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| Original file line number | Diff line number | Diff line change |
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| // Copyright 2010-2022 Google LLC | ||
| // Licensed under the Apache License, Version 2.0 (the "License"); | ||
| // you may not use this file except in compliance with the License. | ||
| // You may obtain a copy of the License at | ||
| // | ||
| // http://www.apache.org/licenses/LICENSE-2.0 | ||
| // | ||
| // Unless required by applicable law or agreed to in writing, software | ||
| // distributed under the License is distributed on an "AS IS" BASIS, | ||
| // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| // See the License for the specific language governing permissions and | ||
| // limitations under the License. | ||
|
|
||
| #include "ortools/math_opt/labs/general_constraint_to_mip.h" | ||
|
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| #include <limits> | ||
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| #include "absl/status/status.h" | ||
| #include "absl/strings/str_format.h" | ||
| #include "ortools/math_opt/cpp/math_opt.h" | ||
| #include "ortools/math_opt/labs/linear_expr_util.h" | ||
|
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| namespace operations_research::math_opt { | ||
|
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| constexpr double kInf = std::numeric_limits<double>::infinity(); | ||
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| absl::Status FormulateIndicatorConstraintAsMip( | ||
| Model& model, const IndicatorConstraint indicator_constraint) { | ||
| if (indicator_constraint.storage() != model.storage()) { | ||
| return absl::InvalidArgumentError( | ||
| absl::StrFormat("Indicator constraint %s is associated with wrong " | ||
| "model (expected: %s, actual: %s)", | ||
| indicator_constraint.name(), model.name(), | ||
| indicator_constraint.storage()->name())); | ||
| } | ||
| if (!indicator_constraint.indicator_variable()) { | ||
| model.DeleteIndicatorConstraint(indicator_constraint); | ||
| return absl::OkStatus(); | ||
| } | ||
| const Variable indicator_variable = | ||
| *indicator_constraint.indicator_variable(); | ||
| if (!indicator_variable.is_integer() || | ||
| indicator_variable.lower_bound() < 0 || | ||
| indicator_variable.upper_bound() > 1) { | ||
| return absl::InvalidArgumentError(absl::StrFormat( | ||
| "In indicator constraint %s: indicator variable %s is " | ||
| "not a binary variable", | ||
| indicator_constraint.name(), indicator_variable.name())); | ||
| } | ||
| const BoundedLinearExpression implied_constraint = | ||
| indicator_constraint.ImpliedConstraint(); | ||
| // One if the implied constraint should hold; zero otherwise. | ||
| const LinearExpression activated_expr = | ||
| indicator_constraint.activate_on_zero() ? 1 - indicator_variable | ||
| : indicator_variable; | ||
| if (implied_constraint.lower_bound > -kInf) { | ||
| const double expr_lower_bound = LowerBound(implied_constraint.expression); | ||
| if (expr_lower_bound == -kInf) { | ||
| return absl::InvalidArgumentError( | ||
| absl::StrFormat("In indicator constraint %s: cannot prove that " | ||
| "implied constraint is unbounded from below", | ||
| indicator_constraint.name())); | ||
| } | ||
| model.AddLinearConstraint( | ||
| implied_constraint.expression >= | ||
| expr_lower_bound + (implied_constraint.lower_bound - expr_lower_bound) * | ||
| activated_expr); | ||
| } | ||
| if (implied_constraint.upper_bound < kInf) { | ||
| const double expr_upper_bound = UpperBound(implied_constraint.expression); | ||
| if (expr_upper_bound == kInf) { | ||
| return absl::InvalidArgumentError( | ||
| absl::StrFormat("In indicator constraint %s: cannot prove that " | ||
| "implied constraint is unbounded from above", | ||
| indicator_constraint.name())); | ||
| } | ||
| model.AddLinearConstraint( | ||
| implied_constraint.expression <= | ||
| expr_upper_bound + (implied_constraint.upper_bound - expr_upper_bound) * | ||
| activated_expr); | ||
| } | ||
| model.DeleteIndicatorConstraint(indicator_constraint); | ||
| return absl::OkStatus(); | ||
| } | ||
|
|
||
| } // namespace operations_research::math_opt |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,44 @@ | ||
| // Copyright 2010-2022 Google LLC | ||
| // Licensed under the Apache License, Version 2.0 (the "License"); | ||
| // you may not use this file except in compliance with the License. | ||
| // You may obtain a copy of the License at | ||
| // | ||
| // http://www.apache.org/licenses/LICENSE-2.0 | ||
| // | ||
| // Unless required by applicable law or agreed to in writing, software | ||
| // distributed under the License is distributed on an "AS IS" BASIS, | ||
| // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| // See the License for the specific language governing permissions and | ||
| // limitations under the License. | ||
|
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| #ifndef OR_TOOLS_MATH_OPT_LABS_GENERAL_CONSTRAINT_TO_MIP_H_ | ||
| #define OR_TOOLS_MATH_OPT_LABS_GENERAL_CONSTRAINT_TO_MIP_H_ | ||
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| #include "absl/status/status.h" | ||
| #include "ortools/math_opt/cpp/math_opt.h" | ||
|
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| namespace operations_research::math_opt { | ||
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| // Takes a `model` and an `indicator_constraint` from that same model, and | ||
| // models that constraint using mixed-integer programming (MIP). This entails | ||
| // deleting `indicator_constraint` from `model` and adding new linear | ||
| // constraints. | ||
| // | ||
| // As of 2023-10-03, this formulation is a simple big-M formulation: | ||
| // | ||
| // Indicator constraint: x = 1 --> lb ≤ <a, y> ≤ ub | ||
| // Becomes: if lb > -∞: <a, y> ≥ lb + (LowerBound(<a, y>) - lb) (1 - x) | ||
| // if ub < +∞: <a, y> ≤ ub + (UpperBound(<a, y>) - ub) (1 - x), | ||
| // | ||
| // where LowerBound() and UpperBound() are from linear_expr_util. | ||
| // | ||
| // Will return an error if `indicator_constraint` is not valid or associated | ||
| // with `model`, or if the simple bound computations are not able to prove that | ||
| // the indicator constraint is MIP representable (namely, if LowerBound() and/or | ||
| // UpperBound() return -∞ or +∞, respectively). | ||
| absl::Status FormulateIndicatorConstraintAsMip( | ||
| Model& model, IndicatorConstraint indicator_constraint); | ||
|
|
||
| } // namespace operations_research::math_opt | ||
|
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| #endif // OR_TOOLS_MATH_OPT_LABS_GENERAL_CONSTRAINT_TO_MIP_H_ |
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