// Copyright 2010-2018 Google LLC // Licensed under the Apache License, Version 2.0 (the "License"); // you may not use this file except in compliance with the License. // You may obtain a copy of the License at // // http://www.apache.org/licenses/LICENSE-2.0 // // Unless required by applicable law or agreed to in writing, software // distributed under the License is distributed on an "AS IS" BASIS, // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. // See the License for the specific language governing permissions and // limitations under the License. #ifndef OR_TOOLS_SAT_LINEAR_PROGRAMMING_CONSTRAINT_H_ #define OR_TOOLS_SAT_LINEAR_PROGRAMMING_CONSTRAINT_H_ #include #include #include #include "absl/container/flat_hash_map.h" #include "ortools/base/int_type.h" #include "ortools/glop/revised_simplex.h" #include "ortools/lp_data/lp_data.h" #include "ortools/lp_data/lp_data_utils.h" #include "ortools/lp_data/lp_types.h" #include "ortools/sat/cuts.h" #include "ortools/sat/implied_bounds.h" #include "ortools/sat/integer.h" #include "ortools/sat/integer_expr.h" #include "ortools/sat/linear_constraint.h" #include "ortools/sat/linear_constraint_manager.h" #include "ortools/sat/model.h" #include "ortools/sat/util.h" #include "ortools/util/rev.h" #include "ortools/util/time_limit.h" namespace operations_research { namespace sat { // Stores for each IntegerVariable its temporary LP solution. // // This is shared between all LinearProgrammingConstraint because in the corner // case where we have many different LinearProgrammingConstraint and a lot of // variable, we could theoretically use up a quadratic amount of memory // otherwise. // // TODO(user): find a better way? struct LinearProgrammingConstraintLpSolution : public gtl::ITIVector { LinearProgrammingConstraintLpSolution() {} }; // Helper struct to combine info generated from solving LP. struct LPSolveInfo { glop::ProblemStatus status; double lp_objective = -std::numeric_limits::infinity(); IntegerValue new_obj_bound = kMinIntegerValue; }; // A SAT constraint that enforces a set of linear inequality constraints on // integer variables using an LP solver. // // The propagator uses glop's revised simplex for feasibility and propagation. // It uses the Reduced Cost Strengthening technique, a classic in mixed integer // programming, for instance see the thesis of Tobias Achterberg, // "Constraint Integer Programming", sections 7.7 and 8.8, algorithm 7.11. // http://nbn-resolving.de/urn:nbn:de:0297-zib-11129 // // Per-constraint bounds propagation is NOT done by this constraint, // it should be done by redundant constraints, as reduced cost propagation // may miss some filtering. // // Note that this constraint works with double floating-point numbers, so one // could be worried that it may filter too much in case of precision issues. // However, by default, we interpret the LP result by recomputing everything // in integer arithmetic, so we are exact. class LinearProgrammingDispatcher; class LinearProgrammingConstraint : public PropagatorInterface, ReversibleInterface { public: typedef glop::RowIndex ConstraintIndex; explicit LinearProgrammingConstraint(Model* model); ~LinearProgrammingConstraint() override; // Add a new linear constraint to this LP. void AddLinearConstraint(const LinearConstraint& ct); // Set the coefficient of the variable in the objective. Calling it twice will // overwrite the previous value. void SetObjectiveCoefficient(IntegerVariable ivar, IntegerValue coeff); // The main objective variable should be equal to the linear sum of // the arguments passed to SetObjectiveCoefficient(). void SetMainObjectiveVariable(IntegerVariable ivar) { objective_cp_ = ivar; } // Register a new cut generator with this constraint. void AddCutGenerator(CutGenerator generator); // Returns the LP value and reduced cost of a variable in the current // solution. These functions should only be called when HasSolution() is true. // // Note that this solution is always an OPTIMAL solution of an LP above or // at the current decision level. We "erase" it when we backtrack over it. bool HasSolution() const { return lp_solution_is_set_; } double SolutionObjectiveValue() const { return lp_objective_; } double GetSolutionValue(IntegerVariable variable) const; double GetSolutionReducedCost(IntegerVariable variable) const; bool SolutionIsInteger() const { return lp_solution_is_integer_; } // PropagatorInterface API. bool Propagate() override; bool IncrementalPropagate(const std::vector& watch_indices) override; void RegisterWith(Model* model); // ReversibleInterface API. void SetLevel(int level) override; int NumVariables() const { return integer_variables_.size(); } const std::vector& integer_variables() const { return integer_variables_; } std::string DimensionString() const { return lp_data_.GetDimensionString(); } // Returns a LiteralIndex guided by the underlying LP constraints. // This looks at all unassigned 0-1 variables, takes the one with // a support value closest to 0.5, and tries to assign it to 1. // If all 0-1 variables have an integer support, returns kNoLiteralIndex. // Tie-breaking is done using the variable natural order. // // TODO(user): This fixes to 1, but for some problems fixing to 0 // or to the std::round(support value) might work better. When this is the // case, change behaviour automatically? std::function HeuristicLPMostInfeasibleBinary(Model* model); // Returns a LiteralIndex guided by the underlying LP constraints. // This computes the mean of reduced costs over successive calls, // and tries to fix the variable which has the highest reduced cost. // Tie-breaking is done using the variable natural order. // Only works for 0/1 variables. // // TODO(user): Try to get better pseudocosts than averaging every time // the heuristic is called. MIP solvers initialize this with strong branching, // then keep track of the pseudocosts when doing tree search. Also, this // version only branches on var >= 1 and keeps track of reduced costs from var // = 1 to var = 0. This works better than the conventional MIP where the // chosen variable will be argmax_var min(pseudocost_var(0->1), // pseudocost_var(1->0)), probably because we are doing DFS search where MIP // does BFS. This might depend on the model, more trials are necessary. We // could also do exponential smoothing instead of decaying every N calls, i.e. // pseudo = a * pseudo + (1-a) reduced. std::function HeuristicLPPseudoCostBinary(Model* model); // Returns a LiteralIndex guided by the underlying LP constraints. // This computes the mean of reduced costs over successive calls, // and tries to fix the variable which has the highest reduced cost. // Tie-breaking is done using the variable natural order. std::function LPReducedCostAverageBranching(); // Average number of nonbasic variables with zero reduced costs. double average_degeneracy() const { return average_degeneracy_.CurrentAverage(); } private: // Helper methods for branching. Returns true if branching on the given // variable helps with more propagation or finds a conflict. bool BranchOnVar(IntegerVariable var); LPSolveInfo SolveLpForBranching(); // Helper method to fill reduced cost / dual ray reason in 'integer_reason'. // Generates a set of IntegerLiterals explaining why the best solution can not // be improved using reduced costs. This is used to generate explanations for // both infeasibility and bounds deductions. void FillReducedCostReasonIn(const glop::DenseRow& reduced_costs, std::vector* integer_reason); // Reinitialize the LP from a potentially new set of constraints. // This fills all data structure and properly rescale the underlying LP. // // Returns false if the problem is UNSAT (it can happen when presolve is off // and some LP constraint are trivially false). bool CreateLpFromConstraintManager(); // Solve the LP, returns false if something went wrong in the LP solver. bool SolveLp(); // Add a "MIR" cut obtained by first taking the linear combination of the // row of the matrix according to "integer_multipliers" and then trying // some integer rounding heuristic. // // Return true if a new cut was added to the cut manager. bool AddCutFromConstraints( const std::string& name, const std::vector>& integer_multipliers); // Computes and adds Chvatal-Gomory cuts. // This can currently only be called at the root node. void AddCGCuts(); // Computes and adds MIR cuts. // This can currently only be called at the root node. void AddMirCuts(); // Updates the bounds of the LP variables from the CP bounds. void UpdateBoundsOfLpVariables(); // Use the dual optimal lp values to compute an EXACT lower bound on the // objective. Fills its reason and perform reduced cost strenghtening. // Returns false in case of conflict. bool ExactLpReasonning(); // Same as FillDualRayReason() but perform the computation EXACTLY. Returns // false in the case that the problem is not provably infeasible with exact // computations, true otherwise. bool FillExactDualRayReason(); // Returns number of non basic variables with zero reduced costs. int64 CalculateDegeneracy(); // From a set of row multipliers (at LP scale), scale them back to the CP // world and then make them integer (eventually multiplying them by a new // scaling factor returned in *scaling). // // Note that this will loose some precision, but our subsequent computation // will still be exact as it will work for any set of multiplier. std::vector> ScaleLpMultiplier( bool take_objective_into_account, const glop::DenseColumn& dense_lp_multipliers, glop::Fractional* scaling, int max_pow = 62) const; // Computes from an integer linear combination of the integer rows of the LP a // new constraint of the form "sum terms <= upper_bound". All computation are // exact here. // // Returns false if we encountered any integer overflow. bool ComputeNewLinearConstraint( const std::vector>& integer_multipliers, gtl::ITIVector* dense_terms, IntegerValue* upper_bound) const; // Simple heuristic to try to minimize |upper_bound - ImpliedLB(terms)|. This // should make the new constraint tighter and correct a bit the imprecision // introduced by rounding the floating points values. void AdjustNewLinearConstraint( std::vector>* integer_multipliers, gtl::ITIVector* dense_terms, IntegerValue* upper_bound) const; // Shortcut for an integer linear expression type. using LinearExpression = std::vector>; // Converts a dense represenation of a linear constraint to a sparse one // expressed in terms of IntegerVariable. void ConvertToLinearConstraint( const gtl::ITIVector& dense_vector, IntegerValue upper_bound, LinearConstraint* result); // Compute the implied lower bound of the given linear expression using the // current variable bound. Return kMinIntegerValue in case of overflow. IntegerValue GetImpliedLowerBound(const LinearConstraint& terms) const; // Tests for possible overflow in the propagation of the given linear // constraint. bool PossibleOverflow(const LinearConstraint& constraint); // Reduce the coefficient of the constraint so that we cannot have overflow // in the propagation of the given linear constraint. Note that we may loose // some strength by doing so. // // We make sure that any partial sum involving any variable value in their // domain do not exceed 2 ^ max_pow. void PreventOverflow(LinearConstraint* constraint, int max_pow = 62); // Fills integer_reason_ with the reason for the implied lower bound of the // given linear expression. We relax the reason if we have some slack. void SetImpliedLowerBoundReason(const LinearConstraint& terms, IntegerValue slack); // Fills the deductions vector with reduced cost deductions that can be made // from the current state of the LP solver. The given delta should be the // difference between the cp objective upper bound and lower bound given by // the lp. void ReducedCostStrengtheningDeductions(double cp_objective_delta); // Returns the variable value on the same scale as the CP variable value. glop::Fractional GetVariableValueAtCpScale(glop::ColIndex var); // Gets or creates an LP variable that mirrors a CP variable. // The variable should be a positive reference. glop::ColIndex GetOrCreateMirrorVariable(IntegerVariable positive_variable); // This must be called on an OPTIMAL LP and will update the data for // LPReducedCostAverageDecision(). void UpdateAverageReducedCosts(); // Callback underlying LPReducedCostAverageBranching(). LiteralIndex LPReducedCostAverageDecision(); // Updates the simplex iteration limit for the next visit. // As per current algorithm, we use a limit which is dependent on size of the // problem and drop it significantly if degeneracy is detected. We use // DUAL_FEASIBLE status as a signal to correct the prediction. The next limit // is capped by 'min_iter' and 'max_iter'. Note that this is enabled only for // linearization level 2 and above. void UpdateSimplexIterationLimit(const int64 min_iter, const int64 max_iter); // This epsilon is related to the precision of the value/reduced_cost returned // by the LP once they have been scaled back into the CP domain. So for large // domain or cost coefficient, we may have some issues. static const double kCpEpsilon; // Same but at the LP scale. static const double kLpEpsilon; // Class responsible for managing all possible constraints that may be part // of the LP. LinearConstraintManager constraint_manager_; // Initial problem in integer form. // We always sort the inner vectors by increasing glop::ColIndex. struct LinearConstraintInternal { IntegerValue lb; IntegerValue ub; LinearExpression terms; }; LinearExpression integer_objective_; IntegerValue objective_infinity_norm_ = IntegerValue(0); gtl::ITIVector integer_lp_; gtl::ITIVector infinity_norms_; // Underlying LP solver API. glop::LinearProgram lp_data_; glop::RevisedSimplex simplex_; int64 next_simplex_iter_ = 500; // For the scaling. glop::LpScalingHelper scaler_; // Temporary data for cuts. IntegerRoundingCutHelper integer_rounding_cut_helper_; LinearConstraint cut_; gtl::ITIVector tmp_dense_vector_; std::vector tmp_lp_values_; std::vector tmp_var_lbs_; std::vector tmp_var_ubs_; std::vector tmp_slack_rows_; std::vector tmp_slack_bounds_; // Structures used for mirroring IntegerVariables inside the underlying LP // solver: an integer variable var is mirrored by mirror_lp_variable_[var]. // Note that these indices are dense in [0, mirror_lp_variable_.size()] so // they can be used as vector indices. std::vector integer_variables_; absl::flat_hash_map mirror_lp_variable_; // We need to remember what to optimize if an objective is given, because // then we will switch the objective between feasibility and optimization. bool objective_is_defined_ = false; IntegerVariable objective_cp_; // Singletons from Model. const SatParameters& sat_parameters_; Model* model_; TimeLimit* time_limit_; IntegerTrail* integer_trail_; Trail* trail_; SearchHeuristicsVector* model_heuristics_; IntegerEncoder* integer_encoder_; ModelRandomGenerator* random_; // Used while deriving cuts. ImpliedBoundsProcessor implied_bounds_processor_; // The dispatcher for all LP propagators of the model, allows to find which // LinearProgrammingConstraint has a given IntegerVariable. LinearProgrammingDispatcher* dispatcher_; std::vector integer_reason_; std::vector deductions_; std::vector deductions_reason_; // Repository of IntegerSumLE that needs to be kept around for the lazy // reasons. Those are new integer constraint that are created each time we // solve the LP to a dual-feasible solution. Propagating these constraints // both improve the objective lower bound but also perform reduced cost // fixing. int rev_optimal_constraints_size_ = 0; std::vector> optimal_constraints_; // Last OPTIMAL solution found by a call to the underlying LP solver. // On IncrementalPropagate(), if the bound updates do not invalidate this // solution, Propagate() will not find domain reductions, no need to call it. int lp_solution_level_ = 0; bool lp_solution_is_set_ = false; bool lp_solution_is_integer_ = false; double lp_objective_; std::vector lp_solution_; std::vector lp_reduced_cost_; // If non-empty, this is the last known optimal lp solution at root-node. If // the variable bounds changed, or cuts where added, it is possible that this // solution is no longer optimal though. std::vector level_zero_lp_solution_; // True if the last time we solved the exact same LP at level zero, no cuts // and no lazy constraints where added. bool lp_at_level_zero_is_final_ = false; // Same as lp_solution_ but this vector is indexed differently. LinearProgrammingConstraintLpSolution& expanded_lp_solution_; // Linear constraints cannot be created or modified after this is registered. bool lp_constraint_is_registered_ = false; std::vector cut_generators_; // Store some statistics for HeuristicLPReducedCostAverage(). bool compute_reduced_cost_averages_ = false; int num_calls_since_reduced_cost_averages_reset_ = 0; std::vector sum_cost_up_; std::vector sum_cost_down_; std::vector num_cost_up_; std::vector num_cost_down_; std::vector rc_scores_; // All the entries before rev_rc_start_ in the sorted positions correspond // to fixed variables and can be ignored. int rev_rc_start_ = 0; RevRepository rc_rev_int_repository_; std::vector> positions_by_decreasing_rc_score_; // Defined as average number of nonbasic variables with zero reduced costs. IncrementalAverage average_degeneracy_; bool is_degenerate_ = false; // Used by the strong branching heuristic. int branching_frequency_ = 1; int64 count_since_last_branching_ = 0; // Sum of all simplex iterations performed by this class. This is useful to // test the incrementality and compare to other solvers. int64 total_num_simplex_iterations_ = 0; }; // A class that stores which LP propagator is associated to each variable. // We need to give the hash_map a name so it can be used as a singleton in our // model. // // Important: only positive variable do appear here. class LinearProgrammingDispatcher : public absl::flat_hash_map { public: explicit LinearProgrammingDispatcher(Model* model) {} }; // A class that stores the collection of all LP constraints in a model. class LinearProgrammingConstraintCollection : public std::vector { public: LinearProgrammingConstraintCollection() {} }; // Cut generator for the circuit constraint, where in any feasible solution, the // arcs that are present (variable at 1) must form a circuit through all the // nodes of the graph. Self arc are forbidden in this case. // // In more generality, this currently enforce the resulting graph to be strongly // connected. Note that we already assume basic constraint to be in the lp, so // we do not add any cuts for components of size 1. CutGenerator CreateStronglyConnectedGraphCutGenerator( int num_nodes, const std::vector& tails, const std::vector& heads, const std::vector& literals, Model* model); // Almost the same as CreateStronglyConnectedGraphCutGenerator() but for each // components, computes the demand needed to serves it, and depending on whether // it contains the depot (node zero) or not, compute the minimum number of // vehicle that needs to cross the component border. CutGenerator CreateCVRPCutGenerator(int num_nodes, const std::vector& tails, const std::vector& heads, const std::vector& literals, const std::vector& demands, int64 capacity, Model* model); } // namespace sat } // namespace operations_research #endif // OR_TOOLS_SAT_LINEAR_PROGRAMMING_CONSTRAINT_H_