added CPLEX solver and miqp example

+ some cmake corrections

git-svn-id: http://www.openflipper.org/svnrepo/CoMISo/trunk@131 1355f012-dd97-4b2f-ae87-10fa9f823a57

CoMISo/CMakeLists.txt

@@ -202,6 +202,9 @@ if (CPLEX_FOUND )
 #  list( APPEND COMISO_LINK_DIRECTORIES    ${CPLEX_LIBRARY_DIR} )
 #  list( APPEND COMISO_LINK_DIRECTORIES    ${CPLEX_CONCERT_LIBRARY_DIR} )
   list( APPEND COMISO_LINK_LIBRARIES  ${CPLEX_LIBRARIES} )
+  
+  #enable c++ support
+   add_definitions(-DIL_STD)
 else ()
   message (STATUS "CPLEX not found!")
   set (COMISO_ARPACK_CONFIG_FILE_SETTINGS "#define COMISO_CPLEX_AVAILABLE 0" )
@@ -326,6 +329,9 @@ endif()
 if( EXISTS "${CMAKE_SOURCE_DIR}/Examples/small_nsolver/CMakeLists.txt" )
 	add_subdirectory (Examples/small_nsolver)
 endif()
+if( EXISTS "${CMAKE_SOURCE_DIR}/Examples/small_miqp/CMakeLists.txt" )
+	add_subdirectory (Examples/small_miqp)
+endif()
 
 
 

CoMISo/Examples/small_miqp/CMakeLists.txt

+include (ACGCommon)
+include (CoMISoExample)
+
+# source code directories
+set (directories 
+   .
+)
+
+# collect all header and source files
+acg_append_files (headers "*.hh" ${directories})
+acg_append_files (sources "*.cc" ${directories})
+
+# remove template cc files from source file list
+acg_drop_templates (sources)
+
+if (WIN32)
+  acg_add_executable (small_miqp WIN32 ${sources} ${headers} )
+elseif (APPLE)
+  # generate bundle on mac
+  acg_add_executable (small_miqp MACOSX_BUNDLE ${sources} ${headers} )
+else ()
+  acg_add_executable (small_miqp ${sources} ${headers} )
+endif ()
+
+# enable rpath linking
+set_target_properties(small_miqp PROPERTIES INSTALL_RPATH_USE_LINK_PATH 1)
+
+target_link_libraries (small_miqp
+  CoMISo
+  ${COMISO_LINK_LIBRARIES}
+)
+
+if (APPLE)
+   # create bundle in "Build" directory and set icon
+   # no install needed here, because the whole bundle will be installed in the
+   # toplevel CMakeLists.txt
+   set_target_properties (
+      Example PROPERTIES
+      RUNTIME_OUTPUT_DIRECTORY "${CMAKE_BINARY_DIR}/Build"
+      MACOSX_BUNDLE_INFO_STRING "CoMISo small_miqp"
+   )
+endif ()

CoMISo/Examples/small_miqp/main.cc

+/*===========================================================================*\
+ *                                                                           *
+ *                               CoMISo                                      *
+ *      Copyright (C) 2008-2009 by Computer Graphics Group, RWTH Aachen      *
+ *                           www.rwth-graphics.de                            *
+ *                                                                           *
+ *---------------------------------------------------------------------------* 
+ *  This file is part of CoMISo.                                             *
+ *                                                                           *
+ *  CoMISo is free software: you can redistribute it and/or modify           *
+ *  it under the terms of the GNU General Public License as published by     *
+ *  the Free Software Foundation, either version 3 of the License, or        *
+ *  (at your option) any later version.                                      *
+ *                                                                           *
+ *  CoMISo is distributed in the hope that it will be useful,                *
+ *  but WITHOUT ANY WARRANTY; without even the implied warranty of           *
+ *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the            *
+ *  GNU General Public License for more details.                             *
+ *                                                                           *
+ *  You should have received a copy of the GNU General Public License        *
+ *  along with CoMISo.  If not, see <http://www.gnu.org/licenses/>.          *
+ *                                                                           *
+\*===========================================================================*/ 
+
+#include <CoMISo/Config/config.hh>
+
+#include <CoMISo/Utils/StopWatch.hh>
+#include <vector>
+#include <CoMISo/NSolver/NProblemInterface.hh>
+#include <CoMISo/NSolver/NPDerivativeChecker.hh>
+#include <CoMISo/NSolver/GUROBISolver.hh>
+#include <CoMISo/NSolver/CPLEXSolver.hh>
+#include <CoMISo/NSolver/LinearConstraint.hh>
+
+
+// generate an instance of a nonlinear problem by deriving from base class NProblemInterface
+// implement all virtual functions in order to solve this problem by any of the solvers located
+// in CoMISo/NSolver
+
+class SmallNProblem : public COMISO::NProblemInterface
+{
+public:
+
+  // Sparse Matrix Type
+  //  typedef Eigen::DynamicSparseMatrix<double,Eigen::ColMajor> SMatrixNP;
+
+
+  // specify a function which has several local minima
+  // f(x,y)=(x-2y+1)^2 + (x-2)^2
+
+  // number of unknown variables, here x and y = 2
+  virtual int    n_unknowns   (                                )
+  {
+    return 2;
+  }
+
+  // initial value where the optimization should start from
+  virtual void   initial_x    (       double* _x               )
+  {
+    _x[0] = 0.0;
+    _x[1] = 0.0;
+  }
+
+  // function evaluation at location _x
+  virtual double eval_f       ( const double* _x               )
+  {
+    double term  = _x[0] - 2.0*_x[1] + 1.0;
+    double term2 = _x[0] - 2.0;
+
+    return term*term + term2*term2;
+  }
+
+  // gradient evaluation at location _x
+  virtual void   eval_gradient( const double* _x, double*    _g)
+  {
+    double term  = _x[0] - 2.0*_x[1] + 1.0;
+    double term2 = _x[0] - 2.0;
+
+    _g[0] =  2.0*term + 2.0*term2;
+    _g[1] = -4.0*term;
+   }
+
+  // hessian matrix evaluation at location _x
+  virtual void   eval_hessian ( const double* _x, SMatrixNP& _H)
+  {
+    _H.resize(n_unknowns(), n_unknowns());
+    _H.setZero();
+
+    _H.coeffRef(0,0) =  4.0;
+    _H.coeffRef(1,0) = -4.0;
+    _H.coeffRef(0,1) = -4.0;
+    _H.coeffRef(1,1) =  8.0;
+  }
+
+  // print result
+  virtual void   store_result ( const double* _x               )
+  {
+    std::cerr << "Energy: " << eval_f(_x) << std::endl;
+    std::cerr << "(x,y) = (" << _x[0] << "," << _x[1] << ")" << std::endl;
+  }
+
+  // advanced properties
+  virtual bool   constant_hessian() { return true; }
+};
+
+
+//------------------------------------------------------------------------------------------------------
+
+// Example main
+int main(void)
+{
+  std::cout << "---------- 1) Get an instance of a NProblem..." << std::endl;
+  SmallNProblem snp;
+
+  std::cout << "---------- 2) (optional for debugging) Check derivatives of problem..." << std::endl;
+  COMISO::NPDerivativeChecker npd;
+  npd.check_all(&snp);
+
+  std::cout << "---------- 3) setup list of integer variables..." << std::endl;
+  std::vector<COMISO::PairIndexVtype> discrete_variables;
+  discrete_variables.push_back( COMISO::PairIndexVtype(0,COMISO::Integer) );
+
+  std::cout << "---------- 4) setup constraints..." << std::endl;
+  std::vector<COMISO::NConstraintInterface*> constraints;
+
+
+// check if IPOPT solver available in current configuration
+#if( COMISO_GUROBI_AVAILABLE)
+  std::cout << "---------- 5) Get GUROBI solver... " << std::endl;
+  COMISO::GUROBISolver gsol;
+
+  std::cout << "---------- 4) Solve..." << std::endl;
+
+  gsol.solve(&snp, constraints, discrete_variables);
+#endif
+
+  // check if TAO solver available in current configuration
+#if( COMISO_CPLEX_AVAILABLE)
+  std::cout << "---------- 5) Solve with CPLEX solver... " << std::endl;
+  COMISO::CPLEXSolver csol;
+
+  std::cout << "---------- 4) Solve..." << std::endl;
+
+  csol.solve(&snp, constraints, discrete_variables);
+#endif
+
+  return 0;
+}
+

CoMISo/NSolver/CPLEXSolver.cc

+//=============================================================================
+//
+//  CLASS GUROBISolver - IMPLEMENTATION
+//
+//=============================================================================
+
+//== INCLUDES =================================================================
+
+//== COMPILE-TIME PACKAGE REQUIREMENTS ========================================
+#include "CPLEXSolver.hh"
+#if COMISO_CPLEX_AVAILABLE
+//=============================================================================
+
+
+#include <stdexcept>
+
+//== NAMESPACES ===============================================================
+
+namespace COMISO {
+
+//== IMPLEMENTATION ========================================================== 
+
+
+
+CPLEXSolver::
+CPLEXSolver()
+{
+}
+
+//-----------------------------------------------------------------------------
+
+// ********** SOLVE **************** //
+bool
+CPLEXSolver::
+solve(NProblemInterface*                  _problem,
+      std::vector<NConstraintInterface*>& _constraints,
+      std::vector<PairIndexVtype>&        _discrete_constraints,
+      const double                        _time_limit)
+{
+
+  try
+  {
+//    //----------------------------------------------
+//    // 0. set up environment
+//    //----------------------------------------------
+//
+//    GRBEnv   env   = GRBEnv();
+//    GRBModel model = GRBModel(env);
+//
+//    model.getEnv().set(GRB_DoubleParam_TimeLimit, _time_limit);
+//
+//
+//    //----------------------------------------------
+//    // 1. allocate variables
+//    //----------------------------------------------
+//
+//    // determine variable types: 0->real, 1->integer, 2->bool
+//    std::vector<char> vtypes(_problem->n_unknowns(),0);
+//    for(unsigned int i=0; i<_discrete_constraints.size(); ++i)
+//      switch(_discrete_constraints[i].second)
+//      {
+//        case Integer: vtypes[_discrete_constraints[i].first] = 1; break;
+//        case Binary : vtypes[_discrete_constraints[i].first] = 2; break;
+//        default     : break;
+//      }
+//
+//    // GUROBI variables
+//    std::vector<GRBVar> vars;
+//    // first all
+//    for( int i=0; i<_problem->n_unknowns(); ++i)
+//      switch(vtypes[i])
+//      {
+//        case 0 : vars.push_back( model.addVar(-GRB_INFINITY, GRB_INFINITY, 0.0, GRB_CONTINUOUS) ); break;
+//        case 1 : vars.push_back( model.addVar(-GRB_INFINITY, GRB_INFINITY, 0.0, GRB_INTEGER   ) ); break;
+//        case 2 : vars.push_back( model.addVar(-GRB_INFINITY, GRB_INFINITY, 0.0, GRB_BINARY    ) ); break;
+//      }
+//
+//
+//    // Integrate new variables
+//    model.update();
+//
+//    //----------------------------------------------
+//    // 2. setup constraints
+//    //----------------------------------------------
+//
+//    // get zero vector
+//    std::vector<double> x(_problem->n_unknowns(), 0.0);
+//
+//    for(unsigned int i=0; i<_constraints.size();  ++i)
+//    {
+//      if(!_constraints[i]->is_linear())
+//        std::cerr << "Warning: GUROBISolver received a problem with non-linear constraints!!!" << std::endl;
+//
+//      GRBLinExpr lin_expr;
+//      NConstraintInterface::SVectorNC gc;
+//      _constraints[i]->eval_gradient(P(x), gc);
+//
+//      NConstraintInterface::SVectorNC::InnerIterator v_it(gc);
+//      for(; v_it; ++v_it)
+////        lin_expr += v_it.value()*vars[v_it.index()];
+//        lin_expr = lin_expr + vars[v_it.index()]*v_it.value();
+//
+//      double b = _constraints[i]->eval_constraint(P(x));
+//
+//      switch(_constraints[i]->constraint_type())
+//      {
+//        case NConstraintInterface::NC_EQUAL         : model.addConstr(lin_expr + b == 0); break;
+//        case NConstraintInterface::NC_LESS_EQUAL    : model.addConstr(lin_expr + b <= 0); break;
+//        case NConstraintInterface::NC_GREATER_EQUAL : model.addConstr(lin_expr + b >= 0); break;
+//      }
+//    }
+//    model.update();
+//
+//    //----------------------------------------------
+//    // 3. setup energy
+//    //----------------------------------------------
+//
+//    if(!_problem->constant_hessian())
+//      std::cerr << "Warning: GUROBISolver received a problem with non-constant hessian!!!" << std::endl;
+//
+//    GRBQuadExpr objective;
+//
+//    // add quadratic part
+//    NProblemInterface::SMatrixNP H;
+//    _problem->eval_hessian(P(x), H);
+//    for( int i=0; i<H.outerSize(); ++i)
+//      for (NProblemInterface::SMatrixNP::InnerIterator it(H,i); it; ++it)
+//        objective += 0.5*it.value()*vars[it.row()]*vars[it.col()];
+//
+//
+//    // add linear part
+//    std::vector<double> g(_problem->n_unknowns());
+//    _problem->eval_gradient(P(x), P(g));
+//    for(unsigned int i=0; i<g.size(); ++i)
+//      objective += g[i]*vars[i];
+//
+//    // add constant part
+//    objective += _problem->eval_f(P(x));
+//
+//    model.set(GRB_IntAttr_ModelSense, 1);
+//    model.setObjective(objective);
+//    model.update();
+//
+//
+//    //----------------------------------------------
+//    // 4. solve problem
+//    //----------------------------------------------
+//
+//
+//    if (solution_input_path_.empty())
+//    {
+//      if (!problem_env_output_path_.empty())
+//      {
+//        std::cout << "Writing problem's environment into file \"" << problem_env_output_path_ << "\"." << std::endl;
+//        model.getEnv().writeParams(problem_env_output_path_);
+//      }
+//      if (!problem_output_path_.empty())
+//      {
+//        std::cout << "Writing problem into file \"" << problem_output_path_ << "\"." << std::endl;
+//        GurobiHelper::outputModelToMpsGz(model, problem_output_path_);
+//      }
+//
+//      model.optimize();
+//    }
+//    else
+//    {
+//        std::cout << "Reading solution from file \"" << solution_input_path_ << "\"." << std::endl;
+//    }
+//
+//    //----------------------------------------------
+//    // 5. store result
+//    //----------------------------------------------
+//
+//    if (solution_input_path_.empty())
+//    {
+//      // store computed result
+//      for(unsigned int i=0; i<vars.size(); ++i)
+//        x[i] = vars[i].get(GRB_DoubleAttr_X);
+//    }
+//    else
+//    {
+//        std::cout << "Loading stored solution from \"" << solution_input_path_ << "\"." << std::endl;
+//        // store loaded result
+//        const size_t oldSize = x.size();
+//        x.clear();
+//        GurobiHelper::readSolutionVectorFromSOL(x, solution_input_path_);
+//        if (oldSize != x.size()) {
+//            std::cerr << "oldSize != x.size() <=> " << oldSize << " != " << x.size() << std::endl;
+//            throw std::runtime_error("Loaded solution vector doesn't have expected dimension.");
+//        }
+//    }
+//
+//    _problem->store_result(P(x));
+//
+//    // ObjVal is only available if the optimize was called.
+//    if (solution_input_path_.empty())
+//        std::cout << "GUROBI Objective: " << model.get(GRB_DoubleAttr_ObjVal) << std::endl;
+    return true;
+  }
+  catch (IloException& e)
+  {
+     cerr << "Concert exception caught: " << e << endl;
+     return false;
+  }
+  catch (...)
+  {
+     cerr << "Unknown exception caught" << endl;
+     return false;
+  }
+
+  return false;
+}
+
+
+//-----------------------------------------------------------------------------
+
+
+//void
+//CPLEXSolver::
+//set_problem_output_path( const std::string &_problem_output_path)
+//{
+//  problem_output_path_ = _problem_output_path;
+//}
+//
+//
+////-----------------------------------------------------------------------------
+//
+//
+//void
+//CPLEXSolver::
+//set_problem_env_output_path( const std::string &_problem_env_output_path)
+//{
+//  problem_env_output_path_ = _problem_env_output_path;
+//}
+//
+//
+////-----------------------------------------------------------------------------
+//
+//
+//void
+//CPLEXSolver::
+//set_solution_input_path(const std::string &_solution_input_path)
+//{
+//  solution_input_path_ = _solution_input_path;
+//}
+
+
+//=============================================================================
+} // namespace COMISO
+//=============================================================================
+#endif // COMISO_CPLEX_AVAILABLE
+//=============================================================================

CoMISo/NSolver/CPLEXSolver.hh

+//=============================================================================
+//
+//  CLASS CPLEXSolver
+//
+//=============================================================================
+
+
+#ifndef COMISO_CPLEXSOLVER_HH
+#define COMISO_CPLEXSOLVER_HH
+
+
+//== COMPILE-TIME PACKAGE REQUIREMENTS ========================================
+#include <CoMISo/Config/config.hh>
+#if COMISO_CPLEX_AVAILABLE
+
+//== INCLUDES =================================================================
+
+#include <CoMISo/Config/CoMISoDefines.hh>
+#include <vector>
+#include <string>
+#include "NProblemInterface.hh"
+#include "NConstraintInterface.hh"
+#include "VariableType.hh"
+
+#include <ilcplex/ilocplex.h>
+
+ILOSTLBEGIN
+
+//== FORWARDDECLARATIONS ======================================================
+
+//== NAMESPACES ===============================================================
+
+namespace COMISO {
+
+//== CLASS DEFINITION =========================================================
+
+	      
+
+/** \class NewtonSolver CPLEXSolver.hh
+
+    Brief Description.
+  
+    A more elaborate description follows.
+*/
+class COMISODLLEXPORT CPLEXSolver
+{
+public:
+
+  /// Default constructor
+  CPLEXSolver();
+ 
+  /// Destructor
+  ~CPLEXSolver() { cplex_env_.end();}
+
+  // ********** SOLVE **************** //
+  bool solve(NProblemInterface*                  _problem,                // problem instance
+             std::vector<NConstraintInterface*>& _constraints,            // linear constraints
+             std::vector<PairIndexVtype>&        _discrete_constraints,   // discrete constraints
+             const double                        _time_limit = 60     );  // time limit in seconds
+
+//  void set_problem_output_path    ( const std::string &_problem_output_path);
+//  void set_problem_env_output_path( const std::string &_problem_env_output_path);
+//  void set_solution_input_path    ( const std::string &_solution_input_path);
+
+protected:
+  double* P(std::vector<double>& _v)
+  {
+    if( !_v.empty())
+      return ((double*)&_v[0]);
+    else
+      return 0;
+  }
+
+private:
+
+  // CPLEX environment
+  IloEnv cplex_env_;
+
+  // filenames for exporting/importing gurobi solutions
+  // if string is empty nothing is imported or exported
+//  std::string problem_output_path_;
+//  std::string problem_env_output_path_;
+//  std::string solution_input_path_;
+};
+
+
+
+//=============================================================================
+} // namespace COMISO
+
+//=============================================================================
+#endif // COMISO_CPLEX_AVAILABLE
+//=============================================================================
+#endif // ACG_CPLEXSOLVER_HH defined
+//=============================================================================
+

CoMISo/NSolver/GUROBISolver.cc

@@ -36,7 +36,7 @@ bool
 GUROBISolver::
 solve(NProblemInterface*                  _problem,
       std::vector<NConstraintInterface*>& _constraints,
-      std::vector<PairUiV>&               _discrete_constraints,
+      std::vector<PairIndexVtype>&        _discrete_constraints,
       const double                        _time_limit)
 {
   try

CoMISo/NSolver/GUROBISolver.hh

@@ -45,8 +45,6 @@ class COMISODLLEXPORT GUROBISolver
 {
 public:
 
-  typedef std::pair<unsigned int, VariableType> PairUiV;
-
   /// Default constructor
   GUROBISolver();
  
@@ -56,7 +54,7 @@ public:
   // ********** SOLVE **************** //
   bool solve(NProblemInterface*                  _problem,                // problem instance
              std::vector<NConstraintInterface*>& _constraints,            // linear constraints
-             std::vector<PairUiV>&               _discrete_constraints,   // discrete constraints
+             std::vector<PairIndexVtype>&        _discrete_constraints,   // discrete constraints
              const double                        _time_limit = 60     ); // time limit in seconds
 
   void set_problem_output_path    ( const std::string &_problem_output_path);

CoMISo/NSolver/VariableType.hh

@@ -24,6 +24,8 @@ namespace COMISO {
 
 enum VariableType { Real, Integer, Binary};
 
+typedef std::pair<unsigned int, VariableType> PairIndexVtype;
+
 //=============================================================================
 } // namespace COMISO
 //=============================================================================

CoMISo/cmake/FindCPLEX.cmake

@@ -7,66 +7,42 @@
 if (CPLEX_INCLUDE_DIR)
   # in cache already
   set(CPLEX_FOUND TRUE)
+  set(CPLEX_INCLUDE_DIRS "${CPLEX_INCLUDE_DIR};${CPLEX_CONCERT_INCLUDE_DIR}" )
+  set(CPLEX_LIBRARIES "${CPLEX_LIBRARY};${CPLEX_ILO_LIBRARY};${CPLEX_CONCERT_LIBRARY}" )
 else (CPLEX_INCLUDE_DIR)
 
-if (WIN32)
-#TODO #######################################################################
-
-   find_path(CPLEX_INCLUDE_DIR NAMES SRC/gurobi_c++.h
-     PATHS
-     "C:\\libs\\gurobi45"
-     ${GUROBI_INCLUDE_PATH}
-   )
-
-   find_library( GUROBI_LIBRARY_RELEASE 
-                 SuperLU
-                 PATHS "C:\\libs\\gurobi45\\lib" )
-   find_library( GUROBI_LIBRARY_DEBUG
-                   SuperLUd
-                   PATHS "C:\\libs\\gurobi45\\lib" )
-
-
-   set ( GUROBI_LIBRARY "optimized;${GUROBI_LIBRARY_RELEASE};debug;${GUROBI_LIBRARY_DEBUG}" CACHE  STRING "GUROBI Libraries" )
-
-ELSEIF(APPLE)
-#TODO #######################################################################
-   find_path(GUROBI_INCLUDE_DIR NAMES gurobi_c++.h
-	     PATHS "${CMAKE_SOURCE_DIR}/MacOS/Libs/gurobi40"
-	     	   ${GUROBI_INCLUDE_PATH}
-            )
-
-   find_library( GUROBI_LIBRARY 
-                 SuperLU
-                 PATHS "${CMAKE_SOURCE_DIR}/MacOS/Libs/gurobi40")
-
-ELSE( WIN32 )
-   find_path(CPLEX_INCLUDE_DIR NAMES ilcplex/cplex.h
+find_path(CPLEX_INCLUDE_DIR 
+          NAMES ilcplex/cplex.h
           PATHS "$ENV{CPLEX_DIR}/cplex/include"
           )
-   find_path(CPLEX_CONCERT_INCLUDE_DIR NAMES ilconcert/ilomodel.h
+          
+find_path(CPLEX_CONCERT_INCLUDE_DIR 
+          NAMES ilconcert/ilomodel.h
           PATHS "$ENV{CPLEX_DIR}/concert/include"
           )
 
-   
-#   MESSAGE(STATUS "CPLEX         include dir: ${CPLEX_INCLUDE_DIR}")