Implement CPLEX integration via C API

Using the plain, old C API seems to be *much* faster.

single:
lp_dpcp_bounds::cpu_costs: total=19569.9ms last=93.2767ms average=88.9543ms count=220
lp_dflp_bounds::cpu_costs: total=21537.3ms last=102.459ms average=97.8969ms count=220

1 files changed, 243 insertions, 0 deletions

diff --git a/native/src/linprog/cpx.cpp b/native/src/linprog/cpx.cpp
new file mode 100644
index 0000000..f421b0e
--- /dev/null
+++ b/native/src/linprog/cpx.cpp
@@ -0,0 +1,243 @@
+#define IL_STD // required by CPLEX when using STL classes.
+
+#include <assert.h>
+#include <ilcplex/cplex.h>
+
+#include "cpu_time.h"
+
+#include "linprog/cplex.h"
+
+class CPXSolution : public Solution
+{
+private:
+        CPXENVptr env;
+        CPXLPptr lp;
+
+        const LinearProgram &linprog;
+        const unsigned int num_cols;
+        const unsigned int num_rows;
+        unsigned int num_coeffs;
+
+        double *values;
+        bool solved;
+
+        void solve_model(double var_lb, double var_ub);
+
+        bool setup_objective(double lb, double ub);
+        bool add_rows();
+        bool load_coeffs();
+
+public:
+        CPXSolution(const LinearProgram &lp, unsigned int max_num_vars,
+                      double var_lb = 0.0, double var_ub = 1.0);
+        ~CPXSolution();
+
+        double get_value(unsigned int var) const
+        {
+                return values[var];
+        }
+
+        bool is_solved() const
+        {
+                return solved;
+        }
+};
+
+CPXSolution::CPXSolution(const LinearProgram& lp, unsigned int max_num_vars,
+                             double var_lb, double var_ub)
+        : env(0),
+          lp(0),
+          linprog(lp),
+          num_cols(max_num_vars),
+          num_rows(lp.get_equalities().size() +
+                   lp.get_inequalities().size()),
+          num_coeffs(0),
+          values(0),
+          solved(false)
+{
+        if (num_cols > 0)
+        {
+                values = new double[num_cols];
+                solve_model(var_lb, var_ub);
+        } else
+                // Trivial case: no variables.
+                solved = true;
+}
+
+
+void CPXSolution::solve_model(double var_lb, double var_ub)
+{
+        int err;
+
+#if DEBUG_LP_OVERHEADS >= 3
+        static DEFINE_CPU_CLOCK(model_costs);
+        static DEFINE_CPU_CLOCK(solver_costs);
+        static DEFINE_CPU_CLOCK(extract_costs);
+
+        model_costs.start();
+#endif
+
+        env = CPXopenCPLEX(&err);
+
+        if (!env)
+                return;
+
+        lp = CPXcreateprob(env, &err, "blocking");
+
+        if (!lp)
+                return;
+
+
+        if (!setup_objective(var_lb, var_ub) ||
+            !add_rows() ||
+            !load_coeffs())
+                return;
+
+#if DEBUG_LP_OVERHEADS >= 3
+        model_costs.stop();
+        solver_costs.start();
+#endif
+
+        err = CPXlpopt(env, lp);
+
+
+#if DEBUG_LP_OVERHEADS >= 3
+        solver_costs.stop();
+        extract_costs.start();
+#endif
+
+        err = CPXsolution(env, lp, NULL, NULL, values, NULL, NULL, NULL);
+        solved = err == 0;
+
+#if DEBUG_LP_OVERHEADS >= 3
+        extract_costs.stop();
+
+        std::cout << model_costs << std::endl
+                  << solver_costs << std::endl
+                  << extract_costs << std::endl;
+#endif
+}
+
+CPXSolution::~CPXSolution()
+{
+        int status;
+
+        if (lp) {
+                status = CPXfreeprob(env, &lp);
+                assert(status == 0);
+        }
+
+        if (env) {
+                status = CPXcloseCPLEX(&env);
+                assert(status == 0);
+        }
+
+        delete [] values;
+}
+
+bool CPXSolution::setup_objective(double lb, double ub)
+{
+
+        const LinearExpression *obj = linprog.get_objective();
+        int err;
+
+        double *all  = new double[num_cols * 3];
+        double *vals = all;
+        double *lbs  = all + num_cols;
+        double *ubs  = all + 2 * num_cols;
+
+        assert(obj->get_terms().size() == num_cols);
+
+        foreach(obj->get_terms(), term)
+                vals[term->second] = term->first;
+
+        for (unsigned int i = 0; i < num_cols; i++)
+        {
+                lbs[i] = lb;
+                ubs[i] = ub;
+        }
+
+        CPXchgobjsen(env, lp, CPX_MAX);
+        err = CPXnewcols(env, lp, num_cols, vals, lbs, ubs, NULL, NULL);
+
+        delete [] all;
+
+        return err == 0;
+}
+
+bool CPXSolution::add_rows()
+{
+        double *bounds = new double[num_rows];
+        char   *senses = new char[num_rows];
+        int err;
+
+        unsigned int r = 0;
+
+        foreach(linprog.get_equalities(), equ)
+        {
+                bounds[r] = equ->second;
+                senses[r] = 'E'; // equality constraint
+
+                num_coeffs += equ->first->get_terms().size();
+                r++;
+        }
+
+        foreach(linprog.get_inequalities(), inequ)
+        {
+                bounds[r] = inequ->second;
+                senses[r] = 'L'; // less-than-or-equal constraint
+
+                num_coeffs += inequ->first->get_terms().size();
+                r++;
+        }
+
+
+        err = CPXnewrows(env, lp, num_rows, bounds, senses, NULL, NULL);
+
+        delete [] bounds;
+        delete [] senses;
+
+        return err == 0;
+}
+
+bool CPXSolution::load_coeffs()
+{
+        unsigned int r = 0;
+        int err;
+
+        foreach(linprog.get_equalities(), equ)
+        {
+                foreach(equ->first->get_terms(), term)
+                {
+                        err = CPXchgcoef(env, lp, r, term->second, term->first);
+                        if (err != 0)
+                                return false;
+                }
+                r++;
+        }
+
+        foreach(linprog.get_inequalities(), inequ)
+        {
+                foreach(inequ->first->get_terms(), term)
+                {
+                        err = CPXchgcoef(env, lp, r, term->second, term->first);
+                        if (err != 0)
+                                return false;
+                }
+                r++;
+        }
+
+        return true;
+}
+
+Solution *cpx_solve(const LinearProgram& lp, unsigned int max_num_vars)
+{
+        CPXSolution *sol =  new CPXSolution(lp, max_num_vars);
+        if (sol->is_solved())
+                return sol;
+        else
+        {
+                delete sol;
+                return NULL;
+        }
+}