gurobi_solver.h

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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.
 
#ifndef OR_TOOLS_MATH_OPT_SOLVERS_GUROBI_SOLVER_H_
#define OR_TOOLS_MATH_OPT_SOLVERS_GUROBI_SOLVER_H_
 
#include <cstdint>
#include <limits>
#include <memory>
#include <optional>
#include <utility>
#include <vector>
 
#include "absl/container/flat_hash_map.h"
#include "absl/container/flat_hash_set.h"
#include "absl/status/status.h"
#include "absl/status/statusor.h"
#include "absl/time/time.h"
#include "absl/types/span.h"
#include "ortools/base/linked_hash_map.h"
#include "ortools/gurobi/environment.h"
#include "ortools/math_opt/callback.pb.h"
#include "ortools/math_opt/core/invalid_indicators.h"
#include "ortools/math_opt/core/inverted_bounds.h"
#include "ortools/math_opt/core/solve_interrupter.h"
#include "ortools/math_opt/core/solver_interface.h"
#include "ortools/math_opt/model.pb.h"
#include "ortools/math_opt/model_parameters.pb.h"
#include "ortools/math_opt/model_update.pb.h"
#include "ortools/math_opt/parameters.pb.h"
#include "ortools/math_opt/result.pb.h"
#include "ortools/math_opt/solution.pb.h"
#include "ortools/math_opt/solvers/gurobi/g_gurobi.h"
#include "ortools/math_opt/solvers/gurobi_callback.h"
#include "ortools/math_opt/solvers/message_callback_data.h"
#include "ortools/math_opt/sparse_containers.pb.h"
 
namespace operations_research {
namespace math_opt {
 
class GurobiSolver : public SolverInterface {
 public:
  static absl::StatusOr<std::unique_ptr<GurobiSolver>> New(
      const ModelProto& input_model,
      const SolverInterface::InitArgs& init_args);
 
  absl::StatusOr<SolveResultProto> Solve(
      const SolveParametersProto& parameters,
      const ModelSolveParametersProto& model_parameters,
      MessageCallback message_cb,
      const CallbackRegistrationProto& callback_registration, Callback cb,
      SolveInterrupter* interrupter) override;
  absl::StatusOr<bool> Update(const ModelUpdateProto& model_update) override;
 
 private:
  struct GurobiCallbackData {
    explicit GurobiCallbackData(GurobiCallbackInput callback_input,
                                SolveInterrupter* const local_interrupter)
        : callback_input(std::move(callback_input)),
          local_interrupter(local_interrupter) {}
    const GurobiCallbackInput callback_input;
 
    // Interrupter triggered when either the user interrupter passed to Solve()
    // is triggered or after one user callback returned a true `terminate`.
    //
    // This is not the user interrupter though so it safe for callbacks to
    // trigger it.
    //
    // It is optional; it is not null when either we have a LP/MIP callback or a
    // user interrupter. But it can be null if we only have a message callback.
    SolveInterrupter* const local_interrupter;
 
    MessageCallbackData message_callback_data;
 
    absl::Status status = absl::OkStatus();
  };
 
  explicit GurobiSolver(std::unique_ptr<Gurobi> g_gurobi);
 
  // For easing reading the code, we declare these types:
  using VariableId = int64_t;
  using LinearConstraintId = int64_t;
  using QuadraticConstraintId = int64_t;
  using Sos1ConstraintId = int64_t;
  using Sos2ConstraintId = int64_t;
  using IndicatorConstraintId = int64_t;
  using AnyConstraintId = int64_t;
  using GurobiVariableIndex = int;
  using GurobiLinearConstraintIndex = int;
  using GurobiQuadraticConstraintIndex = int;
  using GurobiSosConstraintIndex = int;
  // A collection of other constraints (e.g., norm, max, indicator) supported by
  // Gurobi. All general constraints share the same index set. See for more
  // detail: https://www.gurobi.com/documentation/9.5/refman/constraints.html.
  using GurobiGeneralConstraintIndex = int;
  using GurobiAnyConstraintIndex = int;
 
  static constexpr GurobiVariableIndex kUnspecifiedIndex = -1;
  static constexpr GurobiAnyConstraintIndex kUnspecifiedConstraint = -2;
  static constexpr double kInf = std::numeric_limits<double>::infinity();
 
  // Data associated with each linear constraint. With it we know if the
  // underlying representation is either:
  //   linear_terms <= upper_bound (if lower bound <= -GRB_INFINITY)
  //   linear_terms >= lower_bound (if upper bound >= GRB_INFINTY)
  //   linear_terms == xxxxx_bound (if upper_bound == lower_bound)
  //   linear_term - slack == 0 (with slack bounds equal to xxxxx_bound)
  struct LinearConstraintData {
    GurobiLinearConstraintIndex constraint_index = kUnspecifiedConstraint;
    // only valid for true ranged constraints.
    GurobiVariableIndex slack_index = kUnspecifiedIndex;
    double lower_bound = -kInf;
    double upper_bound = kInf;
  };
 
  struct SosConstraintData {
    GurobiSosConstraintIndex constraint_index = kUnspecifiedConstraint;
    std::vector<GurobiVariableIndex> slack_variables;
    std::vector<GurobiLinearConstraintIndex> slack_constraints;
  };
 
  struct IndicatorConstraintData {
    // The Gurobi-numbered general constraint ID (Gurobi ids are shared among
    // all general constraint types).
    GurobiGeneralConstraintIndex constraint_index;
    // The MathOpt-numbered indicator variable ID. Used for reporting invalid
    // indicator variables.
    int64_t indicator_variable_id;
  };
 
  struct SolutionClaims {
    bool primal_feasible_solution_exists;
    bool dual_feasible_solution_exists;
  };
 
  struct SolutionsAndClaims {
    std::vector<SolutionProto> solutions;
    SolutionClaims solution_claims;
  };
 
  template <typename SolutionType>
  struct SolutionAndClaim {
    std::optional<SolutionType> solution;
    bool feasible_solution_exists = false;
  };
 
  using IdHashMap = gtl::linked_hash_map<int64_t, int>;
 
  absl::StatusOr<ProblemStatusProto> GetProblemStatus(
      const int grb_termination, const SolutionClaims solution_claims);
  absl::StatusOr<SolveResultProto> ExtractSolveResultProto(
      absl::Time start, const ModelSolveParametersProto& model_parameters);
  absl::Status FillRays(const ModelSolveParametersProto& model_parameters,
                        const SolutionClaims solution_claims,
                        SolveResultProto& result);
  absl::StatusOr<GurobiSolver::SolutionsAndClaims> GetSolutions(
      const ModelSolveParametersProto& model_parameters);
  absl::StatusOr<SolveStatsProto> GetSolveStats(absl::Time start,
                                                SolutionClaims solution_claims);
 
  absl::StatusOr<double> GetBestDualBound();
  absl::StatusOr<double> GetBestPrimalBound(bool has_primal_feasible_solution);
  bool PrimalSolutionQualityAvailable() const;
  absl::StatusOr<double> GetPrimalSolutionQuality() const;
 
  // Warning: is read from gurobi, take care with gurobi update.
  absl::StatusOr<bool> IsMaximize() const;
 
  static absl::StatusOr<TerminationProto> ConvertTerminationReason(
      int gurobi_status, SolutionClaims solution_claims);
 
  // Returns solution information appropriate and available for an LP (linear
  // constraints + linear objective, only).
  absl::StatusOr<SolutionsAndClaims> GetLpSolution(
      const ModelSolveParametersProto& model_parameters);
  // Returns solution information appropriate and available for a QP (linear
  // constraints + quadratic objective, only).
  absl::StatusOr<SolutionsAndClaims> GetQpSolution(
      const ModelSolveParametersProto& model_parameters);
  // Returns solution information appropriate and available for a QCP
  // (linear/quadratic constraints + linear/quadratic objective, only).
  absl::StatusOr<SolutionsAndClaims> GetQcpSolution(
      const ModelSolveParametersProto& model_parameters);
  // Returns solution information appropriate and available for a MIP
  // (integrality on some/all decision variables).
  absl::StatusOr<SolutionsAndClaims> GetMipSolutions(
      const ModelSolveParametersProto& model_parameters);
 
  // return bool field should be true if a primal solution exists.
  absl::StatusOr<SolutionAndClaim<PrimalSolutionProto>>
  GetConvexPrimalSolutionIfAvailable(
      const ModelSolveParametersProto& model_parameters);
  absl::StatusOr<SolutionAndClaim<DualSolutionProto>>
  GetLpDualSolutionIfAvailable(
      const ModelSolveParametersProto& model_parameters);
  absl::StatusOr<std::optional<BasisProto>> GetBasisIfAvailable();
 
  absl::Status SetParameters(const SolveParametersProto& parameters);
  absl::Status AddNewLinearConstraints(
      const LinearConstraintsProto& constraints);
  absl::Status AddNewQuadraticConstraints(
      const google::protobuf::Map<QuadraticConstraintId,
                                  QuadraticConstraintProto>& constraints);
  absl::Status AddNewSosConstraints(
      const google::protobuf::Map<AnyConstraintId, SosConstraintProto>&
          constraints,
      int sos_type,
      absl::flat_hash_map<int64_t, SosConstraintData>& constraints_map);
  absl::Status AddNewIndicatorConstraints(
      const google::protobuf::Map<IndicatorConstraintId,
                                  IndicatorConstraintProto>& constraints);
  absl::Status AddNewVariables(const VariablesProto& new_variables);
  absl::Status AddNewSlacks(
      const std::vector<LinearConstraintData*>& new_slacks);
  absl::Status ChangeCoefficients(const SparseDoubleMatrixProto& matrix);
  // NOTE: Clears any existing quadratic objective terms.
  absl::Status ResetQuadraticObjectiveTerms(
      const SparseDoubleMatrixProto& terms);
  // Updates objective so that it is the sum of everything in terms, plus all
  // other terms prexisting in the objective that are not overwritten by terms.
  absl::Status UpdateQuadraticObjectiveTerms(
      const SparseDoubleMatrixProto& terms);
  absl::Status LoadModel(const ModelProto& input_model);
 
  absl::Status UpdateDoubleListAttribute(const SparseDoubleVectorProto& update,
                                         const char* attribute_name,
                                         const IdHashMap& id_hash_map);
  absl::Status UpdateInt32ListAttribute(const SparseInt32VectorProto& update,
                                        const char* attribute_name,
                                        const IdHashMap& id_hash_map);
 
  struct DeletedIndices {
    std::vector<GurobiVariableIndex> variables;
    std::vector<GurobiLinearConstraintIndex> linear_constraints;
    std::vector<GurobiQuadraticConstraintIndex> quadratic_constraints;
    std::vector<GurobiSosConstraintIndex> sos_constraints;
    std::vector<GurobiGeneralConstraintIndex> general_constraints;
  };
 
  void UpdateGurobiIndices(const DeletedIndices& deleted_indices);
  absl::Status UpdateLinearConstraints(
      const LinearConstraintUpdatesProto& update,
      std::vector<GurobiVariableIndex>& deleted_variables_index);
 
  int get_model_index(GurobiVariableIndex index) const { return index; }
  int get_model_index(const LinearConstraintData& index) const {
    return index.constraint_index;
  }
 
  // Fills in result with the values in gurobi_values aided by the index
  // conversion from map which should be either variables_map_ or
  // linear_constraints_map_ as appropriate. Only key/value pairs that passes
  // the filter predicate are added.
  template <typename T>
  void GurobiVectorToSparseDoubleVector(
      absl::Span<const double> gurobi_values, const T& map,
      SparseDoubleVectorProto& result,
      const SparseVectorFilterProto& filter) const;
  absl::StatusOr<BasisProto> GetGurobiBasis();
  absl::Status SetGurobiBasis(const BasisProto& basis);
  absl::StatusOr<DualRayProto> GetGurobiDualRay(
      const SparseVectorFilterProto& linear_constraints_filter,
      const SparseVectorFilterProto& variables_filter, bool is_maximize);
  // Returns true if the problem has any integrality constraints.
  absl::StatusOr<bool> IsMIP() const;
  // Returns true if the problem has a quadratic objective.
  absl::StatusOr<bool> IsQP() const;
  // Returns true if the problem has any quadratic constraints.
  absl::StatusOr<bool> IsQCP() const;
 
  absl::StatusOr<std::unique_ptr<GurobiCallbackData>> RegisterCallback(
      const CallbackRegistrationProto& registration, Callback cb,
      const MessageCallback message_cb, absl::Time start,
      SolveInterrupter* interrupter);
 
  // Returns the ids of variables and linear constraints with inverted bounds.
  absl::StatusOr<InvertedBounds> ListInvertedBounds() const;
 
  // Returns the ids of indicator constraint/variables that are invalid because
  // the indicator is not a binary variable.
  absl::StatusOr<InvalidIndicators> ListInvalidIndicators() const;
 
  const std::unique_ptr<Gurobi> gurobi_;
 
  // Note that we use linked_hash_map for the indices of the gurobi_model_
  // variables and linear constraints to ensure that iteration over the map
  // maintains their insertion order (and, thus, the order in which they appear
  // in the model). As of 2022-06-28 this property is necessary to ensure that
  // duals and bases are deterministically ordered.
 
  // Internal correspondence from variable proto IDs to Gurobi-numbered
  // variables.
  gtl::linked_hash_map<VariableId, GurobiVariableIndex> variables_map_;
  // Internal correspondence from linear constraint proto IDs to
  // Gurobi-numbered linear constraint and extra information.
  gtl::linked_hash_map<LinearConstraintId, LinearConstraintData>
      linear_constraints_map_;
  // Internal correspondence from quadratic constraint proto IDs to
  // Gurobi-numbered quadratic constraint.
  absl::flat_hash_map<QuadraticConstraintId, GurobiQuadraticConstraintIndex>
      quadratic_constraints_map_;
  // Internal correspondence from SOS1 constraint proto IDs to Gurobi-numbered
  // SOS constraint (Gurobi ids are shared between SOS1 and SOS2).
  absl::flat_hash_map<Sos1ConstraintId, SosConstraintData>
      sos1_constraints_map_;
  // Internal correspondence from SOS2 constraint proto IDs to Gurobi-numbered
  // SOS constraint (Gurobi ids are shared between SOS1 and SOS2).
  absl::flat_hash_map<Sos2ConstraintId, SosConstraintData>
      sos2_constraints_map_;
  // Internal correspondence from indicator constraint proto IDs to indicator
  // constraint data. If unset, the values indicate that the indicator variable
  // is unset; since Gurobi does not support this, we simply do not add the
  // constraint to the model.
  absl::flat_hash_map<IndicatorConstraintId,
                      std::optional<IndicatorConstraintData>>
      indicator_constraints_map_;
 
  // Fields to track the number of Gurobi variables and constraints. These
  // quantities are updated immediately after adding or removing to the model,
  // so it is correct even if GRBUpdate has not yet been called.
 
  // Number of Gurobi variables.
  int num_gurobi_variables_ = 0;
  // Number of Gurobi linear constraints.
  int num_gurobi_lin_cons_ = 0;
  // Number of Gurobi quadratic constraints.
  int num_gurobi_quad_cons_ = 0;
  // Number of Gurobi SOS constraints.
  int num_gurobi_sos_cons_ = 0;
  // Number of Gurobi general constraints.
  int num_gurobi_gen_cons_ = 0;
 
  // Gurobi does not expose a way to query quadratic objective terms from the
  // model, so we track them. Notes:
  //   * Keys are in upper triangular order (.first <= .second)
  //   * Terms not in the map have zero coefficients
  // Note also that the map may also have entries with zero coefficient value.
  absl::flat_hash_map<std::pair<VariableId, VariableId>, double>
      quadratic_objective_coefficients_;
 
  // Some MathOpt variables cannot be deleted without rendering the rest of the
  // model invalid. We flag these variables to check in CanUpdate(). As of
  // 2022-07-01 elements are not erased from this set, and so it may be overly
  // conservative in rejecting updates.
  absl::flat_hash_set<VariableId> undeletable_variables_;
 
  static constexpr int kGrbBasicConstraint = 0;
  static constexpr int kGrbNonBasicConstraint = -1;
};
 
}  // namespace math_opt
}  // namespace operations_research
 
#endif  // OR_TOOLS_MATH_OPT_SOLVERS_GUROBI_SOLVER_H_