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#include "HCheckConfig.h"
#include "Highs.h"
#include "catch.hpp"
const bool dev_run = false;
struct IterationCount {
HighsInt simplex;
HighsInt ipm;
HighsInt crossover;
};
void testDualObjective(const std::string model) {
HighsStatus return_status;
Highs highs;
highs.setOptionValue("output_flag", dev_run);
std::string model_file =
std::string(HIGHS_DIR) + "/check/instances/" + model + ".mps";
highs.readModel(model_file);
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kOk);
double dual_objective;
return_status = highs.getDualObjectiveValue(dual_objective);
REQUIRE(return_status == HighsStatus::kOk);
double primal_objective = highs.getInfo().objective_function_value;
double relative_primal_dual_gap =
std::fabs(primal_objective - dual_objective) /
std::max(1.0, std::fabs(primal_objective));
REQUIRE(relative_primal_dual_gap < 1e-12);
}
void testSolver(Highs& highs, const std::string solver,
IterationCount& default_iteration_count,
const HighsInt int_simplex_strategy = 0) {
double default_time_limit;
HighsInt default_simplex_iteration_limit;
HighsInt default_ipm_iteration_limit;
HighsModelStatus model_status;
HighsStatus return_status;
const bool perform_timeout_test = false; // true; //
bool use_simplex = solver == "simplex";
const HighsInfo& info = highs.getInfo();
if (!dev_run) highs.setOptionValue("output_flag", false);
return_status = highs.setOptionValue("solver", solver);
REQUIRE(return_status == HighsStatus::kOk);
if (use_simplex) {
SimplexStrategy simplex_strategy =
static_cast<SimplexStrategy>(int_simplex_strategy);
if (simplex_strategy == SimplexStrategy::kSimplexStrategyDualTasks) return;
if (dev_run)
printf("Simplex strategy %" HIGHSINT_FORMAT "\n", int_simplex_strategy);
return_status = highs.setOptionValue("simplex_strategy", simplex_strategy);
REQUIRE(return_status == HighsStatus::kOk);
}
return_status = highs.getOptionValue("time_limit", default_time_limit);
REQUIRE(return_status == HighsStatus::kOk);
if (use_simplex) {
return_status = highs.getOptionValue("simplex_iteration_limit",
default_simplex_iteration_limit);
REQUIRE(return_status == HighsStatus::kOk);
// Clear the solver information - necessary if this is the second
// or subsequent call to testSolver
return_status = highs.clearSolver();
REQUIRE(return_status == HighsStatus::kOk);
} else {
return_status = highs.getOptionValue("ipm_iteration_limit",
default_ipm_iteration_limit);
REQUIRE(return_status == HighsStatus::kOk);
}
// Vanilla solve: get solution time to calibrate time limit test
double run_time = highs.getRunTime();
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kOk);
const double single_solve_run_time = highs.getRunTime() - run_time;
if (use_simplex) {
REQUIRE(info.simplex_iteration_count == default_iteration_count.simplex);
} else {
if (dev_run)
printf("IPM: %" HIGHSINT_FORMAT "; Crossover: %" HIGHSINT_FORMAT "\n",
info.ipm_iteration_count, info.crossover_iteration_count);
REQUIRE(info.ipm_iteration_count == default_iteration_count.ipm);
REQUIRE(info.crossover_iteration_count ==
default_iteration_count.crossover);
}
// Following simplex or IPM+Crossover, nonbasic variables are on bounds
// complementarity_violation
REQUIRE(info.max_complementarity_violation == 0);
REQUIRE(info.sum_complementarity_violations == 0);
// Only perform the time limit test if the solve time is large enough
const double min_run_time_for_test = 0.001;
if (perform_timeout_test && single_solve_run_time > min_run_time_for_test) {
const HighsInt ideal_num_solve = 10;
const double local_time_limit = ideal_num_solve * single_solve_run_time;
// Solve with time limit
run_time = highs.getRunTime();
if (dev_run) printf("Current run time is %g\n", run_time);
double use_time_limit = run_time + local_time_limit;
return_status = highs.setOptionValue("time_limit", use_time_limit);
REQUIRE(return_status == HighsStatus::kOk);
const HighsInt max_num_solve = 10 * ideal_num_solve;
HighsInt num_solve;
for (num_solve = 0; num_solve < max_num_solve; num_solve++) {
if (use_simplex) return_status = highs.setBasis();
return_status = highs.run();
if (highs.getModelStatus() == HighsModelStatus::kTimeLimit) break;
}
REQUIRE(num_solve < max_num_solve);
run_time = highs.getRunTime();
if (dev_run)
printf("Current run time is %g: time limit is %g (difference = %g)\n",
run_time, use_time_limit, run_time - use_time_limit);
if (dev_run)
printf("Required %" HIGHSINT_FORMAT " solves (ideally %" HIGHSINT_FORMAT
" - max %" HIGHSINT_FORMAT ")\n",
num_solve, ideal_num_solve, max_num_solve);
} else {
if (dev_run)
printf(
"Not performed the time limit test since solve time is %g <= %g = "
"min_run_time_for_test\n",
single_solve_run_time, min_run_time_for_test);
}
return_status = highs.setOptionValue("time_limit", default_time_limit);
REQUIRE(return_status == HighsStatus::kOk);
if (!use_simplex) {
if (dev_run)
printf("IPM: %" HIGHSINT_FORMAT "; Crossover: %" HIGHSINT_FORMAT "\n",
info.ipm_iteration_count, info.crossover_iteration_count);
}
// Solve with iteration limit
// First of all check that no iterations are performed if the
// iteration limit is zero
if (use_simplex) {
return_status = highs.setOptionValue("simplex_iteration_limit", 0);
REQUIRE(return_status == HighsStatus::kOk);
return_status = highs.setBasis();
REQUIRE(return_status == HighsStatus::kOk);
} else {
return_status = highs.setOptionValue("ipm_iteration_limit", 0);
REQUIRE(return_status == HighsStatus::kOk);
}
return_status = highs.run();
model_status = highs.getModelStatus();
if (dev_run)
printf("Returns status = %" HIGHSINT_FORMAT "; model status = %s\n",
(HighsInt)return_status,
highs.modelStatusToString(model_status).c_str());
REQUIRE(return_status == HighsStatus::kWarning);
REQUIRE(model_status == HighsModelStatus::kIterationLimit);
if (use_simplex) {
REQUIRE(info.simplex_iteration_count == 0);
} else {
REQUIRE(info.ipm_iteration_count == 0);
}
// Now check that simplex/IPM stops after 10/5 iterations
const HighsInt further_simplex_iterations = 10;
const HighsInt further_ipm_iterations = 5;
if (use_simplex) {
if (dev_run)
printf("Setting simplex_iteration_limit = %" HIGHSINT_FORMAT "\n",
further_simplex_iterations);
return_status = highs.setOptionValue("simplex_iteration_limit",
further_simplex_iterations);
REQUIRE(return_status == HighsStatus::kOk);
return_status = highs.clearSolver();
REQUIRE(return_status == HighsStatus::kOk);
} else {
if (dev_run)
printf("Setting ipm_iteration_limit = %" HIGHSINT_FORMAT "\n",
further_ipm_iterations);
return_status =
highs.setOptionValue("ipm_iteration_limit", further_ipm_iterations);
REQUIRE(return_status == HighsStatus::kOk);
}
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kWarning);
REQUIRE(highs.getModelStatus() == HighsModelStatus::kIterationLimit);
if (use_simplex) {
REQUIRE(info.simplex_iteration_count == further_simplex_iterations);
return_status = highs.setOptionValue("simplex_iteration_limit",
default_simplex_iteration_limit);
REQUIRE(return_status == HighsStatus::kOk);
} else {
REQUIRE(info.ipm_iteration_count == further_ipm_iterations);
return_status = highs.setOptionValue("ipm_iteration_limit",
default_ipm_iteration_limit);
REQUIRE(return_status == HighsStatus::kOk);
}
}
void testSolversSetup(const std::string model,
IterationCount& model_iteration_count,
vector<HighsInt>& simplex_strategy_iteration_count) {
if (model.compare("adlittle") == 0) {
simplex_strategy_iteration_count[(
int)SimplexStrategy::kSimplexStrategyChoose] = 87;
simplex_strategy_iteration_count[(
int)SimplexStrategy::kSimplexStrategyDualPlain] = 87;
simplex_strategy_iteration_count[(
int)SimplexStrategy::kSimplexStrategyDualTasks] = 72;
simplex_strategy_iteration_count[(
int)SimplexStrategy::kSimplexStrategyDualMulti] = 73;
simplex_strategy_iteration_count[(
int)SimplexStrategy::kSimplexStrategyPrimal] = 94;
model_iteration_count.ipm = 13;
model_iteration_count.crossover = 2;
}
}
void testSolvers(Highs& highs, IterationCount& model_iteration_count,
const vector<HighsInt>& simplex_strategy_iteration_count) {
bool have_omp = true;
/*
HighsInt i = (HighsInt)SimplexStrategy::kSimplexStrategyPrimal;
model_iteration_count.simplex = simplex_strategy_iteration_count[i];
testSolver(highs, "simplex", model_iteration_count, i);
*/
HighsInt from_i = (HighsInt)SimplexStrategy::kSimplexStrategyMin;
HighsInt to_i =
(HighsInt)SimplexStrategy::kSimplexStrategyDualMulti; // PRIMAL; // NUM;
for (HighsInt i = from_i; i < to_i; i++) {
if (!have_omp) {
if (i == (HighsInt)SimplexStrategy::kSimplexStrategyDualTasks) continue;
if (i == (HighsInt)SimplexStrategy::kSimplexStrategyDualMulti) continue;
}
model_iteration_count.simplex = simplex_strategy_iteration_count[i];
testSolver(highs, "simplex", model_iteration_count, i);
}
testSolver(highs, "ipm", model_iteration_count);
}
// No commas in test case name.
TEST_CASE("LP-solver", "[highs_lp_solver]") {
std::string model;
std::string model_file;
IterationCount model_iteration_count;
vector<HighsInt> simplex_strategy_iteration_count;
simplex_strategy_iteration_count.resize(
(HighsInt)SimplexStrategy::kSimplexStrategyNum);
HighsLp lp;
// HighsStatus run_status;
HighsStatus return_status;
HighsStatus read_status;
Highs highs;
if (!dev_run) highs.setOptionValue("output_flag", false);
// Read mps
model = "adlittle";
model_file = std::string(HIGHS_DIR) + "/check/instances/" + model + ".mps";
testSolversSetup(model, model_iteration_count,
simplex_strategy_iteration_count);
read_status = highs.readModel(model_file);
REQUIRE(read_status == HighsStatus::kOk);
return_status = highs.setBasis();
REQUIRE(return_status == HighsStatus::kOk);
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kOk);
testSolvers(highs, model_iteration_count, simplex_strategy_iteration_count);
// Now check that we can change model within the same Highs instance
// First reset all the options to their default values
return_status = highs.resetOptions();
REQUIRE(return_status == HighsStatus::kOk);
if (!dev_run) highs.setOptionValue("output_flag", false);
model_file = std::string(HIGHS_DIR) + "/check/instances/etamacro.mps";
read_status = highs.readModel(model_file);
REQUIRE(read_status == HighsStatus::kOk);
return_status = highs.setBasis();
REQUIRE(return_status == HighsStatus::kOk);
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kOk);
const HighsInfo& info = highs.getInfo();
REQUIRE(info.num_dual_infeasibilities == 0);
REQUIRE(info.simplex_iteration_count == 472);
HighsModelStatus model_status = highs.getModelStatus();
REQUIRE(model_status == HighsModelStatus::kOptimal);
// Test the solver without scaling
REQUIRE(highs.readModel(model_file) == HighsStatus::kOk);
REQUIRE(highs.setOptionValue("simplex_scale_strategy", 0) ==
HighsStatus::kOk);
return_status = highs.run();
REQUIRE(return_status == HighsStatus::kOk);
REQUIRE(info.simplex_iteration_count == 592);
}
TEST_CASE("mip-with-lp-solver", "[highs_lp_solver]") {
// When solving the relaxation of a MIP. Exposed #1406
HighsStatus status;
Highs highs;
highs.setOptionValue("output_flag", dev_run);
std::string filename =
std::string(HIGHS_DIR) + "/check/instances/small_mip.mps";
status = highs.readModel(filename);
REQUIRE(status == HighsStatus::kOk);
highs.setOptionValue("solver", kIpmString);
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
}
TEST_CASE("dual-objective-upper-bound", "[highs_lp_solver]") {
std::string filename;
HighsStatus status;
HighsModelStatus model_status;
bool bool_status;
const double min_objective_function_value = -11.6389290663705;
const double max_objective_function_value = 111.650960689315;
const double smaller_min_objective_bound = -110.0;
const double larger_min_objective_bound = -45.876;
const double use_max_objective_bound = 150.0;
double save_objective_bound;
Highs highs;
if (!dev_run) highs.setOptionValue("output_flag", false);
const HighsInfo& info = highs.getInfo();
// status = highs.setOptionValue("log_dev_level",
// kHighsLogDevLevelVerbose);
double error;
filename = std::string(HIGHS_DIR) + "/check/instances/e226.mps";
status = highs.readModel(filename);
REQUIRE(status == HighsStatus::kOk);
// Solve vanilla
if (dev_run) printf("\nSolving vanilla LP\n");
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
model_status = highs.getModelStatus();
REQUIRE(model_status == HighsModelStatus::kOptimal);
error = fabs((info.objective_function_value - min_objective_function_value) /
min_objective_function_value);
if (dev_run) printf("\nOptimal objective value error = %g\n", error);
REQUIRE(error < 1e-14);
// Set dual objective value upper bound after saving the default value
status = highs.getOptionValue("objective_bound", save_objective_bound);
REQUIRE(status == HighsStatus::kOk);
status = highs.setOptionValue("objective_bound", larger_min_objective_bound);
REQUIRE(status == HighsStatus::kOk);
// Solve again
if (dev_run)
printf(
"\nSolving LP with presolve and dual objective value upper bound of "
"%g\n",
larger_min_objective_bound);
status = highs.setBasis();
REQUIRE(status == HighsStatus::kOk);
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
// Switch off presolve
status = highs.setOptionValue("presolve", "off");
REQUIRE(status == HighsStatus::kOk);
// Solve again
// This larger dual objective value upper bound is satisfied during phase 2
if (dev_run)
printf(
"\nSolving LP without presolve and larger dual objective value upper "
"bound of %g\n",
larger_min_objective_bound);
status = highs.clearSolver();
REQUIRE(status == HighsStatus::kOk);
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
model_status = highs.getModelStatus();
REQUIRE(model_status == HighsModelStatus::kObjectiveBound);
// Solve again
// This smaller dual objective value upper bound is satisfied at the start of
// phase 2
if (dev_run)
printf(
"\nSolving LP without presolve and smaller dual objective value upper "
"bound of %g\n",
smaller_min_objective_bound);
status = highs.setOptionValue("objective_bound", smaller_min_objective_bound);
REQUIRE(status == HighsStatus::kOk);
status = highs.setBasis();
REQUIRE(status == HighsStatus::kOk);
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
model_status = highs.getModelStatus();
REQUIRE(model_status == HighsModelStatus::kObjectiveBound);
// Solve as maximization and ensure that the dual objective value upper bound
// isn't used
bool_status =
highs.changeObjectiveSense(ObjSense::kMaximize) == HighsStatus::kOk;
REQUIRE(bool_status);
status = highs.setOptionValue("objective_bound", use_max_objective_bound);
REQUIRE(status == HighsStatus::kOk);
// Solve again
if (dev_run)
printf(
"\nSolving LP as maximization without presolve and dual objective "
"value "
"upper bound of %g\n",
use_max_objective_bound);
status = highs.setBasis();
REQUIRE(status == HighsStatus::kOk);
status = highs.run();
REQUIRE(status == HighsStatus::kOk);
model_status = highs.getModelStatus();
REQUIRE(model_status == HighsModelStatus::kOptimal);
error = fabs((info.objective_function_value - max_objective_function_value) /
max_objective_function_value);
if (dev_run) printf("\nOptimal objective value error = %g\n", error);
REQUIRE(error < 1e-10);
}
TEST_CASE("blending-lp-ipm", "[highs_lp_solver]") {
Highs highs;
highs.setOptionValue("output_flag", dev_run);
HighsLp lp;
lp.num_col_ = 2;
lp.num_row_ = 2;
lp.col_cost_ = {-8, -10};
lp.col_lower_ = {0, 0};
lp.col_upper_ = {kHighsInf, kHighsInf};
lp.row_lower_ = {-kHighsInf, -kHighsInf};
lp.row_upper_ = {80, 120};
lp.a_matrix_.start_ = {0, 2, 4};
lp.a_matrix_.index_ = {0, 1, 0, 1};
lp.a_matrix_.value_ = {1, 1, 2, 4};
highs.passModel(lp);
highs.setOptionValue("solver", kIpmString);
highs.setOptionValue("presolve", kHighsOffString);
highs.run();
HighsInfo info = highs.getInfo();
if (dev_run) {
printf("Num primal infeasibilities = %d\n",
int(info.num_primal_infeasibilities));
printf("Max primal infeasibility = %g\n", info.max_primal_infeasibility);
printf("Sum primal infeasibilities = %g\n",
info.sum_primal_infeasibilities);
printf("Num dual infeasibilities = %d\n",
int(info.num_dual_infeasibilities));
printf("Max dual infeasibility = %g\n", info.max_dual_infeasibility);
printf("Sum dual infeasibilities = %g\n", info.sum_dual_infeasibilities);
}
REQUIRE(highs.getModelStatus() == HighsModelStatus::kOptimal);
}
TEST_CASE("dual-objective-max", "[highs_lp_solver]") {
Highs highs;
highs.setOptionValue("output_flag", dev_run);
HighsLp lp;
lp.num_col_ = 2;
lp.num_row_ = 2;
lp.sense_ = ObjSense::kMaximize;
lp.offset_ = 10;
lp.col_cost_ = {8, 10};
lp.col_lower_ = {0, 0};
lp.col_upper_ = {kHighsInf, kHighsInf};
lp.row_lower_ = {-kHighsInf, -kHighsInf};
lp.row_upper_ = {80, 120};
lp.a_matrix_.start_ = {0, 2, 4};
lp.a_matrix_.index_ = {0, 1, 0, 1};
lp.a_matrix_.value_ = {1, 1, 2, 4};
highs.passModel(lp);
highs.run();
double dual_objective;
HighsStatus return_status = highs.getDualObjectiveValue(dual_objective);
REQUIRE(return_status == HighsStatus::kOk);
double primal_objective = highs.getInfo().objective_function_value;
double relative_primal_dual_gap =
std::fabs(primal_objective - dual_objective) /
std::max(1.0, std::fabs(primal_objective));
REQUIRE(relative_primal_dual_gap < 1e-12);
}
TEST_CASE("dual-objective", "[highs_lp_solver]") {
testDualObjective("avgas");
testDualObjective("adlittle");
testDualObjective("etamacro");
testDualObjective("stair");
}
void testStandardForm(const HighsLp& lp) {
Highs highs;
highs.setOptionValue("output_flag", dev_run);
HighsInt sense = HighsInt(lp.sense_);
highs.passModel(lp);
highs.run();
// highs.writeSolution("", kSolutionStylePretty);
double required_objective_function_value =
highs.getInfo().objective_function_value;
HighsInt num_col;
HighsInt num_row;
HighsInt num_nz;
double offset;
REQUIRE(highs.getStandardFormLp(num_col, num_row, num_nz, offset) ==
HighsStatus::kOk);
std::vector<double> cost(num_col);
std::vector<double> rhs(num_row);
std::vector<HighsInt> start(num_col + 1);
std::vector<HighsInt> index(num_nz);
std::vector<double> value(num_nz);
REQUIRE(highs.getStandardFormLp(num_col, num_row, num_nz, offset, cost.data(),
rhs.data(), start.data(), index.data(),
value.data()) == HighsStatus::kOk);
HighsLp standard_form_lp;
standard_form_lp.num_col_ = num_col;
standard_form_lp.num_row_ = num_row;
standard_form_lp.offset_ = offset;
standard_form_lp.col_cost_ = cost;
standard_form_lp.col_lower_.assign(num_col, 0);
standard_form_lp.col_upper_.assign(num_col, kHighsInf);
standard_form_lp.row_lower_ = rhs;
standard_form_lp.row_upper_ = rhs;
standard_form_lp.a_matrix_.start_ = start;
standard_form_lp.a_matrix_.index_ = index;
standard_form_lp.a_matrix_.value_ = value;
REQUIRE(highs.passModel(standard_form_lp) == HighsStatus::kOk);
// highs.writeModel("");
REQUIRE(highs.run() == HighsStatus::kOk);
REQUIRE(highs.getModelStatus() == HighsModelStatus::kOptimal);
highs.writeSolution("", kSolutionStylePretty);
double objective_function_value =
sense * highs.getInfo().objective_function_value;
double objective_difference =
std::fabs(objective_function_value - required_objective_function_value) /
std::max(1.0, std::fabs(required_objective_function_value));
REQUIRE(objective_difference < 1e-10);
const bool look_at_presolved_lp = false;
if (look_at_presolved_lp) {
// Strange that presolve doesn't convert the constraints
//
// Ax-s = b; s >= 0 into Ax >= b
REQUIRE(highs.passModel(standard_form_lp) == HighsStatus::kOk);
REQUIRE(highs.presolve() == HighsStatus::kOk);
HighsLp presolved_lp = highs.getPresolvedLp();
REQUIRE(highs.passModel(presolved_lp) == HighsStatus::kOk);
highs.writeModel("");
}
}
void testStandardFormModel(const std::string model) {
const std::string model_file =
std::string(HIGHS_DIR) + "/check/instances/" + model + ".mps";
;
Highs highs;
highs.setOptionValue("output_flag", dev_run);
highs.readModel(model_file);
HighsLp lp = highs.getLp();
testStandardForm(lp);
}
TEST_CASE("standard-form-mps", "[highs_lp_solver]") {
testStandardFormModel("avgas");
testStandardFormModel("afiro");
}
TEST_CASE("standard-form-lp", "[highs_lp_solver]") {
HighsLp lp;
lp.offset_ = -0.5;
lp.num_col_ = 4;
lp.num_row_ = 3;
lp.col_cost_ = {1, 1, 1, -1};
lp.col_lower_ = {1, -kHighsInf, -kHighsInf, -1};
lp.col_upper_ = {kHighsInf, kHighsInf, 2, 3};
lp.row_lower_ = {0, 1, -kHighsInf};
lp.row_upper_ = {4, kHighsInf, 4};
lp.a_matrix_.start_ = {0, 2, 4, 6, 8};
lp.a_matrix_.index_ = {0, 2, 0, 1, 1, 2, 0, 2};
lp.a_matrix_.value_ = {1, 1, 1, 1, 1, 1, 1, 1};
testStandardForm(lp);
Highs highs;
highs.setOptionValue("output_flag", dev_run);
std::vector<HighsInt> index;
std::vector<double> value;
// Add a fixed column and a fixed row, and maximize
highs.passModel(lp);
index = {0, 1, 2};
value = {-1, 1, -1};
REQUIRE(highs.addCol(-2.0, 1.0, 1.0, 3, index.data(), value.data()) ==
HighsStatus::kOk);
index = {0, 1, 2, 3};
value = {-2, -1, 1, 3};
REQUIRE(highs.addRow(1.0, 1.0, 4, index.data(), value.data()) ==
HighsStatus::kOk);
REQUIRE(highs.changeObjectiveSense(ObjSense::kMaximize) == HighsStatus::kOk);
if (dev_run)
printf(
"\nNow test by adding a fixed column and a fixed row, and "
"maximizing\n");
testStandardForm(highs.getLp());
}
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