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cuts.cc
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// 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.
#include "ortools/sat/cuts.h"
#include <algorithm>
#include <cmath>
#include <functional>
#include <memory>
#include <utility>
#include <vector>
#include "ortools/algorithms/knapsack_solver_for_cuts.h"
#include "ortools/base/integral_types.h"
#include "ortools/base/stl_util.h"
#include "ortools/sat/integer.h"
#include "ortools/sat/intervals.h"
#include "ortools/sat/linear_constraint.h"
#include "ortools/sat/sat_base.h"
#include "ortools/util/time_limit.h"
namespace operations_research {
namespace sat {
namespace {
// Minimum amount of violation of the cut constraint by the solution. This
// is needed to avoid numerical issues and adding cuts with minor effect.
const double kMinCutViolation = 1e-4;
// Returns the lp value of a Literal.
double GetLiteralLpValue(
const Literal lit,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const IntegerEncoder* encoder) {
const IntegerVariable direct_view = encoder->GetLiteralView(lit);
if (direct_view != kNoIntegerVariable) {
return lp_values[direct_view];
}
const IntegerVariable opposite_view = encoder->GetLiteralView(lit.Negated());
DCHECK_NE(opposite_view, kNoIntegerVariable);
return 1.0 - lp_values[opposite_view];
}
// Returns a constraint that disallow all given variables to be at their current
// upper bound. The arguments must form a non-trival constraint of the form
// sum terms (coeff * var) <= upper_bound.
LinearConstraint GenerateKnapsackCutForCover(
const std::vector<IntegerVariable>& vars,
const std::vector<IntegerValue>& coeffs, const IntegerValue upper_bound,
const IntegerTrail& integer_trail) {
CHECK_EQ(vars.size(), coeffs.size());
CHECK_GT(vars.size(), 0);
LinearConstraint cut;
IntegerValue cut_upper_bound = IntegerValue(0);
IntegerValue max_coeff = coeffs[0];
// slack = \sum_{i}(coeffs[i] * upper_bound[i]) - upper_bound.
IntegerValue slack = -upper_bound;
for (int i = 0; i < vars.size(); ++i) {
const IntegerValue var_upper_bound =
integer_trail.LevelZeroUpperBound(vars[i]);
cut_upper_bound += var_upper_bound;
cut.vars.push_back(vars[i]);
cut.coeffs.push_back(IntegerValue(1));
max_coeff = std::max(max_coeff, coeffs[i]);
slack += coeffs[i] * var_upper_bound;
}
CHECK_GT(slack, 0.0) << "Invalid cover for knapsack cut.";
cut_upper_bound -= CeilRatio(slack, max_coeff);
cut.lb = kMinIntegerValue;
cut.ub = cut_upper_bound;
VLOG(2) << "Generated Knapsack Constraint:" << cut.DebugString();
return cut;
}
bool SolutionSatisfiesConstraint(
const LinearConstraint& constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values) {
const double activity = ComputeActivity(constraint, lp_values);
const double tolerance = 1e-6;
return (activity <= constraint.ub.value() + tolerance &&
activity >= constraint.lb.value() - tolerance)
? true
: false;
}
bool SmallRangeAndAllCoefficientsMagnitudeAreTheSame(
const LinearConstraint& constraint, IntegerTrail* integer_trail) {
if (constraint.vars.empty()) return true;
const int64 magnitude = std::abs(constraint.coeffs[0].value());
for (int i = 1; i < constraint.coeffs.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
if (integer_trail->LevelZeroUpperBound(var) -
integer_trail->LevelZeroLowerBound(var) >
1) {
return false;
}
if (std::abs(constraint.coeffs[i].value()) != magnitude) {
return false;
}
}
return true;
}
bool AllVarsTakeIntegerValue(
const std::vector<IntegerVariable> vars,
const absl::StrongVector<IntegerVariable, double>& lp_values) {
for (IntegerVariable var : vars) {
if (std::abs(lp_values[var] - std::round(lp_values[var])) > 1e-6) {
return false;
}
}
return true;
}
// Returns smallest cover size for the given constraint taking into account
// level zero bounds. Smallest Cover size is computed as follows.
// 1. Compute the upper bound if all variables are shifted to have zero lower
// bound.
// 2. Sort all terms (coefficient * shifted upper bound) in non decreasing
// order.
// 3. Add terms in cover until term sum is smaller or equal to upper bound.
// 4. Add the last item which violates the upper bound. This forms the smallest
// cover. Return the size of this cover.
int GetSmallestCoverSize(const LinearConstraint& constraint,
const IntegerTrail& integer_trail) {
IntegerValue ub = constraint.ub;
std::vector<IntegerValue> sorted_terms;
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerValue coeff = constraint.coeffs[i];
const IntegerVariable var = constraint.vars[i];
const IntegerValue var_ub = integer_trail.LevelZeroUpperBound(var);
const IntegerValue var_lb = integer_trail.LevelZeroLowerBound(var);
ub -= var_lb * coeff;
sorted_terms.push_back(coeff * (var_ub - var_lb));
}
std::sort(sorted_terms.begin(), sorted_terms.end(),
std::greater<IntegerValue>());
int smallest_cover_size = 0;
IntegerValue sorted_term_sum = IntegerValue(0);
while (sorted_term_sum <= ub &&
smallest_cover_size < constraint.vars.size()) {
sorted_term_sum += sorted_terms[smallest_cover_size++];
}
return smallest_cover_size;
}
bool ConstraintIsEligibleForLifting(const LinearConstraint& constraint,
const IntegerTrail& integer_trail) {
for (const IntegerVariable var : constraint.vars) {
if (integer_trail.LevelZeroLowerBound(var) != IntegerValue(0) ||
integer_trail.LevelZeroUpperBound(var) != IntegerValue(1)) {
return false;
}
}
return true;
}
} // namespace
bool LiftKnapsackCut(
const LinearConstraint& constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const std::vector<IntegerValue>& cut_vars_original_coefficients,
const IntegerTrail& integer_trail, TimeLimit* time_limit,
LinearConstraint* cut) {
std::set<IntegerVariable> vars_in_cut;
for (IntegerVariable var : cut->vars) {
vars_in_cut.insert(var);
}
std::vector<std::pair<IntegerValue, IntegerVariable>> non_zero_vars;
std::vector<std::pair<IntegerValue, IntegerVariable>> zero_vars;
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
if (integer_trail.LevelZeroLowerBound(var) != IntegerValue(0) ||
integer_trail.LevelZeroUpperBound(var) != IntegerValue(1)) {
continue;
}
if (vars_in_cut.find(var) != vars_in_cut.end()) continue;
const IntegerValue coeff = constraint.coeffs[i];
if (lp_values[var] <= 1e-6) {
zero_vars.push_back({coeff, var});
} else {
non_zero_vars.push_back({coeff, var});
}
}
// Decide lifting sequence (nonzeros, zeros in nonincreasing order
// of coefficient ).
std::sort(non_zero_vars.rbegin(), non_zero_vars.rend());
std::sort(zero_vars.rbegin(), zero_vars.rend());
std::vector<std::pair<IntegerValue, IntegerVariable>> lifting_sequence(
std::move(non_zero_vars));
lifting_sequence.insert(lifting_sequence.end(), zero_vars.begin(),
zero_vars.end());
// Form Knapsack.
std::vector<double> lifting_profits;
std::vector<double> lifting_weights;
for (int i = 0; i < cut->vars.size(); ++i) {
lifting_profits.push_back(cut->coeffs[i].value());
lifting_weights.push_back(cut_vars_original_coefficients[i].value());
}
// Lift the cut.
bool is_lifted = false;
bool is_solution_optimal = false;
KnapsackSolverForCuts knapsack_solver("Knapsack cut lifter");
for (auto entry : lifting_sequence) {
is_solution_optimal = false;
const IntegerValue var_original_coeff = entry.first;
const IntegerVariable var = entry.second;
const IntegerValue lifting_capacity = constraint.ub - entry.first;
if (lifting_capacity <= IntegerValue(0)) continue;
knapsack_solver.Init(lifting_profits, lifting_weights,
lifting_capacity.value());
knapsack_solver.set_node_limit(100);
// NOTE: Since all profits and weights are integer, solution of
// knapsack is also integer.
// TODO(user): Use an integer solver or heuristic.
knapsack_solver.Solve(time_limit, &is_solution_optimal);
const double knapsack_upper_bound =
std::round(knapsack_solver.GetUpperBound());
const IntegerValue cut_coeff = cut->ub - knapsack_upper_bound;
if (cut_coeff > IntegerValue(0)) {
is_lifted = true;
cut->vars.push_back(var);
cut->coeffs.push_back(cut_coeff);
lifting_profits.push_back(cut_coeff.value());
lifting_weights.push_back(var_original_coeff.value());
}
}
return is_lifted;
}
LinearConstraint GetPreprocessedLinearConstraint(
const LinearConstraint& constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const IntegerTrail& integer_trail) {
IntegerValue ub = constraint.ub;
LinearConstraint constraint_with_left_vars;
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
const IntegerValue var_ub = integer_trail.LevelZeroUpperBound(var);
const IntegerValue coeff = constraint.coeffs[i];
if (var_ub.value() - lp_values[var] <= 1.0 - kMinCutViolation) {
constraint_with_left_vars.vars.push_back(var);
constraint_with_left_vars.coeffs.push_back(coeff);
} else {
// Variable not in cut
const IntegerValue var_lb = integer_trail.LevelZeroLowerBound(var);
ub -= coeff * var_lb;
}
}
constraint_with_left_vars.ub = ub;
constraint_with_left_vars.lb = constraint.lb;
return constraint_with_left_vars;
}
bool ConstraintIsTriviallyTrue(const LinearConstraint& constraint,
const IntegerTrail& integer_trail) {
IntegerValue term_sum = IntegerValue(0);
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
const IntegerValue var_ub = integer_trail.LevelZeroUpperBound(var);
const IntegerValue coeff = constraint.coeffs[i];
term_sum += coeff * var_ub;
}
if (term_sum <= constraint.ub) {
VLOG(2) << "Filtered by cover filter";
return true;
}
return false;
}
bool CanBeFilteredUsingCutLowerBound(
const LinearConstraint& preprocessed_constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const IntegerTrail& integer_trail) {
std::vector<double> variable_upper_bound_distances;
for (const IntegerVariable var : preprocessed_constraint.vars) {
const IntegerValue var_ub = integer_trail.LevelZeroUpperBound(var);
variable_upper_bound_distances.push_back(var_ub.value() - lp_values[var]);
}
// Compute the min cover size.
const int smallest_cover_size =
GetSmallestCoverSize(preprocessed_constraint, integer_trail);
std::nth_element(
variable_upper_bound_distances.begin(),
variable_upper_bound_distances.begin() + smallest_cover_size - 1,
variable_upper_bound_distances.end());
double cut_lower_bound = 0.0;
for (int i = 0; i < smallest_cover_size; ++i) {
cut_lower_bound += variable_upper_bound_distances[i];
}
if (cut_lower_bound >= 1.0 - kMinCutViolation) {
VLOG(2) << "Filtered by kappa heuristic";
return true;
}
return false;
}
double GetKnapsackUpperBound(std::vector<KnapsackItem> items,
const double capacity) {
// Sort items by value by weight ratio.
std::sort(items.begin(), items.end(), std::greater<KnapsackItem>());
double left_capacity = capacity;
double profit = 0.0;
for (const KnapsackItem item : items) {
if (item.weight <= left_capacity) {
profit += item.profit;
left_capacity -= item.weight;
} else {
profit += (left_capacity / item.weight) * item.profit;
break;
}
}
return profit;
}
bool CanBeFilteredUsingKnapsackUpperBound(
const LinearConstraint& constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const IntegerTrail& integer_trail) {
std::vector<KnapsackItem> items;
double capacity = -constraint.ub.value() - 1.0;
double sum_variable_profit = 0;
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
const IntegerValue var_ub = integer_trail.LevelZeroUpperBound(var);
const IntegerValue var_lb = integer_trail.LevelZeroLowerBound(var);
const IntegerValue coeff = constraint.coeffs[i];
KnapsackItem item;
item.profit = var_ub.value() - lp_values[var];
item.weight = (coeff * (var_ub - var_lb)).value();
items.push_back(item);
capacity += (coeff * var_ub).value();
sum_variable_profit += item.profit;
}
// Return early if the required upper bound is negative since all the profits
// are non negative.
if (sum_variable_profit - 1.0 + kMinCutViolation < 0.0) return false;
// Get the knapsack upper bound.
const double knapsack_upper_bound =
GetKnapsackUpperBound(std::move(items), capacity);
if (knapsack_upper_bound < sum_variable_profit - 1.0 + kMinCutViolation) {
VLOG(2) << "Filtered by knapsack upper bound";
return true;
}
return false;
}
bool CanFormValidKnapsackCover(
const LinearConstraint& preprocessed_constraint,
const absl::StrongVector<IntegerVariable, double>& lp_values,
const IntegerTrail& integer_trail) {
if (ConstraintIsTriviallyTrue(preprocessed_constraint, integer_trail)) {
return false;
}
if (CanBeFilteredUsingCutLowerBound(preprocessed_constraint, lp_values,
integer_trail)) {
return false;
}
if (CanBeFilteredUsingKnapsackUpperBound(preprocessed_constraint, lp_values,
integer_trail)) {
return false;
}
return true;
}
void ConvertToKnapsackForm(const LinearConstraint& constraint,
std::vector<LinearConstraint>* knapsack_constraints,
IntegerTrail* integer_trail) {
// If all coefficient are the same, the generated knapsack cuts cannot be
// stronger than the constraint itself. However, when we substitute variables
// using the implication graph, this is not longer true. So we only skip
// constraints with same coeff and no substitutions.
if (SmallRangeAndAllCoefficientsMagnitudeAreTheSame(constraint,
integer_trail)) {
return;
}
if (constraint.ub < kMaxIntegerValue) {
LinearConstraint canonical_knapsack_form;
// Negate the variables with negative coefficients.
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
const IntegerValue coeff = constraint.coeffs[i];
if (coeff > IntegerValue(0)) {
canonical_knapsack_form.AddTerm(var, coeff);
} else {
canonical_knapsack_form.AddTerm(NegationOf(var), -coeff);
}
}
canonical_knapsack_form.ub = constraint.ub;
canonical_knapsack_form.lb = kMinIntegerValue;
knapsack_constraints->push_back(canonical_knapsack_form);
}
if (constraint.lb > kMinIntegerValue) {
LinearConstraint canonical_knapsack_form;
// Negate the variables with positive coefficients.
for (int i = 0; i < constraint.vars.size(); ++i) {
const IntegerVariable var = constraint.vars[i];
const IntegerValue coeff = constraint.coeffs[i];
if (coeff > IntegerValue(0)) {
canonical_knapsack_form.AddTerm(NegationOf(var), coeff);
} else {
canonical_knapsack_form.AddTerm(var, -coeff);
}
}
canonical_knapsack_form.ub = -constraint.lb;
canonical_knapsack_form.lb = kMinIntegerValue;
knapsack_constraints->push_back(canonical_knapsack_form);
}
}
// TODO(user): Move the cut generator into a class and reuse variables.
CutGenerator CreateKnapsackCoverCutGenerator(
const std::vector<LinearConstraint>& base_constraints,
const std::vector<IntegerVariable>& vars, Model* model) {
CutGenerator result;
result.vars = vars;
IntegerTrail* integer_trail = model->GetOrCreate<IntegerTrail>();
std::vector<LinearConstraint> knapsack_constraints;
for (const LinearConstraint& constraint : base_constraints) {
// There is often a lot of small linear base constraints and it doesn't seem
// super useful to generate cuts for constraints of size 2. Any valid cut
// of size 1 should be already infered by the propagation.
//
// TODO(user): The case of size 2 is a bit less clear. investigate more if
// it is useful.
if (constraint.vars.size() <= 2) continue;
ConvertToKnapsackForm(constraint, &knapsack_constraints, integer_trail);
}
VLOG(1) << "#knapsack constraints: " << knapsack_constraints.size();
// Note(user): for Knapsack cuts, it seems always advantageous to replace a
// variable X by a TIGHT lower bound of the form "coeff * binary + lb". This
// will not change "covers" but can only result in more violation by the
// current LP solution.
ImpliedBoundsProcessor implied_bounds_processor(
vars, integer_trail, model->GetOrCreate<ImpliedBounds>());
// TODO(user): do not add generator if there are no knapsack constraints.
result.generate_cuts = [implied_bounds_processor, knapsack_constraints, vars,
model, integer_trail](
const absl::StrongVector<IntegerVariable, double>&
lp_values,
LinearConstraintManager* manager) mutable {
// TODO(user): When we use implied-bound substitution, we might still infer
// an interesting cut even if all variables are integer. See if we still
// want to skip all such constraints.
if (AllVarsTakeIntegerValue(vars, lp_values)) return;
KnapsackSolverForCuts knapsack_solver(
"Knapsack on demand cover cut generator");
int64 skipped_constraints = 0;
LinearConstraint mutable_constraint;
// Iterate through all knapsack constraints.
implied_bounds_processor.ClearCache();
for (const LinearConstraint& constraint : knapsack_constraints) {
if (model->GetOrCreate<TimeLimit>()->LimitReached()) break;
VLOG(2) << "Processing constraint: " << constraint.DebugString();
mutable_constraint = constraint;
implied_bounds_processor.ProcessUpperBoundedConstraint(
lp_values, &mutable_constraint);
MakeAllCoefficientsPositive(&mutable_constraint);
const LinearConstraint preprocessed_constraint =
GetPreprocessedLinearConstraint(mutable_constraint, lp_values,
*integer_trail);
if (preprocessed_constraint.vars.empty()) continue;
if (!CanFormValidKnapsackCover(preprocessed_constraint, lp_values,
*integer_trail)) {
skipped_constraints++;
continue;
}
// Profits are (upper_bounds[i] - lp_values[i]) for knapsack variables.
std::vector<double> profits;
profits.reserve(preprocessed_constraint.vars.size());
// Weights are (coeffs[i] * (upper_bound[i] - lower_bound[i])).
std::vector<double> weights;
weights.reserve(preprocessed_constraint.vars.size());
double capacity = -preprocessed_constraint.ub.value() - 1.0;
// Compute and store the sum of variable profits. This is the constant
// part of the objective of the problem we are trying to solve. Hence
// this part is not supplied to the knapsack_solver and is subtracted
// when we receive the knapsack solution.
double sum_variable_profit = 0;
// Compute the profits, the weights and the capacity for the knapsack
// instance.
for (int i = 0; i < preprocessed_constraint.vars.size(); ++i) {
const IntegerVariable var = preprocessed_constraint.vars[i];
const double coefficient = preprocessed_constraint.coeffs[i].value();
const double var_ub = ToDouble(integer_trail->LevelZeroUpperBound(var));
const double var_lb = ToDouble(integer_trail->LevelZeroLowerBound(var));
const double variable_profit = var_ub - lp_values[var];
profits.push_back(variable_profit);
sum_variable_profit += variable_profit;
const double weight = coefficient * (var_ub - var_lb);
weights.push_back(weight);
capacity += weight + coefficient * var_lb;
}
if (capacity < 0.0) continue;
std::vector<IntegerVariable> cut_vars;
std::vector<IntegerValue> cut_vars_original_coefficients;
VLOG(2) << "Knapsack size: " << profits.size();
knapsack_solver.Init(profits, weights, capacity);
// Set the time limit for the knapsack solver.
const double time_limit_for_knapsack_solver =
model->GetOrCreate<TimeLimit>()->GetTimeLeft();
// Solve the instance and subtract the constant part to compute the
// sum_of_distance_to_ub_for_vars_in_cover.
// TODO(user): Consider solving the instance approximately.
bool is_solution_optimal = false;
knapsack_solver.set_solution_upper_bound_threshold(
sum_variable_profit - 1.0 + kMinCutViolation);
// TODO(user): Consider providing lower bound threshold as
// sum_variable_profit - 1.0 + kMinCutViolation.
// TODO(user): Set node limit for knapsack solver.
auto time_limit_for_solver =
absl::make_unique<TimeLimit>(time_limit_for_knapsack_solver);
const double sum_of_distance_to_ub_for_vars_in_cover =
sum_variable_profit -
knapsack_solver.Solve(time_limit_for_solver.get(),
&is_solution_optimal);
if (is_solution_optimal) {
VLOG(2) << "Knapsack Optimal solution found yay !";
}
if (time_limit_for_solver->LimitReached()) {
VLOG(1) << "Knapsack Solver run out of time limit.";
}
if (sum_of_distance_to_ub_for_vars_in_cover < 1.0 - kMinCutViolation) {
// Constraint is eligible for the cover.
IntegerValue constraint_ub_for_cut = preprocessed_constraint.ub;
std::set<IntegerVariable> vars_in_cut;
for (int i = 0; i < preprocessed_constraint.vars.size(); ++i) {
const IntegerVariable var = preprocessed_constraint.vars[i];
const IntegerValue coefficient = preprocessed_constraint.coeffs[i];
if (!knapsack_solver.best_solution(i)) {
cut_vars.push_back(var);
cut_vars_original_coefficients.push_back(coefficient);
vars_in_cut.insert(var);
} else {
const IntegerValue var_lb = integer_trail->LevelZeroLowerBound(var);
constraint_ub_for_cut -= coefficient * var_lb;
}
}
LinearConstraint cut = GenerateKnapsackCutForCover(
cut_vars, cut_vars_original_coefficients, constraint_ub_for_cut,
*integer_trail);
// Check if the constraint has only binary variables.
bool is_lifted = false;
if (ConstraintIsEligibleForLifting(cut, *integer_trail)) {
if (LiftKnapsackCut(mutable_constraint, lp_values,
cut_vars_original_coefficients, *integer_trail,
model->GetOrCreate<TimeLimit>(), &cut)) {
is_lifted = true;
}
}
CHECK(!SolutionSatisfiesConstraint(cut, lp_values));
manager->AddCut(cut, is_lifted ? "LiftedKnapsack" : "Knapsack",
lp_values);
}
}
if (skipped_constraints > 0) {
VLOG(2) << "Skipped constraints: " << skipped_constraints;
}
};
return result;
}
// Compute the larger t <= max_t such that t * rhs_remainder >= divisor / 2.
//
// This is just a separate function as it is slightly faster to compute the
// result only once.
IntegerValue GetFactorT(IntegerValue rhs_remainder, IntegerValue divisor,
IntegerValue max_t) {
DCHECK_GE(max_t, 1);
return rhs_remainder == 0
? max_t
: std::min(max_t, CeilRatio(divisor / 2, rhs_remainder));
}
std::function<IntegerValue(IntegerValue)> GetSuperAdditiveRoundingFunction(
IntegerValue rhs_remainder, IntegerValue divisor, IntegerValue t,
IntegerValue max_scaling) {
DCHECK_GE(max_scaling, 1);
// Adjust after the multiplication by t.
rhs_remainder *= t;
DCHECK_LT(rhs_remainder, divisor);
// Make sure we don't have an integer overflow below. Note that we assume that
// divisor and the maximum coeff magnitude are not too different (maybe a
// factor 1000 at most) so that the final result will never overflow.
max_scaling = std::min(max_scaling, kint64max / divisor);
const IntegerValue size = divisor - rhs_remainder;
if (max_scaling == 1 || size == 1) {
// TODO(user): Use everywhere a two step computation to avoid overflow?
// First divide by divisor, then multiply by t. For now, we limit t so that
// we never have an overflow instead.
return [t, divisor](IntegerValue coeff) {
return FloorRatio(t * coeff, divisor);
};
} else if (size <= max_scaling) {
return [size, rhs_remainder, t, divisor](IntegerValue coeff) {
const IntegerValue ratio = FloorRatio(t * coeff, divisor);
const IntegerValue remainder = t * coeff - ratio * divisor;
const IntegerValue diff = remainder - rhs_remainder;
return size * ratio + std::max(IntegerValue(0), diff);
};
} else if (max_scaling.value() * rhs_remainder.value() < divisor) {
// Because of our max_t limitation, the rhs_remainder might stay small.
//
// If it is "too small" we cannot use the code below because it will not be
// valid. So we just divide divisor into max_scaling bucket. The
// rhs_remainder will be in the bucket 0.
//
// Note(user): This seems the same as just increasing t, modulo integer
// overflows. Maybe we should just always do the computation like this so
// that we can use larger t even if coeff is close to kint64max.
return [t, divisor, max_scaling](IntegerValue coeff) {
const IntegerValue ratio = FloorRatio(t * coeff, divisor);
const IntegerValue remainder = t * coeff - ratio * divisor;
const IntegerValue bucket = FloorRatio(remainder * max_scaling, divisor);
return max_scaling * ratio + bucket;
};
} else {
// We divide (size = divisor - rhs_remainder) into (max_scaling - 1) buckets
// and increase the function by 1 / max_scaling for each of them.
//
// Note that for different values of max_scaling, we get a family of
// functions that do not dominate each others. So potentially, a max scaling
// as low as 2 could lead to the better cut (this is exactly the Letchford &
// Lodi function).
//
// Another intersting fact, is that if we want to compute the maximum alpha
// for a constraint with 2 terms like:
// divisor * Y + (ratio * divisor + remainder) * X
// <= rhs_ratio * divisor + rhs_remainder
// so that we have the cut:
// Y + (ratio + alpha) * X <= rhs_ratio
// This is the same as computing the maximum alpha such that for all integer
// X > 0 we have CeilRatio(alpha * divisor * X, divisor)
// <= CeilRatio(remainder * X - rhs_remainder, divisor).
// We can prove that this alpha is of the form (n - 1) / n, and it will
// be reached by such function for a max_scaling of n.
//
// TODO(user): This function is not always maximal when
// size % (max_scaling - 1) == 0. Improve?
return [size, rhs_remainder, t, divisor, max_scaling](IntegerValue coeff) {
const IntegerValue ratio = FloorRatio(t * coeff, divisor);
const IntegerValue remainder = t * coeff - ratio * divisor;
const IntegerValue diff = remainder - rhs_remainder;
const IntegerValue bucket =
diff > 0 ? CeilRatio(diff * (max_scaling - 1), size)
: IntegerValue(0);
return max_scaling * ratio + bucket;
};
}
}
// TODO(user): This has been optimized a bit, but we can probably do even better
// as it still takes around 25% percent of the run time when all the cuts are on
// for the opm*mps.gz problems and others.
void IntegerRoundingCutHelper::ComputeCut(
RoundingOptions options, const std::vector<double>& lp_values,
const std::vector<IntegerValue>& lower_bounds,
const std::vector<IntegerValue>& upper_bounds,
ImpliedBoundsProcessor* ib_processor, LinearConstraint* cut) {
const int size = lp_values.size();
if (size == 0) return;
CHECK_EQ(lower_bounds.size(), size);
CHECK_EQ(upper_bounds.size(), size);
CHECK_EQ(cut->vars.size(), size);
CHECK_EQ(cut->coeffs.size(), size);
CHECK_EQ(cut->lb, kMinIntegerValue);
// To optimize the computation of the best divisor below, we only need to
// look at the indices with a shifted lp value that is not close to zero.
//
// TODO(user): sort by decreasing lp_values so that our early abort test in
// the critical loop below has more chance of returning early? I tried but it
// didn't seems to change much though.
relevant_indices_.clear();
relevant_lp_values_.clear();
relevant_coeffs_.clear();
relevant_bound_diffs_.clear();
divisors_.clear();
adjusted_coeffs_.clear();
// Compute the maximum magnitude for non-fixed variables.
IntegerValue max_magnitude(0);
for (int i = 0; i < size; ++i) {
if (lower_bounds[i] == upper_bounds[i]) continue;
const IntegerValue magnitude = IntTypeAbs(cut->coeffs[i]);
max_magnitude = std::max(max_magnitude, magnitude);
}
// Shift each variable using its lower/upper bound so that no variable can
// change sign. We eventually do a change of variable to its negation so
// that all variable are non-negative.
bool overflow = false;
change_sign_at_postprocessing_.assign(size, false);
for (int i = 0; i < size; ++i) {
if (cut->coeffs[i] == 0) continue;
const IntegerValue magnitude = IntTypeAbs(cut->coeffs[i]);
// We might change them below.
IntegerValue lb = lower_bounds[i];
double lp_value = lp_values[i];
const IntegerValue ub = upper_bounds[i];
const IntegerValue bound_diff =
IntegerValue(CapSub(ub.value(), lb.value()));
// Note that since we use ToDouble() this code works fine with lb/ub at
// min/max integer value.
//
// TODO(user): Experiments with different heuristics. Other solver also
// seems to try a bunch of possibilities in a "postprocess" phase once
// the divisor is chosen. Try that.
{
// when the magnitude of the entry become smaller and smaller we bias
// towards a positive coefficient. This is because after rounding this
// will likely become zero instead of -divisor and we need the lp value
// to be really close to its bound to compensate.
const double lb_dist = std::abs(lp_value - ToDouble(lb));
const double ub_dist = std::abs(lp_value - ToDouble(ub));
const double bias =
std::max(1.0, 0.1 * ToDouble(max_magnitude) / ToDouble(magnitude));
if ((bias * lb_dist > ub_dist && cut->coeffs[i] < 0) ||
(lb_dist > bias * ub_dist && cut->coeffs[i] > 0)) {
change_sign_at_postprocessing_[i] = true;
cut->coeffs[i] = -cut->coeffs[i];
lp_value = -lp_value;
lb = -ub;
}
}
// Always shift to lb.
// coeff * X = coeff * (X - shift) + coeff * shift.
lp_value -= ToDouble(lb);
if (!AddProductTo(-cut->coeffs[i], lb, &cut->ub)) {
overflow = true;
break;
}
// Deal with fixed variable, no need to shift back in this case, we can
// just remove the term.
if (bound_diff == 0) {
cut->coeffs[i] = IntegerValue(0);
lp_value = 0.0;
}
if (std::abs(lp_value) > 1e-2) {
relevant_coeffs_.push_back(cut->coeffs[i]);
relevant_indices_.push_back(i);
relevant_lp_values_.push_back(lp_value);
relevant_bound_diffs_.push_back(bound_diff);
divisors_.push_back(magnitude);
}
}
// TODO(user): Maybe this shouldn't be called on such constraint.
if (relevant_coeffs_.empty()) {
VLOG(2) << "Issue, nothing to cut.";
*cut = LinearConstraint(IntegerValue(0), IntegerValue(0));
return;
}
CHECK_NE(max_magnitude, 0);
// Our heuristic will try to generate a few different cuts, and we will keep
// the most violated one scaled by the l2 norm of the relevant position.
//
// TODO(user): Experiment for the best value of this initial violation
// threshold. Note also that we use the l2 norm on the restricted position
// here. Maybe we should change that? On that note, the L2 norm usage seems a
// bit weird to me since it grows with the number of term in the cut. And
// often, we already have a good cut, and we make it stronger by adding extra
// terms that do not change its activity.
//
// The discussion above only concern the best_scaled_violation initial value.
// The remainder_threshold allows to not consider cuts for which the final
// efficacity is clearly lower than 1e-3 (it is a bound, so we could generate
// cuts with a lower efficacity than this).
double best_scaled_violation = 0.01;
const IntegerValue remainder_threshold(max_magnitude / 1000);
// The cut->ub might have grown quite a bit with the bound substitution, so
// we need to include it too since we will apply the rounding function on it.
max_magnitude = std::max(max_magnitude, IntTypeAbs(cut->ub));
// Make sure that when we multiply the rhs or the coefficient by a factor t,
// we do not have an integer overflow. Actually, we need a bit more room
// because we might round down a value to the next multiple of
// max_magnitude.
const IntegerValue threshold = kMaxIntegerValue / 2;
if (overflow || max_magnitude >= threshold) {
VLOG(2) << "Issue, overflow.";
*cut = LinearConstraint(IntegerValue(0), IntegerValue(0));
return;
}
const IntegerValue max_t = threshold / max_magnitude;
// There is no point trying twice the same divisor or a divisor that is too
// small. Note that we use a higher threshold than the remainder_threshold
// because we can boost the remainder thanks to our adjusting heuristic below
// and also because this allows to have cuts with a small range of
// coefficients.
//
// TODO(user): Note that the std::sort() is visible in some cpu profile.
{
int new_size = 0;
const IntegerValue divisor_threshold = max_magnitude / 10;
for (int i = 0; i < divisors_.size(); ++i) {
if (divisors_[i] <= divisor_threshold) continue;
divisors_[new_size++] = divisors_[i];
}
divisors_.resize(new_size);
}
gtl::STLSortAndRemoveDuplicates(&divisors_, std::greater<IntegerValue>());
// TODO(user): Avoid quadratic algorithm? Note that we are quadratic in
// relevant_indices not the full cut->coeffs.size(), but this is still too
// much on some problems.
IntegerValue best_divisor(0);
for (const IntegerValue divisor : divisors_) {
// Skip if we don't have the potential to generate a good enough cut.
const IntegerValue initial_rhs_remainder =
cut->ub - FloorRatio(cut->ub, divisor) * divisor;
if (initial_rhs_remainder <= remainder_threshold) continue;
IntegerValue temp_ub = cut->ub;
adjusted_coeffs_.clear();
// We will adjust coefficient that are just under an exact multiple of
// divisor to an exact multiple. This is meant to get rid of small errors
// that appears due to rounding error in our exact computation of the
// initial constraint given to this class.
//
// Each adjustement will cause the initial_rhs_remainder to increase, and we
// do not want to increase it above divisor. Our threshold below guarantees
// this. Note that the higher the rhs_remainder becomes, the more the
// function f() has a chance to reduce the violation, so it is not always a
// good idea to use all the slack we have between initial_rhs_remainder and
// divisor.
//
// TODO(user): If possible, it might be better to complement these
// variables. Even if the adjusted lp_values end up larger, if we loose less
// when taking f(), then we will have a better violation.
const IntegerValue adjust_threshold =
(divisor - initial_rhs_remainder - 1) / IntegerValue(size);
if (adjust_threshold > 0) {
// Even before we finish the adjust, we can have a lower bound on the
// activily loss using this divisor, and so we can abort early. This is
// similar to what is done below in the function.
bool early_abort = false;
double loss_lb = 0.0;
const double threshold = ToDouble(initial_rhs_remainder);
for (int i = 0; i < relevant_coeffs_.size(); ++i) {
// Compute the difference of coeff with the next multiple of divisor.
const IntegerValue coeff = relevant_coeffs_[i];
const IntegerValue remainder =
CeilRatio(coeff, divisor) * divisor - coeff;
if (divisor - remainder <= initial_rhs_remainder) {
// We do not know exactly f() yet, but it will always round to the
// floor of the division by divisor in this case.
loss_lb += ToDouble(divisor - remainder) * relevant_lp_values_[i];
if (loss_lb >= threshold) {
early_abort = true;
break;
}
}
// Adjust coeff of the form k * divisor - epsilon.
const IntegerValue diff = relevant_bound_diffs_[i];
if (remainder > 0 && remainder <= adjust_threshold &&
CapProd(diff.value(), remainder.value()) <= adjust_threshold) {
temp_ub += remainder * diff;
adjusted_coeffs_.push_back({i, coeff + remainder});
}
}
if (early_abort) continue;
}
// Create the super-additive function f().
const IntegerValue rhs_remainder =
temp_ub - FloorRatio(temp_ub, divisor) * divisor;
if (rhs_remainder == 0) continue;
const auto f = GetSuperAdditiveRoundingFunction(
rhs_remainder, divisor, GetFactorT(rhs_remainder, divisor, max_t),
options.max_scaling);
// As we round coefficients, we will compute the loss compared to the
// current scaled constraint activity. As soon as this loss crosses the
// slack, then we known that there is no violation and we can abort early.
//
// TODO(user): modulo the scaling, we could compute the exact threshold
// using our current best cut. Note that we also have to account the change
// in slack due to the adjust code above.
const double scaling = ToDouble(f(divisor)) / ToDouble(divisor);
const double threshold = scaling * ToDouble(rhs_remainder);
double loss = 0.0;
// Apply f() to the cut and compute the cut violation. Note that it is
// okay to just look at the relevant indices since the other have a lp
// value which is almost zero. Doing it like this is faster, and even if
// the max_magnitude might be off it should still be relevant enough.
double violation = -ToDouble(f(temp_ub));
double l2_norm = 0.0;
bool early_abort = false;
int adjusted_coeffs_index = 0;
for (int i = 0; i < relevant_coeffs_.size(); ++i) {
IntegerValue coeff = relevant_coeffs_[i];
// Adjust coeff according to our previous computation if needed.
if (adjusted_coeffs_index < adjusted_coeffs_.size() &&
adjusted_coeffs_[adjusted_coeffs_index].first == i) {
coeff = adjusted_coeffs_[adjusted_coeffs_index].second;
adjusted_coeffs_index++;
}
if (coeff == 0) continue;
const IntegerValue new_coeff = f(coeff);
const double new_coeff_double = ToDouble(new_coeff);
const double lp_value = relevant_lp_values_[i];
l2_norm += new_coeff_double * new_coeff_double;
violation += new_coeff_double * lp_value;
loss += (scaling * ToDouble(coeff) - new_coeff_double) * lp_value;
if (loss >= threshold) {
early_abort = true;
break;
}
}
if (early_abort) continue;
// Here we scale by the L2 norm over the "relevant" positions. This seems
// to work slighly better in practice.
violation /= sqrt(l2_norm);
if (violation > best_scaled_violation) {
best_scaled_violation = violation;
best_divisor = divisor;
}
}
if (best_divisor == 0) {
*cut = LinearConstraint(IntegerValue(0), IntegerValue(0));
return;
}
// Adjust coefficients.
//
// TODO(user): It might make sense to also adjust the one with a small LP
// value, but then the cut will be slighlty different than the one we computed