Mercurial > octave-nkf
diff src/dldfcn/__glpk__.cc @ 15076:000587f92082
rename src/DLD-FUNCTIONS directory to src/dldfcn
* src/dldfcn: Rename from src/DLD-FUNCTIONS.
* autogen.sh, src/Makefile.am, src/dldfcn/config-module.awk,
src/dldfcn/config-module.sh: Change all uses of DLD-FUNCTIONS to be
dldfcn. Change all uses of DLD_FUNCTIONS to be DLDFCN.
author | John W. Eaton <jwe@octave.org> |
---|---|
date | Tue, 31 Jul 2012 21:57:58 -0400 |
parents | src/DLD-FUNCTIONS/__glpk__.cc@5ae9f0f77635 |
children |
line wrap: on
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--- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/src/dldfcn/__glpk__.cc Tue Jul 31 21:57:58 2012 -0400 @@ -0,0 +1,861 @@ +/* + +Copyright (C) 2005-2012 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 +<http://www.gnu.org/licenses/>. + +*/ + +#ifdef HAVE_CONFIG_H +#include <config.h> +#endif + +#include <cfloat> +#include <csetjmp> +#include <ctime> + +#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 <glpk/glpk.h> +#else +#include <glpk.h> +#endif + +#if 0 +#ifdef GLPK_PRE_4_14 + +#ifndef _GLPLIB_H +#include <glplib.h> +#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 10 + +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 +}; + +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 +}; + +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} {[@var{values}] =} __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<int> rn; + Array<int> 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<int> 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<int> 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<int> 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); + + //-- 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; +} + +/* +## No test needed for internal helper function. +%!assert (1) +*/