/* Copyright (C) 2005-2011 Nicolo' Giorgetti This file is part of Octave. Octave is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 3 of the License, or (at your option) any later version. Octave is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with Octave; see the file COPYING. If not, see . */ #ifdef HAVE_CONFIG_H #include #endif #include #include #include #include "lo-ieee.h" #include "defun-dld.h" #include "error.h" #include "gripes.h" #include "oct-map.h" #include "oct-obj.h" #include "pager.h" #if defined (HAVE_GLPK) extern "C" { #if defined (HAVE_GLPK_GLPK_H) #include #else #include #endif #if 0 #ifdef GLPK_PRE_4_14 #ifndef _GLPLIB_H #include #endif #ifndef lib_set_fault_hook #define lib_set_fault_hook lib_fault_hook #endif #ifndef lib_set_print_hook #define lib_set_print_hook lib_print_hook #endif #else void _glp_lib_print_hook (int (*func)(void *info, char *buf), void *info); void _glp_lib_fault_hook (int (*func)(void *info, char *buf), void *info); #endif #endif } #define NIntP 17 #define NRealP 11 int lpxIntParam[NIntP] = { 0, 1, 0, 1, 0, -1, 0, 200, 1, 2, 0, 1, 0, 0, 2, 2, 1 }; int IParam[NIntP] = { LPX_K_MSGLEV, LPX_K_SCALE, LPX_K_DUAL, LPX_K_PRICE, LPX_K_ROUND, LPX_K_ITLIM, LPX_K_ITCNT, LPX_K_OUTFRQ, LPX_K_MPSINFO, LPX_K_MPSOBJ, LPX_K_MPSORIG, LPX_K_MPSWIDE, LPX_K_MPSFREE, LPX_K_MPSSKIP, LPX_K_BRANCH, LPX_K_BTRACK, LPX_K_PRESOL }; double lpxRealParam[NRealP] = { 0.07, 1e-7, 1e-7, 1e-9, -DBL_MAX, DBL_MAX, -1.0, 0.0, 1e-6, 1e-7, 1e-4 }; int RParam[NRealP] = { LPX_K_RELAX, LPX_K_TOLBND, LPX_K_TOLDJ, LPX_K_TOLPIV, LPX_K_OBJLL, LPX_K_OBJUL, LPX_K_TMLIM, LPX_K_OUTDLY, LPX_K_TOLINT, LPX_K_TOLOBJ, LPX_K_MIPGAP }; static jmp_buf mark; //-- Address for long jump to jump to #if 0 int glpk_fault_hook (void * /* info */, char *msg) { error ("CRITICAL ERROR in GLPK: %s", msg); longjmp (mark, -1); } int glpk_print_hook (void * /* info */, char *msg) { message (0, "%s", msg); return 1; } #endif int glpk (int sense, int n, int m, double *c, int nz, int *rn, int *cn, double *a, double *b, char *ctype, int *freeLB, double *lb, int *freeUB, double *ub, int *vartype, int isMIP, int lpsolver, int save_pb, double *xmin, double *fmin, double *status, double *lambda, double *redcosts, double *time, double *mem) { int errnum; int typx = 0; int method; clock_t t_start = clock(); #if 0 #ifdef GLPK_PRE_4_14 lib_set_fault_hook (0, glpk_fault_hook); #else _glp_lib_fault_hook (glpk_fault_hook, 0); #endif if (lpxIntParam[0] > 1) #ifdef GLPK_PRE_4_14 lib_set_print_hook (0, glpk_print_hook); #else _glp_lib_print_hook (glpk_print_hook, 0); #endif #endif LPX *lp = lpx_create_prob (); //-- Set the sense of optimization if (sense == 1) lpx_set_obj_dir (lp, LPX_MIN); else lpx_set_obj_dir (lp, LPX_MAX); //-- If the problem has integer structural variables switch to MIP if (isMIP) lpx_set_class (lp, LPX_MIP); lpx_add_cols (lp, n); for (int i = 0; i < n; i++) { //-- Define type of the structural variables if (! freeLB[i] && ! freeUB[i]) { if (lb[i] != ub[i]) lpx_set_col_bnds (lp, i+1, LPX_DB, lb[i], ub[i]); else lpx_set_col_bnds (lp, i+1, LPX_FX, lb[i], ub[i]); } else { if (! freeLB[i] && freeUB[i]) lpx_set_col_bnds (lp, i+1, LPX_LO, lb[i], ub[i]); else { if (freeLB[i] && ! freeUB[i]) lpx_set_col_bnds (lp, i+1, LPX_UP, lb[i], ub[i]); else lpx_set_col_bnds (lp, i+1, LPX_FR, lb[i], ub[i]); } } // -- Set the objective coefficient of the corresponding // -- structural variable. No constant term is assumed. lpx_set_obj_coef(lp,i+1,c[i]); if (isMIP) lpx_set_col_kind (lp, i+1, vartype[i]); } lpx_add_rows (lp, m); for (int i = 0; i < m; i++) { /* If the i-th row has no lower bound (types F,U), the corrispondent parameter will be ignored. If the i-th row has no upper bound (types F,L), the corrispondent parameter will be ignored. If the i-th row is of S type, the i-th LB is used, but the i-th UB is ignored. */ switch (ctype[i]) { case 'F': typx = LPX_FR; break; case 'U': typx = LPX_UP; break; case 'L': typx = LPX_LO; break; case 'S': typx = LPX_FX; break; case 'D': typx = LPX_DB; break; } lpx_set_row_bnds (lp, i+1, typx, b[i], b[i]); } lpx_load_matrix (lp, nz, rn, cn, a); if (save_pb) { static char tmp[] = "outpb.lp"; if (lpx_write_cpxlp (lp, tmp) != 0) { error ("__glpk__: unable to write problem"); longjmp (mark, -1); } } //-- scale the problem data (if required) //-- if (scale && (!presol || method == 1)) lpx_scale_prob(lp); //-- LPX_K_SCALE=IParam[1] LPX_K_PRESOL=IParam[16] if (lpxIntParam[1] && (! lpxIntParam[16] || lpsolver != 1)) lpx_scale_prob (lp); //-- build advanced initial basis (if required) if (lpsolver == 1 && ! lpxIntParam[16]) lpx_adv_basis (lp); for(int i = 0; i < NIntP; i++) lpx_set_int_parm (lp, IParam[i], lpxIntParam[i]); for (int i = 0; i < NRealP; i++) lpx_set_real_parm (lp, RParam[i], lpxRealParam[i]); if (lpsolver == 1) method = 'S'; else method = 'T'; switch (method) { case 'S': { if (isMIP) { method = 'I'; errnum = lpx_simplex (lp); errnum = lpx_integer (lp); } else errnum = lpx_simplex(lp); } break; case 'T': errnum = lpx_interior(lp); break; default: break; #if 0 #ifdef GLPK_PRE_4_14 insist (method != method); #else static char tmp[] = "method != method"; glpk_fault_hook (0, tmp); #endif #endif } /* errnum assumes the following results: errnum = 0 <=> No errors errnum = 1 <=> Iteration limit exceeded. errnum = 2 <=> Numerical problems with basis matrix. */ if (errnum == LPX_E_OK) { if (isMIP) { *status = lpx_mip_status (lp); *fmin = lpx_mip_obj_val (lp); } else { if (lpsolver == 1) { *status = lpx_get_status (lp); *fmin = lpx_get_obj_val (lp); } else { *status = lpx_ipt_status (lp); *fmin = lpx_ipt_obj_val (lp); } } if (isMIP) { for (int i = 0; i < n; i++) xmin[i] = lpx_mip_col_val (lp, i+1); } else { /* Primal values */ for (int i = 0; i < n; i++) { if (lpsolver == 1) xmin[i] = lpx_get_col_prim (lp, i+1); else xmin[i] = lpx_ipt_col_prim (lp, i+1); } /* Dual values */ for (int i = 0; i < m; i++) { if (lpsolver == 1) lambda[i] = lpx_get_row_dual (lp, i+1); else lambda[i] = lpx_ipt_row_dual (lp, i+1); } /* Reduced costs */ for (int i = 0; i < lpx_get_num_cols (lp); i++) { if (lpsolver == 1) redcosts[i] = lpx_get_col_dual (lp, i+1); else redcosts[i] = lpx_ipt_col_dual (lp, i+1); } } *time = (clock () - t_start) / CLOCKS_PER_SEC; #ifdef GLPK_PRE_4_14 *mem = (lib_env_ptr () -> mem_tpeak); #else *mem = 0; #endif lpx_delete_prob (lp); return 0; } lpx_delete_prob (lp); *status = errnum; return errnum; } #endif #define OCTAVE_GLPK_GET_REAL_PARAM(NAME, IDX) \ do \ { \ octave_value tmp = PARAM.getfield (NAME); \ \ if (tmp.is_defined ()) \ { \ if (! tmp.is_empty ()) \ { \ lpxRealParam[IDX] = tmp.scalar_value (); \ \ if (error_state) \ { \ error ("glpk: invalid value in PARAM." NAME); \ return retval; \ } \ } \ else \ { \ error ("glpk: invalid value in PARAM." NAME); \ return retval; \ } \ } \ } \ while (0) #define OCTAVE_GLPK_GET_INT_PARAM(NAME, VAL) \ do \ { \ octave_value tmp = PARAM.getfield (NAME); \ \ if (tmp.is_defined ()) \ { \ if (! tmp.is_empty ()) \ { \ VAL = tmp.int_value (); \ \ if (error_state) \ { \ error ("glpk: invalid value in PARAM." NAME); \ return retval; \ } \ } \ else \ { \ error ("glpk: invalid value in PARAM." NAME); \ return retval; \ } \ } \ } \ while (0) DEFUN_DLD (__glpk__, args, , "-*- texinfo -*-\n\ @deftypefn {Loadable Function} address@hidden =} __glpk__ (@var{args})\n\ Undocumented internal function.\n\ @end deftypefn") { // The list of values to return. See the declaration in oct-obj.h octave_value_list retval; #if defined (HAVE_GLPK) int nrhs = args.length (); if (nrhs != 9) { print_usage (); return retval; } //-- 1nd Input. A column array containing the objective function //-- coefficients. volatile int mrowsc = args(0).rows(); Matrix C (args(0).matrix_value ()); if (error_state) { error ("__glpk__: invalid value of C"); return retval; } double *c = C.fortran_vec (); Array rn; Array cn; ColumnVector a; volatile int mrowsA; volatile int nz = 0; //-- 2nd Input. A matrix containing the constraints coefficients. // If matrix A is NOT a sparse matrix if (args(1).is_sparse_type ()) { SparseMatrix A = args(1).sparse_matrix_value (); // get the sparse matrix if (error_state) { error ("__glpk__: invalid value of A"); return retval; } mrowsA = A.rows (); octave_idx_type Anc = A.cols (); octave_idx_type Anz = A.nnz (); rn.resize (dim_vector (Anz+1, 1)); cn.resize (dim_vector (Anz+1, 1)); a.resize (Anz+1, 0.0); if (Anc != mrowsc) { error ("__glpk__: invalid value of A"); return retval; } for (octave_idx_type j = 0; j < Anc; j++) for (octave_idx_type i = A.cidx(j); i < A.cidx(j+1); i++) { nz++; rn(nz) = A.ridx(i) + 1; cn(nz) = j + 1; a(nz) = A.data(i); } } else { Matrix A (args(1).matrix_value ()); // get the matrix if (error_state) { error ("__glpk__: invalid value of A"); return retval; } mrowsA = A.rows (); rn.resize (dim_vector (mrowsA*mrowsc+1, 1)); cn.resize (dim_vector (mrowsA*mrowsc+1, 1)); a.resize (mrowsA*mrowsc+1, 0.0); for (int i = 0; i < mrowsA; i++) { for (int j = 0; j < mrowsc; j++) { if (A(i,j) != 0) { nz++; rn(nz) = i + 1; cn(nz) = j + 1; a(nz) = A(i,j); } } } } //-- 3rd Input. A column array containing the right-hand side value // for each constraint in the constraint matrix. Matrix B (args(2).matrix_value ()); if (error_state) { error ("__glpk__: invalid value of B"); return retval; } double *b = B.fortran_vec (); //-- 4th Input. An array of length mrowsc containing the lower //-- bound on each of the variables. Matrix LB (args(3).matrix_value ()); if (error_state || LB.length () < mrowsc) { error ("__glpk__: invalid value of LB"); return retval; } double *lb = LB.fortran_vec (); //-- LB argument, default: Free Array freeLB (dim_vector (mrowsc, 1)); for (int i = 0; i < mrowsc; i++) { if (xisinf (lb[i])) { freeLB(i) = 1; lb[i] = -octave_Inf; } else freeLB(i) = 0; } //-- 5th Input. An array of at least length numcols containing the upper //-- bound on each of the variables. Matrix UB (args(4).matrix_value ()); if (error_state || UB.length () < mrowsc) { error ("__glpk__: invalid value of UB"); return retval; } double *ub = UB.fortran_vec (); Array freeUB (dim_vector (mrowsc, 1)); for (int i = 0; i < mrowsc; i++) { if (xisinf (ub[i])) { freeUB(i) = 1; ub[i] = octave_Inf; } else freeUB(i) = 0; } //-- 6th Input. A column array containing the sense of each constraint //-- in the constraint matrix. charMatrix CTYPE (args(5).char_matrix_value ()); if (error_state) { error ("__glpk__: invalid value of CTYPE"); return retval; } char *ctype = CTYPE.fortran_vec (); //-- 7th Input. A column array containing the types of the variables. charMatrix VTYPE (args(6).char_matrix_value ()); if (error_state) { error ("__glpk__: invalid value of VARTYPE"); return retval; } Array vartype (dim_vector (mrowsc, 1)); volatile int isMIP = 0; for (int i = 0; i < mrowsc ; i++) { if (VTYPE(i,0) == 'I') { isMIP = 1; vartype(i) = LPX_IV; } else vartype(i) = LPX_CV; } //-- 8th Input. Sense of optimization. volatile int sense; double SENSE = args(7).scalar_value (); if (error_state) { error ("__glpk__: invalid value of SENSE"); return retval; } if (SENSE >= 0) sense = 1; else sense = -1; //-- 9th Input. A structure containing the control parameters. octave_scalar_map PARAM = args(8).scalar_map_value (); if (error_state) { error ("__glpk__: invalid value of PARAM"); return retval; } //-- ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ //-- Integer parameters //-- ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ //-- Level of messages output by the solver OCTAVE_GLPK_GET_INT_PARAM ("msglev", lpxIntParam[0]); if (lpxIntParam[0] < 0 || lpxIntParam[0] > 3) { error ("__glpk__: PARAM.msglev must be 0 (no output [default]) or 1 (error messages only) or 2 (normal output) or 3 (full output)"); return retval; } //-- scaling option OCTAVE_GLPK_GET_INT_PARAM ("scale", lpxIntParam[1]); if (lpxIntParam[1] < 0 || lpxIntParam[1] > 2) { error ("__glpk__: PARAM.scale must be 0 (no scaling) or 1 (equilibration scaling [default]) or 2 (geometric mean scaling)"); return retval; } //-- Dual dimplex option OCTAVE_GLPK_GET_INT_PARAM ("dual", lpxIntParam[2]); if (lpxIntParam[2] < 0 || lpxIntParam[2] > 1) { error ("__glpk__: PARAM.dual must be 0 (do NOT use dual simplex [default]) or 1 (use dual simplex)"); return retval; } //-- Pricing option OCTAVE_GLPK_GET_INT_PARAM ("price", lpxIntParam[3]); if (lpxIntParam[3] < 0 || lpxIntParam[3] > 1) { error ("__glpk__: PARAM.price must be 0 (textbook pricing) or 1 (steepest edge pricing [default])"); return retval; } //-- Solution rounding option OCTAVE_GLPK_GET_INT_PARAM ("round", lpxIntParam[4]); if (lpxIntParam[4] < 0 || lpxIntParam[4] > 1) { error ("__glpk__: PARAM.round must be 0 (report all primal and dual values [default]) or 1 (replace tiny primal and dual values by exact zero)"); return retval; } //-- Simplex iterations limit OCTAVE_GLPK_GET_INT_PARAM ("itlim", lpxIntParam[5]); //-- Simplex iterations count OCTAVE_GLPK_GET_INT_PARAM ("itcnt", lpxIntParam[6]); //-- Output frequency, in iterations OCTAVE_GLPK_GET_INT_PARAM ("outfrq", lpxIntParam[7]); //-- Branching heuristic option OCTAVE_GLPK_GET_INT_PARAM ("branch", lpxIntParam[14]); if (lpxIntParam[14] < 0 || lpxIntParam[14] > 2) { error ("__glpk__: PARAM.branch must be (MIP only) 0 (branch on first variable) or 1 (branch on last variable) or 2 (branch using a heuristic by Driebeck and Tomlin [default]"); return retval; } //-- Backtracking heuristic option OCTAVE_GLPK_GET_INT_PARAM ("btrack", lpxIntParam[15]); if (lpxIntParam[15] < 0 || lpxIntParam[15] > 2) { error ("__glpk__: PARAM.btrack must be (MIP only) 0 (depth first search) or 1 (breadth first search) or 2 (backtrack using the best projection heuristic [default]"); return retval; } //-- Presolver option OCTAVE_GLPK_GET_INT_PARAM ("presol", lpxIntParam[16]); if (lpxIntParam[16] < 0 || lpxIntParam[16] > 1) { error ("__glpk__: PARAM.presol must be 0 (do NOT use LP presolver) or 1 (use LP presolver [default])"); return retval; } //-- LPsolver option volatile int lpsolver = 1; OCTAVE_GLPK_GET_INT_PARAM ("lpsolver", lpsolver); if (lpsolver < 1 || lpsolver > 2) { error ("__glpk__: PARAM.lpsolver must be 1 (simplex method) or 2 (interior point method)"); return retval; } //-- Save option volatile int save_pb = 0; OCTAVE_GLPK_GET_INT_PARAM ("save", save_pb); save_pb = save_pb != 0; //-- ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ //-- Real parameters //-- ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ //-- Ratio test option OCTAVE_GLPK_GET_REAL_PARAM ("relax", 0); //-- Relative tolerance used to check if the current basic solution //-- is primal feasible OCTAVE_GLPK_GET_REAL_PARAM ("tolbnd", 1); //-- Absolute tolerance used to check if the current basic solution //-- is dual feasible OCTAVE_GLPK_GET_REAL_PARAM ("toldj", 2); //-- Relative tolerance used to choose eligible pivotal elements of //-- the simplex table in the ratio test OCTAVE_GLPK_GET_REAL_PARAM ("tolpiv", 3); OCTAVE_GLPK_GET_REAL_PARAM ("objll", 4); OCTAVE_GLPK_GET_REAL_PARAM ("objul", 5); OCTAVE_GLPK_GET_REAL_PARAM ("tmlim", 6); OCTAVE_GLPK_GET_REAL_PARAM ("outdly", 7); OCTAVE_GLPK_GET_REAL_PARAM ("tolint", 8); OCTAVE_GLPK_GET_REAL_PARAM ("tolobj", 9); OCTAVE_GLPK_GET_REAL_PARAM ("mipgap", 10); //-- Assign pointers to the output parameters ColumnVector xmin (mrowsc, octave_NA); double fmin = octave_NA; double status; ColumnVector lambda (mrowsA, octave_NA); ColumnVector redcosts (mrowsc, octave_NA); double time; double mem; int jmpret = setjmp (mark); if (jmpret == 0) glpk (sense, mrowsc, mrowsA, c, nz, rn.fortran_vec (), cn.fortran_vec (), a.fortran_vec (), b, ctype, freeLB.fortran_vec (), lb, freeUB.fortran_vec (), ub, vartype.fortran_vec (), isMIP, lpsolver, save_pb, xmin.fortran_vec (), &fmin, &status, lambda.fortran_vec (), redcosts.fortran_vec (), &time, &mem); octave_scalar_map extra; if (! isMIP) { extra.assign ("lambda", lambda); extra.assign ("redcosts", redcosts); } extra.assign ("time", time); extra.assign ("mem", mem); retval(3) = extra; retval(2) = status; retval(1) = fmin; retval(0) = xmin; #else gripe_not_supported ("glpk"); #endif return retval; }