
Expand All @@ -526,7 +523,7 @@ end

function compute_subgradient_contribution(
algo::ColumnGeneration, stabunit::ColGenStabilizationUnit, master::Formulation,
puremastervars::Vector{Pair{VarId,Float64}}, spinfos::Dict{FormId, SubprobInfo}
puremastervars::Vector{Pair{VarId,Float64}}, spinfos::Dict{FormId,SubprobInfo}
)
sense = getobjsense(master)
constrids = ConstrId[]
Expand Down Expand Up @@ -560,7 +557,7 @@ function compute_subgradient_contribution(
end

function move_convexity_constrs_dual_values!(
spinfos::Dict{FormId, SubprobInfo}, dualsol::DualSolution
spinfos::Dict{FormId,SubprobInfo}, dualsol::DualSolution
)
newbound = dualsol.bound
for (spuid, spinfo) in spinfos
Expand Down Expand Up @@ -613,7 +610,7 @@ function cg_main_loop!(
# termination by bound does not apply
reform = getreform(data)
masterform = getmaster(reform)
spinfos = Dict{FormId, SubprobInfo}()
spinfos = Dict{FormId,SubprobInfo}()

# collect multiplicity current bounds for each sp
dwspvars = Vector{VarId}()
Expand All @@ -633,6 +630,7 @@ function cg_main_loop!(

redcostsvec = ReducedCostsVector(dwspvars, dwspforms)
iteration = 0
essential_cuts_separated = false
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stabunit = (stabilization_is_used(algo) ? getunit(getmasterdata(data), ColGenStabilizationUnitPair)
: ColGenStabilizationUnit(masterform) )
Expand All @@ -649,7 +647,7 @@ function cg_main_loop!(

rm_time = @elapsed begin
rm_input = OptimizationInput(
OptimizationState(masterform, ip_primal_bound = get_ip_primal_bound(cg_optstate))
OptimizationState(masterform, ip_primal_bound=get_ip_primal_bound(cg_optstate))
)
rm_output = run!(algo.restr_master_solve_alg, env, getmasterdata(data), rm_input)
end
Expand Down Expand Up @@ -696,8 +694,10 @@ function cg_main_loop!(
if cutcb_output.nb_cuts_added == 0
update_ip_primal_sol!(cg_optstate, new_primal_sol)
else
# because the new cuts may make the master infeasible
return false, true
essential_cuts_separated = true
if phase == 2 # because the new cuts may make the master infeasible
return false, true
end
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end
end
end
Expand Down Expand Up @@ -767,7 +767,7 @@ function cg_main_loop!(
primal_bound = get_lp_primal_bound(cg_optstate)
ip_primal_bound = get_ip_primal_bound(cg_optstate)

if ip_gap_closed(cg_optstate, atol = algo.opt_atol, rtol = algo.opt_rtol)
if ip_gap_closed(cg_optstate, atol=algo.opt_atol, rtol=algo.opt_rtol)
setterminationstatus!(cg_optstate, OPTIMAL)
@logmsg LogLevel(0) "Dual bound reached primal bound."
return true, false
Expand All @@ -781,12 +781,12 @@ function cg_main_loop!(
@logmsg LogLevel(0) "Phase one determines infeasibility."
return true, false
end
if lp_gap_closed(cg_optstate, atol = algo.opt_atol, rtol = algo.opt_rtol)
if lp_gap_closed(cg_optstate, atol=algo.opt_atol, rtol=algo.opt_rtol) && !essential_cuts_separated
@logmsg LogLevel(0) "Column generation algorithm has converged."
setterminationstatus!(cg_optstate, OPTIMAL)
return false, false
end
if nb_new_columns == 0
if nb_new_columns == 0 && !essential_cuts_separated
@logmsg LogLevel(0) "No new column generated by the pricing problems."
setterminationstatus!(cg_optstate, OTHER_LIMIT)
return false, false
Expand All @@ -796,6 +796,7 @@ function cg_main_loop!(
@warn "Maximum number of column generation iteration is reached."
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return true, false
end
essential_cuts_separated = false
end

return false, false
Expand Down