peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/optimize
/_linprog_util.py
""" | |
Method agnostic utility functions for linear programming | |
""" | |
import numpy as np | |
import scipy.sparse as sps | |
from warnings import warn | |
from ._optimize import OptimizeWarning | |
from scipy.optimize._remove_redundancy import ( | |
_remove_redundancy_svd, _remove_redundancy_pivot_sparse, | |
_remove_redundancy_pivot_dense, _remove_redundancy_id | |
) | |
from collections import namedtuple | |
_LPProblem = namedtuple('_LPProblem', | |
'c A_ub b_ub A_eq b_eq bounds x0 integrality') | |
_LPProblem.__new__.__defaults__ = (None,) * 7 # make c the only required arg | |
_LPProblem.__doc__ = \ | |
""" Represents a linear-programming problem. | |
Attributes | |
---------- | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : various valid formats, optional | |
The bounds of ``x``, as ``min`` and ``max`` pairs. | |
If bounds are specified for all N variables separately, valid formats | |
are: | |
* a 2D array (N x 2); | |
* a sequence of N sequences, each with 2 values. | |
If all variables have the same bounds, the bounds can be specified as | |
a 1-D or 2-D array or sequence with 2 scalar values. | |
If all variables have a lower bound of 0 and no upper bound, the bounds | |
parameter can be omitted (or given as None). | |
Absent lower and/or upper bounds can be specified as -numpy.inf (no | |
lower bound), numpy.inf (no upper bound) or None (both). | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
integrality : 1-D array or int, optional | |
Indicates the type of integrality constraint on each decision variable. | |
``0`` : Continuous variable; no integrality constraint. | |
``1`` : Integer variable; decision variable must be an integer | |
within `bounds`. | |
``2`` : Semi-continuous variable; decision variable must be within | |
`bounds` or take value ``0``. | |
``3`` : Semi-integer variable; decision variable must be an integer | |
within `bounds` or take value ``0``. | |
By default, all variables are continuous. | |
For mixed integrality constraints, supply an array of shape `c.shape`. | |
To infer a constraint on each decision variable from shorter inputs, | |
the argument will be broadcasted to `c.shape` using `np.broadcast_to`. | |
This argument is currently used only by the ``'highs'`` method and | |
ignored otherwise. | |
Notes | |
----- | |
This namedtuple supports 2 ways of initialization: | |
>>> lp1 = _LPProblem(c=[-1, 4], A_ub=[[-3, 1], [1, 2]], b_ub=[6, 4]) | |
>>> lp2 = _LPProblem([-1, 4], [[-3, 1], [1, 2]], [6, 4]) | |
Note that only ``c`` is a required argument here, whereas all other arguments | |
``A_ub``, ``b_ub``, ``A_eq``, ``b_eq``, ``bounds``, ``x0`` are optional with | |
default values of None. | |
For example, ``A_eq`` and ``b_eq`` can be set without ``A_ub`` or ``b_ub``: | |
>>> lp3 = _LPProblem(c=[-1, 4], A_eq=[[2, 1]], b_eq=[10]) | |
""" | |
def _check_sparse_inputs(options, meth, A_ub, A_eq): | |
""" | |
Check the provided ``A_ub`` and ``A_eq`` matrices conform to the specified | |
optional sparsity variables. | |
Parameters | |
---------- | |
A_ub : 2-D array, optional | |
2-D array such that ``A_ub @ x`` gives the values of the upper-bound | |
inequality constraints at ``x``. | |
A_eq : 2-D array, optional | |
2-D array such that ``A_eq @ x`` gives the values of the equality | |
constraints at ``x``. | |
options : dict | |
A dictionary of solver options. All methods accept the following | |
generic options: | |
maxiter : int | |
Maximum number of iterations to perform. | |
disp : bool | |
Set to True to print convergence messages. | |
For method-specific options, see :func:`show_options('linprog')`. | |
method : str, optional | |
The algorithm used to solve the standard form problem. | |
Returns | |
------- | |
A_ub : 2-D array, optional | |
2-D array such that ``A_ub @ x`` gives the values of the upper-bound | |
inequality constraints at ``x``. | |
A_eq : 2-D array, optional | |
2-D array such that ``A_eq @ x`` gives the values of the equality | |
constraints at ``x``. | |
options : dict | |
A dictionary of solver options. All methods accept the following | |
generic options: | |
maxiter : int | |
Maximum number of iterations to perform. | |
disp : bool | |
Set to True to print convergence messages. | |
For method-specific options, see :func:`show_options('linprog')`. | |
""" | |
# This is an undocumented option for unit testing sparse presolve | |
_sparse_presolve = options.pop('_sparse_presolve', False) | |
if _sparse_presolve and A_eq is not None: | |
A_eq = sps.coo_matrix(A_eq) | |
if _sparse_presolve and A_ub is not None: | |
A_ub = sps.coo_matrix(A_ub) | |
sparse_constraint = sps.issparse(A_eq) or sps.issparse(A_ub) | |
preferred_methods = {"highs", "highs-ds", "highs-ipm"} | |
dense_methods = {"simplex", "revised simplex"} | |
if meth in dense_methods and sparse_constraint: | |
raise ValueError(f"Method '{meth}' does not support sparse " | |
"constraint matrices. Please consider using one of " | |
f"{preferred_methods}.") | |
sparse = options.get('sparse', False) | |
if not sparse and sparse_constraint and meth == 'interior-point': | |
options['sparse'] = True | |
warn("Sparse constraint matrix detected; setting 'sparse':True.", | |
OptimizeWarning, stacklevel=4) | |
return options, A_ub, A_eq | |
def _format_A_constraints(A, n_x, sparse_lhs=False): | |
"""Format the left hand side of the constraints to a 2-D array | |
Parameters | |
---------- | |
A : 2-D array | |
2-D array such that ``A @ x`` gives the values of the upper-bound | |
(in)equality constraints at ``x``. | |
n_x : int | |
The number of variables in the linear programming problem. | |
sparse_lhs : bool | |
Whether either of `A_ub` or `A_eq` are sparse. If true return a | |
coo_matrix instead of a numpy array. | |
Returns | |
------- | |
np.ndarray or sparse.coo_matrix | |
2-D array such that ``A @ x`` gives the values of the upper-bound | |
(in)equality constraints at ``x``. | |
""" | |
if sparse_lhs: | |
return sps.coo_matrix( | |
(0, n_x) if A is None else A, dtype=float, copy=True | |
) | |
elif A is None: | |
return np.zeros((0, n_x), dtype=float) | |
else: | |
return np.array(A, dtype=float, copy=True) | |
def _format_b_constraints(b): | |
"""Format the upper bounds of the constraints to a 1-D array | |
Parameters | |
---------- | |
b : 1-D array | |
1-D array of values representing the upper-bound of each (in)equality | |
constraint (row) in ``A``. | |
Returns | |
------- | |
1-D np.array | |
1-D array of values representing the upper-bound of each (in)equality | |
constraint (row) in ``A``. | |
""" | |
if b is None: | |
return np.array([], dtype=float) | |
b = np.array(b, dtype=float, copy=True).squeeze() | |
return b if b.size != 1 else b.reshape(-1) | |
def _clean_inputs(lp): | |
""" | |
Given user inputs for a linear programming problem, return the | |
objective vector, upper bound constraints, equality constraints, | |
and simple bounds in a preferred format. | |
Parameters | |
---------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : various valid formats, optional | |
The bounds of ``x``, as ``min`` and ``max`` pairs. | |
If bounds are specified for all N variables separately, valid formats are: | |
* a 2D array (2 x N or N x 2); | |
* a sequence of N sequences, each with 2 values. | |
If all variables have the same bounds, a single pair of values can | |
be specified. Valid formats are: | |
* a sequence with 2 scalar values; | |
* a sequence with a single element containing 2 scalar values. | |
If all variables have a lower bound of 0 and no upper bound, the bounds | |
parameter can be omitted (or given as None). | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
Returns | |
------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N | |
elements of ``x``. The N x 2 array contains lower bounds in the first | |
column and upper bounds in the 2nd. Unbounded variables have lower | |
bound -np.inf and/or upper bound np.inf. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
""" | |
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = lp | |
if c is None: | |
raise TypeError | |
try: | |
c = np.array(c, dtype=np.float64, copy=True).squeeze() | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: c must be a 1-D array of numerical " | |
"coefficients") from e | |
else: | |
# If c is a single value, convert it to a 1-D array. | |
if c.size == 1: | |
c = c.reshape(-1) | |
n_x = len(c) | |
if n_x == 0 or len(c.shape) != 1: | |
raise ValueError( | |
"Invalid input for linprog: c must be a 1-D array and must " | |
"not have more than one non-singleton dimension") | |
if not np.isfinite(c).all(): | |
raise ValueError( | |
"Invalid input for linprog: c must not contain values " | |
"inf, nan, or None") | |
sparse_lhs = sps.issparse(A_eq) or sps.issparse(A_ub) | |
try: | |
A_ub = _format_A_constraints(A_ub, n_x, sparse_lhs=sparse_lhs) | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: A_ub must be a 2-D array " | |
"of numerical values") from e | |
else: | |
n_ub = A_ub.shape[0] | |
if len(A_ub.shape) != 2 or A_ub.shape[1] != n_x: | |
raise ValueError( | |
"Invalid input for linprog: A_ub must have exactly two " | |
"dimensions, and the number of columns in A_ub must be " | |
"equal to the size of c") | |
if (sps.issparse(A_ub) and not np.isfinite(A_ub.data).all() | |
or not sps.issparse(A_ub) and not np.isfinite(A_ub).all()): | |
raise ValueError( | |
"Invalid input for linprog: A_ub must not contain values " | |
"inf, nan, or None") | |
try: | |
b_ub = _format_b_constraints(b_ub) | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: b_ub must be a 1-D array of " | |
"numerical values, each representing the upper bound of an " | |
"inequality constraint (row) in A_ub") from e | |
else: | |
if b_ub.shape != (n_ub,): | |
raise ValueError( | |
"Invalid input for linprog: b_ub must be a 1-D array; b_ub " | |
"must not have more than one non-singleton dimension and " | |
"the number of rows in A_ub must equal the number of values " | |
"in b_ub") | |
if not np.isfinite(b_ub).all(): | |
raise ValueError( | |
"Invalid input for linprog: b_ub must not contain values " | |
"inf, nan, or None") | |
try: | |
A_eq = _format_A_constraints(A_eq, n_x, sparse_lhs=sparse_lhs) | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: A_eq must be a 2-D array " | |
"of numerical values") from e | |
else: | |
n_eq = A_eq.shape[0] | |
if len(A_eq.shape) != 2 or A_eq.shape[1] != n_x: | |
raise ValueError( | |
"Invalid input for linprog: A_eq must have exactly two " | |
"dimensions, and the number of columns in A_eq must be " | |
"equal to the size of c") | |
if (sps.issparse(A_eq) and not np.isfinite(A_eq.data).all() | |
or not sps.issparse(A_eq) and not np.isfinite(A_eq).all()): | |
raise ValueError( | |
"Invalid input for linprog: A_eq must not contain values " | |
"inf, nan, or None") | |
try: | |
b_eq = _format_b_constraints(b_eq) | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: b_eq must be a dense, 1-D array of " | |
"numerical values, each representing the right hand side of an " | |
"equality constraint (row) in A_eq") from e | |
else: | |
if b_eq.shape != (n_eq,): | |
raise ValueError( | |
"Invalid input for linprog: b_eq must be a 1-D array; b_eq " | |
"must not have more than one non-singleton dimension and " | |
"the number of rows in A_eq must equal the number of values " | |
"in b_eq") | |
if not np.isfinite(b_eq).all(): | |
raise ValueError( | |
"Invalid input for linprog: b_eq must not contain values " | |
"inf, nan, or None") | |
# x0 gives a (optional) starting solution to the solver. If x0 is None, | |
# skip the checks. Initial solution will be generated automatically. | |
if x0 is not None: | |
try: | |
x0 = np.array(x0, dtype=float, copy=True).squeeze() | |
except ValueError as e: | |
raise TypeError( | |
"Invalid input for linprog: x0 must be a 1-D array of " | |
"numerical coefficients") from e | |
if x0.ndim == 0: | |
x0 = x0.reshape(-1) | |
if len(x0) == 0 or x0.ndim != 1: | |
raise ValueError( | |
"Invalid input for linprog: x0 should be a 1-D array; it " | |
"must not have more than one non-singleton dimension") | |
if not x0.size == c.size: | |
raise ValueError( | |
"Invalid input for linprog: x0 and c should contain the " | |
"same number of elements") | |
if not np.isfinite(x0).all(): | |
raise ValueError( | |
"Invalid input for linprog: x0 must not contain values " | |
"inf, nan, or None") | |
# Bounds can be one of these formats: | |
# (1) a 2-D array or sequence, with shape N x 2 | |
# (2) a 1-D or 2-D sequence or array with 2 scalars | |
# (3) None (or an empty sequence or array) | |
# Unspecified bounds can be represented by None or (-)np.inf. | |
# All formats are converted into a N x 2 np.array with (-)np.inf where | |
# bounds are unspecified. | |
# Prepare clean bounds array | |
bounds_clean = np.zeros((n_x, 2), dtype=float) | |
# Convert to a numpy array. | |
# np.array(..,dtype=float) raises an error if dimensions are inconsistent | |
# or if there are invalid data types in bounds. Just add a linprog prefix | |
# to the error and re-raise. | |
# Creating at least a 2-D array simplifies the cases to distinguish below. | |
if bounds is None or np.array_equal(bounds, []) or np.array_equal(bounds, [[]]): | |
bounds = (0, np.inf) | |
try: | |
bounds_conv = np.atleast_2d(np.array(bounds, dtype=float)) | |
except ValueError as e: | |
raise ValueError( | |
"Invalid input for linprog: unable to interpret bounds, " | |
"check values and dimensions: " + e.args[0]) from e | |
except TypeError as e: | |
raise TypeError( | |
"Invalid input for linprog: unable to interpret bounds, " | |
"check values and dimensions: " + e.args[0]) from e | |
# Check bounds options | |
bsh = bounds_conv.shape | |
if len(bsh) > 2: | |
# Do not try to handle multidimensional bounds input | |
raise ValueError( | |
"Invalid input for linprog: provide a 2-D array for bounds, " | |
f"not a {len(bsh):d}-D array.") | |
elif np.all(bsh == (n_x, 2)): | |
# Regular N x 2 array | |
bounds_clean = bounds_conv | |
elif (np.all(bsh == (2, 1)) or np.all(bsh == (1, 2))): | |
# 2 values: interpret as overall lower and upper bound | |
bounds_flat = bounds_conv.flatten() | |
bounds_clean[:, 0] = bounds_flat[0] | |
bounds_clean[:, 1] = bounds_flat[1] | |
elif np.all(bsh == (2, n_x)): | |
# Reject a 2 x N array | |
raise ValueError( | |
f"Invalid input for linprog: provide a {n_x:d} x 2 array for bounds, " | |
f"not a 2 x {n_x:d} array.") | |
else: | |
raise ValueError( | |
"Invalid input for linprog: unable to interpret bounds with this " | |
f"dimension tuple: {bsh}.") | |
# The process above creates nan-s where the input specified None | |
# Convert the nan-s in the 1st column to -np.inf and in the 2nd column | |
# to np.inf | |
i_none = np.isnan(bounds_clean[:, 0]) | |
bounds_clean[i_none, 0] = -np.inf | |
i_none = np.isnan(bounds_clean[:, 1]) | |
bounds_clean[i_none, 1] = np.inf | |
return _LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds_clean, x0, integrality) | |
def _presolve(lp, rr, rr_method, tol=1e-9): | |
""" | |
Given inputs for a linear programming problem in preferred format, | |
presolve the problem: identify trivial infeasibilities, redundancies, | |
and unboundedness, tighten bounds where possible, and eliminate fixed | |
variables. | |
Parameters | |
---------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N | |
elements of ``x``. The N x 2 array contains lower bounds in the first | |
column and upper bounds in the 2nd. Unbounded variables have lower | |
bound -np.inf and/or upper bound np.inf. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
rr : bool | |
If ``True`` attempts to eliminate any redundant rows in ``A_eq``. | |
Set False if ``A_eq`` is known to be of full row rank, or if you are | |
looking for a potential speedup (at the expense of reliability). | |
rr_method : string | |
Method used to identify and remove redundant rows from the | |
equality constraint matrix after presolve. | |
tol : float | |
The tolerance which determines when a solution is "close enough" to | |
zero in Phase 1 to be considered a basic feasible solution or close | |
enough to positive to serve as an optimal solution. | |
Returns | |
------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, as ``min`` and ``max`` pairs, possibly tightened. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
c0 : 1D array | |
Constant term in objective function due to fixed (and eliminated) | |
variables. | |
x : 1D array | |
Solution vector (when the solution is trivial and can be determined | |
in presolve) | |
revstack: list of functions | |
the functions in the list reverse the operations of _presolve() | |
the function signature is x_org = f(x_mod), where x_mod is the result | |
of a presolve step and x_org the value at the start of the step | |
(currently, the revstack contains only one function) | |
complete: bool | |
Whether the solution is complete (solved or determined to be infeasible | |
or unbounded in presolve) | |
status : int | |
An integer representing the exit status of the optimization:: | |
0 : Optimization terminated successfully | |
1 : Iteration limit reached | |
2 : Problem appears to be infeasible | |
3 : Problem appears to be unbounded | |
4 : Serious numerical difficulties encountered | |
message : str | |
A string descriptor of the exit status of the optimization. | |
References | |
---------- | |
.. [5] Andersen, Erling D. "Finding all linearly dependent rows in | |
large-scale linear programming." Optimization Methods and Software | |
6.3 (1995): 219-227. | |
.. [8] Andersen, Erling D., and Knud D. Andersen. "Presolving in linear | |
programming." Mathematical Programming 71.2 (1995): 221-245. | |
""" | |
# ideas from Reference [5] by Andersen and Andersen | |
# however, unlike the reference, this is performed before converting | |
# problem to standard form | |
# There are a few advantages: | |
# * artificial variables have not been added, so matrices are smaller | |
# * bounds have not been converted to constraints yet. (It is better to | |
# do that after presolve because presolve may adjust the simple bounds.) | |
# There are many improvements that can be made, namely: | |
# * implement remaining checks from [5] | |
# * loop presolve until no additional changes are made | |
# * implement additional efficiency improvements in redundancy removal [2] | |
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, _ = lp | |
revstack = [] # record of variables eliminated from problem | |
# constant term in cost function may be added if variables are eliminated | |
c0 = 0 | |
complete = False # complete is True if detected infeasible/unbounded | |
x = np.zeros(c.shape) # this is solution vector if completed in presolve | |
status = 0 # all OK unless determined otherwise | |
message = "" | |
# Lower and upper bounds. Copy to prevent feedback. | |
lb = bounds[:, 0].copy() | |
ub = bounds[:, 1].copy() | |
m_eq, n = A_eq.shape | |
m_ub, n = A_ub.shape | |
if (rr_method is not None | |
and rr_method.lower() not in {"svd", "pivot", "id"}): | |
message = ("'" + str(rr_method) + "' is not a valid option " | |
"for redundancy removal. Valid options are 'SVD', " | |
"'pivot', and 'ID'.") | |
raise ValueError(message) | |
if sps.issparse(A_eq): | |
A_eq = A_eq.tocsr() | |
A_ub = A_ub.tocsr() | |
def where(A): | |
return A.nonzero() | |
vstack = sps.vstack | |
else: | |
where = np.where | |
vstack = np.vstack | |
# upper bounds > lower bounds | |
if np.any(ub < lb) or np.any(lb == np.inf) or np.any(ub == -np.inf): | |
status = 2 | |
message = ("The problem is (trivially) infeasible since one " | |
"or more upper bounds are smaller than the corresponding " | |
"lower bounds, a lower bound is np.inf or an upper bound " | |
"is -np.inf.") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
# zero row in equality constraints | |
zero_row = np.array(np.sum(A_eq != 0, axis=1) == 0).flatten() | |
if np.any(zero_row): | |
if np.any( | |
np.logical_and( | |
zero_row, | |
np.abs(b_eq) > tol)): # test_zero_row_1 | |
# infeasible if RHS is not zero | |
status = 2 | |
message = ("The problem is (trivially) infeasible due to a row " | |
"of zeros in the equality constraint matrix with a " | |
"nonzero corresponding constraint value.") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
else: # test_zero_row_2 | |
# if RHS is zero, we can eliminate this equation entirely | |
A_eq = A_eq[np.logical_not(zero_row), :] | |
b_eq = b_eq[np.logical_not(zero_row)] | |
# zero row in inequality constraints | |
zero_row = np.array(np.sum(A_ub != 0, axis=1) == 0).flatten() | |
if np.any(zero_row): | |
if np.any(np.logical_and(zero_row, b_ub < -tol)): # test_zero_row_1 | |
# infeasible if RHS is less than zero (because LHS is zero) | |
status = 2 | |
message = ("The problem is (trivially) infeasible due to a row " | |
"of zeros in the equality constraint matrix with a " | |
"nonzero corresponding constraint value.") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
else: # test_zero_row_2 | |
# if LHS is >= 0, we can eliminate this constraint entirely | |
A_ub = A_ub[np.logical_not(zero_row), :] | |
b_ub = b_ub[np.logical_not(zero_row)] | |
# zero column in (both) constraints | |
# this indicates that a variable isn't constrained and can be removed | |
A = vstack((A_eq, A_ub)) | |
if A.shape[0] > 0: | |
zero_col = np.array(np.sum(A != 0, axis=0) == 0).flatten() | |
# variable will be at upper or lower bound, depending on objective | |
x[np.logical_and(zero_col, c < 0)] = ub[ | |
np.logical_and(zero_col, c < 0)] | |
x[np.logical_and(zero_col, c > 0)] = lb[ | |
np.logical_and(zero_col, c > 0)] | |
if np.any(np.isinf(x)): # if an unconstrained variable has no bound | |
status = 3 | |
message = ("If feasible, the problem is (trivially) unbounded " | |
"due to a zero column in the constraint matrices. If " | |
"you wish to check whether the problem is infeasible, " | |
"turn presolve off.") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
# variables will equal upper/lower bounds will be removed later | |
lb[np.logical_and(zero_col, c < 0)] = ub[ | |
np.logical_and(zero_col, c < 0)] | |
ub[np.logical_and(zero_col, c > 0)] = lb[ | |
np.logical_and(zero_col, c > 0)] | |
# row singleton in equality constraints | |
# this fixes a variable and removes the constraint | |
singleton_row = np.array(np.sum(A_eq != 0, axis=1) == 1).flatten() | |
rows = where(singleton_row)[0] | |
cols = where(A_eq[rows, :])[1] | |
if len(rows) > 0: | |
for row, col in zip(rows, cols): | |
val = b_eq[row] / A_eq[row, col] | |
if not lb[col] - tol <= val <= ub[col] + tol: | |
# infeasible if fixed value is not within bounds | |
status = 2 | |
message = ("The problem is (trivially) infeasible because a " | |
"singleton row in the equality constraints is " | |
"inconsistent with the bounds.") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
else: | |
# sets upper and lower bounds at that fixed value - variable | |
# will be removed later | |
lb[col] = val | |
ub[col] = val | |
A_eq = A_eq[np.logical_not(singleton_row), :] | |
b_eq = b_eq[np.logical_not(singleton_row)] | |
# row singleton in inequality constraints | |
# this indicates a simple bound and the constraint can be removed | |
# simple bounds may be adjusted here | |
# After all of the simple bound information is combined here, get_Abc will | |
# turn the simple bounds into constraints | |
singleton_row = np.array(np.sum(A_ub != 0, axis=1) == 1).flatten() | |
cols = where(A_ub[singleton_row, :])[1] | |
rows = where(singleton_row)[0] | |
if len(rows) > 0: | |
for row, col in zip(rows, cols): | |
val = b_ub[row] / A_ub[row, col] | |
if A_ub[row, col] > 0: # upper bound | |
if val < lb[col] - tol: # infeasible | |
complete = True | |
elif val < ub[col]: # new upper bound | |
ub[col] = val | |
else: # lower bound | |
if val > ub[col] + tol: # infeasible | |
complete = True | |
elif val > lb[col]: # new lower bound | |
lb[col] = val | |
if complete: | |
status = 2 | |
message = ("The problem is (trivially) infeasible because a " | |
"singleton row in the upper bound constraints is " | |
"inconsistent with the bounds.") | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
A_ub = A_ub[np.logical_not(singleton_row), :] | |
b_ub = b_ub[np.logical_not(singleton_row)] | |
# identical bounds indicate that variable can be removed | |
i_f = np.abs(lb - ub) < tol # indices of "fixed" variables | |
i_nf = np.logical_not(i_f) # indices of "not fixed" variables | |
# test_bounds_equal_but_infeasible | |
if np.all(i_f): # if bounds define solution, check for consistency | |
residual = b_eq - A_eq.dot(lb) | |
slack = b_ub - A_ub.dot(lb) | |
if ((A_ub.size > 0 and np.any(slack < 0)) or | |
(A_eq.size > 0 and not np.allclose(residual, 0))): | |
status = 2 | |
message = ("The problem is (trivially) infeasible because the " | |
"bounds fix all variables to values inconsistent with " | |
"the constraints") | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
ub_mod = ub | |
lb_mod = lb | |
if np.any(i_f): | |
c0 += c[i_f].dot(lb[i_f]) | |
b_eq = b_eq - A_eq[:, i_f].dot(lb[i_f]) | |
b_ub = b_ub - A_ub[:, i_f].dot(lb[i_f]) | |
c = c[i_nf] | |
x_undo = lb[i_f] # not x[i_f], x is just zeroes | |
x = x[i_nf] | |
# user guess x0 stays separate from presolve solution x | |
if x0 is not None: | |
x0 = x0[i_nf] | |
A_eq = A_eq[:, i_nf] | |
A_ub = A_ub[:, i_nf] | |
# modify bounds | |
lb_mod = lb[i_nf] | |
ub_mod = ub[i_nf] | |
def rev(x_mod): | |
# Function to restore x: insert x_undo into x_mod. | |
# When elements have been removed at positions k1, k2, k3, ... | |
# then these must be replaced at (after) positions k1-1, k2-2, | |
# k3-3, ... in the modified array to recreate the original | |
i = np.flatnonzero(i_f) | |
# Number of variables to restore | |
N = len(i) | |
index_offset = np.arange(N) | |
# Create insert indices | |
insert_indices = i - index_offset | |
x_rev = np.insert(x_mod.astype(float), insert_indices, x_undo) | |
return x_rev | |
# Use revstack as a list of functions, currently just this one. | |
revstack.append(rev) | |
# no constraints indicates that problem is trivial | |
if A_eq.size == 0 and A_ub.size == 0: | |
b_eq = np.array([]) | |
b_ub = np.array([]) | |
# test_empty_constraint_1 | |
if c.size == 0: | |
status = 0 | |
message = ("The solution was determined in presolve as there are " | |
"no non-trivial constraints.") | |
elif (np.any(np.logical_and(c < 0, ub_mod == np.inf)) or | |
np.any(np.logical_and(c > 0, lb_mod == -np.inf))): | |
# test_no_constraints() | |
# test_unbounded_no_nontrivial_constraints_1 | |
# test_unbounded_no_nontrivial_constraints_2 | |
status = 3 | |
message = ("The problem is (trivially) unbounded " | |
"because there are no non-trivial constraints and " | |
"a) at least one decision variable is unbounded " | |
"above and its corresponding cost is negative, or " | |
"b) at least one decision variable is unbounded below " | |
"and its corresponding cost is positive. ") | |
else: # test_empty_constraint_2 | |
status = 0 | |
message = ("The solution was determined in presolve as there are " | |
"no non-trivial constraints.") | |
complete = True | |
x[c < 0] = ub_mod[c < 0] | |
x[c > 0] = lb_mod[c > 0] | |
# where c is zero, set x to a finite bound or zero | |
x_zero_c = ub_mod[c == 0] | |
x_zero_c[np.isinf(x_zero_c)] = ub_mod[c == 0][np.isinf(x_zero_c)] | |
x_zero_c[np.isinf(x_zero_c)] = 0 | |
x[c == 0] = x_zero_c | |
# if this is not the last step of presolve, should convert bounds back | |
# to array and return here | |
# Convert modified lb and ub back into N x 2 bounds | |
bounds = np.hstack((lb_mod[:, np.newaxis], ub_mod[:, np.newaxis])) | |
# remove redundant (linearly dependent) rows from equality constraints | |
n_rows_A = A_eq.shape[0] | |
redundancy_warning = ("A_eq does not appear to be of full row rank. To " | |
"improve performance, check the problem formulation " | |
"for redundant equality constraints.") | |
if (sps.issparse(A_eq)): | |
if rr and A_eq.size > 0: # TODO: Fast sparse rank check? | |
rr_res = _remove_redundancy_pivot_sparse(A_eq, b_eq) | |
A_eq, b_eq, status, message = rr_res | |
if A_eq.shape[0] < n_rows_A: | |
warn(redundancy_warning, OptimizeWarning, stacklevel=1) | |
if status != 0: | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
# This is a wild guess for which redundancy removal algorithm will be | |
# faster. More testing would be good. | |
small_nullspace = 5 | |
if rr and A_eq.size > 0: | |
try: # TODO: use results of first SVD in _remove_redundancy_svd | |
rank = np.linalg.matrix_rank(A_eq) | |
# oh well, we'll have to go with _remove_redundancy_pivot_dense | |
except Exception: | |
rank = 0 | |
if rr and A_eq.size > 0 and rank < A_eq.shape[0]: | |
warn(redundancy_warning, OptimizeWarning, stacklevel=3) | |
dim_row_nullspace = A_eq.shape[0]-rank | |
if rr_method is None: | |
if dim_row_nullspace <= small_nullspace: | |
rr_res = _remove_redundancy_svd(A_eq, b_eq) | |
A_eq, b_eq, status, message = rr_res | |
if dim_row_nullspace > small_nullspace or status == 4: | |
rr_res = _remove_redundancy_pivot_dense(A_eq, b_eq) | |
A_eq, b_eq, status, message = rr_res | |
else: | |
rr_method = rr_method.lower() | |
if rr_method == "svd": | |
rr_res = _remove_redundancy_svd(A_eq, b_eq) | |
A_eq, b_eq, status, message = rr_res | |
elif rr_method == "pivot": | |
rr_res = _remove_redundancy_pivot_dense(A_eq, b_eq) | |
A_eq, b_eq, status, message = rr_res | |
elif rr_method == "id": | |
rr_res = _remove_redundancy_id(A_eq, b_eq, rank) | |
A_eq, b_eq, status, message = rr_res | |
else: # shouldn't get here; option validity checked above | |
pass | |
if A_eq.shape[0] < rank: | |
message = ("Due to numerical issues, redundant equality " | |
"constraints could not be removed automatically. " | |
"Try providing your constraint matrices as sparse " | |
"matrices to activate sparse presolve, try turning " | |
"off redundancy removal, or try turning off presolve " | |
"altogether.") | |
status = 4 | |
if status != 0: | |
complete = True | |
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), | |
c0, x, revstack, complete, status, message) | |
def _parse_linprog(lp, options, meth): | |
""" | |
Parse the provided linear programming problem | |
``_parse_linprog`` employs two main steps ``_check_sparse_inputs`` and | |
``_clean_inputs``. ``_check_sparse_inputs`` checks for sparsity in the | |
provided constraints (``A_ub`` and ``A_eq) and if these match the provided | |
sparsity optional values. | |
``_clean inputs`` checks of the provided inputs. If no violations are | |
identified the objective vector, upper bound constraints, equality | |
constraints, and simple bounds are returned in the expected format. | |
Parameters | |
---------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : various valid formats, optional | |
The bounds of ``x``, as ``min`` and ``max`` pairs. | |
If bounds are specified for all N variables separately, valid formats are: | |
* a 2D array (2 x N or N x 2); | |
* a sequence of N sequences, each with 2 values. | |
If all variables have the same bounds, a single pair of values can | |
be specified. Valid formats are: | |
* a sequence with 2 scalar values; | |
* a sequence with a single element containing 2 scalar values. | |
If all variables have a lower bound of 0 and no upper bound, the bounds | |
parameter can be omitted (or given as None). | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
options : dict | |
A dictionary of solver options. All methods accept the following | |
generic options: | |
maxiter : int | |
Maximum number of iterations to perform. | |
disp : bool | |
Set to True to print convergence messages. | |
For method-specific options, see :func:`show_options('linprog')`. | |
Returns | |
------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N | |
elements of ``x``. The N x 2 array contains lower bounds in the first | |
column and upper bounds in the 2nd. Unbounded variables have lower | |
bound -np.inf and/or upper bound np.inf. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
options : dict, optional | |
A dictionary of solver options. All methods accept the following | |
generic options: | |
maxiter : int | |
Maximum number of iterations to perform. | |
disp : bool | |
Set to True to print convergence messages. | |
For method-specific options, see :func:`show_options('linprog')`. | |
""" | |
if options is None: | |
options = {} | |
solver_options = {k: v for k, v in options.items()} | |
solver_options, A_ub, A_eq = _check_sparse_inputs(solver_options, meth, | |
lp.A_ub, lp.A_eq) | |
# Convert lists to numpy arrays, etc... | |
lp = _clean_inputs(lp._replace(A_ub=A_ub, A_eq=A_eq)) | |
return lp, solver_options | |
def _get_Abc(lp, c0): | |
""" | |
Given a linear programming problem of the form: | |
Minimize:: | |
c @ x | |
Subject to:: | |
A_ub @ x <= b_ub | |
A_eq @ x == b_eq | |
lb <= x <= ub | |
where ``lb = 0`` and ``ub = None`` unless set in ``bounds``. | |
Return the problem in standard form: | |
Minimize:: | |
c @ x | |
Subject to:: | |
A @ x == b | |
x >= 0 | |
by adding slack variables and making variable substitutions as necessary. | |
Parameters | |
---------- | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, lower bounds in the 1st column, upper | |
bounds in the 2nd column. The bounds are possibly tightened | |
by the presolve procedure. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
c0 : float | |
Constant term in objective function due to fixed (and eliminated) | |
variables. | |
Returns | |
------- | |
A : 2-D array | |
2-D array such that ``A`` @ ``x``, gives the values of the equality | |
constraints at ``x``. | |
b : 1-D array | |
1-D array of values representing the RHS of each equality constraint | |
(row) in A (for standard form problem). | |
c : 1-D array | |
Coefficients of the linear objective function to be minimized (for | |
standard form problem). | |
c0 : float | |
Constant term in objective function due to fixed (and eliminated) | |
variables. | |
x0 : 1-D array | |
Starting values of the independent variables, which will be refined by | |
the optimization algorithm | |
References | |
---------- | |
.. [9] Bertsimas, Dimitris, and J. Tsitsiklis. "Introduction to linear | |
programming." Athena Scientific 1 (1997): 997. | |
""" | |
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = lp | |
if sps.issparse(A_eq): | |
sparse = True | |
A_eq = sps.csr_matrix(A_eq) | |
A_ub = sps.csr_matrix(A_ub) | |
def hstack(blocks): | |
return sps.hstack(blocks, format="csr") | |
def vstack(blocks): | |
return sps.vstack(blocks, format="csr") | |
zeros = sps.csr_matrix | |
eye = sps.eye | |
else: | |
sparse = False | |
hstack = np.hstack | |
vstack = np.vstack | |
zeros = np.zeros | |
eye = np.eye | |
# Variables lbs and ubs (see below) may be changed, which feeds back into | |
# bounds, so copy. | |
bounds = np.array(bounds, copy=True) | |
# modify problem such that all variables have only non-negativity bounds | |
lbs = bounds[:, 0] | |
ubs = bounds[:, 1] | |
m_ub, n_ub = A_ub.shape | |
lb_none = np.equal(lbs, -np.inf) | |
ub_none = np.equal(ubs, np.inf) | |
lb_some = np.logical_not(lb_none) | |
ub_some = np.logical_not(ub_none) | |
# unbounded below: substitute xi = -xi' (unbounded above) | |
# if -inf <= xi <= ub, then -ub <= -xi <= inf, so swap and invert bounds | |
l_nolb_someub = np.logical_and(lb_none, ub_some) | |
i_nolb = np.nonzero(l_nolb_someub)[0] | |
lbs[l_nolb_someub], ubs[l_nolb_someub] = ( | |
-ubs[l_nolb_someub], -lbs[l_nolb_someub]) | |
lb_none = np.equal(lbs, -np.inf) | |
ub_none = np.equal(ubs, np.inf) | |
lb_some = np.logical_not(lb_none) | |
ub_some = np.logical_not(ub_none) | |
c[i_nolb] *= -1 | |
if x0 is not None: | |
x0[i_nolb] *= -1 | |
if len(i_nolb) > 0: | |
if A_ub.shape[0] > 0: # sometimes needed for sparse arrays... weird | |
A_ub[:, i_nolb] *= -1 | |
if A_eq.shape[0] > 0: | |
A_eq[:, i_nolb] *= -1 | |
# upper bound: add inequality constraint | |
i_newub, = ub_some.nonzero() | |
ub_newub = ubs[ub_some] | |
n_bounds = len(i_newub) | |
if n_bounds > 0: | |
shape = (n_bounds, A_ub.shape[1]) | |
if sparse: | |
idxs = (np.arange(n_bounds), i_newub) | |
A_ub = vstack((A_ub, sps.csr_matrix((np.ones(n_bounds), idxs), | |
shape=shape))) | |
else: | |
A_ub = vstack((A_ub, np.zeros(shape))) | |
A_ub[np.arange(m_ub, A_ub.shape[0]), i_newub] = 1 | |
b_ub = np.concatenate((b_ub, np.zeros(n_bounds))) | |
b_ub[m_ub:] = ub_newub | |
A1 = vstack((A_ub, A_eq)) | |
b = np.concatenate((b_ub, b_eq)) | |
c = np.concatenate((c, np.zeros((A_ub.shape[0],)))) | |
if x0 is not None: | |
x0 = np.concatenate((x0, np.zeros((A_ub.shape[0],)))) | |
# unbounded: substitute xi = xi+ + xi- | |
l_free = np.logical_and(lb_none, ub_none) | |
i_free = np.nonzero(l_free)[0] | |
n_free = len(i_free) | |
c = np.concatenate((c, np.zeros(n_free))) | |
if x0 is not None: | |
x0 = np.concatenate((x0, np.zeros(n_free))) | |
A1 = hstack((A1[:, :n_ub], -A1[:, i_free])) | |
c[n_ub:n_ub+n_free] = -c[i_free] | |
if x0 is not None: | |
i_free_neg = x0[i_free] < 0 | |
x0[np.arange(n_ub, A1.shape[1])[i_free_neg]] = -x0[i_free[i_free_neg]] | |
x0[i_free[i_free_neg]] = 0 | |
# add slack variables | |
A2 = vstack([eye(A_ub.shape[0]), zeros((A_eq.shape[0], A_ub.shape[0]))]) | |
A = hstack([A1, A2]) | |
# lower bound: substitute xi = xi' + lb | |
# now there is a constant term in objective | |
i_shift = np.nonzero(lb_some)[0] | |
lb_shift = lbs[lb_some].astype(float) | |
c0 += np.sum(lb_shift * c[i_shift]) | |
if sparse: | |
b = b.reshape(-1, 1) | |
A = A.tocsc() | |
b -= (A[:, i_shift] * sps.diags(lb_shift)).sum(axis=1) | |
b = b.ravel() | |
else: | |
b -= (A[:, i_shift] * lb_shift).sum(axis=1) | |
if x0 is not None: | |
x0[i_shift] -= lb_shift | |
return A, b, c, c0, x0 | |
def _round_to_power_of_two(x): | |
""" | |
Round elements of the array to the nearest power of two. | |
""" | |
return 2**np.around(np.log2(x)) | |
def _autoscale(A, b, c, x0): | |
""" | |
Scales the problem according to equilibration from [12]. | |
Also normalizes the right hand side vector by its maximum element. | |
""" | |
m, n = A.shape | |
C = 1 | |
R = 1 | |
if A.size > 0: | |
R = np.max(np.abs(A), axis=1) | |
if sps.issparse(A): | |
R = R.toarray().flatten() | |
R[R == 0] = 1 | |
R = 1/_round_to_power_of_two(R) | |
A = sps.diags(R)*A if sps.issparse(A) else A*R.reshape(m, 1) | |
b = b*R | |
C = np.max(np.abs(A), axis=0) | |
if sps.issparse(A): | |
C = C.toarray().flatten() | |
C[C == 0] = 1 | |
C = 1/_round_to_power_of_two(C) | |
A = A*sps.diags(C) if sps.issparse(A) else A*C | |
c = c*C | |
b_scale = np.max(np.abs(b)) if b.size > 0 else 1 | |
if b_scale == 0: | |
b_scale = 1. | |
b = b/b_scale | |
if x0 is not None: | |
x0 = x0/b_scale*(1/C) | |
return A, b, c, x0, C, b_scale | |
def _unscale(x, C, b_scale): | |
""" | |
Converts solution to _autoscale problem -> solution to original problem. | |
""" | |
try: | |
n = len(C) | |
# fails if sparse or scalar; that's OK. | |
# this is only needed for original simplex (never sparse) | |
except TypeError: | |
n = len(x) | |
return x[:n]*b_scale*C | |
def _display_summary(message, status, fun, iteration): | |
""" | |
Print the termination summary of the linear program | |
Parameters | |
---------- | |
message : str | |
A string descriptor of the exit status of the optimization. | |
status : int | |
An integer representing the exit status of the optimization:: | |
0 : Optimization terminated successfully | |
1 : Iteration limit reached | |
2 : Problem appears to be infeasible | |
3 : Problem appears to be unbounded | |
4 : Serious numerical difficulties encountered | |
fun : float | |
Value of the objective function. | |
iteration : iteration | |
The number of iterations performed. | |
""" | |
print(message) | |
if status in (0, 1): | |
print(f" Current function value: {fun: <12.6f}") | |
print(f" Iterations: {iteration:d}") | |
def _postsolve(x, postsolve_args, complete=False): | |
""" | |
Given solution x to presolved, standard form linear program x, add | |
fixed variables back into the problem and undo the variable substitutions | |
to get solution to original linear program. Also, calculate the objective | |
function value, slack in original upper bound constraints, and residuals | |
in original equality constraints. | |
Parameters | |
---------- | |
x : 1-D array | |
Solution vector to the standard-form problem. | |
postsolve_args : tuple | |
Data needed by _postsolve to convert the solution to the standard-form | |
problem into the solution to the original problem, including: | |
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields: | |
c : 1D array | |
The coefficients of the linear objective function to be minimized. | |
A_ub : 2D array, optional | |
The inequality constraint matrix. Each row of ``A_ub`` specifies the | |
coefficients of a linear inequality constraint on ``x``. | |
b_ub : 1D array, optional | |
The inequality constraint vector. Each element represents an | |
upper bound on the corresponding value of ``A_ub @ x``. | |
A_eq : 2D array, optional | |
The equality constraint matrix. Each row of ``A_eq`` specifies the | |
coefficients of a linear equality constraint on ``x``. | |
b_eq : 1D array, optional | |
The equality constraint vector. Each element of ``A_eq @ x`` must equal | |
the corresponding element of ``b_eq``. | |
bounds : 2D array | |
The bounds of ``x``, lower bounds in the 1st column, upper | |
bounds in the 2nd column. The bounds are possibly tightened | |
by the presolve procedure. | |
x0 : 1D array, optional | |
Guess values of the decision variables, which will be refined by | |
the optimization algorithm. This argument is currently used only by the | |
'revised simplex' method, and can only be used if `x0` represents a | |
basic feasible solution. | |
revstack: list of functions | |
the functions in the list reverse the operations of _presolve() | |
the function signature is x_org = f(x_mod), where x_mod is the result | |
of a presolve step and x_org the value at the start of the step | |
complete : bool | |
Whether the solution is was determined in presolve (``True`` if so) | |
Returns | |
------- | |
x : 1-D array | |
Solution vector to original linear programming problem | |
fun: float | |
optimal objective value for original problem | |
slack : 1-D array | |
The (non-negative) slack in the upper bound constraints, that is, | |
``b_ub - A_ub @ x`` | |
con : 1-D array | |
The (nominally zero) residuals of the equality constraints, that is, | |
``b - A_eq @ x`` | |
""" | |
# note that all the inputs are the ORIGINAL, unmodified versions | |
# no rows, columns have been removed | |
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = postsolve_args[0] | |
revstack, C, b_scale = postsolve_args[1:] | |
x = _unscale(x, C, b_scale) | |
# Undo variable substitutions of _get_Abc() | |
# if "complete", problem was solved in presolve; don't do anything here | |
n_x = bounds.shape[0] | |
if not complete and bounds is not None: # bounds are never none, probably | |
n_unbounded = 0 | |
for i, bi in enumerate(bounds): | |
lbi = bi[0] | |
ubi = bi[1] | |
if lbi == -np.inf and ubi == np.inf: | |
n_unbounded += 1 | |
x[i] = x[i] - x[n_x + n_unbounded - 1] | |
else: | |
if lbi == -np.inf: | |
x[i] = ubi - x[i] | |
else: | |
x[i] += lbi | |
# all the rest of the variables were artificial | |
x = x[:n_x] | |
# If there were variables removed from the problem, add them back into the | |
# solution vector | |
# Apply the functions in revstack (reverse direction) | |
for rev in reversed(revstack): | |
x = rev(x) | |
fun = x.dot(c) | |
slack = b_ub - A_ub.dot(x) # report slack for ORIGINAL UB constraints | |
# report residuals of ORIGINAL EQ constraints | |
con = b_eq - A_eq.dot(x) | |
return x, fun, slack, con | |
def _check_result(x, fun, status, slack, con, bounds, tol, message, | |
integrality): | |
""" | |
Check the validity of the provided solution. | |
A valid (optimal) solution satisfies all bounds, all slack variables are | |
negative and all equality constraint residuals are strictly non-zero. | |
Further, the lower-bounds, upper-bounds, slack and residuals contain | |
no nan values. | |
Parameters | |
---------- | |
x : 1-D array | |
Solution vector to original linear programming problem | |
fun: float | |
optimal objective value for original problem | |
status : int | |
An integer representing the exit status of the optimization:: | |
0 : Optimization terminated successfully | |
1 : Iteration limit reached | |
2 : Problem appears to be infeasible | |
3 : Problem appears to be unbounded | |
4 : Serious numerical difficulties encountered | |
slack : 1-D array | |
The (non-negative) slack in the upper bound constraints, that is, | |
``b_ub - A_ub @ x`` | |
con : 1-D array | |
The (nominally zero) residuals of the equality constraints, that is, | |
``b - A_eq @ x`` | |
bounds : 2D array | |
The bounds on the original variables ``x`` | |
message : str | |
A string descriptor of the exit status of the optimization. | |
tol : float | |
Termination tolerance; see [1]_ Section 4.5. | |
Returns | |
------- | |
status : int | |
An integer representing the exit status of the optimization:: | |
0 : Optimization terminated successfully | |
1 : Iteration limit reached | |
2 : Problem appears to be infeasible | |
3 : Problem appears to be unbounded | |
4 : Serious numerical difficulties encountered | |
message : str | |
A string descriptor of the exit status of the optimization. | |
""" | |
# Somewhat arbitrary | |
tol = np.sqrt(tol) * 10 | |
if x is None: | |
# HiGHS does not provide x if infeasible/unbounded | |
if status == 0: # Observed with HiGHS Simplex Primal | |
status = 4 | |
message = ("The solver did not provide a solution nor did it " | |
"report a failure. Please submit a bug report.") | |
return status, message | |
contains_nans = ( | |
np.isnan(x).any() | |
or np.isnan(fun) | |
or np.isnan(slack).any() | |
or np.isnan(con).any() | |
) | |
if contains_nans: | |
is_feasible = False | |
else: | |
if integrality is None: | |
integrality = 0 | |
valid_bounds = (x >= bounds[:, 0] - tol) & (x <= bounds[:, 1] + tol) | |
# When integrality is 2 or 3, x must be within bounds OR take value 0 | |
valid_bounds |= (integrality > 1) & np.isclose(x, 0, atol=tol) | |
invalid_bounds = not np.all(valid_bounds) | |
invalid_slack = status != 3 and (slack < -tol).any() | |
invalid_con = status != 3 and (np.abs(con) > tol).any() | |
is_feasible = not (invalid_bounds or invalid_slack or invalid_con) | |
if status == 0 and not is_feasible: | |
status = 4 | |
message = ("The solution does not satisfy the constraints within the " | |
"required tolerance of " + f"{tol:.2E}" + ", yet " | |
"no errors were raised and there is no certificate of " | |
"infeasibility or unboundedness. Check whether " | |
"the slack and constraint residuals are acceptable; " | |
"if not, consider enabling presolve, adjusting the " | |
"tolerance option(s), and/or using a different method. " | |
"Please consider submitting a bug report.") | |
elif status == 2 and is_feasible: | |
# Occurs if the simplex method exits after phase one with a very | |
# nearly basic feasible solution. Postsolving can make the solution | |
# basic, however, this solution is NOT optimal | |
status = 4 | |
message = ("The solution is feasible, but the solver did not report " | |
"that the solution was optimal. Please try a different " | |
"method.") | |
return status, message | |