Traktor/myenv/Lib/site-packages/scipy/optimize/_linprog_util.py

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"""
Method agnostic utility functions for linear programming
"""
import numpy as np
import scipy.sparse as sps
from warnings import warn
from ._optimize import OptimizeWarning
from scipy.optimize._remove_redundancy import (
_remove_redundancy_svd, _remove_redundancy_pivot_sparse,
_remove_redundancy_pivot_dense, _remove_redundancy_id
)
from collections import namedtuple
_LPProblem = namedtuple('_LPProblem',
'c A_ub b_ub A_eq b_eq bounds x0 integrality')
_LPProblem.__new__.__defaults__ = (None,) * 7 # make c the only required arg
_LPProblem.__doc__ = \
""" Represents a linear-programming problem.
Attributes
----------
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : various valid formats, optional
The bounds of ``x``, as ``min`` and ``max`` pairs.
If bounds are specified for all N variables separately, valid formats
are:
* a 2D array (N x 2);
* a sequence of N sequences, each with 2 values.
If all variables have the same bounds, the bounds can be specified as
a 1-D or 2-D array or sequence with 2 scalar values.
If all variables have a lower bound of 0 and no upper bound, the bounds
parameter can be omitted (or given as None).
Absent lower and/or upper bounds can be specified as -numpy.inf (no
lower bound), numpy.inf (no upper bound) or None (both).
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
integrality : 1-D array or int, optional
Indicates the type of integrality constraint on each decision variable.
``0`` : Continuous variable; no integrality constraint.
``1`` : Integer variable; decision variable must be an integer
within `bounds`.
``2`` : Semi-continuous variable; decision variable must be within
`bounds` or take value ``0``.
``3`` : Semi-integer variable; decision variable must be an integer
within `bounds` or take value ``0``.
By default, all variables are continuous.
For mixed integrality constraints, supply an array of shape `c.shape`.
To infer a constraint on each decision variable from shorter inputs,
the argument will be broadcasted to `c.shape` using `np.broadcast_to`.
This argument is currently used only by the ``'highs'`` method and
ignored otherwise.
Notes
-----
This namedtuple supports 2 ways of initialization:
>>> lp1 = _LPProblem(c=[-1, 4], A_ub=[[-3, 1], [1, 2]], b_ub=[6, 4])
>>> lp2 = _LPProblem([-1, 4], [[-3, 1], [1, 2]], [6, 4])
Note that only ``c`` is a required argument here, whereas all other arguments
``A_ub``, ``b_ub``, ``A_eq``, ``b_eq``, ``bounds``, ``x0`` are optional with
default values of None.
For example, ``A_eq`` and ``b_eq`` can be set without ``A_ub`` or ``b_ub``:
>>> lp3 = _LPProblem(c=[-1, 4], A_eq=[[2, 1]], b_eq=[10])
"""
def _check_sparse_inputs(options, meth, A_ub, A_eq):
"""
Check the provided ``A_ub`` and ``A_eq`` matrices conform to the specified
optional sparsity variables.
Parameters
----------
A_ub : 2-D array, optional
2-D array such that ``A_ub @ x`` gives the values of the upper-bound
inequality constraints at ``x``.
A_eq : 2-D array, optional
2-D array such that ``A_eq @ x`` gives the values of the equality
constraints at ``x``.
options : dict
A dictionary of solver options. All methods accept the following
generic options:
maxiter : int
Maximum number of iterations to perform.
disp : bool
Set to True to print convergence messages.
For method-specific options, see :func:`show_options('linprog')`.
method : str, optional
The algorithm used to solve the standard form problem.
Returns
-------
A_ub : 2-D array, optional
2-D array such that ``A_ub @ x`` gives the values of the upper-bound
inequality constraints at ``x``.
A_eq : 2-D array, optional
2-D array such that ``A_eq @ x`` gives the values of the equality
constraints at ``x``.
options : dict
A dictionary of solver options. All methods accept the following
generic options:
maxiter : int
Maximum number of iterations to perform.
disp : bool
Set to True to print convergence messages.
For method-specific options, see :func:`show_options('linprog')`.
"""
# This is an undocumented option for unit testing sparse presolve
_sparse_presolve = options.pop('_sparse_presolve', False)
if _sparse_presolve and A_eq is not None:
A_eq = sps.coo_matrix(A_eq)
if _sparse_presolve and A_ub is not None:
A_ub = sps.coo_matrix(A_ub)
sparse_constraint = sps.issparse(A_eq) or sps.issparse(A_ub)
preferred_methods = {"highs", "highs-ds", "highs-ipm"}
dense_methods = {"simplex", "revised simplex"}
if meth in dense_methods and sparse_constraint:
raise ValueError(f"Method '{meth}' does not support sparse "
"constraint matrices. Please consider using one of "
f"{preferred_methods}.")
sparse = options.get('sparse', False)
if not sparse and sparse_constraint and meth == 'interior-point':
options['sparse'] = True
warn("Sparse constraint matrix detected; setting 'sparse':True.",
OptimizeWarning, stacklevel=4)
return options, A_ub, A_eq
def _format_A_constraints(A, n_x, sparse_lhs=False):
"""Format the left hand side of the constraints to a 2-D array
Parameters
----------
A : 2-D array
2-D array such that ``A @ x`` gives the values of the upper-bound
(in)equality constraints at ``x``.
n_x : int
The number of variables in the linear programming problem.
sparse_lhs : bool
Whether either of `A_ub` or `A_eq` are sparse. If true return a
coo_matrix instead of a numpy array.
Returns
-------
np.ndarray or sparse.coo_matrix
2-D array such that ``A @ x`` gives the values of the upper-bound
(in)equality constraints at ``x``.
"""
if sparse_lhs:
return sps.coo_matrix(
(0, n_x) if A is None else A, dtype=float, copy=True
)
elif A is None:
return np.zeros((0, n_x), dtype=float)
else:
return np.array(A, dtype=float, copy=True)
def _format_b_constraints(b):
"""Format the upper bounds of the constraints to a 1-D array
Parameters
----------
b : 1-D array
1-D array of values representing the upper-bound of each (in)equality
constraint (row) in ``A``.
Returns
-------
1-D np.array
1-D array of values representing the upper-bound of each (in)equality
constraint (row) in ``A``.
"""
if b is None:
return np.array([], dtype=float)
b = np.array(b, dtype=float, copy=True).squeeze()
return b if b.size != 1 else b.reshape(-1)
def _clean_inputs(lp):
"""
Given user inputs for a linear programming problem, return the
objective vector, upper bound constraints, equality constraints,
and simple bounds in a preferred format.
Parameters
----------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : various valid formats, optional
The bounds of ``x``, as ``min`` and ``max`` pairs.
If bounds are specified for all N variables separately, valid formats are:
* a 2D array (2 x N or N x 2);
* a sequence of N sequences, each with 2 values.
If all variables have the same bounds, a single pair of values can
be specified. Valid formats are:
* a sequence with 2 scalar values;
* a sequence with a single element containing 2 scalar values.
If all variables have a lower bound of 0 and no upper bound, the bounds
parameter can be omitted (or given as None).
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
Returns
-------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N
elements of ``x``. The N x 2 array contains lower bounds in the first
column and upper bounds in the 2nd. Unbounded variables have lower
bound -np.inf and/or upper bound np.inf.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
"""
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = lp
if c is None:
raise TypeError
try:
c = np.array(c, dtype=np.float64, copy=True).squeeze()
except ValueError as e:
raise TypeError(
"Invalid input for linprog: c must be a 1-D array of numerical "
"coefficients") from e
else:
# If c is a single value, convert it to a 1-D array.
if c.size == 1:
c = c.reshape(-1)
n_x = len(c)
if n_x == 0 or len(c.shape) != 1:
raise ValueError(
"Invalid input for linprog: c must be a 1-D array and must "
"not have more than one non-singleton dimension")
if not np.isfinite(c).all():
raise ValueError(
"Invalid input for linprog: c must not contain values "
"inf, nan, or None")
sparse_lhs = sps.issparse(A_eq) or sps.issparse(A_ub)
try:
A_ub = _format_A_constraints(A_ub, n_x, sparse_lhs=sparse_lhs)
except ValueError as e:
raise TypeError(
"Invalid input for linprog: A_ub must be a 2-D array "
"of numerical values") from e
else:
n_ub = A_ub.shape[0]
if len(A_ub.shape) != 2 or A_ub.shape[1] != n_x:
raise ValueError(
"Invalid input for linprog: A_ub must have exactly two "
"dimensions, and the number of columns in A_ub must be "
"equal to the size of c")
if (sps.issparse(A_ub) and not np.isfinite(A_ub.data).all()
or not sps.issparse(A_ub) and not np.isfinite(A_ub).all()):
raise ValueError(
"Invalid input for linprog: A_ub must not contain values "
"inf, nan, or None")
try:
b_ub = _format_b_constraints(b_ub)
except ValueError as e:
raise TypeError(
"Invalid input for linprog: b_ub must be a 1-D array of "
"numerical values, each representing the upper bound of an "
"inequality constraint (row) in A_ub") from e
else:
if b_ub.shape != (n_ub,):
raise ValueError(
"Invalid input for linprog: b_ub must be a 1-D array; b_ub "
"must not have more than one non-singleton dimension and "
"the number of rows in A_ub must equal the number of values "
"in b_ub")
if not np.isfinite(b_ub).all():
raise ValueError(
"Invalid input for linprog: b_ub must not contain values "
"inf, nan, or None")
try:
A_eq = _format_A_constraints(A_eq, n_x, sparse_lhs=sparse_lhs)
except ValueError as e:
raise TypeError(
"Invalid input for linprog: A_eq must be a 2-D array "
"of numerical values") from e
else:
n_eq = A_eq.shape[0]
if len(A_eq.shape) != 2 or A_eq.shape[1] != n_x:
raise ValueError(
"Invalid input for linprog: A_eq must have exactly two "
"dimensions, and the number of columns in A_eq must be "
"equal to the size of c")
if (sps.issparse(A_eq) and not np.isfinite(A_eq.data).all()
or not sps.issparse(A_eq) and not np.isfinite(A_eq).all()):
raise ValueError(
"Invalid input for linprog: A_eq must not contain values "
"inf, nan, or None")
try:
b_eq = _format_b_constraints(b_eq)
except ValueError as e:
raise TypeError(
"Invalid input for linprog: b_eq must be a dense, 1-D array of "
"numerical values, each representing the right hand side of an "
"equality constraint (row) in A_eq") from e
else:
if b_eq.shape != (n_eq,):
raise ValueError(
"Invalid input for linprog: b_eq must be a 1-D array; b_eq "
"must not have more than one non-singleton dimension and "
"the number of rows in A_eq must equal the number of values "
"in b_eq")
if not np.isfinite(b_eq).all():
raise ValueError(
"Invalid input for linprog: b_eq must not contain values "
"inf, nan, or None")
# x0 gives a (optional) starting solution to the solver. If x0 is None,
# skip the checks. Initial solution will be generated automatically.
if x0 is not None:
try:
x0 = np.array(x0, dtype=float, copy=True).squeeze()
except ValueError as e:
raise TypeError(
"Invalid input for linprog: x0 must be a 1-D array of "
"numerical coefficients") from e
if x0.ndim == 0:
x0 = x0.reshape(-1)
if len(x0) == 0 or x0.ndim != 1:
raise ValueError(
"Invalid input for linprog: x0 should be a 1-D array; it "
"must not have more than one non-singleton dimension")
if not x0.size == c.size:
raise ValueError(
"Invalid input for linprog: x0 and c should contain the "
"same number of elements")
if not np.isfinite(x0).all():
raise ValueError(
"Invalid input for linprog: x0 must not contain values "
"inf, nan, or None")
# Bounds can be one of these formats:
# (1) a 2-D array or sequence, with shape N x 2
# (2) a 1-D or 2-D sequence or array with 2 scalars
# (3) None (or an empty sequence or array)
# Unspecified bounds can be represented by None or (-)np.inf.
# All formats are converted into a N x 2 np.array with (-)np.inf where
# bounds are unspecified.
# Prepare clean bounds array
bounds_clean = np.zeros((n_x, 2), dtype=float)
# Convert to a numpy array.
# np.array(..,dtype=float) raises an error if dimensions are inconsistent
# or if there are invalid data types in bounds. Just add a linprog prefix
# to the error and re-raise.
# Creating at least a 2-D array simplifies the cases to distinguish below.
if bounds is None or np.array_equal(bounds, []) or np.array_equal(bounds, [[]]):
bounds = (0, np.inf)
try:
bounds_conv = np.atleast_2d(np.array(bounds, dtype=float))
except ValueError as e:
raise ValueError(
"Invalid input for linprog: unable to interpret bounds, "
"check values and dimensions: " + e.args[0]) from e
except TypeError as e:
raise TypeError(
"Invalid input for linprog: unable to interpret bounds, "
"check values and dimensions: " + e.args[0]) from e
# Check bounds options
bsh = bounds_conv.shape
if len(bsh) > 2:
# Do not try to handle multidimensional bounds input
raise ValueError(
"Invalid input for linprog: provide a 2-D array for bounds, "
f"not a {len(bsh):d}-D array.")
elif np.all(bsh == (n_x, 2)):
# Regular N x 2 array
bounds_clean = bounds_conv
elif (np.all(bsh == (2, 1)) or np.all(bsh == (1, 2))):
# 2 values: interpret as overall lower and upper bound
bounds_flat = bounds_conv.flatten()
bounds_clean[:, 0] = bounds_flat[0]
bounds_clean[:, 1] = bounds_flat[1]
elif np.all(bsh == (2, n_x)):
# Reject a 2 x N array
raise ValueError(
f"Invalid input for linprog: provide a {n_x:d} x 2 array for bounds, "
f"not a 2 x {n_x:d} array.")
else:
raise ValueError(
"Invalid input for linprog: unable to interpret bounds with this "
f"dimension tuple: {bsh}.")
# The process above creates nan-s where the input specified None
# Convert the nan-s in the 1st column to -np.inf and in the 2nd column
# to np.inf
i_none = np.isnan(bounds_clean[:, 0])
bounds_clean[i_none, 0] = -np.inf
i_none = np.isnan(bounds_clean[:, 1])
bounds_clean[i_none, 1] = np.inf
return _LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds_clean, x0, integrality)
def _presolve(lp, rr, rr_method, tol=1e-9):
"""
Given inputs for a linear programming problem in preferred format,
presolve the problem: identify trivial infeasibilities, redundancies,
and unboundedness, tighten bounds where possible, and eliminate fixed
variables.
Parameters
----------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N
elements of ``x``. The N x 2 array contains lower bounds in the first
column and upper bounds in the 2nd. Unbounded variables have lower
bound -np.inf and/or upper bound np.inf.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
rr : bool
If ``True`` attempts to eliminate any redundant rows in ``A_eq``.
Set False if ``A_eq`` is known to be of full row rank, or if you are
looking for a potential speedup (at the expense of reliability).
rr_method : string
Method used to identify and remove redundant rows from the
equality constraint matrix after presolve.
tol : float
The tolerance which determines when a solution is "close enough" to
zero in Phase 1 to be considered a basic feasible solution or close
enough to positive to serve as an optimal solution.
Returns
-------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, as ``min`` and ``max`` pairs, possibly tightened.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
c0 : 1D array
Constant term in objective function due to fixed (and eliminated)
variables.
x : 1D array
Solution vector (when the solution is trivial and can be determined
in presolve)
revstack: list of functions
the functions in the list reverse the operations of _presolve()
the function signature is x_org = f(x_mod), where x_mod is the result
of a presolve step and x_org the value at the start of the step
(currently, the revstack contains only one function)
complete: bool
Whether the solution is complete (solved or determined to be infeasible
or unbounded in presolve)
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
4 : Serious numerical difficulties encountered
message : str
A string descriptor of the exit status of the optimization.
References
----------
.. [5] Andersen, Erling D. "Finding all linearly dependent rows in
large-scale linear programming." Optimization Methods and Software
6.3 (1995): 219-227.
.. [8] Andersen, Erling D., and Knud D. Andersen. "Presolving in linear
programming." Mathematical Programming 71.2 (1995): 221-245.
"""
# ideas from Reference [5] by Andersen and Andersen
# however, unlike the reference, this is performed before converting
# problem to standard form
# There are a few advantages:
# * artificial variables have not been added, so matrices are smaller
# * bounds have not been converted to constraints yet. (It is better to
# do that after presolve because presolve may adjust the simple bounds.)
# There are many improvements that can be made, namely:
# * implement remaining checks from [5]
# * loop presolve until no additional changes are made
# * implement additional efficiency improvements in redundancy removal [2]
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, _ = lp
revstack = [] # record of variables eliminated from problem
# constant term in cost function may be added if variables are eliminated
c0 = 0
complete = False # complete is True if detected infeasible/unbounded
x = np.zeros(c.shape) # this is solution vector if completed in presolve
status = 0 # all OK unless determined otherwise
message = ""
# Lower and upper bounds. Copy to prevent feedback.
lb = bounds[:, 0].copy()
ub = bounds[:, 1].copy()
m_eq, n = A_eq.shape
m_ub, n = A_ub.shape
if (rr_method is not None
and rr_method.lower() not in {"svd", "pivot", "id"}):
message = ("'" + str(rr_method) + "' is not a valid option "
"for redundancy removal. Valid options are 'SVD', "
"'pivot', and 'ID'.")
raise ValueError(message)
if sps.issparse(A_eq):
A_eq = A_eq.tocsr()
A_ub = A_ub.tocsr()
def where(A):
return A.nonzero()
vstack = sps.vstack
else:
where = np.where
vstack = np.vstack
# upper bounds > lower bounds
if np.any(ub < lb) or np.any(lb == np.inf) or np.any(ub == -np.inf):
status = 2
message = ("The problem is (trivially) infeasible since one "
"or more upper bounds are smaller than the corresponding "
"lower bounds, a lower bound is np.inf or an upper bound "
"is -np.inf.")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
# zero row in equality constraints
zero_row = np.array(np.sum(A_eq != 0, axis=1) == 0).flatten()
if np.any(zero_row):
if np.any(
np.logical_and(
zero_row,
np.abs(b_eq) > tol)): # test_zero_row_1
# infeasible if RHS is not zero
status = 2
message = ("The problem is (trivially) infeasible due to a row "
"of zeros in the equality constraint matrix with a "
"nonzero corresponding constraint value.")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
else: # test_zero_row_2
# if RHS is zero, we can eliminate this equation entirely
A_eq = A_eq[np.logical_not(zero_row), :]
b_eq = b_eq[np.logical_not(zero_row)]
# zero row in inequality constraints
zero_row = np.array(np.sum(A_ub != 0, axis=1) == 0).flatten()
if np.any(zero_row):
if np.any(np.logical_and(zero_row, b_ub < -tol)): # test_zero_row_1
# infeasible if RHS is less than zero (because LHS is zero)
status = 2
message = ("The problem is (trivially) infeasible due to a row "
"of zeros in the equality constraint matrix with a "
"nonzero corresponding constraint value.")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
else: # test_zero_row_2
# if LHS is >= 0, we can eliminate this constraint entirely
A_ub = A_ub[np.logical_not(zero_row), :]
b_ub = b_ub[np.logical_not(zero_row)]
# zero column in (both) constraints
# this indicates that a variable isn't constrained and can be removed
A = vstack((A_eq, A_ub))
if A.shape[0] > 0:
zero_col = np.array(np.sum(A != 0, axis=0) == 0).flatten()
# variable will be at upper or lower bound, depending on objective
x[np.logical_and(zero_col, c < 0)] = ub[
np.logical_and(zero_col, c < 0)]
x[np.logical_and(zero_col, c > 0)] = lb[
np.logical_and(zero_col, c > 0)]
if np.any(np.isinf(x)): # if an unconstrained variable has no bound
status = 3
message = ("If feasible, the problem is (trivially) unbounded "
"due to a zero column in the constraint matrices. If "
"you wish to check whether the problem is infeasible, "
"turn presolve off.")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
# variables will equal upper/lower bounds will be removed later
lb[np.logical_and(zero_col, c < 0)] = ub[
np.logical_and(zero_col, c < 0)]
ub[np.logical_and(zero_col, c > 0)] = lb[
np.logical_and(zero_col, c > 0)]
# row singleton in equality constraints
# this fixes a variable and removes the constraint
singleton_row = np.array(np.sum(A_eq != 0, axis=1) == 1).flatten()
rows = where(singleton_row)[0]
cols = where(A_eq[rows, :])[1]
if len(rows) > 0:
for row, col in zip(rows, cols):
val = b_eq[row] / A_eq[row, col]
if not lb[col] - tol <= val <= ub[col] + tol:
# infeasible if fixed value is not within bounds
status = 2
message = ("The problem is (trivially) infeasible because a "
"singleton row in the equality constraints is "
"inconsistent with the bounds.")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
else:
# sets upper and lower bounds at that fixed value - variable
# will be removed later
lb[col] = val
ub[col] = val
A_eq = A_eq[np.logical_not(singleton_row), :]
b_eq = b_eq[np.logical_not(singleton_row)]
# row singleton in inequality constraints
# this indicates a simple bound and the constraint can be removed
# simple bounds may be adjusted here
# After all of the simple bound information is combined here, get_Abc will
# turn the simple bounds into constraints
singleton_row = np.array(np.sum(A_ub != 0, axis=1) == 1).flatten()
cols = where(A_ub[singleton_row, :])[1]
rows = where(singleton_row)[0]
if len(rows) > 0:
for row, col in zip(rows, cols):
val = b_ub[row] / A_ub[row, col]
if A_ub[row, col] > 0: # upper bound
if val < lb[col] - tol: # infeasible
complete = True
elif val < ub[col]: # new upper bound
ub[col] = val
else: # lower bound
if val > ub[col] + tol: # infeasible
complete = True
elif val > lb[col]: # new lower bound
lb[col] = val
if complete:
status = 2
message = ("The problem is (trivially) infeasible because a "
"singleton row in the upper bound constraints is "
"inconsistent with the bounds.")
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
A_ub = A_ub[np.logical_not(singleton_row), :]
b_ub = b_ub[np.logical_not(singleton_row)]
# identical bounds indicate that variable can be removed
i_f = np.abs(lb - ub) < tol # indices of "fixed" variables
i_nf = np.logical_not(i_f) # indices of "not fixed" variables
# test_bounds_equal_but_infeasible
if np.all(i_f): # if bounds define solution, check for consistency
residual = b_eq - A_eq.dot(lb)
slack = b_ub - A_ub.dot(lb)
if ((A_ub.size > 0 and np.any(slack < 0)) or
(A_eq.size > 0 and not np.allclose(residual, 0))):
status = 2
message = ("The problem is (trivially) infeasible because the "
"bounds fix all variables to values inconsistent with "
"the constraints")
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
ub_mod = ub
lb_mod = lb
if np.any(i_f):
c0 += c[i_f].dot(lb[i_f])
b_eq = b_eq - A_eq[:, i_f].dot(lb[i_f])
b_ub = b_ub - A_ub[:, i_f].dot(lb[i_f])
c = c[i_nf]
x_undo = lb[i_f] # not x[i_f], x is just zeroes
x = x[i_nf]
# user guess x0 stays separate from presolve solution x
if x0 is not None:
x0 = x0[i_nf]
A_eq = A_eq[:, i_nf]
A_ub = A_ub[:, i_nf]
# modify bounds
lb_mod = lb[i_nf]
ub_mod = ub[i_nf]
def rev(x_mod):
# Function to restore x: insert x_undo into x_mod.
# When elements have been removed at positions k1, k2, k3, ...
# then these must be replaced at (after) positions k1-1, k2-2,
# k3-3, ... in the modified array to recreate the original
i = np.flatnonzero(i_f)
# Number of variables to restore
N = len(i)
index_offset = np.arange(N)
# Create insert indices
insert_indices = i - index_offset
x_rev = np.insert(x_mod.astype(float), insert_indices, x_undo)
return x_rev
# Use revstack as a list of functions, currently just this one.
revstack.append(rev)
# no constraints indicates that problem is trivial
if A_eq.size == 0 and A_ub.size == 0:
b_eq = np.array([])
b_ub = np.array([])
# test_empty_constraint_1
if c.size == 0:
status = 0
message = ("The solution was determined in presolve as there are "
"no non-trivial constraints.")
elif (np.any(np.logical_and(c < 0, ub_mod == np.inf)) or
np.any(np.logical_and(c > 0, lb_mod == -np.inf))):
# test_no_constraints()
# test_unbounded_no_nontrivial_constraints_1
# test_unbounded_no_nontrivial_constraints_2
status = 3
message = ("The problem is (trivially) unbounded "
"because there are no non-trivial constraints and "
"a) at least one decision variable is unbounded "
"above and its corresponding cost is negative, or "
"b) at least one decision variable is unbounded below "
"and its corresponding cost is positive. ")
else: # test_empty_constraint_2
status = 0
message = ("The solution was determined in presolve as there are "
"no non-trivial constraints.")
complete = True
x[c < 0] = ub_mod[c < 0]
x[c > 0] = lb_mod[c > 0]
# where c is zero, set x to a finite bound or zero
x_zero_c = ub_mod[c == 0]
x_zero_c[np.isinf(x_zero_c)] = ub_mod[c == 0][np.isinf(x_zero_c)]
x_zero_c[np.isinf(x_zero_c)] = 0
x[c == 0] = x_zero_c
# if this is not the last step of presolve, should convert bounds back
# to array and return here
# Convert modified lb and ub back into N x 2 bounds
bounds = np.hstack((lb_mod[:, np.newaxis], ub_mod[:, np.newaxis]))
# remove redundant (linearly dependent) rows from equality constraints
n_rows_A = A_eq.shape[0]
redundancy_warning = ("A_eq does not appear to be of full row rank. To "
"improve performance, check the problem formulation "
"for redundant equality constraints.")
if (sps.issparse(A_eq)):
if rr and A_eq.size > 0: # TODO: Fast sparse rank check?
rr_res = _remove_redundancy_pivot_sparse(A_eq, b_eq)
A_eq, b_eq, status, message = rr_res
if A_eq.shape[0] < n_rows_A:
warn(redundancy_warning, OptimizeWarning, stacklevel=1)
if status != 0:
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
# This is a wild guess for which redundancy removal algorithm will be
# faster. More testing would be good.
small_nullspace = 5
if rr and A_eq.size > 0:
try: # TODO: use results of first SVD in _remove_redundancy_svd
rank = np.linalg.matrix_rank(A_eq)
# oh well, we'll have to go with _remove_redundancy_pivot_dense
except Exception:
rank = 0
if rr and A_eq.size > 0 and rank < A_eq.shape[0]:
warn(redundancy_warning, OptimizeWarning, stacklevel=3)
dim_row_nullspace = A_eq.shape[0]-rank
if rr_method is None:
if dim_row_nullspace <= small_nullspace:
rr_res = _remove_redundancy_svd(A_eq, b_eq)
A_eq, b_eq, status, message = rr_res
if dim_row_nullspace > small_nullspace or status == 4:
rr_res = _remove_redundancy_pivot_dense(A_eq, b_eq)
A_eq, b_eq, status, message = rr_res
else:
rr_method = rr_method.lower()
if rr_method == "svd":
rr_res = _remove_redundancy_svd(A_eq, b_eq)
A_eq, b_eq, status, message = rr_res
elif rr_method == "pivot":
rr_res = _remove_redundancy_pivot_dense(A_eq, b_eq)
A_eq, b_eq, status, message = rr_res
elif rr_method == "id":
rr_res = _remove_redundancy_id(A_eq, b_eq, rank)
A_eq, b_eq, status, message = rr_res
else: # shouldn't get here; option validity checked above
pass
if A_eq.shape[0] < rank:
message = ("Due to numerical issues, redundant equality "
"constraints could not be removed automatically. "
"Try providing your constraint matrices as sparse "
"matrices to activate sparse presolve, try turning "
"off redundancy removal, or try turning off presolve "
"altogether.")
status = 4
if status != 0:
complete = True
return (_LPProblem(c, A_ub, b_ub, A_eq, b_eq, bounds, x0),
c0, x, revstack, complete, status, message)
def _parse_linprog(lp, options, meth):
"""
Parse the provided linear programming problem
``_parse_linprog`` employs two main steps ``_check_sparse_inputs`` and
``_clean_inputs``. ``_check_sparse_inputs`` checks for sparsity in the
provided constraints (``A_ub`` and ``A_eq) and if these match the provided
sparsity optional values.
``_clean inputs`` checks of the provided inputs. If no violations are
identified the objective vector, upper bound constraints, equality
constraints, and simple bounds are returned in the expected format.
Parameters
----------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : various valid formats, optional
The bounds of ``x``, as ``min`` and ``max`` pairs.
If bounds are specified for all N variables separately, valid formats are:
* a 2D array (2 x N or N x 2);
* a sequence of N sequences, each with 2 values.
If all variables have the same bounds, a single pair of values can
be specified. Valid formats are:
* a sequence with 2 scalar values;
* a sequence with a single element containing 2 scalar values.
If all variables have a lower bound of 0 and no upper bound, the bounds
parameter can be omitted (or given as None).
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
options : dict
A dictionary of solver options. All methods accept the following
generic options:
maxiter : int
Maximum number of iterations to perform.
disp : bool
Set to True to print convergence messages.
For method-specific options, see :func:`show_options('linprog')`.
Returns
-------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, as ``min`` and ``max`` pairs, one for each of the N
elements of ``x``. The N x 2 array contains lower bounds in the first
column and upper bounds in the 2nd. Unbounded variables have lower
bound -np.inf and/or upper bound np.inf.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
options : dict, optional
A dictionary of solver options. All methods accept the following
generic options:
maxiter : int
Maximum number of iterations to perform.
disp : bool
Set to True to print convergence messages.
For method-specific options, see :func:`show_options('linprog')`.
"""
if options is None:
options = {}
solver_options = {k: v for k, v in options.items()}
solver_options, A_ub, A_eq = _check_sparse_inputs(solver_options, meth,
lp.A_ub, lp.A_eq)
# Convert lists to numpy arrays, etc...
lp = _clean_inputs(lp._replace(A_ub=A_ub, A_eq=A_eq))
return lp, solver_options
def _get_Abc(lp, c0):
"""
Given a linear programming problem of the form:
Minimize::
c @ x
Subject to::
A_ub @ x <= b_ub
A_eq @ x == b_eq
lb <= x <= ub
where ``lb = 0`` and ``ub = None`` unless set in ``bounds``.
Return the problem in standard form:
Minimize::
c @ x
Subject to::
A @ x == b
x >= 0
by adding slack variables and making variable substitutions as necessary.
Parameters
----------
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, lower bounds in the 1st column, upper
bounds in the 2nd column. The bounds are possibly tightened
by the presolve procedure.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
c0 : float
Constant term in objective function due to fixed (and eliminated)
variables.
Returns
-------
A : 2-D array
2-D array such that ``A`` @ ``x``, gives the values of the equality
constraints at ``x``.
b : 1-D array
1-D array of values representing the RHS of each equality constraint
(row) in A (for standard form problem).
c : 1-D array
Coefficients of the linear objective function to be minimized (for
standard form problem).
c0 : float
Constant term in objective function due to fixed (and eliminated)
variables.
x0 : 1-D array
Starting values of the independent variables, which will be refined by
the optimization algorithm
References
----------
.. [9] Bertsimas, Dimitris, and J. Tsitsiklis. "Introduction to linear
programming." Athena Scientific 1 (1997): 997.
"""
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = lp
if sps.issparse(A_eq):
sparse = True
A_eq = sps.csr_matrix(A_eq)
A_ub = sps.csr_matrix(A_ub)
def hstack(blocks):
return sps.hstack(blocks, format="csr")
def vstack(blocks):
return sps.vstack(blocks, format="csr")
zeros = sps.csr_matrix
eye = sps.eye
else:
sparse = False
hstack = np.hstack
vstack = np.vstack
zeros = np.zeros
eye = np.eye
# Variables lbs and ubs (see below) may be changed, which feeds back into
# bounds, so copy.
bounds = np.array(bounds, copy=True)
# modify problem such that all variables have only non-negativity bounds
lbs = bounds[:, 0]
ubs = bounds[:, 1]
m_ub, n_ub = A_ub.shape
lb_none = np.equal(lbs, -np.inf)
ub_none = np.equal(ubs, np.inf)
lb_some = np.logical_not(lb_none)
ub_some = np.logical_not(ub_none)
# unbounded below: substitute xi = -xi' (unbounded above)
# if -inf <= xi <= ub, then -ub <= -xi <= inf, so swap and invert bounds
l_nolb_someub = np.logical_and(lb_none, ub_some)
i_nolb = np.nonzero(l_nolb_someub)[0]
lbs[l_nolb_someub], ubs[l_nolb_someub] = (
-ubs[l_nolb_someub], -lbs[l_nolb_someub])
lb_none = np.equal(lbs, -np.inf)
ub_none = np.equal(ubs, np.inf)
lb_some = np.logical_not(lb_none)
ub_some = np.logical_not(ub_none)
c[i_nolb] *= -1
if x0 is not None:
x0[i_nolb] *= -1
if len(i_nolb) > 0:
if A_ub.shape[0] > 0: # sometimes needed for sparse arrays... weird
A_ub[:, i_nolb] *= -1
if A_eq.shape[0] > 0:
A_eq[:, i_nolb] *= -1
# upper bound: add inequality constraint
i_newub, = ub_some.nonzero()
ub_newub = ubs[ub_some]
n_bounds = len(i_newub)
if n_bounds > 0:
shape = (n_bounds, A_ub.shape[1])
if sparse:
idxs = (np.arange(n_bounds), i_newub)
A_ub = vstack((A_ub, sps.csr_matrix((np.ones(n_bounds), idxs),
shape=shape)))
else:
A_ub = vstack((A_ub, np.zeros(shape)))
A_ub[np.arange(m_ub, A_ub.shape[0]), i_newub] = 1
b_ub = np.concatenate((b_ub, np.zeros(n_bounds)))
b_ub[m_ub:] = ub_newub
A1 = vstack((A_ub, A_eq))
b = np.concatenate((b_ub, b_eq))
c = np.concatenate((c, np.zeros((A_ub.shape[0],))))
if x0 is not None:
x0 = np.concatenate((x0, np.zeros((A_ub.shape[0],))))
# unbounded: substitute xi = xi+ + xi-
l_free = np.logical_and(lb_none, ub_none)
i_free = np.nonzero(l_free)[0]
n_free = len(i_free)
c = np.concatenate((c, np.zeros(n_free)))
if x0 is not None:
x0 = np.concatenate((x0, np.zeros(n_free)))
A1 = hstack((A1[:, :n_ub], -A1[:, i_free]))
c[n_ub:n_ub+n_free] = -c[i_free]
if x0 is not None:
i_free_neg = x0[i_free] < 0
x0[np.arange(n_ub, A1.shape[1])[i_free_neg]] = -x0[i_free[i_free_neg]]
x0[i_free[i_free_neg]] = 0
# add slack variables
A2 = vstack([eye(A_ub.shape[0]), zeros((A_eq.shape[0], A_ub.shape[0]))])
A = hstack([A1, A2])
# lower bound: substitute xi = xi' + lb
# now there is a constant term in objective
i_shift = np.nonzero(lb_some)[0]
lb_shift = lbs[lb_some].astype(float)
c0 += np.sum(lb_shift * c[i_shift])
if sparse:
b = b.reshape(-1, 1)
A = A.tocsc()
b -= (A[:, i_shift] * sps.diags(lb_shift)).sum(axis=1)
b = b.ravel()
else:
b -= (A[:, i_shift] * lb_shift).sum(axis=1)
if x0 is not None:
x0[i_shift] -= lb_shift
return A, b, c, c0, x0
def _round_to_power_of_two(x):
"""
Round elements of the array to the nearest power of two.
"""
return 2**np.around(np.log2(x))
def _autoscale(A, b, c, x0):
"""
Scales the problem according to equilibration from [12].
Also normalizes the right hand side vector by its maximum element.
"""
m, n = A.shape
C = 1
R = 1
if A.size > 0:
R = np.max(np.abs(A), axis=1)
if sps.issparse(A):
R = R.toarray().flatten()
R[R == 0] = 1
R = 1/_round_to_power_of_two(R)
A = sps.diags(R)*A if sps.issparse(A) else A*R.reshape(m, 1)
b = b*R
C = np.max(np.abs(A), axis=0)
if sps.issparse(A):
C = C.toarray().flatten()
C[C == 0] = 1
C = 1/_round_to_power_of_two(C)
A = A*sps.diags(C) if sps.issparse(A) else A*C
c = c*C
b_scale = np.max(np.abs(b)) if b.size > 0 else 1
if b_scale == 0:
b_scale = 1.
b = b/b_scale
if x0 is not None:
x0 = x0/b_scale*(1/C)
return A, b, c, x0, C, b_scale
def _unscale(x, C, b_scale):
"""
Converts solution to _autoscale problem -> solution to original problem.
"""
try:
n = len(C)
# fails if sparse or scalar; that's OK.
# this is only needed for original simplex (never sparse)
except TypeError:
n = len(x)
return x[:n]*b_scale*C
def _display_summary(message, status, fun, iteration):
"""
Print the termination summary of the linear program
Parameters
----------
message : str
A string descriptor of the exit status of the optimization.
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
4 : Serious numerical difficulties encountered
fun : float
Value of the objective function.
iteration : iteration
The number of iterations performed.
"""
print(message)
if status in (0, 1):
print(f" Current function value: {fun: <12.6f}")
print(f" Iterations: {iteration:d}")
def _postsolve(x, postsolve_args, complete=False):
"""
Given solution x to presolved, standard form linear program x, add
fixed variables back into the problem and undo the variable substitutions
to get solution to original linear program. Also, calculate the objective
function value, slack in original upper bound constraints, and residuals
in original equality constraints.
Parameters
----------
x : 1-D array
Solution vector to the standard-form problem.
postsolve_args : tuple
Data needed by _postsolve to convert the solution to the standard-form
problem into the solution to the original problem, including:
lp : A `scipy.optimize._linprog_util._LPProblem` consisting of the following fields:
c : 1D array
The coefficients of the linear objective function to be minimized.
A_ub : 2D array, optional
The inequality constraint matrix. Each row of ``A_ub`` specifies the
coefficients of a linear inequality constraint on ``x``.
b_ub : 1D array, optional
The inequality constraint vector. Each element represents an
upper bound on the corresponding value of ``A_ub @ x``.
A_eq : 2D array, optional
The equality constraint matrix. Each row of ``A_eq`` specifies the
coefficients of a linear equality constraint on ``x``.
b_eq : 1D array, optional
The equality constraint vector. Each element of ``A_eq @ x`` must equal
the corresponding element of ``b_eq``.
bounds : 2D array
The bounds of ``x``, lower bounds in the 1st column, upper
bounds in the 2nd column. The bounds are possibly tightened
by the presolve procedure.
x0 : 1D array, optional
Guess values of the decision variables, which will be refined by
the optimization algorithm. This argument is currently used only by the
'revised simplex' method, and can only be used if `x0` represents a
basic feasible solution.
revstack: list of functions
the functions in the list reverse the operations of _presolve()
the function signature is x_org = f(x_mod), where x_mod is the result
of a presolve step and x_org the value at the start of the step
complete : bool
Whether the solution is was determined in presolve (``True`` if so)
Returns
-------
x : 1-D array
Solution vector to original linear programming problem
fun: float
optimal objective value for original problem
slack : 1-D array
The (non-negative) slack in the upper bound constraints, that is,
``b_ub - A_ub @ x``
con : 1-D array
The (nominally zero) residuals of the equality constraints, that is,
``b - A_eq @ x``
"""
# note that all the inputs are the ORIGINAL, unmodified versions
# no rows, columns have been removed
c, A_ub, b_ub, A_eq, b_eq, bounds, x0, integrality = postsolve_args[0]
revstack, C, b_scale = postsolve_args[1:]
x = _unscale(x, C, b_scale)
# Undo variable substitutions of _get_Abc()
# if "complete", problem was solved in presolve; don't do anything here
n_x = bounds.shape[0]
if not complete and bounds is not None: # bounds are never none, probably
n_unbounded = 0
for i, bi in enumerate(bounds):
lbi = bi[0]
ubi = bi[1]
if lbi == -np.inf and ubi == np.inf:
n_unbounded += 1
x[i] = x[i] - x[n_x + n_unbounded - 1]
else:
if lbi == -np.inf:
x[i] = ubi - x[i]
else:
x[i] += lbi
# all the rest of the variables were artificial
x = x[:n_x]
# If there were variables removed from the problem, add them back into the
# solution vector
# Apply the functions in revstack (reverse direction)
for rev in reversed(revstack):
x = rev(x)
fun = x.dot(c)
slack = b_ub - A_ub.dot(x) # report slack for ORIGINAL UB constraints
# report residuals of ORIGINAL EQ constraints
con = b_eq - A_eq.dot(x)
return x, fun, slack, con
def _check_result(x, fun, status, slack, con, bounds, tol, message,
integrality):
"""
Check the validity of the provided solution.
A valid (optimal) solution satisfies all bounds, all slack variables are
negative and all equality constraint residuals are strictly non-zero.
Further, the lower-bounds, upper-bounds, slack and residuals contain
no nan values.
Parameters
----------
x : 1-D array
Solution vector to original linear programming problem
fun: float
optimal objective value for original problem
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
4 : Serious numerical difficulties encountered
slack : 1-D array
The (non-negative) slack in the upper bound constraints, that is,
``b_ub - A_ub @ x``
con : 1-D array
The (nominally zero) residuals of the equality constraints, that is,
``b - A_eq @ x``
bounds : 2D array
The bounds on the original variables ``x``
message : str
A string descriptor of the exit status of the optimization.
tol : float
Termination tolerance; see [1]_ Section 4.5.
Returns
-------
status : int
An integer representing the exit status of the optimization::
0 : Optimization terminated successfully
1 : Iteration limit reached
2 : Problem appears to be infeasible
3 : Problem appears to be unbounded
4 : Serious numerical difficulties encountered
message : str
A string descriptor of the exit status of the optimization.
"""
# Somewhat arbitrary
tol = np.sqrt(tol) * 10
if x is None:
# HiGHS does not provide x if infeasible/unbounded
if status == 0: # Observed with HiGHS Simplex Primal
status = 4
message = ("The solver did not provide a solution nor did it "
"report a failure. Please submit a bug report.")
return status, message
contains_nans = (
np.isnan(x).any()
or np.isnan(fun)
or np.isnan(slack).any()
or np.isnan(con).any()
)
if contains_nans:
is_feasible = False
else:
if integrality is None:
integrality = 0
valid_bounds = (x >= bounds[:, 0] - tol) & (x <= bounds[:, 1] + tol)
# When integrality is 2 or 3, x must be within bounds OR take value 0
valid_bounds |= (integrality > 1) & np.isclose(x, 0, atol=tol)
invalid_bounds = not np.all(valid_bounds)
invalid_slack = status != 3 and (slack < -tol).any()
invalid_con = status != 3 and (np.abs(con) > tol).any()
is_feasible = not (invalid_bounds or invalid_slack or invalid_con)
if status == 0 and not is_feasible:
status = 4
message = ("The solution does not satisfy the constraints within the "
"required tolerance of " + f"{tol:.2E}" + ", yet "
"no errors were raised and there is no certificate of "
"infeasibility or unboundedness. Check whether "
"the slack and constraint residuals are acceptable; "
"if not, consider enabling presolve, adjusting the "
"tolerance option(s), and/or using a different method. "
"Please consider submitting a bug report.")
elif status == 2 and is_feasible:
# Occurs if the simplex method exits after phase one with a very
# nearly basic feasible solution. Postsolving can make the solution
# basic, however, this solution is NOT optimal
status = 4
message = ("The solution is feasible, but the solver did not report "
"that the solution was optimal. Please try a different "
"method.")
return status, message