diff --git a/examples/oed_utils.jl b/examples/oed_utils.jl index 32064d071..ce8d9495c 100644 --- a/examples/oed_utils.jl +++ b/examples/oed_utils.jl @@ -6,10 +6,8 @@ m - number of experiments. fusion - boolean deiciding whether we build the fusion or standard problem. corr - boolean deciding whether we build the independent or correlated data. """ -function build_data(m) +function build_data(m, n) # set up - n = Int(floor(m/10)) - B = rand(m,n) B = B'*B @assert isposdef(B) @@ -22,7 +20,7 @@ function build_data(m) u = floor(N/3) ub = rand(1.0:u, m) - return A, n, N, ub + return A, N, ub end """ @@ -155,10 +153,13 @@ end """ Find n linearly independent rows of A to build the starting point. """ -function linearly_independent_rows(A) +function linearly_independent_rows(A; u=fill(1, size(A, 1))) S = [] m, n = size(A) for i in 1:m + if iszero(u[i]) + continue + end S_i= vcat(S, i) if rank(A[S_i,:])==length(S_i) S=S_i @@ -178,8 +179,22 @@ function add_to_min(x, u) if x[perm[i]] < u[perm[i]] x[perm[i]] += 1 break - else - continue + end + end + return x +end + +""" +We want to add to the smallest value of x while respecting the upper bounds u. +In constrast to the add_to_min function, we do not require x to have coordinates at zero. +""" +function add_to_min2(x,u) + perm = sortperm(x) + + for i in perm + if x[i] < u[i] + x[i] += 1 + break end end return x @@ -193,8 +208,6 @@ function remove_from_max(x) if x[perm[i]] > 1 x[perm[i]] -= 1 break - else - continue end end return x @@ -237,6 +250,52 @@ function build_start_point(A, N, ub) return x, active_set, S end +""" +Build domain feasible point for any node. +The point has to be domain feasible as well as respect the node bounds. +If no such point can be constructed, return nothing. +""" +function build_domain_point_function(domain_oracle, A, N, int_vars, initial_lb, initial_ub) + return function domain_point(local_bounds) + lb = initial_lb + ub = initial_ub + for idx in int_vars + if haskey(local_bounds.lower_bounds, idx) + lb[idx] = max(initial_lb[idx], local_bounds.lower_bounds[idx]) + end + if haskey(local_bounds.upper_bounds, idx) + ub[idx] = min(initial_ub[idx], local_bounds.upper_bounds[idx]) + end + end + # Node itself infeasible + if sum(lb) > N + return nothing + end + # No intersection between node and domain + if !domain_oracle(ub) + return nothing + end + x = lb + + S = linearly_independent_rows(A, u=.!(iszero.(ub))) + while sum(x) <= N + if sum(x) == N + if domain_oracle(x) + return x + else + return nothing + end + end + if !iszero(x[S]-ub[S]) + y = add_to_min2(x[S], ub[S]) + x[S] = y + else + x = add_to_min2(x, ub) + end + end + end +end + """ Create first incumbent for Boscia and custom BB in a greedy fashion. """ diff --git a/examples/optimal_experiment_design.jl b/examples/optimal_experiment_design.jl index d9078d0c5..9973966ce 100644 --- a/examples/optimal_experiment_design.jl +++ b/examples/optimal_experiment_design.jl @@ -42,23 +42,25 @@ include("oed_utils.jl") m = 50 +n = Int(floor(m / 10)) verbose = true ## A-Optimal Design Problem @testset "A-Optimal Design" begin - Ex_mat, n, N, ub = build_data(m) + Ex_mat, N, ub = build_data(m, n) g, grad! = build_a_criterion(Ex_mat, build_safe=false) blmo = build_blmo(m, N, ub) heu = Boscia.Heuristic(Boscia.rounding_hyperplane_heuristic, 0.7, :hyperplane_aware_rounding) domain_oracle = build_domain_oracle(Ex_mat, n) + domain_point = build_domain_point_function(domain_oracle, Ex_mat, N, collect(1:m), fill(0.0, m), ub) # precompile line_search = FrankWolfe.MonotonicGenericStepsize(FrankWolfe.Adaptive(), domain_oracle) x0, active_set = build_start_point(Ex_mat, N, ub) z = greedy_incumbent(Ex_mat, N, ub) - x, _, _ = Boscia.solve(g, grad!, blmo, active_set=active_set, start_solution=z, time_limit=10, verbose=false, domain_oracle=domain_oracle, custom_heuristics=[heu], line_search=line_search) + x, _, _ = Boscia.solve(g, grad!, blmo, active_set=active_set, start_solution=z, time_limit=10, verbose=false, domain_oracle=domain_oracle, find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search) # proper run with MGLS and Adaptive line_search = FrankWolfe.MonotonicGenericStepsize(FrankWolfe.Adaptive(), domain_oracle) @@ -72,6 +74,7 @@ verbose = true start_solution=z, verbose=verbose, domain_oracle=domain_oracle, + find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search, ) @@ -89,29 +92,31 @@ verbose = true start_solution=z, verbose=verbose, domain_oracle=domain_oracle, + find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search, ) - @test result_s[:dual_bound] <= g(x) + 1e-4 - @test result[:dual_bound] <= g(x_s) + 1e-4 + @test result_s[:dual_bound] <= g(x) + 1e-3 + @test result[:dual_bound] <= g(x_s) + 1e-3 @test isapprox(g(x), g(x_s), atol=1e-3) end ## D-Optimal Design Problem @testset "D-optimal Design" begin - Ex_mat, n, N, ub = build_data(m) + Ex_mat, N, ub = build_data(m, n) g, grad! = build_d_criterion(Ex_mat, build_safe=false) blmo = build_blmo(m, N, ub) heu = Boscia.Heuristic(Boscia.rounding_hyperplane_heuristic, 0.7, :hyperplane_aware_rounding) domain_oracle = build_domain_oracle(Ex_mat, n) + domain_point = build_domain_point_function(domain_oracle, Ex_mat, N, collect(1:m), fill(0.0, m), ub) # precompile line_search = FrankWolfe.MonotonicGenericStepsize(FrankWolfe.Adaptive(), domain_oracle) x0, active_set = build_start_point(Ex_mat, N, ub) z = greedy_incumbent(Ex_mat, N, ub) - x, _, _ = Boscia.solve(g, grad!, blmo, active_set=active_set, start_solution=z, time_limit=10, verbose=false, domain_oracle=domain_oracle, custom_heuristics=[heu], line_search=line_search) + x, _, _ = Boscia.solve(g, grad!, blmo, active_set=active_set, start_solution=z, time_limit=10, verbose=false, domain_oracle=domain_oracle, find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search) # proper run with MGLS and Adaptive line_search = FrankWolfe.MonotonicGenericStepsize(FrankWolfe.Adaptive(), domain_oracle) @@ -125,6 +130,7 @@ end start_solution=z, verbose=verbose, domain_oracle=domain_oracle, + find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search, ) @@ -142,6 +148,7 @@ end start_solution=z, verbose=verbose, domain_oracle=domain_oracle, + find_domain_point=domain_point, custom_heuristics=[heu], line_search=line_search, ) diff --git a/examples/strong_branching_portfolio.jl b/examples/strong_branching_portfolio.jl index 577848163..ab01912fe 100644 --- a/examples/strong_branching_portfolio.jl +++ b/examples/strong_branching_portfolio.jl @@ -2,7 +2,6 @@ using Boscia using FrankWolfe using Test using Random -using SCIP using LinearAlgebra using Distributions import MathOptInterface @@ -28,7 +27,7 @@ const Mi = (Ai + Ai') / 2 @assert isposdef(Mi) function prepare_portfolio_lmo() - o = SCIP.Optimizer() + o = HiGHS.Optimizer() MOI.set(o, MOI.Silent(), true) MOI.empty!(o) x = MOI.add_variables(o, n) diff --git a/src/Boscia.jl b/src/Boscia.jl index 6853fa541..6bb6a11c5 100644 --- a/src/Boscia.jl +++ b/src/Boscia.jl @@ -4,6 +4,7 @@ using FrankWolfe import FrankWolfe: compute_extreme_point export compute_extreme_point using Random +using LinearAlgebra import Bonobo using Printf using Dates diff --git a/src/MOI_bounded_oracle.jl b/src/MOI_bounded_oracle.jl index 39e883401..89b3f20d2 100644 --- a/src/MOI_bounded_oracle.jl +++ b/src/MOI_bounded_oracle.jl @@ -631,7 +631,8 @@ function solve( strong_convexity=0.0, sharpness_constant = 0.0, sharpness_exponent = Inf, - domain_oracle=x -> true, + domain_oracle=_trivial_domain, + find_domain_point= _trivial_domain_point, start_solution=nothing, fw_verbose=false, use_shadow_set=true, @@ -671,6 +672,7 @@ function solve( sharpness_constant=sharpness_constant, sharpness_exponent=sharpness_exponent, domain_oracle=domain_oracle, + find_domain_point=find_domain_point, start_solution=start_solution, fw_verbose=fw_verbose, use_shadow_set=use_shadow_set, diff --git a/src/heuristics.jl b/src/heuristics.jl index c30392a8c..0a0e4d5ab 100644 --- a/src/heuristics.jl +++ b/src/heuristics.jl @@ -53,7 +53,7 @@ function run_heuristics(tree, x, heuristic_list; rng=Random.GLOBAL_RNG) min_val = Inf min_idx = -1 for (i, x_heu) in enumerate(list_x_heu) - feasible = check_feasibility ? is_linear_feasible(tree.root.problem.tlmo, x_heu) && is_integer_feasible(tree, x_heu) : false + feasible = check_feasibility ? is_linear_feasible(tree.root.problem.tlmo, x_heu) && is_integer_feasible(tree, x_heu) && tree.root.options[:domain_oracle](x_heu) : false if feasible val = tree.root.problem.f(x_heu) if val < min_val diff --git a/src/interface.jl b/src/interface.jl index 772d9c9a0..e08054c92 100644 --- a/src/interface.jl +++ b/src/interface.jl @@ -49,8 +49,11 @@ sharpness_constant - the constant M > 0 for (θ, M)-sharpness. where X* is the set minimizer of f. sharpness_exponent - the exponent θ ∈ [0, 1/2] for (θ, M)-sharpness. domain_oracle - For a point x: returns true if x is in the domain of f, else false. Per default is true. - In case of the non trivial domain oracle, the starting point has to be feasible for f. Also, depending + In case of the non trivial domain oracle, the starting point has to be feasible for f. Additionally, + the user has to provide a function `domain_point`, see below. Also, depending on the Line Search method, you might have to provide the domain oracle to it, too. +find_domain_point - Given the current node bounds return a domain feasible point respecting the bounds. + If no such point can be found, return nothing. start_solution - initial solution to start with an incumbent fw_verbose - if true, FrankWolfe logs are printed use_shadow_set - The shadow set is the set of discarded vertices which is inherited by the children nodes. @@ -98,7 +101,8 @@ function solve( strong_convexity=0.0, sharpness_constant = 0.0, sharpness_exponent = Inf, - domain_oracle=x -> true, + domain_oracle=_trivial_domain, + find_domain_point= _trivial_domain_point, start_solution=nothing, fw_verbose=false, use_shadow_set=true, @@ -146,6 +150,10 @@ function solve( global_bounds = build_global_bounds(blmo, integer_variables) + if typeof(domain_oracle) != typeof(_trivial_domain) && typeof(find_domain_point) == typeof(_trivial_domain_point) + @warn "For a non trivial domain oracle, please provide the DOMAIN POINT function. Otherwise, Boscia might not converge." + end + v = [] if active_set === nothing direction = collect(1.0:n) @@ -201,6 +209,7 @@ function solve( global_tightenings=IntegerBounds(), options=Dict{Symbol,Any}( :domain_oracle => domain_oracle, + :find_domain_point => find_domain_point, :dual_gap => dual_gap, :dual_gap_decay_factor => dual_gap_decay_factor, :dual_tightening => dual_tightening, diff --git a/src/managed_blmo.jl b/src/managed_blmo.jl index c64967e28..3a580c716 100644 --- a/src/managed_blmo.jl +++ b/src/managed_blmo.jl @@ -271,7 +271,8 @@ function solve( strong_convexity=0.0, sharpness_constant = 0.0, sharpness_exponent = Inf, - domain_oracle=x -> true, + domain_oracle=_trivial_domain, + find_domain_point= _trivial_domain_point, start_solution=nothing, fw_verbose=false, use_shadow_set=true, @@ -313,6 +314,7 @@ function solve( sharpness_constant=sharpness_constant, sharpness_exponent=sharpness_exponent, domain_oracle=domain_oracle, + find_domain_point=find_domain_point, start_solution=start_solution, fw_verbose=fw_verbose, use_shadow_set=use_shadow_set, diff --git a/src/node.jl b/src/node.jl index 1a201904e..1de2146fb 100644 --- a/src/node.jl +++ b/src/node.jl @@ -85,10 +85,30 @@ function Bonobo.get_branching_nodes_info(tree::Bonobo.BnBTree, node::FrankWolfeN split_vertices_set!(node.discarded_vertices, tree, vidx, x, node.local_bounds) # Sanity check - @assert isapprox(sum(active_set_left.weights), 1.0) + @assert isapprox(sum(active_set_left.weights), 1.0) "sum weights left: $(sum(active_set_left.weights))" @assert sum(active_set_left.weights .< 0) == 0 - @assert isapprox(sum(active_set_right.weights), 1.0) + for v in active_set_left.atoms + if !(v[vidx] <= floor(x[vidx]) + tree.options.atol) + error("active_set_left\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") + end + end + @assert isapprox(sum(active_set_right.weights), 1.0) "sum weights right: $(sum(active_set_right.weights))" @assert sum(active_set_right.weights .< 0) == 0 + for v in active_set_right.atoms + if !(v[vidx] >= ceil(x[vidx]) - tree.options.atol) + error("active_set_right\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") + end + end + for v in discarded_set_left.storage + if !(v[vidx] <= floor(x[vidx]) + tree.options.atol) + error("storage left\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") + end + end + for v in discarded_set_right.storage + if !(v[vidx] >= ceil(x[vidx]) - tree.options.atol) + error("storage right\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") + end + end # add new bounds to the feasible region left and right # copy bounds from parent @@ -108,26 +128,15 @@ function Bonobo.get_branching_nodes_info(tree::Bonobo.BnBTree, node::FrankWolfeN fw_dual_gap_limit = tree.root.options[:dual_gap_decay_factor] * node.fw_dual_gap_limit fw_dual_gap_limit = max(fw_dual_gap_limit, tree.root.options[:min_node_fw_epsilon]) - # Sanity check - for v in active_set_left.atoms - if !(v[vidx] <= floor(x[vidx]) + tree.options.atol) - error("active_set_left\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") - end - end - for v in discarded_set_left.storage - if !(v[vidx] <= floor(x[vidx]) + tree.options.atol) - error("storage left\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") - end - end - for v in active_set_right.atoms - if !(v[vidx] >= ceil(x[vidx]) - tree.options.atol) - error("active_set_right\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") - end + # in case of non trivial domain oracle: Only split if the iterate is still domain feasible + x_left = FrankWolfe.compute_active_set_iterate!(active_set_left) + x_right = FrankWolfe.compute_active_set_iterate!(active_set_right) + + if !tree.root.options[:domain_oracle](x_left) + active_set_left = build_active_set_by_domain_oracle(active_set_left, tree, varbounds_left, node) end - for v in discarded_set_right.storage - if !(v[vidx] >= ceil(x[vidx]) - tree.options.atol) - error("storage right\n$(v)\n$vidx, $(x[vidx]), $(v[vidx])") - end + if !tree.root.options[:domain_oracle](x_right) + active_set_right = build_active_set_by_domain_oracle(active_set_right, tree, varbounds_right, node) end # update the LMO @@ -156,13 +165,8 @@ function Bonobo.get_branching_nodes_info(tree::Bonobo.BnBTree, node::FrankWolfeN dual_gap=NaN, ) - # in case of non trivial domain oracle: Only split if the iterate is still domain feasible - x_left = FrankWolfe.compute_active_set_iterate!(active_set_left) - x_right = FrankWolfe.compute_active_set_iterate!(active_set_right) - domain_oracle = tree.root.options[:domain_oracle] - - domain_right = domain_oracle(x_right) - domain_left = domain_oracle(x_left) + domain_right = !isempty(active_set_right) + domain_left = !isempty(active_set_left) nodes = if !prune_left && !prune_right && domain_right && domain_left [node_info_left, node_info_right] diff --git a/src/problem.jl b/src/problem.jl index 8d1479c72..10fd0cba9 100644 --- a/src/problem.jl +++ b/src/problem.jl @@ -8,6 +8,16 @@ Enum for the solving stage TIME_LIMIT_REACHED = 3 end +""" +Trivial domain function. +""" +_trivial_domain(x) = true + +""" +Trivial domain point function. +""" +_trivial_domain_point(local_bounds::IntegerBounds) = nothing + abstract type AbstractSimpleOptimizationProblem end """ diff --git a/src/utilities.jl b/src/utilities.jl index d56efdb13..afc7dafab 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -155,6 +155,102 @@ function split_vertices_set!( return (discarded_set, right_as) end +""" +Build a new start point and active set in case the split active set +does not lead to a domain feasible iterate. +First, try filtering the active set by the domain oracle. +If all vertices are domain infeasible, solve the projection problem +1/2 * ||x - x*||_2^2 +where x* is a domain- and bound-feasible point provided by the user. +""" +function build_active_set_by_domain_oracle( + active_set::FrankWolfe.ActiveSet{T,R}, + tree, + local_bounds::IntegerBounds, + node; + atol=1e-5, + rtol=1e-5, +) where {T,R} + # Check if node problem is even feasible + build_LMO( + tree.root.problem.tlmo, + tree.root.problem.integer_variable_bounds, + local_bounds, + tree.root.problem.integer_variables, + ) + status = check_feasibility(tree.root.problem.tlmo) + if status == INFEASIBLE + build_LMO( + tree.root.problem.tlmo, + tree.root.problem.integer_variable_bounds, + node.local_bounds, + tree.root.problem.integer_variables, + ) + active_set.empty!() + return active_set + end + # Filtering + del_indices = BitSet() + for (idx, tup) in enumerate(active_set) + (λ, a) = tup + if !tree.root.options[:domain_oracle](a) + push!(del_indices, idx) + end + end + # At least one vertex is domain feasible. + if length(del_indices) < length(active_set.weights) + deleteat!(active_set, del_indices) + @assert !isempty(active_set) + FrankWolfe.active_set_renormalize!(active_set) + FrankWolfe.compute_active_set_iterate!(active_set) + # No vertex is domain feasible + else + x_star = tree.root.options[:find_domain_point](local_bounds) + # No domain feasible point can be build. + # Node can be pruned. + if x_star === nothing + deleteat!(active_set, del_indices) + else + inner_f(x) = 1/2 * LinearAlgebra.norm(x - x_star)^2 + + function inner_grad!(storage, x) + storage .= x - x_star + return storage + end + + function build_inner_callback(tree) + return function inner_callback(state, active_set, kwargs...) + # stop as soon as we find a domain feasible point. + if tree.root.options[:domain_oracle](state.x) + return false + end + end + end + inner_callback = build_inner_callback(tree) + + x, _, _, _, _, active_set = FrankWolfe.blended_pairwise_conditional_gradient( + inner_f, + inner_grad!, + tree.root.problem.tlmo, + active_set, + callback=inner_callback, + lazy=true, + ) + @assert tree.root.options[:domain_oracle](x) + end + end + build_LMO( + tree.root.problem.tlmo, + tree.root.problem.integer_variable_bounds, + node.local_bounds, + tree.root.problem.integer_variables, + ) + return active_set +end + +""" +Check if a given point v satisfies the given bounds. +""" function is_bound_feasible(bounds::IntegerBounds, v; atol=1e-5) for (idx, set) in bounds.lower_bounds if v[idx] < set - atol diff --git a/test/runtests.jl b/test/runtests.jl index c9ed78042..6ac70b25c 100644 --- a/test/runtests.jl +++ b/test/runtests.jl @@ -45,6 +45,7 @@ include("sparse_regression.jl") include("poisson.jl") include("mean_risk.jl") include("time_limit.jl") +include("strong_convexity_and_sharpness.jl") n = 10 const diff1 = rand(Bool, n) * 0.8 .+ 1.1