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Merged
merged 4 commits into from
Jul 10, 2019
Merged

Enforce [0,1] bounds on binary variables for LP relaxation #236

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b08cd51
Enforce [0,1] bounds on binary variables for LP relaxation
bfpc Jun 19, 2019
e6c716a
Set Tuple type for binaries Vector
bfpc Jul 7, 2019
8d4c91b
Add more specific test to relax/enforce integrality
bfpc Jul 7, 2019
782aba2
Delete LP_relax.jl
odow Jul 8, 2019
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78 changes: 64 additions & 14 deletions src/algorithm.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -686,7 +686,48 @@ function termination_status(model::PolicyGraph)
end

"""
relax_integrality(model::PolicyGraph)::NTuple{Vector{VariableRef}, 2}
relax_integrality(model::JuMP.Model)

Relax all binary and integer constraints in `model`.
Returns two vectors:
the first containing a list of binary variables and previous bounds,
and the second containing a list of integer variables.

See also [`enforce_integrality`](@ref).
"""
function relax_integrality(m::JuMP.Model)
# Note: if integrality restriction is added via @constraint then this loop doesn't catch it.
binaries = Tuple{JuMP.VariableRef, Float64, Float64}[]
integers = JuMP.VariableRef[]
# Run through all variables on model and unset integrality
for x in JuMP.all_variables(m)
if JuMP.is_binary(x)
x_lb, x_ub = NaN, NaN
JuMP.unset_binary(x)
# Store upper and lower bounds
if JuMP.has_lower_bound(x)
x_lb = JuMP.lower_bound(x)
JuMP.set_lower_bound(x, max(x_lb, 0.0))
else
JuMP.set_lower_bound(x, 0.0)
end
if JuMP.has_upper_bound(x)
x_ub = JuMP.upper_bound(x)
JuMP.set_upper_bound(x, min(x_ub, 1.0))
else
JuMP.set_upper_bound(x, 1.0)
end
push!(binaries, (x, x_lb, x_ub))
elseif JuMP.is_integer(x)
JuMP.unset_integer(x)
push!(integers, x)
end
end
return binaries, integers
end

"""
relax_integrality(model::PolicyGraph)

Relax all binary and integer constraints in all subproblems in `model`. Return
two vectors, the first containing a list of binary variables, and the second
Expand All @@ -695,35 +736,44 @@ containing a list of integer variables.
See also [`enforce_integrality`](@ref).
"""
function relax_integrality(model::PolicyGraph)
binaries = JuMP.VariableRef[]
binaries = Tuple{JuMP.VariableRef, Float64, Float64}[]
integers = JuMP.VariableRef[]
for (key, node) in model.nodes
for x in JuMP.all_variables(node.subproblem)
if JuMP.is_binary(x)
JuMP.unset_binary(x)
push!(binaries, x)
elseif JuMP.is_integer(x)
JuMP.unset_integer(x)
push!(integers, x)
end
end
bins, ints = relax_integrality(node.subproblem)
append!(binaries, bins)
append!(integers, ints)
end
return binaries, integers
end

"""
enforce_integrality(
binaries::Vector{VariableRef}, integers::Vector{VariableRef})
binaries::Vector{Tuple{JuMP.VariableRef, Float64, Float64}},
integers::Vector{VariableRef})

Set all variables in `binaries` to `SingleVariable-in-ZeroOne()`, and all
variables in `integers` to `SingleVariable-in-Integer()`.

See also [`relax_integrality`](@ref).
"""
function enforce_integrality(
binaries::Vector{VariableRef}, integers::Vector{VariableRef})
binaries::Vector{Tuple{JuMP.VariableRef, Float64, Float64}},
integers::Vector{VariableRef}
)
JuMP.set_integer.(integers)
JuMP.set_binary.(binaries)
for (x, x_lb, x_ub) in binaries
if isnan(x_lb)
JuMP.delete_lower_bound(x)
else
JuMP.set_lower_bound(x, x_lb)
end
if isnan(x_ub)
JuMP.delete_upper_bound(x)
else
JuMP.set_upper_bound(x, x_ub)
end
JuMP.set_binary(x)
end
return
end

Expand Down
94 changes: 94 additions & 0 deletions test/algorithm.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -175,3 +175,97 @@ end
@test pre_optimize_called == 1
@test post_optimize_called == 3
end

@testset "relax_integrality and enforce_integrality" begin
model = SDDP.LinearPolicyGraph(
stages = 2, lower_bound = 0.0,
direct_mode = false
) do sp, t
@variable(sp, x, SDDP.State, initial_value = 2.0)
@variable(sp, b1, Bin)
@variable(sp, 0.2 <= b2, Bin)
@variable(sp, 0.5 <= b3 <= 1.2, Bin)
@variable(sp, i1, Int)
@variable(sp, 6.2 >= i2, Int)
@variable(sp, -8 <= i3 <= 2, Int)
@stageobjective(sp, b1 + b2 + b2 + i3 + i1)
end

for node in [model[1], model[2]]
@test JuMP.is_binary(node.subproblem[:b1])
@test !JuMP.has_lower_bound(node.subproblem[:b1])
@test !JuMP.has_upper_bound(node.subproblem[:b1])

@test JuMP.is_binary(node.subproblem[:b2])
@test JuMP.lower_bound(node.subproblem[:b2]) == 0.2
@test !JuMP.has_upper_bound(node.subproblem[:b2])

@test JuMP.is_binary(node.subproblem[:b3])
@test JuMP.lower_bound(node.subproblem[:b3]) == 0.5
@test JuMP.upper_bound(node.subproblem[:b3]) == 1.2

@test JuMP.is_integer(node.subproblem[:i1])
@test !JuMP.has_lower_bound(node.subproblem[:i1])
@test !JuMP.has_upper_bound(node.subproblem[:i1])

@test JuMP.is_integer(node.subproblem[:i2])
@test JuMP.upper_bound(node.subproblem[:i2]) == 6.2
@test !JuMP.has_lower_bound(node.subproblem[:i2])

@test JuMP.is_integer(node.subproblem[:i3])
@test JuMP.lower_bound(node.subproblem[:i3]) == -8
@test JuMP.upper_bound(node.subproblem[:i3]) == 2
end
binaries, integers = SDDP.relax_integrality(model)
for node in [model[1], model[2]]
@test !JuMP.is_binary(node.subproblem[:b1])
@test JuMP.lower_bound(node.subproblem[:b1]) == 0.0
@test JuMP.upper_bound(node.subproblem[:b1]) == 1.0

@test !JuMP.is_binary(node.subproblem[:b2])
@test JuMP.lower_bound(node.subproblem[:b2]) == 0.2
@test JuMP.upper_bound(node.subproblem[:b2]) == 1.0

@test !JuMP.is_binary(node.subproblem[:b3])
@test JuMP.lower_bound(node.subproblem[:b3]) == 0.5
@test JuMP.upper_bound(node.subproblem[:b3]) == 1.0

@test !JuMP.is_integer(node.subproblem[:i1])
@test !JuMP.has_lower_bound(node.subproblem[:i1])
@test !JuMP.has_upper_bound(node.subproblem[:i1])

@test !JuMP.is_integer(node.subproblem[:i2])
@test JuMP.upper_bound(node.subproblem[:i2]) == 6.2
@test !JuMP.has_lower_bound(node.subproblem[:i2])

@test !JuMP.is_integer(node.subproblem[:i3])
@test JuMP.lower_bound(node.subproblem[:i3]) == -8
@test JuMP.upper_bound(node.subproblem[:i3]) == 2
end
SDDP.enforce_integrality(binaries, integers)
for node in [model[1], model[2]]
@test JuMP.is_binary(node.subproblem[:b1])
@test !JuMP.has_lower_bound(node.subproblem[:b1])
@test !JuMP.has_upper_bound(node.subproblem[:b1])

@test JuMP.is_binary(node.subproblem[:b2])
@test JuMP.lower_bound(node.subproblem[:b2]) == 0.2
@test !JuMP.has_upper_bound(node.subproblem[:b2])

@test JuMP.is_binary(node.subproblem[:b3])
@test JuMP.lower_bound(node.subproblem[:b3]) == 0.5
@test JuMP.upper_bound(node.subproblem[:b3]) == 1.2

@test JuMP.is_integer(node.subproblem[:i1])
@test !JuMP.has_lower_bound(node.subproblem[:i1])
@test !JuMP.has_upper_bound(node.subproblem[:i1])

@test JuMP.is_integer(node.subproblem[:i2])
@test JuMP.upper_bound(node.subproblem[:i2]) == 6.2
@test !JuMP.has_lower_bound(node.subproblem[:i2])

@test JuMP.is_integer(node.subproblem[:i3])
@test JuMP.lower_bound(node.subproblem[:i3]) == -8
@test JuMP.upper_bound(node.subproblem[:i3]) == 2
end
end