peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/optimize
/tests
/test_linprog.py
""" | |
Unit test for Linear Programming | |
""" | |
import sys | |
import platform | |
import numpy as np | |
from numpy.testing import (assert_, assert_allclose, assert_equal, | |
assert_array_less, assert_warns, suppress_warnings) | |
from pytest import raises as assert_raises | |
from scipy.optimize import linprog, OptimizeWarning | |
from scipy.optimize._numdiff import approx_derivative | |
from scipy.sparse.linalg import MatrixRankWarning | |
from scipy.linalg import LinAlgWarning | |
from scipy._lib._util import VisibleDeprecationWarning | |
import scipy.sparse | |
import pytest | |
has_umfpack = True | |
try: | |
from scikits.umfpack import UmfpackWarning | |
except ImportError: | |
has_umfpack = False | |
has_cholmod = True | |
try: | |
import sksparse # noqa: F401 | |
from sksparse.cholmod import cholesky as cholmod # noqa: F401 | |
except ImportError: | |
has_cholmod = False | |
def _assert_iteration_limit_reached(res, maxiter): | |
assert_(not res.success, "Incorrectly reported success") | |
assert_(res.success < maxiter, "Incorrectly reported number of iterations") | |
assert_equal(res.status, 1, "Failed to report iteration limit reached") | |
def _assert_infeasible(res): | |
# res: linprog result object | |
assert_(not res.success, "incorrectly reported success") | |
assert_equal(res.status, 2, "failed to report infeasible status") | |
def _assert_unbounded(res): | |
# res: linprog result object | |
assert_(not res.success, "incorrectly reported success") | |
assert_equal(res.status, 3, "failed to report unbounded status") | |
def _assert_unable_to_find_basic_feasible_sol(res): | |
# res: linprog result object | |
# The status may be either 2 or 4 depending on why the feasible solution | |
# could not be found. If the underlying problem is expected to not have a | |
# feasible solution, _assert_infeasible should be used. | |
assert_(not res.success, "incorrectly reported success") | |
assert_(res.status in (2, 4), "failed to report optimization failure") | |
def _assert_success(res, desired_fun=None, desired_x=None, | |
rtol=1e-8, atol=1e-8): | |
# res: linprog result object | |
# desired_fun: desired objective function value or None | |
# desired_x: desired solution or None | |
if not res.success: | |
msg = f"linprog status {res.status}, message: {res.message}" | |
raise AssertionError(msg) | |
assert_equal(res.status, 0) | |
if desired_fun is not None: | |
assert_allclose(res.fun, desired_fun, | |
err_msg="converged to an unexpected objective value", | |
rtol=rtol, atol=atol) | |
if desired_x is not None: | |
assert_allclose(res.x, desired_x, | |
err_msg="converged to an unexpected solution", | |
rtol=rtol, atol=atol) | |
def magic_square(n): | |
""" | |
Generates a linear program for which integer solutions represent an | |
n x n magic square; binary decision variables represent the presence | |
(or absence) of an integer 1 to n^2 in each position of the square. | |
""" | |
np.random.seed(0) | |
M = n * (n**2 + 1) / 2 | |
numbers = np.arange(n**4) // n**2 + 1 | |
numbers = numbers.reshape(n**2, n, n) | |
zeros = np.zeros((n**2, n, n)) | |
A_list = [] | |
b_list = [] | |
# Rule 1: use every number exactly once | |
for i in range(n**2): | |
A_row = zeros.copy() | |
A_row[i, :, :] = 1 | |
A_list.append(A_row.flatten()) | |
b_list.append(1) | |
# Rule 2: Only one number per square | |
for i in range(n): | |
for j in range(n): | |
A_row = zeros.copy() | |
A_row[:, i, j] = 1 | |
A_list.append(A_row.flatten()) | |
b_list.append(1) | |
# Rule 3: sum of rows is M | |
for i in range(n): | |
A_row = zeros.copy() | |
A_row[:, i, :] = numbers[:, i, :] | |
A_list.append(A_row.flatten()) | |
b_list.append(M) | |
# Rule 4: sum of columns is M | |
for i in range(n): | |
A_row = zeros.copy() | |
A_row[:, :, i] = numbers[:, :, i] | |
A_list.append(A_row.flatten()) | |
b_list.append(M) | |
# Rule 5: sum of diagonals is M | |
A_row = zeros.copy() | |
A_row[:, range(n), range(n)] = numbers[:, range(n), range(n)] | |
A_list.append(A_row.flatten()) | |
b_list.append(M) | |
A_row = zeros.copy() | |
A_row[:, range(n), range(-1, -n - 1, -1)] = \ | |
numbers[:, range(n), range(-1, -n - 1, -1)] | |
A_list.append(A_row.flatten()) | |
b_list.append(M) | |
A = np.array(np.vstack(A_list), dtype=float) | |
b = np.array(b_list, dtype=float) | |
c = np.random.rand(A.shape[1]) | |
return A, b, c, numbers, M | |
def lpgen_2d(m, n): | |
""" -> A b c LP test: m*n vars, m+n constraints | |
row sums == n/m, col sums == 1 | |
https://gist.github.com/denis-bz/8647461 | |
""" | |
np.random.seed(0) | |
c = - np.random.exponential(size=(m, n)) | |
Arow = np.zeros((m, m * n)) | |
brow = np.zeros(m) | |
for j in range(m): | |
j1 = j + 1 | |
Arow[j, j * n:j1 * n] = 1 | |
brow[j] = n / m | |
Acol = np.zeros((n, m * n)) | |
bcol = np.zeros(n) | |
for j in range(n): | |
j1 = j + 1 | |
Acol[j, j::n] = 1 | |
bcol[j] = 1 | |
A = np.vstack((Arow, Acol)) | |
b = np.hstack((brow, bcol)) | |
return A, b, c.ravel() | |
def very_random_gen(seed=0): | |
np.random.seed(seed) | |
m_eq, m_ub, n = 10, 20, 50 | |
c = np.random.rand(n)-0.5 | |
A_ub = np.random.rand(m_ub, n)-0.5 | |
b_ub = np.random.rand(m_ub)-0.5 | |
A_eq = np.random.rand(m_eq, n)-0.5 | |
b_eq = np.random.rand(m_eq)-0.5 | |
lb = -np.random.rand(n) | |
ub = np.random.rand(n) | |
lb[lb < -np.random.rand()] = -np.inf | |
ub[ub > np.random.rand()] = np.inf | |
bounds = np.vstack((lb, ub)).T | |
return c, A_ub, b_ub, A_eq, b_eq, bounds | |
def nontrivial_problem(): | |
c = [-1, 8, 4, -6] | |
A_ub = [[-7, -7, 6, 9], | |
[1, -1, -3, 0], | |
[10, -10, -7, 7], | |
[6, -1, 3, 4]] | |
b_ub = [-3, 6, -6, 6] | |
A_eq = [[-10, 1, 1, -8]] | |
b_eq = [-4] | |
x_star = [101 / 1391, 1462 / 1391, 0, 752 / 1391] | |
f_star = 7083 / 1391 | |
return c, A_ub, b_ub, A_eq, b_eq, x_star, f_star | |
def l1_regression_prob(seed=0, m=8, d=9, n=100): | |
''' | |
Training data is {(x0, y0), (x1, y2), ..., (xn-1, yn-1)} | |
x in R^d | |
y in R | |
n: number of training samples | |
d: dimension of x, i.e. x in R^d | |
phi: feature map R^d -> R^m | |
m: dimension of feature space | |
''' | |
np.random.seed(seed) | |
phi = np.random.normal(0, 1, size=(m, d)) # random feature mapping | |
w_true = np.random.randn(m) | |
x = np.random.normal(0, 1, size=(d, n)) # features | |
y = w_true @ (phi @ x) + np.random.normal(0, 1e-5, size=n) # measurements | |
# construct the problem | |
c = np.ones(m+n) | |
c[:m] = 0 | |
A_ub = scipy.sparse.lil_matrix((2*n, n+m)) | |
idx = 0 | |
for ii in range(n): | |
A_ub[idx, :m] = phi @ x[:, ii] | |
A_ub[idx, m+ii] = -1 | |
A_ub[idx+1, :m] = -1*phi @ x[:, ii] | |
A_ub[idx+1, m+ii] = -1 | |
idx += 2 | |
A_ub = A_ub.tocsc() | |
b_ub = np.zeros(2*n) | |
b_ub[0::2] = y | |
b_ub[1::2] = -y | |
bnds = [(None, None)]*m + [(0, None)]*n | |
return c, A_ub, b_ub, bnds | |
def generic_callback_test(self): | |
# Check that callback is as advertised | |
last_cb = {} | |
def cb(res): | |
message = res.pop('message') | |
complete = res.pop('complete') | |
assert_(res.pop('phase') in (1, 2)) | |
assert_(res.pop('status') in range(4)) | |
assert_(isinstance(res.pop('nit'), int)) | |
assert_(isinstance(complete, bool)) | |
assert_(isinstance(message, str)) | |
last_cb['x'] = res['x'] | |
last_cb['fun'] = res['fun'] | |
last_cb['slack'] = res['slack'] | |
last_cb['con'] = res['con'] | |
c = np.array([-3, -2]) | |
A_ub = [[2, 1], [1, 1], [1, 0]] | |
b_ub = [10, 8, 4] | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, callback=cb, method=self.method) | |
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6]) | |
assert_allclose(last_cb['fun'], res['fun']) | |
assert_allclose(last_cb['x'], res['x']) | |
assert_allclose(last_cb['con'], res['con']) | |
assert_allclose(last_cb['slack'], res['slack']) | |
def test_unknown_solvers_and_options(): | |
c = np.array([-3, -2]) | |
A_ub = [[2, 1], [1, 1], [1, 0]] | |
b_ub = [10, 8, 4] | |
assert_raises(ValueError, linprog, | |
c, A_ub=A_ub, b_ub=b_ub, method='ekki-ekki-ekki') | |
assert_raises(ValueError, linprog, | |
c, A_ub=A_ub, b_ub=b_ub, method='highs-ekki') | |
message = "Unrecognized options detected: {'rr_method': 'ekki-ekki-ekki'}" | |
with pytest.warns(OptimizeWarning, match=message): | |
linprog(c, A_ub=A_ub, b_ub=b_ub, | |
options={"rr_method": 'ekki-ekki-ekki'}) | |
def test_choose_solver(): | |
# 'highs' chooses 'dual' | |
c = np.array([-3, -2]) | |
A_ub = [[2, 1], [1, 1], [1, 0]] | |
b_ub = [10, 8, 4] | |
res = linprog(c, A_ub, b_ub, method='highs') | |
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6]) | |
def test_deprecation(): | |
with pytest.warns(DeprecationWarning): | |
linprog(1, method='interior-point') | |
with pytest.warns(DeprecationWarning): | |
linprog(1, method='revised simplex') | |
with pytest.warns(DeprecationWarning): | |
linprog(1, method='simplex') | |
def test_highs_status_message(): | |
res = linprog(1, method='highs') | |
msg = "Optimization terminated successfully. (HiGHS Status 7:" | |
assert res.status == 0 | |
assert res.message.startswith(msg) | |
A, b, c, numbers, M = magic_square(6) | |
bounds = [(0, 1)] * len(c) | |
integrality = [1] * len(c) | |
options = {"time_limit": 0.1} | |
res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs', | |
options=options, integrality=integrality) | |
msg = "Time limit reached. (HiGHS Status 13:" | |
assert res.status == 1 | |
assert res.message.startswith(msg) | |
options = {"maxiter": 10} | |
res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs-ds', | |
options=options) | |
msg = "Iteration limit reached. (HiGHS Status 14:" | |
assert res.status == 1 | |
assert res.message.startswith(msg) | |
res = linprog(1, bounds=(1, -1), method='highs') | |
msg = "The problem is infeasible. (HiGHS Status 8:" | |
assert res.status == 2 | |
assert res.message.startswith(msg) | |
res = linprog(-1, method='highs') | |
msg = "The problem is unbounded. (HiGHS Status 10:" | |
assert res.status == 3 | |
assert res.message.startswith(msg) | |
from scipy.optimize._linprog_highs import _highs_to_scipy_status_message | |
status, message = _highs_to_scipy_status_message(58, "Hello!") | |
msg = "The HiGHS status code was not recognized. (HiGHS Status 58:" | |
assert status == 4 | |
assert message.startswith(msg) | |
status, message = _highs_to_scipy_status_message(None, None) | |
msg = "HiGHS did not provide a status code. (HiGHS Status None: None)" | |
assert status == 4 | |
assert message.startswith(msg) | |
def test_bug_17380(): | |
linprog([1, 1], A_ub=[[-1, 0]], b_ub=[-2.5], integrality=[1, 1]) | |
A_ub = None | |
b_ub = None | |
A_eq = None | |
b_eq = None | |
bounds = None | |
################ | |
# Common Tests # | |
################ | |
class LinprogCommonTests: | |
""" | |
Base class for `linprog` tests. Generally, each test will be performed | |
once for every derived class of LinprogCommonTests, each of which will | |
typically change self.options and/or self.method. Effectively, these tests | |
are run for many combination of method (simplex, revised simplex, and | |
interior point) and options (such as pivoting rule or sparse treatment). | |
""" | |
################## | |
# Targeted Tests # | |
################## | |
def test_callback(self): | |
generic_callback_test(self) | |
def test_disp(self): | |
# test that display option does not break anything. | |
A, b, c = lpgen_2d(20, 20) | |
res = linprog(c, A_ub=A, b_ub=b, method=self.method, | |
options={"disp": True}) | |
_assert_success(res, desired_fun=-64.049494229) | |
def test_docstring_example(self): | |
# Example from linprog docstring. | |
c = [-1, 4] | |
A = [[-3, 1], [1, 2]] | |
b = [6, 4] | |
x0_bounds = (None, None) | |
x1_bounds = (-3, None) | |
res = linprog(c, A_ub=A, b_ub=b, bounds=(x0_bounds, x1_bounds), | |
options=self.options, method=self.method) | |
_assert_success(res, desired_fun=-22) | |
def test_type_error(self): | |
# (presumably) checks that linprog recognizes type errors | |
# This is tested more carefully in test__linprog_clean_inputs.py | |
c = [1] | |
A_eq = [[1]] | |
b_eq = "hello" | |
assert_raises(TypeError, linprog, | |
c, A_eq=A_eq, b_eq=b_eq, | |
method=self.method, options=self.options) | |
def test_aliasing_b_ub(self): | |
# (presumably) checks that linprog does not modify b_ub | |
# This is tested more carefully in test__linprog_clean_inputs.py | |
c = np.array([1.0]) | |
A_ub = np.array([[1.0]]) | |
b_ub_orig = np.array([3.0]) | |
b_ub = b_ub_orig.copy() | |
bounds = (-4.0, np.inf) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-4, desired_x=[-4]) | |
assert_allclose(b_ub_orig, b_ub) | |
def test_aliasing_b_eq(self): | |
# (presumably) checks that linprog does not modify b_eq | |
# This is tested more carefully in test__linprog_clean_inputs.py | |
c = np.array([1.0]) | |
A_eq = np.array([[1.0]]) | |
b_eq_orig = np.array([3.0]) | |
b_eq = b_eq_orig.copy() | |
bounds = (-4.0, np.inf) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=3, desired_x=[3]) | |
assert_allclose(b_eq_orig, b_eq) | |
def test_non_ndarray_args(self): | |
# (presumably) checks that linprog accepts list in place of arrays | |
# This is tested more carefully in test__linprog_clean_inputs.py | |
c = [1.0] | |
A_ub = [[1.0]] | |
b_ub = [3.0] | |
A_eq = [[1.0]] | |
b_eq = [2.0] | |
bounds = (-1.0, 10.0) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=2, desired_x=[2]) | |
def test_unknown_options(self): | |
c = np.array([-3, -2]) | |
A_ub = [[2, 1], [1, 1], [1, 0]] | |
b_ub = [10, 8, 4] | |
def f(c, A_ub=None, b_ub=None, A_eq=None, | |
b_eq=None, bounds=None, options={}): | |
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=options) | |
o = {key: self.options[key] for key in self.options} | |
o['spam'] = 42 | |
assert_warns(OptimizeWarning, f, | |
c, A_ub=A_ub, b_ub=b_ub, options=o) | |
def test_integrality_without_highs(self): | |
# ensure that using `integrality` parameter without `method='highs'` | |
# raises warning and produces correct solution to relaxed problem | |
# source: https://en.wikipedia.org/wiki/Integer_programming#Example | |
A_ub = np.array([[-1, 1], [3, 2], [2, 3]]) | |
b_ub = np.array([1, 12, 12]) | |
c = -np.array([0, 1]) | |
bounds = [(0, np.inf)] * len(c) | |
integrality = [1] * len(c) | |
with np.testing.assert_warns(OptimizeWarning): | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds, | |
method=self.method, integrality=integrality) | |
np.testing.assert_allclose(res.x, [1.8, 2.8]) | |
np.testing.assert_allclose(res.fun, -2.8) | |
def test_invalid_inputs(self): | |
def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None): | |
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
# Test ill-formatted bounds | |
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4)]) | |
with np.testing.suppress_warnings() as sup: | |
sup.filter(VisibleDeprecationWarning, "Creating an ndarray from ragged") | |
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4), (3, 4, 5)]) | |
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, -2), (1, 2)]) | |
# Test other invalid inputs | |
assert_raises(ValueError, f, [1, 2], A_ub=[[1, 2]], b_ub=[1, 2]) | |
assert_raises(ValueError, f, [1, 2], A_ub=[[1]], b_ub=[1]) | |
assert_raises(ValueError, f, [1, 2], A_eq=[[1, 2]], b_eq=[1, 2]) | |
assert_raises(ValueError, f, [1, 2], A_eq=[[1]], b_eq=[1]) | |
assert_raises(ValueError, f, [1, 2], A_eq=[1], b_eq=1) | |
# this last check doesn't make sense for sparse presolve | |
if ("_sparse_presolve" in self.options and | |
self.options["_sparse_presolve"]): | |
return | |
# there aren't 3-D sparse matrices | |
assert_raises(ValueError, f, [1, 2], A_ub=np.zeros((1, 1, 3)), b_eq=1) | |
def test_sparse_constraints(self): | |
# gh-13559: improve error message for sparse inputs when unsupported | |
def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None): | |
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
np.random.seed(0) | |
m = 100 | |
n = 150 | |
A_eq = scipy.sparse.rand(m, n, 0.5) | |
x_valid = np.random.randn(n) | |
c = np.random.randn(n) | |
ub = x_valid + np.random.rand(n) | |
lb = x_valid - np.random.rand(n) | |
bounds = np.column_stack((lb, ub)) | |
b_eq = A_eq * x_valid | |
if self.method in {'simplex', 'revised simplex'}: | |
# simplex and revised simplex should raise error | |
with assert_raises(ValueError, match=f"Method '{self.method}' " | |
"does not support sparse constraint matrices."): | |
linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds, | |
method=self.method, options=self.options) | |
else: | |
# other methods should succeed | |
options = {**self.options} | |
if self.method in {'interior-point'}: | |
options['sparse'] = True | |
res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds, | |
method=self.method, options=options) | |
assert res.success | |
def test_maxiter(self): | |
# test iteration limit w/ Enzo example | |
c = [4, 8, 3, 0, 0, 0] | |
A = [ | |
[2, 5, 3, -1, 0, 0], | |
[3, 2.5, 8, 0, -1, 0], | |
[8, 10, 4, 0, 0, -1]] | |
b = [185, 155, 600] | |
np.random.seed(0) | |
maxiter = 3 | |
res = linprog(c, A_eq=A, b_eq=b, method=self.method, | |
options={"maxiter": maxiter}) | |
_assert_iteration_limit_reached(res, maxiter) | |
assert_equal(res.nit, maxiter) | |
def test_bounds_fixed(self): | |
# Test fixed bounds (upper equal to lower) | |
# If presolve option True, test if solution found in presolve (i.e. | |
# number of iterations is 0). | |
do_presolve = self.options.get('presolve', True) | |
res = linprog([1], bounds=(1, 1), | |
method=self.method, options=self.options) | |
_assert_success(res, 1, 1) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog([1, 2, 3], bounds=[(5, 5), (-1, -1), (3, 3)], | |
method=self.method, options=self.options) | |
_assert_success(res, 12, [5, -1, 3]) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog([1, 1], bounds=[(1, 1), (1, 3)], | |
method=self.method, options=self.options) | |
_assert_success(res, 2, [1, 1]) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog([1, 1, 2], A_eq=[[1, 0, 0], [0, 1, 0]], b_eq=[1, 7], | |
bounds=[(-5, 5), (0, 10), (3.5, 3.5)], | |
method=self.method, options=self.options) | |
_assert_success(res, 15, [1, 7, 3.5]) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
def test_bounds_infeasible(self): | |
# Test ill-valued bounds (upper less than lower) | |
# If presolve option True, test if solution found in presolve (i.e. | |
# number of iterations is 0). | |
do_presolve = self.options.get('presolve', True) | |
res = linprog([1], bounds=(1, -2), method=self.method, options=self.options) | |
_assert_infeasible(res) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog([1], bounds=[(1, -2)], method=self.method, options=self.options) | |
_assert_infeasible(res) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog([1, 2, 3], bounds=[(5, 0), (1, 2), (3, 4)], | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
def test_bounds_infeasible_2(self): | |
# Test ill-valued bounds (lower inf, upper -inf) | |
# If presolve option True, test if solution found in presolve (i.e. | |
# number of iterations is 0). | |
# For the simplex method, the cases do not result in an | |
# infeasible status, but in a RuntimeWarning. This is a | |
# consequence of having _presolve() take care of feasibility | |
# checks. See issue gh-11618. | |
do_presolve = self.options.get('presolve', True) | |
simplex_without_presolve = not do_presolve and self.method == 'simplex' | |
c = [1, 2, 3] | |
bounds_1 = [(1, 2), (np.inf, np.inf), (3, 4)] | |
bounds_2 = [(1, 2), (-np.inf, -np.inf), (3, 4)] | |
if simplex_without_presolve: | |
def g(c, bounds): | |
res = linprog(c, bounds=bounds, | |
method=self.method, options=self.options) | |
return res | |
with pytest.warns(RuntimeWarning): | |
with pytest.raises(IndexError): | |
g(c, bounds=bounds_1) | |
with pytest.warns(RuntimeWarning): | |
with pytest.raises(IndexError): | |
g(c, bounds=bounds_2) | |
else: | |
res = linprog(c=c, bounds=bounds_1, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
res = linprog(c=c, bounds=bounds_2, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
if do_presolve: | |
assert_equal(res.nit, 0) | |
def test_empty_constraint_1(self): | |
c = [-1, -2] | |
res = linprog(c, method=self.method, options=self.options) | |
_assert_unbounded(res) | |
def test_empty_constraint_2(self): | |
c = [-1, 1, -1, 1] | |
bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)] | |
res = linprog(c, bounds=bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
# Unboundedness detected in presolve requires no iterations | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_empty_constraint_3(self): | |
c = [1, -1, 1, -1] | |
bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)] | |
res = linprog(c, bounds=bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[0, 0, -1, 1], desired_fun=-2) | |
def test_inequality_constraints(self): | |
# Minimize linear function subject to linear inequality constraints. | |
# http://www.dam.brown.edu/people/huiwang/classes/am121/Archive/simplex_121_c.pdf | |
c = np.array([3, 2]) * -1 # maximize | |
A_ub = [[2, 1], | |
[1, 1], | |
[1, 0]] | |
b_ub = [10, 8, 4] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-18, desired_x=[2, 6]) | |
def test_inequality_constraints2(self): | |
# Minimize linear function subject to linear inequality constraints. | |
# http://www.statslab.cam.ac.uk/~ff271/teaching/opt/notes/notes8.pdf | |
# (dead link) | |
c = [6, 3] | |
A_ub = [[0, 3], | |
[-1, -1], | |
[-2, 1]] | |
b_ub = [2, -1, -1] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=5, desired_x=[2 / 3, 1 / 3]) | |
def test_bounds_simple(self): | |
c = [1, 2] | |
bounds = (1, 2) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[1, 1]) | |
bounds = [(1, 2), (1, 2)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[1, 1]) | |
def test_bounded_below_only_1(self): | |
c = np.array([1.0]) | |
A_eq = np.array([[1.0]]) | |
b_eq = np.array([3.0]) | |
bounds = (1.0, None) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=3, desired_x=[3]) | |
def test_bounded_below_only_2(self): | |
c = np.ones(3) | |
A_eq = np.eye(3) | |
b_eq = np.array([1, 2, 3]) | |
bounds = (0.5, np.inf) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq)) | |
def test_bounded_above_only_1(self): | |
c = np.array([1.0]) | |
A_eq = np.array([[1.0]]) | |
b_eq = np.array([3.0]) | |
bounds = (None, 10.0) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=3, desired_x=[3]) | |
def test_bounded_above_only_2(self): | |
c = np.ones(3) | |
A_eq = np.eye(3) | |
b_eq = np.array([1, 2, 3]) | |
bounds = (-np.inf, 4) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq)) | |
def test_bounds_infinity(self): | |
c = np.ones(3) | |
A_eq = np.eye(3) | |
b_eq = np.array([1, 2, 3]) | |
bounds = (-np.inf, np.inf) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq)) | |
def test_bounds_mixed(self): | |
# Problem has one unbounded variable and | |
# another with a negative lower bound. | |
c = np.array([-1, 4]) * -1 # maximize | |
A_ub = np.array([[-3, 1], | |
[1, 2]], dtype=np.float64) | |
b_ub = [6, 4] | |
x0_bounds = (-np.inf, np.inf) | |
x1_bounds = (-3, np.inf) | |
bounds = (x0_bounds, x1_bounds) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-80 / 7, desired_x=[-8 / 7, 18 / 7]) | |
def test_bounds_equal_but_infeasible(self): | |
c = [-4, 1] | |
A_ub = [[7, -2], [0, 1], [2, -2]] | |
b_ub = [14, 0, 3] | |
bounds = [(2, 2), (0, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
def test_bounds_equal_but_infeasible2(self): | |
c = [-4, 1] | |
A_eq = [[7, -2], [0, 1], [2, -2]] | |
b_eq = [14, 0, 3] | |
bounds = [(2, 2), (0, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
def test_bounds_equal_no_presolve(self): | |
# There was a bug when a lower and upper bound were equal but | |
# presolve was not on to eliminate the variable. The bound | |
# was being converted to an equality constraint, but the bound | |
# was not eliminated, leading to issues in postprocessing. | |
c = [1, 2] | |
A_ub = [[1, 2], [1.1, 2.2]] | |
b_ub = [4, 8] | |
bounds = [(1, 2), (2, 2)] | |
o = {key: self.options[key] for key in self.options} | |
o["presolve"] = False | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
_assert_infeasible(res) | |
def test_zero_column_1(self): | |
m, n = 3, 4 | |
np.random.seed(0) | |
c = np.random.rand(n) | |
c[1] = 1 | |
A_eq = np.random.rand(m, n) | |
A_eq[:, 1] = 0 | |
b_eq = np.random.rand(m) | |
A_ub = [[1, 0, 1, 1]] | |
b_ub = 3 | |
bounds = [(-10, 10), (-10, 10), (-10, None), (None, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-9.7087836730413404) | |
def test_zero_column_2(self): | |
if self.method in {'highs-ds', 'highs-ipm'}: | |
# See upstream issue https://github.com/ERGO-Code/HiGHS/issues/648 | |
pytest.xfail() | |
np.random.seed(0) | |
m, n = 2, 4 | |
c = np.random.rand(n) | |
c[1] = -1 | |
A_eq = np.random.rand(m, n) | |
A_eq[:, 1] = 0 | |
b_eq = np.random.rand(m) | |
A_ub = np.random.rand(m, n) | |
A_ub[:, 1] = 0 | |
b_ub = np.random.rand(m) | |
bounds = (None, None) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
# Unboundedness detected in presolve | |
if self.options.get('presolve', True) and "highs" not in self.method: | |
# HiGHS detects unboundedness or infeasibility in presolve | |
# It needs an iteration of simplex to be sure of unboundedness | |
# Other solvers report that the problem is unbounded if feasible | |
assert_equal(res.nit, 0) | |
def test_zero_row_1(self): | |
c = [1, 2, 3] | |
A_eq = [[0, 0, 0], [1, 1, 1], [0, 0, 0]] | |
b_eq = [0, 3, 0] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=3) | |
def test_zero_row_2(self): | |
A_ub = [[0, 0, 0], [1, 1, 1], [0, 0, 0]] | |
b_ub = [0, 3, 0] | |
c = [1, 2, 3] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=0) | |
def test_zero_row_3(self): | |
m, n = 2, 4 | |
c = np.random.rand(n) | |
A_eq = np.random.rand(m, n) | |
A_eq[0, :] = 0 | |
b_eq = np.random.rand(m) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
# Infeasibility detected in presolve | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_zero_row_4(self): | |
m, n = 2, 4 | |
c = np.random.rand(n) | |
A_ub = np.random.rand(m, n) | |
A_ub[0, :] = 0 | |
b_ub = -np.random.rand(m) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
# Infeasibility detected in presolve | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_singleton_row_eq_1(self): | |
c = [1, 1, 1, 2] | |
A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]] | |
b_eq = [1, 2, 2, 4] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
# Infeasibility detected in presolve | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_singleton_row_eq_2(self): | |
c = [1, 1, 1, 2] | |
A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]] | |
b_eq = [1, 2, 1, 4] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=4) | |
def test_singleton_row_ub_1(self): | |
c = [1, 1, 1, 2] | |
A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]] | |
b_ub = [1, 2, -2, 4] | |
bounds = [(None, None), (0, None), (0, None), (0, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
# Infeasibility detected in presolve | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_singleton_row_ub_2(self): | |
c = [1, 1, 1, 2] | |
A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]] | |
b_ub = [1, 2, -0.5, 4] | |
bounds = [(None, None), (0, None), (0, None), (0, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=0.5) | |
def test_infeasible(self): | |
# Test linprog response to an infeasible problem | |
c = [-1, -1] | |
A_ub = [[1, 0], | |
[0, 1], | |
[-1, -1]] | |
b_ub = [2, 2, -5] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
def test_infeasible_inequality_bounds(self): | |
c = [1] | |
A_ub = [[2]] | |
b_ub = 4 | |
bounds = (5, 6) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
# Infeasibility detected in presolve | |
if self.options.get('presolve', True): | |
assert_equal(res.nit, 0) | |
def test_unbounded(self): | |
# Test linprog response to an unbounded problem | |
c = np.array([1, 1]) * -1 # maximize | |
A_ub = [[-1, 1], | |
[-1, -1]] | |
b_ub = [-1, -2] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
def test_unbounded_below_no_presolve_corrected(self): | |
c = [1] | |
bounds = [(None, 1)] | |
o = {key: self.options[key] for key in self.options} | |
o["presolve"] = False | |
res = linprog(c=c, bounds=bounds, | |
method=self.method, | |
options=o) | |
if self.method == "revised simplex": | |
# Revised simplex has a special pathway for no constraints. | |
assert_equal(res.status, 5) | |
else: | |
_assert_unbounded(res) | |
def test_unbounded_no_nontrivial_constraints_1(self): | |
""" | |
Test whether presolve pathway for detecting unboundedness after | |
constraint elimination is working. | |
""" | |
c = np.array([0, 0, 0, 1, -1, -1]) | |
A_ub = np.array([[1, 0, 0, 0, 0, 0], | |
[0, 1, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, -1]]) | |
b_ub = np.array([2, -2, 0]) | |
bounds = [(None, None), (None, None), (None, None), | |
(-1, 1), (-1, 1), (0, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
if not self.method.lower().startswith("highs"): | |
assert_equal(res.x[-1], np.inf) | |
assert_equal(res.message[:36], | |
"The problem is (trivially) unbounded") | |
def test_unbounded_no_nontrivial_constraints_2(self): | |
""" | |
Test whether presolve pathway for detecting unboundedness after | |
constraint elimination is working. | |
""" | |
c = np.array([0, 0, 0, 1, -1, 1]) | |
A_ub = np.array([[1, 0, 0, 0, 0, 0], | |
[0, 1, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 1]]) | |
b_ub = np.array([2, -2, 0]) | |
bounds = [(None, None), (None, None), (None, None), | |
(-1, 1), (-1, 1), (None, 0)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
if not self.method.lower().startswith("highs"): | |
assert_equal(res.x[-1], -np.inf) | |
assert_equal(res.message[:36], | |
"The problem is (trivially) unbounded") | |
def test_cyclic_recovery(self): | |
# Test linprogs recovery from cycling using the Klee-Minty problem | |
# Klee-Minty https://www.math.ubc.ca/~israel/m340/kleemin3.pdf | |
c = np.array([100, 10, 1]) * -1 # maximize | |
A_ub = [[1, 0, 0], | |
[20, 1, 0], | |
[200, 20, 1]] | |
b_ub = [1, 100, 10000] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[0, 0, 10000], atol=5e-6, rtol=1e-7) | |
def test_cyclic_bland(self): | |
# Test the effect of Bland's rule on a cycling problem | |
c = np.array([-10, 57, 9, 24.]) | |
A_ub = np.array([[0.5, -5.5, -2.5, 9], | |
[0.5, -1.5, -0.5, 1], | |
[1, 0, 0, 0]]) | |
b_ub = [0, 0, 1] | |
# copy the existing options dictionary but change maxiter | |
maxiter = 100 | |
o = {key: val for key, val in self.options.items()} | |
o['maxiter'] = maxiter | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
if self.method == 'simplex' and not self.options.get('bland'): | |
# simplex cycles without Bland's rule | |
_assert_iteration_limit_reached(res, o['maxiter']) | |
else: | |
# other methods, including simplex with Bland's rule, succeed | |
_assert_success(res, desired_x=[1, 0, 1, 0]) | |
# note that revised simplex skips this test because it may or may not | |
# cycle depending on the initial basis | |
def test_remove_redundancy_infeasibility(self): | |
# mostly a test of redundancy removal, which is carefully tested in | |
# test__remove_redundancy.py | |
m, n = 10, 10 | |
c = np.random.rand(n) | |
A_eq = np.random.rand(m, n) | |
b_eq = np.random.rand(m) | |
A_eq[-1, :] = 2 * A_eq[-2, :] | |
b_eq[-1] *= -1 | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
################# | |
# General Tests # | |
################# | |
def test_nontrivial_problem(self): | |
# Problem involves all constraint types, | |
# negative resource limits, and rounding issues. | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
def test_lpgen_problem(self): | |
# Test linprog with a rather large problem (400 variables, | |
# 40 constraints) generated by https://gist.github.com/denis-bz/8647461 | |
A_ub, b_ub, c = lpgen_2d(20, 20) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'") | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-64.049494229) | |
def test_network_flow(self): | |
# A network flow problem with supply and demand at nodes | |
# and with costs along directed edges. | |
# https://www.princeton.edu/~rvdb/542/lectures/lec10.pdf | |
c = [2, 4, 9, 11, 4, 3, 8, 7, 0, 15, 16, 18] | |
n, p = -1, 1 | |
A_eq = [ | |
[n, n, p, 0, p, 0, 0, 0, 0, p, 0, 0], | |
[p, 0, 0, p, 0, p, 0, 0, 0, 0, 0, 0], | |
[0, 0, n, n, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, p, p, 0, 0, p, 0], | |
[0, 0, 0, 0, n, n, n, 0, p, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, n, n, 0, 0, p], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, n, n, n]] | |
b_eq = [0, 19, -16, 33, 0, 0, -36] | |
with suppress_warnings() as sup: | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=755, atol=1e-6, rtol=1e-7) | |
def test_network_flow_limited_capacity(self): | |
# A network flow problem with supply and demand at nodes | |
# and with costs and capacities along directed edges. | |
# http://blog.sommer-forst.de/2013/04/10/ | |
c = [2, 2, 1, 3, 1] | |
bounds = [ | |
[0, 4], | |
[0, 2], | |
[0, 2], | |
[0, 3], | |
[0, 5]] | |
n, p = -1, 1 | |
A_eq = [ | |
[n, n, 0, 0, 0], | |
[p, 0, n, n, 0], | |
[0, p, p, 0, n], | |
[0, 0, 0, p, p]] | |
b_eq = [-4, 0, 0, 4] | |
with suppress_warnings() as sup: | |
# this is an UmfpackWarning but I had trouble importing it | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...") | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=14) | |
def test_simplex_algorithm_wikipedia_example(self): | |
# https://en.wikipedia.org/wiki/Simplex_algorithm#Example | |
c = [-2, -3, -4] | |
A_ub = [ | |
[3, 2, 1], | |
[2, 5, 3]] | |
b_ub = [10, 15] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-20) | |
def test_enzo_example(self): | |
# https://github.com/scipy/scipy/issues/1779 lp2.py | |
# | |
# Translated from Octave code at: | |
# http://www.ecs.shimane-u.ac.jp/~kyoshida/lpeng.htm | |
# and placed under MIT licence by Enzo Michelangeli | |
# with permission explicitly granted by the original author, | |
# Prof. Kazunobu Yoshida | |
c = [4, 8, 3, 0, 0, 0] | |
A_eq = [ | |
[2, 5, 3, -1, 0, 0], | |
[3, 2.5, 8, 0, -1, 0], | |
[8, 10, 4, 0, 0, -1]] | |
b_eq = [185, 155, 600] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=317.5, | |
desired_x=[66.25, 0, 17.5, 0, 183.75, 0], | |
atol=6e-6, rtol=1e-7) | |
def test_enzo_example_b(self): | |
# rescued from https://github.com/scipy/scipy/pull/218 | |
c = [2.8, 6.3, 10.8, -2.8, -6.3, -10.8] | |
A_eq = [[-1, -1, -1, 0, 0, 0], | |
[0, 0, 0, 1, 1, 1], | |
[1, 0, 0, 1, 0, 0], | |
[0, 1, 0, 0, 1, 0], | |
[0, 0, 1, 0, 0, 1]] | |
b_eq = [-0.5, 0.4, 0.3, 0.3, 0.3] | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-1.77, | |
desired_x=[0.3, 0.2, 0.0, 0.0, 0.1, 0.3]) | |
def test_enzo_example_c_with_degeneracy(self): | |
# rescued from https://github.com/scipy/scipy/pull/218 | |
m = 20 | |
c = -np.ones(m) | |
tmp = 2 * np.pi * np.arange(1, m + 1) / (m + 1) | |
A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp))) | |
b_eq = [0, 0] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=0, desired_x=np.zeros(m)) | |
def test_enzo_example_c_with_unboundedness(self): | |
# rescued from https://github.com/scipy/scipy/pull/218 | |
m = 50 | |
c = -np.ones(m) | |
tmp = 2 * np.pi * np.arange(m) / (m + 1) | |
# This test relies on `cos(0) -1 == sin(0)`, so ensure that's true | |
# (SIMD code or -ffast-math may cause spurious failures otherwise) | |
row0 = np.cos(tmp) - 1 | |
row0[0] = 0.0 | |
row1 = np.sin(tmp) | |
row1[0] = 0.0 | |
A_eq = np.vstack((row0, row1)) | |
b_eq = [0, 0] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_unbounded(res) | |
def test_enzo_example_c_with_infeasibility(self): | |
# rescued from https://github.com/scipy/scipy/pull/218 | |
m = 50 | |
c = -np.ones(m) | |
tmp = 2 * np.pi * np.arange(m) / (m + 1) | |
A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp))) | |
b_eq = [1, 1] | |
o = {key: self.options[key] for key in self.options} | |
o["presolve"] = False | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
_assert_infeasible(res) | |
def test_basic_artificial_vars(self): | |
# Problem is chosen to test two phase simplex methods when at the end | |
# of phase 1 some artificial variables remain in the basis. | |
# Also, for `method='simplex'`, the row in the tableau corresponding | |
# with the artificial variables is not all zero. | |
c = np.array([-0.1, -0.07, 0.004, 0.004, 0.004, 0.004]) | |
A_ub = np.array([[1.0, 0, 0, 0, 0, 0], [-1.0, 0, 0, 0, 0, 0], | |
[0, -1.0, 0, 0, 0, 0], [0, 1.0, 0, 0, 0, 0], | |
[1.0, 1.0, 0, 0, 0, 0]]) | |
b_ub = np.array([3.0, 3.0, 3.0, 3.0, 20.0]) | |
A_eq = np.array([[1.0, 0, -1, 1, -1, 1], [0, -1.0, -1, 1, -1, 1]]) | |
b_eq = np.array([0, 0]) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=0, desired_x=np.zeros_like(c), | |
atol=2e-6) | |
def test_optimize_result(self): | |
# check all fields in OptimizeResult | |
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(0) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, options=self.options) | |
assert_(res.success) | |
assert_(res.nit) | |
assert_(not res.status) | |
if 'highs' not in self.method: | |
# HiGHS status/message tested separately | |
assert_(res.message == "Optimization terminated successfully.") | |
assert_allclose(c @ res.x, res.fun) | |
assert_allclose(b_eq - A_eq @ res.x, res.con, atol=1e-11) | |
assert_allclose(b_ub - A_ub @ res.x, res.slack, atol=1e-11) | |
for key in ['eqlin', 'ineqlin', 'lower', 'upper']: | |
if key in res.keys(): | |
assert isinstance(res[key]['marginals'], np.ndarray) | |
assert isinstance(res[key]['residual'], np.ndarray) | |
################# | |
# Bug Fix Tests # | |
################# | |
def test_bug_5400(self): | |
# https://github.com/scipy/scipy/issues/5400 | |
bounds = [ | |
(0, None), | |
(0, 100), (0, 100), (0, 100), (0, 100), (0, 100), (0, 100), | |
(0, 900), (0, 900), (0, 900), (0, 900), (0, 900), (0, 900), | |
(0, None), (0, None), (0, None), (0, None), (0, None), (0, None)] | |
f = 1 / 9 | |
g = -1e4 | |
h = -3.1 | |
A_ub = np.array([ | |
[1, -2.99, 0, 0, -3, 0, 0, 0, -1, -1, 0, -1, -1, 1, 1, 0, 0, 0, 0], | |
[1, 0, -2.9, h, 0, -3, 0, -1, 0, 0, -1, 0, -1, 0, 0, 1, 1, 0, 0], | |
[1, 0, 0, h, 0, 0, -3, -1, -1, 0, -1, -1, 0, 0, 0, 0, 0, 1, 1], | |
[0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1], | |
[0, 1.99, -1, -1, 0, 0, 0, -1, f, f, 0, 0, 0, g, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0, 2, -1, -1, 0, 0, 0, -1, f, f, 0, g, 0, 0, 0, 0], | |
[0, -1, 1.9, 2.1, 0, 0, 0, f, -1, -1, 0, 0, 0, 0, 0, g, 0, 0, 0], | |
[0, 0, 0, 0, -1, 2, -1, 0, 0, 0, f, -1, f, 0, 0, 0, g, 0, 0], | |
[0, -1, -1, 2.1, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, 0, 0, g, 0], | |
[0, 0, 0, 0, -1, -1, 2, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, g]]) | |
b_ub = np.array([ | |
0.0, 0, 0, 100, 100, 100, 100, 100, 100, 900, 900, 900, 900, 900, | |
900, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]) | |
c = np.array([-1.0, 1, 1, 1, 1, 1, 1, 1, 1, | |
1, 1, 1, 1, 0, 0, 0, 0, 0, 0]) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, | |
"Solving system with option 'sym_pos'") | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=-106.63507541835018) | |
def test_bug_6139(self): | |
# linprog(method='simplex') fails to find a basic feasible solution | |
# if phase 1 pseudo-objective function is outside the provided tol. | |
# https://github.com/scipy/scipy/issues/6139 | |
# Note: This is not strictly a bug as the default tolerance determines | |
# if a result is "close enough" to zero and should not be expected | |
# to work for all cases. | |
c = np.array([1, 1, 1]) | |
A_eq = np.array([[1., 0., 0.], [-1000., 0., - 1000.]]) | |
b_eq = np.array([5.00000000e+00, -1.00000000e+04]) | |
A_ub = -np.array([[0., 1000000., 1010000.]]) | |
b_ub = -np.array([10000000.]) | |
bounds = (None, None) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=14.95, | |
desired_x=np.array([5, 4.95, 5])) | |
def test_bug_6690(self): | |
# linprog simplex used to violate bound constraint despite reporting | |
# success. | |
# https://github.com/scipy/scipy/issues/6690 | |
A_eq = np.array([[0, 0, 0, 0.93, 0, 0.65, 0, 0, 0.83, 0]]) | |
b_eq = np.array([0.9626]) | |
A_ub = np.array([ | |
[0, 0, 0, 1.18, 0, 0, 0, -0.2, 0, -0.22], | |
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0], | |
[0, 0, 0, 0.43, 0, 0, 0, 0, 0, 0], | |
[0, -1.22, -0.25, 0, 0, 0, -2.06, 0, 0, 1.37], | |
[0, 0, 0, 0, 0, 0, 0, -0.25, 0, 0] | |
]) | |
b_ub = np.array([0.615, 0, 0.172, -0.869, -0.022]) | |
bounds = np.array([ | |
[-0.84, -0.97, 0.34, 0.4, -0.33, -0.74, 0.47, 0.09, -1.45, -0.73], | |
[0.37, 0.02, 2.86, 0.86, 1.18, 0.5, 1.76, 0.17, 0.32, -0.15] | |
]).T | |
c = np.array([ | |
-1.64, 0.7, 1.8, -1.06, -1.16, 0.26, 2.13, 1.53, 0.66, 0.28 | |
]) | |
with suppress_warnings() as sup: | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(OptimizeWarning, | |
"Solving system with option 'cholesky'") | |
sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'") | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
desired_fun = -1.19099999999 | |
desired_x = np.array([0.3700, -0.9700, 0.3400, 0.4000, 1.1800, | |
0.5000, 0.4700, 0.0900, 0.3200, -0.7300]) | |
_assert_success(res, desired_fun=desired_fun, desired_x=desired_x) | |
# Add small tol value to ensure arrays are less than or equal. | |
atol = 1e-6 | |
assert_array_less(bounds[:, 0] - atol, res.x) | |
assert_array_less(res.x, bounds[:, 1] + atol) | |
def test_bug_7044(self): | |
# linprog simplex failed to "identify correct constraints" (?) | |
# leading to a non-optimal solution if A is rank-deficient. | |
# https://github.com/scipy/scipy/issues/7044 | |
A_eq, b_eq, c, _, _ = magic_square(3) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
desired_fun = 1.730550597 | |
_assert_success(res, desired_fun=desired_fun) | |
assert_allclose(A_eq.dot(res.x), b_eq) | |
assert_array_less(np.zeros(res.x.size) - 1e-5, res.x) | |
def test_bug_7237(self): | |
# https://github.com/scipy/scipy/issues/7237 | |
# linprog simplex "explodes" when the pivot value is very | |
# close to zero. | |
c = np.array([-1, 0, 0, 0, 0, 0, 0, 0, 0]) | |
A_ub = np.array([ | |
[1., -724., 911., -551., -555., -896., 478., -80., -293.], | |
[1., 566., 42., 937., 233., 883., 392., -909., 57.], | |
[1., -208., -894., 539., 321., 532., -924., 942., 55.], | |
[1., 857., -859., 83., 462., -265., -971., 826., 482.], | |
[1., 314., -424., 245., -424., 194., -443., -104., -429.], | |
[1., 540., 679., 361., 149., -827., 876., 633., 302.], | |
[0., -1., -0., -0., -0., -0., -0., -0., -0.], | |
[0., -0., -1., -0., -0., -0., -0., -0., -0.], | |
[0., -0., -0., -1., -0., -0., -0., -0., -0.], | |
[0., -0., -0., -0., -1., -0., -0., -0., -0.], | |
[0., -0., -0., -0., -0., -1., -0., -0., -0.], | |
[0., -0., -0., -0., -0., -0., -1., -0., -0.], | |
[0., -0., -0., -0., -0., -0., -0., -1., -0.], | |
[0., -0., -0., -0., -0., -0., -0., -0., -1.], | |
[0., 1., 0., 0., 0., 0., 0., 0., 0.], | |
[0., 0., 1., 0., 0., 0., 0., 0., 0.], | |
[0., 0., 0., 1., 0., 0., 0., 0., 0.], | |
[0., 0., 0., 0., 1., 0., 0., 0., 0.], | |
[0., 0., 0., 0., 0., 1., 0., 0., 0.], | |
[0., 0., 0., 0., 0., 0., 1., 0., 0.], | |
[0., 0., 0., 0., 0., 0., 0., 1., 0.], | |
[0., 0., 0., 0., 0., 0., 0., 0., 1.] | |
]) | |
b_ub = np.array([ | |
0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., | |
0., 0., 0., 1., 1., 1., 1., 1., 1., 1., 1.]) | |
A_eq = np.array([[0., 1., 1., 1., 1., 1., 1., 1., 1.]]) | |
b_eq = np.array([[1.]]) | |
bounds = [(None, None)] * 9 | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=108.568535, atol=1e-6) | |
def test_bug_8174(self): | |
# https://github.com/scipy/scipy/issues/8174 | |
# The simplex method sometimes "explodes" if the pivot value is very | |
# close to zero. | |
A_ub = np.array([ | |
[22714, 1008, 13380, -2713.5, -1116], | |
[-4986, -1092, -31220, 17386.5, 684], | |
[-4986, 0, 0, -2713.5, 0], | |
[22714, 0, 0, 17386.5, 0]]) | |
b_ub = np.zeros(A_ub.shape[0]) | |
c = -np.ones(A_ub.shape[1]) | |
bounds = [(0, 1)] * A_ub.shape[1] | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
if self.options.get('tol', 1e-9) < 1e-10 and self.method == 'simplex': | |
_assert_unable_to_find_basic_feasible_sol(res) | |
else: | |
_assert_success(res, desired_fun=-2.0080717488789235, atol=1e-6) | |
def test_bug_8174_2(self): | |
# Test supplementary example from issue 8174. | |
# https://github.com/scipy/scipy/issues/8174 | |
# https://stackoverflow.com/questions/47717012/linprog-in-scipy-optimize-checking-solution | |
c = np.array([1, 0, 0, 0, 0, 0, 0]) | |
A_ub = -np.identity(7) | |
b_ub = np.array([[-2], [-2], [-2], [-2], [-2], [-2], [-2]]) | |
A_eq = np.array([ | |
[1, 1, 1, 1, 1, 1, 0], | |
[0.3, 1.3, 0.9, 0, 0, 0, -1], | |
[0.3, 0, 0, 0, 0, 0, -2/3], | |
[0, 0.65, 0, 0, 0, 0, -1/15], | |
[0, 0, 0.3, 0, 0, 0, -1/15] | |
]) | |
b_eq = np.array([[100], [0], [0], [0], [0]]) | |
with suppress_warnings() as sup: | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_fun=43.3333333331385) | |
def test_bug_8561(self): | |
# Test that pivot row is chosen correctly when using Bland's rule | |
# This was originally written for the simplex method with | |
# Bland's rule only, but it doesn't hurt to test all methods/options | |
# https://github.com/scipy/scipy/issues/8561 | |
c = np.array([7, 0, -4, 1.5, 1.5]) | |
A_ub = np.array([ | |
[4, 5.5, 1.5, 1.0, -3.5], | |
[1, -2.5, -2, 2.5, 0.5], | |
[3, -0.5, 4, -12.5, -7], | |
[-1, 4.5, 2, -3.5, -2], | |
[5.5, 2, -4.5, -1, 9.5]]) | |
b_ub = np.array([0, 0, 0, 0, 1]) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, options=self.options, | |
method=self.method) | |
_assert_success(res, desired_x=[0, 0, 19, 16/3, 29/3]) | |
def test_bug_8662(self): | |
# linprog simplex used to report incorrect optimal results | |
# https://github.com/scipy/scipy/issues/8662 | |
c = [-10, 10, 6, 3] | |
A_ub = [[8, -8, -4, 6], | |
[-8, 8, 4, -6], | |
[-4, 4, 8, -4], | |
[3, -3, -3, -10]] | |
b_ub = [9, -9, -9, -4] | |
bounds = [(0, None), (0, None), (0, None), (0, None)] | |
desired_fun = 36.0000000000 | |
with suppress_warnings() as sup: | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res1 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
# Set boundary condition as a constraint | |
A_ub.append([0, 0, -1, 0]) | |
b_ub.append(0) | |
bounds[2] = (None, None) | |
with suppress_warnings() as sup: | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res2 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
rtol = 1e-5 | |
_assert_success(res1, desired_fun=desired_fun, rtol=rtol) | |
_assert_success(res2, desired_fun=desired_fun, rtol=rtol) | |
def test_bug_8663(self): | |
# exposed a bug in presolve | |
# https://github.com/scipy/scipy/issues/8663 | |
c = [1, 5] | |
A_eq = [[0, -7]] | |
b_eq = [-6] | |
bounds = [(0, None), (None, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[0, 6./7], desired_fun=5*6./7) | |
def test_bug_8664(self): | |
# interior-point has trouble with this when presolve is off | |
# tested for interior-point with presolve off in TestLinprogIPSpecific | |
# https://github.com/scipy/scipy/issues/8664 | |
c = [4] | |
A_ub = [[2], [5]] | |
b_ub = [4, 4] | |
A_eq = [[0], [-8], [9]] | |
b_eq = [3, 2, 10] | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning) | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_infeasible(res) | |
def test_bug_8973(self): | |
""" | |
Test whether bug described at: | |
https://github.com/scipy/scipy/issues/8973 | |
was fixed. | |
""" | |
c = np.array([0, 0, 0, 1, -1]) | |
A_ub = np.array([[1, 0, 0, 0, 0], [0, 1, 0, 0, 0]]) | |
b_ub = np.array([2, -2]) | |
bounds = [(None, None), (None, None), (None, None), (-1, 1), (-1, 1)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
# solution vector x is not unique | |
_assert_success(res, desired_fun=-2) | |
# HiGHS IPM had an issue where the following wasn't true! | |
assert_equal(c @ res.x, res.fun) | |
def test_bug_8973_2(self): | |
""" | |
Additional test for: | |
https://github.com/scipy/scipy/issues/8973 | |
suggested in | |
https://github.com/scipy/scipy/pull/8985 | |
review by @antonior92 | |
""" | |
c = np.zeros(1) | |
A_ub = np.array([[1]]) | |
b_ub = np.array([-2]) | |
bounds = (None, None) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[-2], desired_fun=0) | |
def test_bug_10124(self): | |
""" | |
Test for linprog docstring problem | |
'disp'=True caused revised simplex failure | |
""" | |
c = np.zeros(1) | |
A_ub = np.array([[1]]) | |
b_ub = np.array([-2]) | |
bounds = (None, None) | |
c = [-1, 4] | |
A_ub = [[-3, 1], [1, 2]] | |
b_ub = [6, 4] | |
bounds = [(None, None), (-3, None)] | |
o = {"disp": True} | |
o.update(self.options) | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
_assert_success(res, desired_x=[10, -3], desired_fun=-22) | |
def test_bug_10349(self): | |
""" | |
Test for redundancy removal tolerance issue | |
https://github.com/scipy/scipy/issues/10349 | |
""" | |
A_eq = np.array([[1, 1, 0, 0, 0, 0], | |
[0, 0, 1, 1, 0, 0], | |
[0, 0, 0, 0, 1, 1], | |
[1, 0, 1, 0, 0, 0], | |
[0, 0, 0, 1, 1, 0], | |
[0, 1, 0, 0, 0, 1]]) | |
b_eq = np.array([221, 210, 10, 141, 198, 102]) | |
c = np.concatenate((0, 1, np.zeros(4)), axis=None) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options) | |
_assert_success(res, desired_x=[129, 92, 12, 198, 0, 10], desired_fun=92) | |
def test_bug_10466(self): | |
""" | |
Test that autoscale fixes poorly-scaled problem | |
""" | |
c = [-8., -0., -8., -0., -8., -0., -0., -0., -0., -0., -0., -0., -0.] | |
A_eq = [[1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.], | |
[0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0.], | |
[0., 0., 0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0.], | |
[1., 0., 1., 0., 1., 0., -1., 0., 0., 0., 0., 0., 0.], | |
[1., 0., 1., 0., 1., 0., 0., 1., 0., 0., 0., 0., 0.], | |
[1., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0., 0.], | |
[1., 0., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0.], | |
[1., 0., 1., 0., 1., 0., 0., 0., 0., 0., 1., 0., 0.], | |
[0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 1., 0.], | |
[0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 0., 1.]] | |
b_eq = [3.14572800e+08, 4.19430400e+08, 5.24288000e+08, | |
1.00663296e+09, 1.07374182e+09, 1.07374182e+09, | |
1.07374182e+09, 1.07374182e+09, 1.07374182e+09, | |
1.07374182e+09] | |
o = {} | |
# HiGHS methods don't use autoscale option | |
if not self.method.startswith("highs"): | |
o = {"autoscale": True} | |
o.update(self.options) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...") | |
sup.filter(RuntimeWarning, "divide by zero encountered...") | |
sup.filter(RuntimeWarning, "overflow encountered...") | |
sup.filter(RuntimeWarning, "invalid value encountered...") | |
sup.filter(LinAlgWarning, "Ill-conditioned matrix...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
assert_allclose(res.fun, -8589934560) | |
######################### | |
# Method-specific Tests # | |
######################### | |
class LinprogSimplexTests(LinprogCommonTests): | |
method = "simplex" | |
class LinprogIPTests(LinprogCommonTests): | |
method = "interior-point" | |
def test_bug_10466(self): | |
pytest.skip("Test is failing, but solver is deprecated.") | |
class LinprogRSTests(LinprogCommonTests): | |
method = "revised simplex" | |
# Revised simplex does not reliably solve these problems. | |
# Failure is intermittent due to the random choice of elements to complete | |
# the basis after phase 1 terminates. In any case, linprog exists | |
# gracefully, reporting numerical difficulties. I do not think this should | |
# prevent revised simplex from being merged, as it solves the problems | |
# most of the time and solves a broader range of problems than the existing | |
# simplex implementation. | |
# I believe that the root cause is the same for all three and that this | |
# same issue prevents revised simplex from solving many other problems | |
# reliably. Somehow the pivoting rule allows the algorithm to pivot into | |
# a singular basis. I haven't been able to find a reference that | |
# acknowledges this possibility, suggesting that there is a bug. On the | |
# other hand, the pivoting rule is quite simple, and I can't find a | |
# mistake, which suggests that this is a possibility with the pivoting | |
# rule. Hopefully, a better pivoting rule will fix the issue. | |
def test_bug_5400(self): | |
pytest.skip("Intermittent failure acceptable.") | |
def test_bug_8662(self): | |
pytest.skip("Intermittent failure acceptable.") | |
def test_network_flow(self): | |
pytest.skip("Intermittent failure acceptable.") | |
class LinprogHiGHSTests(LinprogCommonTests): | |
def test_callback(self): | |
# this is the problem from test_callback | |
def cb(res): | |
return None | |
c = np.array([-3, -2]) | |
A_ub = [[2, 1], [1, 1], [1, 0]] | |
b_ub = [10, 8, 4] | |
assert_raises(NotImplementedError, linprog, c, A_ub=A_ub, b_ub=b_ub, | |
callback=cb, method=self.method) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, method=self.method) | |
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6]) | |
def test_invalid_option_values(self, options): | |
def f(options): | |
linprog(1, method=self.method, options=options) | |
options.update(self.options) | |
assert_warns(OptimizeWarning, f, options=options) | |
def test_crossover(self): | |
A_eq, b_eq, c, _, _ = magic_square(4) | |
bounds = (0, 1) | |
res = linprog(c, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, options=self.options) | |
# there should be nonzero crossover iterations for IPM (only) | |
assert_equal(res.crossover_nit == 0, self.method != "highs-ipm") | |
def test_marginals(self): | |
# Ensure lagrange multipliers are correct by comparing the derivative | |
# w.r.t. b_ub/b_eq/ub/lb to the reported duals. | |
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=0) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, options=self.options) | |
lb, ub = bounds.T | |
# sensitivity w.r.t. b_ub | |
def f_bub(x): | |
return linprog(c, A_ub, x, A_eq, b_eq, bounds, | |
method=self.method).fun | |
dfdbub = approx_derivative(f_bub, b_ub, method='3-point', f0=res.fun) | |
assert_allclose(res.ineqlin.marginals, dfdbub) | |
# sensitivity w.r.t. b_eq | |
def f_beq(x): | |
return linprog(c, A_ub, b_ub, A_eq, x, bounds, | |
method=self.method).fun | |
dfdbeq = approx_derivative(f_beq, b_eq, method='3-point', f0=res.fun) | |
assert_allclose(res.eqlin.marginals, dfdbeq) | |
# sensitivity w.r.t. lb | |
def f_lb(x): | |
bounds = np.array([x, ub]).T | |
return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method).fun | |
with np.errstate(invalid='ignore'): | |
# approx_derivative has trouble where lb is infinite | |
dfdlb = approx_derivative(f_lb, lb, method='3-point', f0=res.fun) | |
dfdlb[~np.isfinite(lb)] = 0 | |
assert_allclose(res.lower.marginals, dfdlb) | |
# sensitivity w.r.t. ub | |
def f_ub(x): | |
bounds = np.array([lb, x]).T | |
return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method).fun | |
with np.errstate(invalid='ignore'): | |
dfdub = approx_derivative(f_ub, ub, method='3-point', f0=res.fun) | |
dfdub[~np.isfinite(ub)] = 0 | |
assert_allclose(res.upper.marginals, dfdub) | |
def test_dual_feasibility(self): | |
# Ensure solution is dual feasible using marginals | |
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, options=self.options) | |
# KKT dual feasibility equation from Theorem 1 from | |
# http://www.personal.psu.edu/cxg286/LPKKT.pdf | |
resid = (-c + A_ub.T @ res.ineqlin.marginals + | |
A_eq.T @ res.eqlin.marginals + | |
res.upper.marginals + | |
res.lower.marginals) | |
assert_allclose(resid, 0, atol=1e-12) | |
def test_complementary_slackness(self): | |
# Ensure that the complementary slackness condition is satisfied. | |
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42) | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, options=self.options) | |
# KKT complementary slackness equation from Theorem 1 from | |
# http://www.personal.psu.edu/cxg286/LPKKT.pdf modified for | |
# non-zero RHS | |
assert np.allclose(res.ineqlin.marginals @ (b_ub - A_ub @ res.x), 0) | |
################################ | |
# Simplex Option-Specific Tests# | |
################################ | |
class TestLinprogSimplexDefault(LinprogSimplexTests): | |
def setup_method(self): | |
self.options = {} | |
def test_bug_5400(self): | |
pytest.skip("Simplex fails on this problem.") | |
def test_bug_7237_low_tol(self): | |
# Fails if the tolerance is too strict. Here, we test that | |
# even if the solution is wrong, the appropriate error is raised. | |
pytest.skip("Simplex fails on this problem.") | |
def test_bug_8174_low_tol(self): | |
# Fails if the tolerance is too strict. Here, we test that | |
# even if the solution is wrong, the appropriate warning is issued. | |
self.options.update({'tol': 1e-12}) | |
with pytest.warns(OptimizeWarning): | |
super().test_bug_8174() | |
class TestLinprogSimplexBland(LinprogSimplexTests): | |
def setup_method(self): | |
self.options = {'bland': True} | |
def test_bug_5400(self): | |
pytest.skip("Simplex fails on this problem.") | |
def test_bug_8174_low_tol(self): | |
# Fails if the tolerance is too strict. Here, we test that | |
# even if the solution is wrong, the appropriate error is raised. | |
self.options.update({'tol': 1e-12}) | |
with pytest.raises(AssertionError): | |
with pytest.warns(OptimizeWarning): | |
super().test_bug_8174() | |
class TestLinprogSimplexNoPresolve(LinprogSimplexTests): | |
def setup_method(self): | |
self.options = {'presolve': False} | |
is_32_bit = np.intp(0).itemsize < 8 | |
is_linux = sys.platform.startswith('linux') | |
def test_bug_5400(self): | |
super().test_bug_5400() | |
def test_bug_6139_low_tol(self): | |
# Linprog(method='simplex') fails to find a basic feasible solution | |
# if phase 1 pseudo-objective function is outside the provided tol. | |
# https://github.com/scipy/scipy/issues/6139 | |
# Without ``presolve`` eliminating such rows the result is incorrect. | |
self.options.update({'tol': 1e-12}) | |
with pytest.raises(AssertionError, match='linprog status 4'): | |
return super().test_bug_6139() | |
def test_bug_7237_low_tol(self): | |
pytest.skip("Simplex fails on this problem.") | |
def test_bug_8174_low_tol(self): | |
# Fails if the tolerance is too strict. Here, we test that | |
# even if the solution is wrong, the appropriate warning is issued. | |
self.options.update({'tol': 1e-12}) | |
with pytest.warns(OptimizeWarning): | |
super().test_bug_8174() | |
def test_unbounded_no_nontrivial_constraints_1(self): | |
pytest.skip("Tests behavior specific to presolve") | |
def test_unbounded_no_nontrivial_constraints_2(self): | |
pytest.skip("Tests behavior specific to presolve") | |
####################################### | |
# Interior-Point Option-Specific Tests# | |
####################################### | |
class TestLinprogIPDense(LinprogIPTests): | |
options = {"sparse": False} | |
# see https://github.com/scipy/scipy/issues/20216 for skip reason | |
def test_bug_6139(self): | |
super().test_bug_6139() | |
if has_cholmod: | |
class TestLinprogIPSparseCholmod(LinprogIPTests): | |
options = {"sparse": True, "cholesky": True} | |
if has_umfpack: | |
class TestLinprogIPSparseUmfpack(LinprogIPTests): | |
options = {"sparse": True, "cholesky": False} | |
def test_network_flow_limited_capacity(self): | |
pytest.skip("Failing due to numerical issues on some platforms.") | |
class TestLinprogIPSparse(LinprogIPTests): | |
options = {"sparse": True, "cholesky": False, "sym_pos": False} | |
def test_bug_6139(self): | |
super().test_bug_6139() | |
def test_bug_6690(self): | |
# Test defined in base class, but can't mark as xfail there | |
super().test_bug_6690() | |
def test_magic_square_sparse_no_presolve(self): | |
# test linprog with a problem with a rank-deficient A_eq matrix | |
A_eq, b_eq, c, _, _ = magic_square(3) | |
bounds = (0, 1) | |
with suppress_warnings() as sup: | |
if has_umfpack: | |
sup.filter(UmfpackWarning) | |
sup.filter(MatrixRankWarning, "Matrix is exactly singular") | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
o = {key: self.options[key] for key in self.options} | |
o["presolve"] = False | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
_assert_success(res, desired_fun=1.730550597) | |
def test_sparse_solve_options(self): | |
# checking that problem is solved with all column permutation options | |
A_eq, b_eq, c, _, _ = magic_square(3) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
sup.filter(OptimizeWarning, "Invalid permc_spec option") | |
o = {key: self.options[key] for key in self.options} | |
permc_specs = ('NATURAL', 'MMD_ATA', 'MMD_AT_PLUS_A', | |
'COLAMD', 'ekki-ekki-ekki') | |
# 'ekki-ekki-ekki' raises warning about invalid permc_spec option | |
# and uses default | |
for permc_spec in permc_specs: | |
o["permc_spec"] = permc_spec | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=o) | |
_assert_success(res, desired_fun=1.730550597) | |
class TestLinprogIPSparsePresolve(LinprogIPTests): | |
options = {"sparse": True, "_sparse_presolve": True} | |
def test_bug_6139(self): | |
super().test_bug_6139() | |
def test_enzo_example_c_with_infeasibility(self): | |
pytest.skip('_sparse_presolve=True incompatible with presolve=False') | |
def test_bug_6690(self): | |
# Test defined in base class, but can't mark as xfail there | |
super().test_bug_6690() | |
class TestLinprogIPSpecific: | |
method = "interior-point" | |
# the following tests don't need to be performed separately for | |
# sparse presolve, sparse after presolve, and dense | |
def test_solver_select(self): | |
# check that default solver is selected as expected | |
if has_cholmod: | |
options = {'sparse': True, 'cholesky': True} | |
elif has_umfpack: | |
options = {'sparse': True, 'cholesky': False} | |
else: | |
options = {'sparse': True, 'cholesky': False, 'sym_pos': False} | |
A, b, c = lpgen_2d(20, 20) | |
res1 = linprog(c, A_ub=A, b_ub=b, method=self.method, options=options) | |
res2 = linprog(c, A_ub=A, b_ub=b, method=self.method) # default solver | |
assert_allclose(res1.fun, res2.fun, | |
err_msg="linprog default solver unexpected result", | |
rtol=2e-15, atol=1e-15) | |
def test_unbounded_below_no_presolve_original(self): | |
# formerly caused segfault in TravisCI w/ "cholesky":True | |
c = [-1] | |
bounds = [(None, 1)] | |
res = linprog(c=c, bounds=bounds, | |
method=self.method, | |
options={"presolve": False, "cholesky": True}) | |
_assert_success(res, desired_fun=-1) | |
def test_cholesky(self): | |
# use cholesky factorization and triangular solves | |
A, b, c = lpgen_2d(20, 20) | |
res = linprog(c, A_ub=A, b_ub=b, method=self.method, | |
options={"cholesky": True}) # only for dense | |
_assert_success(res, desired_fun=-64.049494229) | |
def test_alternate_initial_point(self): | |
# use "improved" initial point | |
A, b, c = lpgen_2d(20, 20) | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...") | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
sup.filter(LinAlgWarning, "Ill-conditioned matrix...") | |
res = linprog(c, A_ub=A, b_ub=b, method=self.method, | |
options={"ip": True, "disp": True}) | |
# ip code is independent of sparse/dense | |
_assert_success(res, desired_fun=-64.049494229) | |
def test_bug_8664(self): | |
# interior-point has trouble with this when presolve is off | |
c = [4] | |
A_ub = [[2], [5]] | |
b_ub = [4, 4] | |
A_eq = [[0], [-8], [9]] | |
b_eq = [3, 2, 10] | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning) | |
sup.filter(OptimizeWarning, "Solving system with option...") | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options={"presolve": False}) | |
assert_(not res.success, "Incorrectly reported success") | |
######################################## | |
# Revised Simplex Option-Specific Tests# | |
######################################## | |
class TestLinprogRSCommon(LinprogRSTests): | |
options = {} | |
def test_cyclic_bland(self): | |
pytest.skip("Intermittent failure acceptable.") | |
def test_nontrivial_problem_with_guess(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=x_star) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
assert_equal(res.nit, 0) | |
def test_nontrivial_problem_with_unbounded_variables(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
bounds = [(None, None), (None, None), (0, None), (None, None)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=x_star) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
assert_equal(res.nit, 0) | |
def test_nontrivial_problem_with_bounded_variables(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
bounds = [(None, 1), (1, None), (0, None), (.4, .6)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=x_star) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
assert_equal(res.nit, 0) | |
def test_nontrivial_problem_with_negative_unbounded_variable(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
b_eq = [4] | |
x_star = np.array([-219/385, 582/385, 0, 4/10]) | |
f_star = 3951/385 | |
bounds = [(None, None), (1, None), (0, None), (.4, .6)] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=x_star) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
assert_equal(res.nit, 0) | |
def test_nontrivial_problem_with_bad_guess(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
bad_guess = [1, 2, 3, .5] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=bad_guess) | |
assert_equal(res.status, 6) | |
def test_redundant_constraints_with_guess(self): | |
A, b, c, _, _ = magic_square(3) | |
p = np.random.rand(*c.shape) | |
with suppress_warnings() as sup: | |
sup.filter(OptimizeWarning, "A_eq does not appear...") | |
sup.filter(RuntimeWarning, "invalid value encountered") | |
sup.filter(LinAlgWarning) | |
res = linprog(c, A_eq=A, b_eq=b, method=self.method) | |
res2 = linprog(c, A_eq=A, b_eq=b, method=self.method, x0=res.x) | |
res3 = linprog(c + p, A_eq=A, b_eq=b, method=self.method, x0=res.x) | |
_assert_success(res2, desired_fun=1.730550597) | |
assert_equal(res2.nit, 0) | |
_assert_success(res3) | |
assert_(res3.nit < res.nit) # hot start reduces iterations | |
class TestLinprogRSBland(LinprogRSTests): | |
options = {"pivot": "bland"} | |
############################################ | |
# HiGHS-Simplex-Dual Option-Specific Tests # | |
############################################ | |
class TestLinprogHiGHSSimplexDual(LinprogHiGHSTests): | |
method = "highs-ds" | |
options = {} | |
def test_lad_regression(self): | |
''' | |
The scaled model should be optimal, i.e. not produce unscaled model | |
infeasible. See https://github.com/ERGO-Code/HiGHS/issues/494. | |
''' | |
# Test to ensure gh-13610 is resolved (mismatch between HiGHS scaled | |
# and unscaled model statuses) | |
c, A_ub, b_ub, bnds = l1_regression_prob() | |
res = linprog(c, A_ub=A_ub, b_ub=b_ub, bounds=bnds, | |
method=self.method, options=self.options) | |
assert_equal(res.status, 0) | |
assert_(res.x is not None) | |
assert_(np.all(res.slack > -1e-6)) | |
assert_(np.all(res.x <= [np.inf if ub is None else ub | |
for lb, ub in bnds])) | |
assert_(np.all(res.x >= [-np.inf if lb is None else lb - 1e-7 | |
for lb, ub in bnds])) | |
################################### | |
# HiGHS-IPM Option-Specific Tests # | |
################################### | |
class TestLinprogHiGHSIPM(LinprogHiGHSTests): | |
method = "highs-ipm" | |
options = {} | |
################################### | |
# HiGHS-MIP Option-Specific Tests # | |
################################### | |
class TestLinprogHiGHSMIP: | |
method = "highs" | |
options = {} | |
def test_mip1(self): | |
# solve non-relaxed magic square problem (finally!) | |
# also check that values are all integers - they don't always | |
# come out of HiGHS that way | |
n = 4 | |
A, b, c, numbers, M = magic_square(n) | |
bounds = [(0, 1)] * len(c) | |
integrality = [1] * len(c) | |
res = linprog(c=c*0, A_eq=A, b_eq=b, bounds=bounds, | |
method=self.method, integrality=integrality) | |
s = (numbers.flatten() * res.x).reshape(n**2, n, n) | |
square = np.sum(s, axis=0) | |
np.testing.assert_allclose(square.sum(axis=0), M) | |
np.testing.assert_allclose(square.sum(axis=1), M) | |
np.testing.assert_allclose(np.diag(square).sum(), M) | |
np.testing.assert_allclose(np.diag(square[:, ::-1]).sum(), M) | |
np.testing.assert_allclose(res.x, np.round(res.x), atol=1e-12) | |
def test_mip2(self): | |
# solve MIP with inequality constraints and all integer constraints | |
# source: slide 5, | |
# https://www.cs.upc.edu/~erodri/webpage/cps/theory/lp/milp/slides.pdf | |
# use all array inputs to test gh-16681 (integrality couldn't be array) | |
A_ub = np.array([[2, -2], [-8, 10]]) | |
b_ub = np.array([-1, 13]) | |
c = -np.array([1, 1]) | |
bounds = np.array([(0, np.inf)] * len(c)) | |
integrality = np.ones_like(c) | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds, | |
method=self.method, integrality=integrality) | |
np.testing.assert_allclose(res.x, [1, 2]) | |
np.testing.assert_allclose(res.fun, -3) | |
def test_mip3(self): | |
# solve MIP with inequality constraints and all integer constraints | |
# source: https://en.wikipedia.org/wiki/Integer_programming#Example | |
A_ub = np.array([[-1, 1], [3, 2], [2, 3]]) | |
b_ub = np.array([1, 12, 12]) | |
c = -np.array([0, 1]) | |
bounds = [(0, np.inf)] * len(c) | |
integrality = [1] * len(c) | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds, | |
method=self.method, integrality=integrality) | |
np.testing.assert_allclose(res.fun, -2) | |
# two optimal solutions possible, just need one of them | |
assert np.allclose(res.x, [1, 2]) or np.allclose(res.x, [2, 2]) | |
def test_mip4(self): | |
# solve MIP with inequality constraints and only one integer constraint | |
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html | |
A_ub = np.array([[-1, -2], [-4, -1], [2, 1]]) | |
b_ub = np.array([14, -33, 20]) | |
c = np.array([8, 1]) | |
bounds = [(0, np.inf)] * len(c) | |
integrality = [0, 1] | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds, | |
method=self.method, integrality=integrality) | |
np.testing.assert_allclose(res.x, [6.5, 7]) | |
np.testing.assert_allclose(res.fun, 59) | |
def test_mip5(self): | |
# solve MIP with inequality and inequality constraints | |
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html | |
A_ub = np.array([[1, 1, 1]]) | |
b_ub = np.array([7]) | |
A_eq = np.array([[4, 2, 1]]) | |
b_eq = np.array([12]) | |
c = np.array([-3, -2, -1]) | |
bounds = [(0, np.inf), (0, np.inf), (0, 1)] | |
integrality = [0, 1, 0] | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, | |
integrality=integrality) | |
np.testing.assert_allclose(res.x, [0, 6, 0]) | |
np.testing.assert_allclose(res.fun, -12) | |
# gh-16897: these fields were not present, ensure that they are now | |
assert res.get("mip_node_count", None) is not None | |
assert res.get("mip_dual_bound", None) is not None | |
assert res.get("mip_gap", None) is not None | |
# prerelease_deps_coverage_64bit_blas job | |
def test_mip6(self): | |
# solve a larger MIP with only equality constraints | |
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html | |
A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26], | |
[39, 16, 22, 28, 26, 30, 23, 24], | |
[18, 14, 29, 27, 30, 38, 26, 26], | |
[41, 26, 28, 36, 18, 38, 16, 26]]) | |
b_eq = np.array([7872, 10466, 11322, 12058]) | |
c = np.array([2, 10, 13, 17, 7, 5, 7, 3]) | |
bounds = [(0, np.inf)]*8 | |
integrality = [1]*8 | |
res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds, | |
method=self.method, integrality=integrality) | |
np.testing.assert_allclose(res.fun, 1854) | |
def test_mip_rel_gap_passdown(self): | |
# MIP taken from test_mip6, solved with different values of mip_rel_gap | |
# solve a larger MIP with only equality constraints | |
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html | |
A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26], | |
[39, 16, 22, 28, 26, 30, 23, 24], | |
[18, 14, 29, 27, 30, 38, 26, 26], | |
[41, 26, 28, 36, 18, 38, 16, 26]]) | |
b_eq = np.array([7872, 10466, 11322, 12058]) | |
c = np.array([2, 10, 13, 17, 7, 5, 7, 3]) | |
bounds = [(0, np.inf)]*8 | |
integrality = [1]*8 | |
mip_rel_gaps = [0.5, 0.25, 0.01, 0.001] | |
sol_mip_gaps = [] | |
for mip_rel_gap in mip_rel_gaps: | |
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq, | |
bounds=bounds, method=self.method, | |
integrality=integrality, | |
options={"mip_rel_gap": mip_rel_gap}) | |
final_mip_gap = res["mip_gap"] | |
# assert that the solution actually has mip_gap lower than the | |
# required mip_rel_gap supplied | |
assert final_mip_gap <= mip_rel_gap | |
sol_mip_gaps.append(final_mip_gap) | |
# make sure that the mip_rel_gap parameter is actually doing something | |
# check that differences between solution gaps are declining | |
# monotonically with the mip_rel_gap parameter. np.diff does | |
# x[i+1] - x[i], so flip the array before differencing to get | |
# what should be a positive, monotone decreasing series of solution | |
# gaps | |
gap_diffs = np.diff(np.flip(sol_mip_gaps)) | |
assert np.all(gap_diffs >= 0) | |
assert not np.all(gap_diffs == 0) | |
def test_semi_continuous(self): | |
# See issue #18106. This tests whether the solution is being | |
# checked correctly (status is 0) when integrality > 1: | |
# values are allowed to be 0 even if 0 is out of bounds. | |
c = np.array([1., 1., -1, -1]) | |
bounds = np.array([[0.5, 1.5], [0.5, 1.5], [0.5, 1.5], [0.5, 1.5]]) | |
integrality = np.array([2, 3, 2, 3]) | |
res = linprog(c, bounds=bounds, | |
integrality=integrality, method='highs') | |
np.testing.assert_allclose(res.x, [0, 0, 1.5, 1]) | |
assert res.status == 0 | |
########################### | |
# Autoscale-Specific Tests# | |
########################### | |
class AutoscaleTests: | |
options = {"autoscale": True} | |
test_bug_6139 = LinprogCommonTests.test_bug_6139 | |
test_bug_6690 = LinprogCommonTests.test_bug_6690 | |
test_bug_7237 = LinprogCommonTests.test_bug_7237 | |
class TestAutoscaleIP(AutoscaleTests): | |
method = "interior-point" | |
def test_bug_6139(self): | |
self.options['tol'] = 1e-10 | |
return AutoscaleTests.test_bug_6139(self) | |
class TestAutoscaleSimplex(AutoscaleTests): | |
method = "simplex" | |
class TestAutoscaleRS(AutoscaleTests): | |
method = "revised simplex" | |
def test_nontrivial_problem_with_guess(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=x_star) | |
_assert_success(res, desired_fun=f_star, desired_x=x_star) | |
assert_equal(res.nit, 0) | |
def test_nontrivial_problem_with_bad_guess(self): | |
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem() | |
bad_guess = [1, 2, 3, .5] | |
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds, | |
method=self.method, options=self.options, x0=bad_guess) | |
assert_equal(res.status, 6) | |
########################### | |
# Redundancy Removal Tests# | |
########################### | |
class RRTests: | |
method = "interior-point" | |
LCT = LinprogCommonTests | |
# these are a few of the existing tests that have redundancy | |
test_RR_infeasibility = LCT.test_remove_redundancy_infeasibility | |
test_bug_10349 = LCT.test_bug_10349 | |
test_bug_7044 = LCT.test_bug_7044 | |
test_NFLC = LCT.test_network_flow_limited_capacity | |
test_enzo_example_b = LCT.test_enzo_example_b | |
class TestRRSVD(RRTests): | |
options = {"rr_method": "SVD"} | |
class TestRRPivot(RRTests): | |
options = {"rr_method": "pivot"} | |
class TestRRID(RRTests): | |
options = {"rr_method": "ID"} | |