Created Highs::passLinearObjectives Highs::addLinearObjective Highs::…

…clearLinearObjectives, and unit test in TestMultipleObjective.cpp
ERGO-Code · Nov 20, 2024 · e063490 · e063490
1 parent 615663c
commit e063490
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Showing 4 changed files with 81 additions and 112 deletions.
diff --git a/check/CMakeLists.txt b/check/CMakeLists.txt
@@ -48,6 +48,7 @@ if ((NOT FAST_BUILD OR ALL_TESTS) AND NOT (BUILD_EXTRA_UNIT_ONLY))
       TestBasis.cpp
       TestBasisSolves.cpp
       TestCrossover.cpp
+      TestHighsCDouble.cpp
       TestHighsHash.cpp
       TestHighsIntegers.cpp
       TestHighsParallel.cpp
@@ -66,6 +67,7 @@ if ((NOT FAST_BUILD OR ALL_TESTS) AND NOT (BUILD_EXTRA_UNIT_ONLY))
       TestLpModification.cpp
       TestLpOrientation.cpp
       TestModelProperties.cpp
+      TestMultiObjective.cpp
       TestPdlp.cpp
       TestPresolve.cpp
       TestQpSolver.cpp

diff --git a/check/TestHighsIntegers.cpp b/check/TestHighsIntegers.cpp
@@ -1,8 +1,8 @@
 #include "HCheckConfig.h"
 #include "catch.hpp"
-#include "util/HighsCDouble.h"
+// #include "util/HighsCDouble.h"
 #include "util/HighsIntegers.h"
-#include "util/HighsRandom.h"
+// #include "util/HighsRandom.h"
 
 const bool dev_run = false;
 
@@ -40,107 +40,3 @@ TEST_CASE("HighsIntegers", "[util]") {
 
   if (dev_run) printf("integral scalar is %g\n", integralscalar);
 }
-
-void testCeil(HighsCDouble x) {
-  double ceil_x;
-  double double_x;
-  ceil_x = double(ceil(x));
-  double_x = double(x);
-  REQUIRE(ceil_x >= double_x);
-  REQUIRE(ceil(x) >= x);
-}
-
-void testFloor(HighsCDouble x) {
-  double floor_x;
-  double double_x;
-  floor_x = double(floor(x));
-  double_x = double(x);
-  REQUIRE(floor_x <= double_x);
-  REQUIRE(floor(x) <= x);
-}
-TEST_CASE("HighsCDouble-ceil", "[util]") {
-  HighsCDouble x;
-  x = -1e-34;
-  testCeil(x);
-  x = -1e-32;
-  testCeil(x);
-  x = -1e-30;
-  testCeil(x);
-  x = -1e-23;
-  testCeil(x);
-  x = -1e-12;
-  testCeil(x);
-  x = -1e-1;
-  testCeil(x);
-  x = -0.99;
-  testCeil(x);
-
-  x = 0.99;
-  testCeil(x);
-  x = 1e-1;
-  testCeil(x);
-  x = 1e-12;
-  testCeil(x);
-  // This and rest failed in #2041
-  x = 1e-23;
-  testCeil(x);
-  x = 1e-30;
-  testCeil(x);
-  x = 1e-32;
-  testCeil(x);
-  x = 1e-34;
-  testCeil(x);
-
-  HighsRandom rand;
-  for (HighsInt k = 0; k < 1000; k++) {
-    double man = rand.fraction();
-    HighsInt power = 2 - rand.integer(5);
-    double exp = std::pow(10, power);
-    x = man * exp;
-    testCeil(x);
-  }
-}
-
-TEST_CASE("HighsCDouble-floor", "[util]") {
-  HighsCDouble x;
-
-  x = 1e-34;
-  testFloor(x);
-  x = 1e-32;
-  testFloor(x);
-  x = 1e-30;
-  testFloor(x);
-  x = 1e-23;
-  testFloor(x);
-  x = 1e-12;
-  testFloor(x);
-  x = 1e-1;
-  testFloor(x);
-  x = 0.99;
-  testFloor(x);
-
-  x = -0.99;
-  testFloor(x);
-  x = -1e-1;
-  testFloor(x);
-  x = -1e-12;
-  testFloor(x);
-  // This and rest failed in #2041
-  x = -1e-23;
-  testFloor(x);
-  x = -1e-30;
-  testFloor(x);
-  x = -1e-32;
-  testFloor(x);
-  x = -1e-34;
-  testFloor(x);
-
-  HighsRandom rand;
-  for (HighsInt k = 0; k < 1000; k++) {
-    double man = rand.fraction();
-    HighsInt power = 2 - rand.integer(5);
-    double exp = std::pow(10, power);
-    x = man * exp;
-    testFloor(x);
-  }
-}
diff --git a/src/Highs.h b/src/Highs.h
@@ -150,6 +150,23 @@ class Highs {
   HighsStatus passHessian(const HighsInt dim, const HighsInt num_nz,
                           const HighsInt format, const HighsInt* start,
                           const HighsInt* index, const double* value);
+  /**
+   * @brief Pass multiple linear objectives for the incumbent model
+   */
+  HighsStatus passLinearObjectives(
+      const HighsInt num_linear_objective,
+      const HighsLinearObjective* linear_objective);
+
+  /**
+   * @brief Add a linear objective for the incumbent model
+   */
+  HighsStatus addLinearObjective(const HighsLinearObjective& linear_objective);
+
+  /**
+   * @brief Clear the multiple linear objective data
+   */
+  HighsStatus clearLinearObjectives();
+
   /**
    * @brief Pass a column name to the incumbent model
    */
@@ -187,11 +204,6 @@ class Highs {
    */
   HighsStatus run();
 
-  /**
-   * @brief Solve the incumbent model according to the specified options
-   */
-  HighsStatus solve();
-
   /**
    * @brief Postsolve the incumbent model using a solution
    */
@@ -1430,6 +1442,8 @@ class Highs {
 
   bool written_log_header = false;
 
+  HighsStatus solve();
+
   void exactResizeModel() {
     this->model_.lp_.exactResize();
     this->model_.hessian_.exactResize();

diff --git a/src/lp_data/Highs.cpp b/src/lp_data/Highs.cpp
@@ -578,6 +578,39 @@ HighsStatus Highs::passHessian(const HighsInt dim, const HighsInt num_nz,
   return passHessian(hessian);
 }
 
+HighsStatus Highs::passLinearObjectives(
+    const HighsInt num_linear_objective,
+    const HighsLinearObjective* linear_objective) {
+  if (num_linear_objective < 0) return HighsStatus::kOk;
+  this->multi_linear_objective_.clear();
+  for (HighsInt iObj = 0; iObj < num_linear_objective; iObj++)
+    if (this->addLinearObjective(linear_objective[iObj]) != HighsStatus::kOk)
+      return HighsStatus::kError;
+  ;
+  return HighsStatus::kOk;
+}
+
+HighsStatus Highs::addLinearObjective(
+    const HighsLinearObjective& linear_objective) {
+  HighsInt linear_objective_coefficients_size =
+      linear_objective.coefficients.size();
+  if (linear_objective_coefficients_size != this->model_.lp_.num_col_) {
+    highsLogUser(options_.log_options, HighsLogType::kError,
+                 "Coefficient vector for linear objective has size %d != %d = "
+                 "lp.num_col_\n",
+                 int(linear_objective_coefficients_size),
+                 int(this->model_.lp_.num_col_));
+    return HighsStatus::kError;
+  }
+  this->multi_linear_objective_.push_back(linear_objective);
+  return HighsStatus::kOk;
+}
+
+HighsStatus Highs::clearLinearObjectives() {
+  this->multi_linear_objective_.clear();
+  return HighsStatus::kOk;
+}
+
 HighsStatus Highs::passColName(const HighsInt col, const std::string& name) {
   const HighsInt num_col = this->model_.lp_.num_col_;
   if (col < 0 || col >= num_col) {
@@ -877,7 +910,31 @@ HighsStatus Highs::presolve() {
   return returnFromHighs(return_status);
 }
 
-HighsStatus Highs::run() { return this->solve(); }
+HighsStatus Highs::run() {
+  HighsInt num_multi_linear_objective = this->multi_linear_objective_.size();
+  printf("Has %d multiple linear objectives\n",
+         int(num_multi_linear_objective));
+  if (!this->multi_linear_objective_.size()) return this->solve();
+  HighsLp& lp = this->model_.lp_;
+  HighsLinearObjective& multi_linear_objective =
+      this->multi_linear_objective_[0];
+  if (multi_linear_objective.coefficients.size() !=
+      static_cast<size_t>(lp.num_col_)) {
+    highsLogUser(options_.log_options, HighsLogType::kError,
+                 "Multiple linear objective coefficient vector %d has size "
+                 "incompatible with model\n",
+                 int(0));
+    return HighsStatus::kError;
+  }
+  this->clearSolver();
+  // Objective is multiplied by the weight and minimized
+  for (HighsInt iCol = 0; iCol < lp.num_col_; iCol++)
+    lp.col_cost_[iCol] = multi_linear_objective.weight *
+                         multi_linear_objective.coefficients[iCol];
+  lp.offset_ = multi_linear_objective.weight * multi_linear_objective.offset;
+  lp.sense_ = ObjSense::kMinimize;
+  return this->solve();
+}
 
 // Checks the options calls presolve and postsolve if needed. Solvers are called
 // with callSolveLp(..)