1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
|
#define IL_STD // required by CPLEX when using STL classes.
#include <ilcplex/ilocplex.h>
#include "cpu_time.h"
#include "linprog/cplex.h"
class CPLEXSolution : public Solution
{
private:
IloEnv ilo_env;
IloEnv& get_env()
{
return ilo_env;
}
IloNumArray cplex_values;
const LinearProgram &linprog;
bool solved;
void solve_model(unsigned int max_num_vars,
double var_lb, double var_ub);
IloObjective make_objective(const IloNumVarArray& vars);
IloRangeArray make_constraints(const IloNumVarArray& vars);
IloRange make_constraint(const IloNumVarArray &vars,
const LinearExpression *exp, double bound,
bool is_exact_bound);
public:
CPLEXSolution(const LinearProgram &lp, unsigned int max_num_vars,
double var_lb = 0.0, double var_ub = 1.0);
~CPLEXSolution();
double get_value(unsigned int var) const
{
return cplex_values[var];
}
bool is_solved() const
{
return solved;
}
};
CPLEXSolution::CPLEXSolution(const LinearProgram& lp, unsigned int max_num_vars,
double var_lb, double var_ub)
: ilo_env(),
cplex_values(get_env(), max_num_vars),
linprog(lp),
solved(false)
{
get_env().setNormalizer(IloFalse);
get_env().setOut(get_env().getNullStream());
if (max_num_vars > 0)
solve_model(max_num_vars, var_lb, var_ub);
else
// Trivial case: no variables.
solved = true;
}
void CPLEXSolution::solve_model(unsigned int max_num_vars,
double var_lb, double var_ub)
{
try
{
#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
IloNumVarArray cplex_vars = IloNumVarArray(get_env(), max_num_vars,
var_lb, var_ub);
IloObjective objective = make_objective(cplex_vars);
IloRangeArray constraints = make_constraints(cplex_vars);
IloModel model = IloModel(get_env());
model.add(objective);
model.add(constraints);
IloCplex cplex = IloCplex(model);
#if DEBUG_LP_OVERHEADS >= 3
model_costs.stop();
solver_costs.start();
#endif
// The primal solver seems to be slightly faster.
cplex.setParam(IloCplex::RootAlg, IloCplex::Primal);
cplex.setParam(IloCplex::PreDual, -1);
cplex.solve();
#if DEBUG_LP_OVERHEADS >= 3
solver_costs.stop();
extract_costs.start();
#endif
cplex.getValues(cplex_vars, cplex_values);
solved = true;
#if DEBUG_LP_OVERHEADS >= 3
extract_costs.stop();
std::cout << model_costs << std::endl
<< solver_costs << std::endl
<< extract_costs << std::endl;
#endif
} catch (IloException &ex)
{
// Improve me: we should export some kind of error info.
std::cerr << "CPLEX failed: " << ex << std::endl;
solved = false;
}
}
IloObjective CPLEXSolution::make_objective(const IloNumVarArray &vars)
{
const LinearExpression *obj = linprog.get_objective();
IloObjective goal = IloObjective(get_env(), 0, IloObjective::Maximize);
IloNumArray coeffs = IloNumArray(get_env(), vars.getSize());
assert((int) obj->get_terms().size() <= coeffs.getSize());
coeffs.add(vars.getSize(), 0);
// Set coefficient for each variable in the objective function.
foreach(obj->get_terms(), term)
{
double coefficient = term->first;
unsigned int var_idx = term->second;
coeffs[var_idx] = coefficient;
}
goal.setLinearCoefs(vars, coeffs);
return goal;
}
IloRangeArray CPLEXSolution::make_constraints(const IloNumVarArray &vars)
{
IloRangeArray constraints(get_env());
foreach (linprog.get_equalities(), exp)
constraints.add(make_constraint(vars, exp->first, exp->second, true));
foreach (linprog.get_inequalities(), exp)
constraints.add(make_constraint(vars, exp->first, exp->second, false));
return constraints;
}
IloRange CPLEXSolution::make_constraint(const IloNumVarArray &vars,
const LinearExpression *exp, double bound,
bool is_exact_bound)
{
IloRange r = IloRange(get_env(), -IloInfinity, bound);
if (is_exact_bound)
r.setLB(bound);
foreach (exp->get_terms(), term)
r.setLinearCoef(vars[term->second], term->first);
return r;
}
CPLEXSolution::~CPLEXSolution()
{
get_env().end();
}
Solution *cplex_solve(const LinearProgram& lp, unsigned int max_num_vars)
{
CPLEXSolution *sol = new CPLEXSolution(lp, max_num_vars);
if (sol->is_solved())
return sol;
else
{
delete sol;
return NULL;
}
}
|
