/* glpapi12.c (basis factorization and simplex tableau routines) */ /*********************************************************************** * This code is part of GLPK (GNU Linear Programming Kit). * * Copyright (C) 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, * 2009, 2010, 2011, 2013 Andrew Makhorin, Department for Applied * Informatics, Moscow Aviation Institute, Moscow, Russia. All rights * reserved. E-mail: . * * GLPK 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. * * GLPK 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 GLPK. If not, see . ***********************************************************************/ #include "draft.h" #include "glpenv.h" #include "prob.h" /*********************************************************************** * NAME * * glp_bf_exists - check if the basis factorization exists * * SYNOPSIS * * int glp_bf_exists(glp_prob *lp); * * RETURNS * * If the basis factorization for the current basis associated with * the specified problem object exists and therefore is available for * computations, the routine glp_bf_exists returns non-zero. Otherwise * the routine returns zero. */ int glp_bf_exists(glp_prob *lp) { int ret; ret = (lp->m == 0 || lp->valid); return ret; } /*********************************************************************** * NAME * * glp_factorize - compute the basis factorization * * SYNOPSIS * * int glp_factorize(glp_prob *lp); * * DESCRIPTION * * The routine glp_factorize computes the basis factorization for the * current basis associated with the specified problem object. * * RETURNS * * 0 The basis factorization has been successfully computed. * * GLP_EBADB * The basis matrix is invalid, i.e. the number of basic (auxiliary * and structural) variables differs from the number of rows in the * problem object. * * GLP_ESING * The basis matrix is singular within the working precision. * * GLP_ECOND * The basis matrix is ill-conditioned. */ static int b_col(void *info, int j, int ind[], double val[]) { glp_prob *lp = info; int m = lp->m; GLPAIJ *aij; int k, len; xassert(1 <= j && j <= m); /* determine the ordinal number of basic auxiliary or structural variable x[k] corresponding to basic variable xB[j] */ k = lp->head[j]; /* build j-th column of the basic matrix, which is k-th column of the scaled augmented matrix (I | -R*A*S) */ if (k <= m) { /* x[k] is auxiliary variable */ len = 1; ind[1] = k; val[1] = 1.0; } else { /* x[k] is structural variable */ len = 0; for (aij = lp->col[k-m]->ptr; aij != NULL; aij = aij->c_next) { len++; ind[len] = aij->row->i; val[len] = - aij->row->rii * aij->val * aij->col->sjj; } } return len; } int glp_factorize(glp_prob *lp) { int m = lp->m; int n = lp->n; GLPROW **row = lp->row; GLPCOL **col = lp->col; int *head = lp->head; int j, k, stat, ret; /* invalidate the basis factorization */ lp->valid = 0; /* build the basis header */ j = 0; for (k = 1; k <= m+n; k++) { if (k <= m) { stat = row[k]->stat; row[k]->bind = 0; } else { stat = col[k-m]->stat; col[k-m]->bind = 0; } if (stat == GLP_BS) { j++; if (j > m) { /* too many basic variables */ ret = GLP_EBADB; goto fini; } head[j] = k; if (k <= m) row[k]->bind = j; else col[k-m]->bind = j; } } if (j < m) { /* too few basic variables */ ret = GLP_EBADB; goto fini; } /* try to factorize the basis matrix */ if (m > 0) { if (lp->bfd == NULL) { lp->bfd = bfd_create_it(); #if 0 /* 08/III-2014 */ copy_bfcp(lp); #endif } switch (bfd_factorize(lp->bfd, m, /*lp->head,*/ b_col, lp)) { case 0: /* ok */ break; case BFD_ESING: /* singular matrix */ ret = GLP_ESING; goto fini; case BFD_ECOND: /* ill-conditioned matrix */ ret = GLP_ECOND; goto fini; default: xassert(lp != lp); } lp->valid = 1; } /* factorization successful */ ret = 0; fini: /* bring the return code to the calling program */ return ret; } /*********************************************************************** * NAME * * glp_bf_updated - check if the basis factorization has been updated * * SYNOPSIS * * int glp_bf_updated(glp_prob *lp); * * RETURNS * * If the basis factorization has been just computed from scratch, the * routine glp_bf_updated returns zero. Otherwise, if the factorization * has been updated one or more times, the routine returns non-zero. */ int glp_bf_updated(glp_prob *lp) { int cnt; if (!(lp->m == 0 || lp->valid)) xerror("glp_bf_update: basis factorization does not exist\n"); #if 0 /* 15/XI-2009 */ cnt = (lp->m == 0 ? 0 : lp->bfd->upd_cnt); #else cnt = (lp->m == 0 ? 0 : bfd_get_count(lp->bfd)); #endif return cnt; } /*********************************************************************** * NAME * * glp_get_bfcp - retrieve basis factorization control parameters * * SYNOPSIS * * void glp_get_bfcp(glp_prob *lp, glp_bfcp *parm); * * DESCRIPTION * * The routine glp_get_bfcp retrieves control parameters, which are * used on computing and updating the basis factorization associated * with the specified problem object. * * Current values of control parameters are stored by the routine in * a glp_bfcp structure, which the parameter parm points to. */ #if 1 /* 08/III-2014 */ void glp_get_bfcp(glp_prob *P, glp_bfcp *parm) { if (P->bfd == NULL) P->bfd = bfd_create_it(); bfd_get_bfcp(P->bfd, parm); return; } #endif /*********************************************************************** * NAME * * glp_set_bfcp - change basis factorization control parameters * * SYNOPSIS * * void glp_set_bfcp(glp_prob *lp, const glp_bfcp *parm); * * DESCRIPTION * * The routine glp_set_bfcp changes control parameters, which are used * by internal GLPK routines in computing and updating the basis * factorization associated with the specified problem object. * * New values of the control parameters should be passed in a structure * glp_bfcp, which the parameter parm points to. * * The parameter parm can be specified as NULL, in which case all * control parameters are reset to their default values. */ #if 1 /* 08/III-2014 */ void glp_set_bfcp(glp_prob *P, const glp_bfcp *parm) { if (P->bfd == NULL) P->bfd = bfd_create_it(); if (parm != NULL) { if (!(parm->type == GLP_BF_LUF + GLP_BF_FT || parm->type == GLP_BF_LUF + GLP_BF_BG || parm->type == GLP_BF_LUF + GLP_BF_GR || parm->type == GLP_BF_BTF + GLP_BF_BG || parm->type == GLP_BF_BTF + GLP_BF_GR)) xerror("glp_set_bfcp: type = 0x%02X; invalid parameter\n", parm->type); if (!(0.0 < parm->piv_tol && parm->piv_tol < 1.0)) xerror("glp_set_bfcp: piv_tol = %g; invalid parameter\n", parm->piv_tol); if (parm->piv_lim < 1) xerror("glp_set_bfcp: piv_lim = %d; invalid parameter\n", parm->piv_lim); if (!(parm->suhl == GLP_ON || parm->suhl == GLP_OFF)) xerror("glp_set_bfcp: suhl = %d; invalid parameter\n", parm->suhl); if (!(0.0 <= parm->eps_tol && parm->eps_tol <= 1e-6)) xerror("glp_set_bfcp: eps_tol = %g; invalid parameter\n", parm->eps_tol); if (!(1 <= parm->nfs_max && parm->nfs_max <= 32767)) xerror("glp_set_bfcp: nfs_max = %d; invalid parameter\n", parm->nfs_max); if (!(1 <= parm->nrs_max && parm->nrs_max <= 32767)) xerror("glp_set_bfcp: nrs_max = %d; invalid parameter\n", parm->nrs_max); } bfd_set_bfcp(P->bfd, parm); return; } #endif /*********************************************************************** * NAME * * glp_get_bhead - retrieve the basis header information * * SYNOPSIS * * int glp_get_bhead(glp_prob *lp, int k); * * DESCRIPTION * * The routine glp_get_bhead returns the basis header information for * the current basis associated with the specified problem object. * * RETURNS * * If xB[k], 1 <= k <= m, is i-th auxiliary variable (1 <= i <= m), the * routine returns i. Otherwise, if xB[k] is j-th structural variable * (1 <= j <= n), the routine returns m+j. Here m is the number of rows * and n is the number of columns in the problem object. */ int glp_get_bhead(glp_prob *lp, int k) { if (!(lp->m == 0 || lp->valid)) xerror("glp_get_bhead: basis factorization does not exist\n"); if (!(1 <= k && k <= lp->m)) xerror("glp_get_bhead: k = %d; index out of range\n", k); return lp->head[k]; } /*********************************************************************** * NAME * * glp_get_row_bind - retrieve row index in the basis header * * SYNOPSIS * * int glp_get_row_bind(glp_prob *lp, int i); * * RETURNS * * The routine glp_get_row_bind returns the index k of basic variable * xB[k], 1 <= k <= m, which is i-th auxiliary variable, 1 <= i <= m, * in the current basis associated with the specified problem object, * where m is the number of rows. However, if i-th auxiliary variable * is non-basic, the routine returns zero. */ int glp_get_row_bind(glp_prob *lp, int i) { if (!(lp->m == 0 || lp->valid)) xerror("glp_get_row_bind: basis factorization does not exist\n" ); if (!(1 <= i && i <= lp->m)) xerror("glp_get_row_bind: i = %d; row number out of range\n", i); return lp->row[i]->bind; } /*********************************************************************** * NAME * * glp_get_col_bind - retrieve column index in the basis header * * SYNOPSIS * * int glp_get_col_bind(glp_prob *lp, int j); * * RETURNS * * The routine glp_get_col_bind returns the index k of basic variable * xB[k], 1 <= k <= m, which is j-th structural variable, 1 <= j <= n, * in the current basis associated with the specified problem object, * where m is the number of rows, n is the number of columns. However, * if j-th structural variable is non-basic, the routine returns zero.*/ int glp_get_col_bind(glp_prob *lp, int j) { if (!(lp->m == 0 || lp->valid)) xerror("glp_get_col_bind: basis factorization does not exist\n" ); if (!(1 <= j && j <= lp->n)) xerror("glp_get_col_bind: j = %d; column number out of range\n" , j); return lp->col[j]->bind; } /*********************************************************************** * NAME * * glp_ftran - perform forward transformation (solve system B*x = b) * * SYNOPSIS * * void glp_ftran(glp_prob *lp, double x[]); * * DESCRIPTION * * The routine glp_ftran performs forward transformation, i.e. solves * the system B*x = b, where B is the basis matrix corresponding to the * current basis for the specified problem object, x is the vector of * unknowns to be computed, b is the vector of right-hand sides. * * On entry elements of the vector b should be stored in dense format * in locations x[1], ..., x[m], where m is the number of rows. On exit * the routine stores elements of the vector x in the same locations. * * SCALING/UNSCALING * * Let A~ = (I | -A) is the augmented constraint matrix of the original * (unscaled) problem. In the scaled LP problem instead the matrix A the * scaled matrix A" = R*A*S is actually used, so * * A~" = (I | A") = (I | R*A*S) = (R*I*inv(R) | R*A*S) = * (1) * = R*(I | A)*S~ = R*A~*S~, * * is the scaled augmented constraint matrix, where R and S are diagonal * scaling matrices used to scale rows and columns of the matrix A, and * * S~ = diag(inv(R) | S) (2) * * is an augmented diagonal scaling matrix. * * By definition: * * A~ = (B | N), (3) * * where B is the basic matrix, which consists of basic columns of the * augmented constraint matrix A~, and N is a matrix, which consists of * non-basic columns of A~. From (1) it follows that: * * A~" = (B" | N") = (R*B*SB | R*N*SN), (4) * * where SB and SN are parts of the augmented scaling matrix S~, which * correspond to basic and non-basic variables, respectively. Therefore * * B" = R*B*SB, (5) * * which is the scaled basis matrix. */ void glp_ftran(glp_prob *lp, double x[]) { int m = lp->m; GLPROW **row = lp->row; GLPCOL **col = lp->col; int i, k; /* B*x = b ===> (R*B*SB)*(inv(SB)*x) = R*b ===> B"*x" = b", where b" = R*b, x = SB*x" */ if (!(m == 0 || lp->valid)) xerror("glp_ftran: basis factorization does not exist\n"); /* b" := R*b */ for (i = 1; i <= m; i++) x[i] *= row[i]->rii; /* x" := inv(B")*b" */ if (m > 0) bfd_ftran(lp->bfd, x); /* x := SB*x" */ for (i = 1; i <= m; i++) { k = lp->head[i]; if (k <= m) x[i] /= row[k]->rii; else x[i] *= col[k-m]->sjj; } return; } /*********************************************************************** * NAME * * glp_btran - perform backward transformation (solve system B'*x = b) * * SYNOPSIS * * void glp_btran(glp_prob *lp, double x[]); * * DESCRIPTION * * The routine glp_btran performs backward transformation, i.e. solves * the system B'*x = b, where B' is a matrix transposed to the basis * matrix corresponding to the current basis for the specified problem * problem object, x is the vector of unknowns to be computed, b is the * vector of right-hand sides. * * On entry elements of the vector b should be stored in dense format * in locations x[1], ..., x[m], where m is the number of rows. On exit * the routine stores elements of the vector x in the same locations. * * SCALING/UNSCALING * * See comments to the routine glp_ftran. */ void glp_btran(glp_prob *lp, double x[]) { int m = lp->m; GLPROW **row = lp->row; GLPCOL **col = lp->col; int i, k; /* B'*x = b ===> (SB*B'*R)*(inv(R)*x) = SB*b ===> (B")'*x" = b", where b" = SB*b, x = R*x" */ if (!(m == 0 || lp->valid)) xerror("glp_btran: basis factorization does not exist\n"); /* b" := SB*b */ for (i = 1; i <= m; i++) { k = lp->head[i]; if (k <= m) x[i] /= row[k]->rii; else x[i] *= col[k-m]->sjj; } /* x" := inv[(B")']*b" */ if (m > 0) bfd_btran(lp->bfd, x); /* x := R*x" */ for (i = 1; i <= m; i++) x[i] *= row[i]->rii; return; } /*********************************************************************** * NAME * * glp_warm_up - "warm up" LP basis * * SYNOPSIS * * int glp_warm_up(glp_prob *P); * * DESCRIPTION * * The routine glp_warm_up "warms up" the LP basis for the specified * problem object using current statuses assigned to rows and columns * (that is, to auxiliary and structural variables). * * This operation includes computing factorization of the basis matrix * (if it does not exist), computing primal and dual components of basic * solution, and determining the solution status. * * RETURNS * * 0 The operation has been successfully performed. * * GLP_EBADB * The basis matrix is invalid, i.e. the number of basic (auxiliary * and structural) variables differs from the number of rows in the * problem object. * * GLP_ESING * The basis matrix is singular within the working precision. * * GLP_ECOND * The basis matrix is ill-conditioned. */ int glp_warm_up(glp_prob *P) { GLPROW *row; GLPCOL *col; GLPAIJ *aij; int i, j, type, stat, ret; double eps, temp, *work; /* invalidate basic solution */ P->pbs_stat = P->dbs_stat = GLP_UNDEF; P->obj_val = 0.0; P->some = 0; for (i = 1; i <= P->m; i++) { row = P->row[i]; row->prim = row->dual = 0.0; } for (j = 1; j <= P->n; j++) { col = P->col[j]; col->prim = col->dual = 0.0; } /* compute the basis factorization, if necessary */ if (!glp_bf_exists(P)) { ret = glp_factorize(P); if (ret != 0) goto done; } /* allocate working array */ work = xcalloc(1+P->m, sizeof(double)); /* determine and store values of non-basic variables, compute vector (- N * xN) */ for (i = 1; i <= P->m; i++) work[i] = 0.0; for (i = 1; i <= P->m; i++) { row = P->row[i]; if (row->stat == GLP_BS) continue; else if (row->stat == GLP_NL) row->prim = row->lb; else if (row->stat == GLP_NU) row->prim = row->ub; else if (row->stat == GLP_NF) row->prim = 0.0; else if (row->stat == GLP_NS) row->prim = row->lb; else xassert(row != row); /* N[j] is i-th column of matrix (I|-A) */ work[i] -= row->prim; } for (j = 1; j <= P->n; j++) { col = P->col[j]; if (col->stat == GLP_BS) continue; else if (col->stat == GLP_NL) col->prim = col->lb; else if (col->stat == GLP_NU) col->prim = col->ub; else if (col->stat == GLP_NF) col->prim = 0.0; else if (col->stat == GLP_NS) col->prim = col->lb; else xassert(col != col); /* N[j] is (m+j)-th column of matrix (I|-A) */ if (col->prim != 0.0) { for (aij = col->ptr; aij != NULL; aij = aij->c_next) work[aij->row->i] += aij->val * col->prim; } } /* compute vector of basic variables xB = - inv(B) * N * xN */ glp_ftran(P, work); /* store values of basic variables, check primal feasibility */ P->pbs_stat = GLP_FEAS; for (i = 1; i <= P->m; i++) { row = P->row[i]; if (row->stat != GLP_BS) continue; row->prim = work[row->bind]; type = row->type; if (type == GLP_LO || type == GLP_DB || type == GLP_FX) { eps = 1e-6 + 1e-9 * fabs(row->lb); if (row->prim < row->lb - eps) P->pbs_stat = GLP_INFEAS; } if (type == GLP_UP || type == GLP_DB || type == GLP_FX) { eps = 1e-6 + 1e-9 * fabs(row->ub); if (row->prim > row->ub + eps) P->pbs_stat = GLP_INFEAS; } } for (j = 1; j <= P->n; j++) { col = P->col[j]; if (col->stat != GLP_BS) continue; col->prim = work[col->bind]; type = col->type; if (type == GLP_LO || type == GLP_DB || type == GLP_FX) { eps = 1e-6 + 1e-9 * fabs(col->lb); if (col->prim < col->lb - eps) P->pbs_stat = GLP_INFEAS; } if (type == GLP_UP || type == GLP_DB || type == GLP_FX) { eps = 1e-6 + 1e-9 * fabs(col->ub); if (col->prim > col->ub + eps) P->pbs_stat = GLP_INFEAS; } } /* compute value of the objective function */ P->obj_val = P->c0; for (j = 1; j <= P->n; j++) { col = P->col[j]; P->obj_val += col->coef * col->prim; } /* build vector cB of objective coefficients at basic variables */ for (i = 1; i <= P->m; i++) work[i] = 0.0; for (j = 1; j <= P->n; j++) { col = P->col[j]; if (col->stat == GLP_BS) work[col->bind] = col->coef; } /* compute vector of simplex multipliers pi = inv(B') * cB */ glp_btran(P, work); /* compute and store reduced costs of non-basic variables d[j] = c[j] - N'[j] * pi, check dual feasibility */ P->dbs_stat = GLP_FEAS; for (i = 1; i <= P->m; i++) { row = P->row[i]; if (row->stat == GLP_BS) { row->dual = 0.0; continue; } /* N[j] is i-th column of matrix (I|-A) */ row->dual = - work[i]; #if 0 /* 07/III-2013 */ type = row->type; temp = (P->dir == GLP_MIN ? + row->dual : - row->dual); if ((type == GLP_FR || type == GLP_LO) && temp < -1e-5 || (type == GLP_FR || type == GLP_UP) && temp > +1e-5) P->dbs_stat = GLP_INFEAS; #else stat = row->stat; temp = (P->dir == GLP_MIN ? + row->dual : - row->dual); if ((stat == GLP_NF || stat == GLP_NL) && temp < -1e-5 || (stat == GLP_NF || stat == GLP_NU) && temp > +1e-5) P->dbs_stat = GLP_INFEAS; #endif } for (j = 1; j <= P->n; j++) { col = P->col[j]; if (col->stat == GLP_BS) { col->dual = 0.0; continue; } /* N[j] is (m+j)-th column of matrix (I|-A) */ col->dual = col->coef; for (aij = col->ptr; aij != NULL; aij = aij->c_next) col->dual += aij->val * work[aij->row->i]; #if 0 /* 07/III-2013 */ type = col->type; temp = (P->dir == GLP_MIN ? + col->dual : - col->dual); if ((type == GLP_FR || type == GLP_LO) && temp < -1e-5 || (type == GLP_FR || type == GLP_UP) && temp > +1e-5) P->dbs_stat = GLP_INFEAS; #else stat = col->stat; temp = (P->dir == GLP_MIN ? + col->dual : - col->dual); if ((stat == GLP_NF || stat == GLP_NL) && temp < -1e-5 || (stat == GLP_NF || stat == GLP_NU) && temp > +1e-5) P->dbs_stat = GLP_INFEAS; #endif } /* free working array */ xfree(work); ret = 0; done: return ret; } /*********************************************************************** * NAME * * glp_eval_tab_row - compute row of the simplex tableau * * SYNOPSIS * * int glp_eval_tab_row(glp_prob *lp, int k, int ind[], double val[]); * * DESCRIPTION * * The routine glp_eval_tab_row computes a row of the current simplex * tableau for the basic variable, which is specified by the number k: * if 1 <= k <= m, x[k] is k-th auxiliary variable; if m+1 <= k <= m+n, * x[k] is (k-m)-th structural variable, where m is number of rows, and * n is number of columns. The current basis must be available. * * The routine stores column indices and numerical values of non-zero * elements of the computed row using sparse format to the locations * ind[1], ..., ind[len] and val[1], ..., val[len], respectively, where * 0 <= len <= n is number of non-zeros returned on exit. * * Element indices stored in the array ind have the same sense as the * index k, i.e. indices 1 to m denote auxiliary variables and indices * m+1 to m+n denote structural ones (all these variables are obviously * non-basic by definition). * * The computed row shows how the specified basic variable x[k] = xB[i] * depends on non-basic variables: * * xB[i] = alfa[i,1]*xN[1] + alfa[i,2]*xN[2] + ... + alfa[i,n]*xN[n], * * where alfa[i,j] are elements of the simplex table row, xN[j] are * non-basic (auxiliary and structural) variables. * * RETURNS * * The routine returns number of non-zero elements in the simplex table * row stored in the arrays ind and val. * * BACKGROUND * * The system of equality constraints of the LP problem is: * * xR = A * xS, (1) * * where xR is the vector of auxliary variables, xS is the vector of * structural variables, A is the matrix of constraint coefficients. * * The system (1) can be written in homogenous form as follows: * * A~ * x = 0, (2) * * where A~ = (I | -A) is the augmented constraint matrix (has m rows * and m+n columns), x = (xR | xS) is the vector of all (auxiliary and * structural) variables. * * By definition for the current basis we have: * * A~ = (B | N), (3) * * where B is the basis matrix. Thus, the system (2) can be written as: * * B * xB + N * xN = 0. (4) * * From (4) it follows that: * * xB = A^ * xN, (5) * * where the matrix * * A^ = - inv(B) * N (6) * * is called the simplex table. * * It is understood that i-th row of the simplex table is: * * e * A^ = - e * inv(B) * N, (7) * * where e is a unity vector with e[i] = 1. * * To compute i-th row of the simplex table the routine first computes * i-th row of the inverse: * * rho = inv(B') * e, (8) * * where B' is a matrix transposed to B, and then computes elements of * i-th row of the simplex table as scalar products: * * alfa[i,j] = - rho * N[j] for all j, (9) * * where N[j] is a column of the augmented constraint matrix A~, which * corresponds to some non-basic auxiliary or structural variable. */ int glp_eval_tab_row(glp_prob *lp, int k, int ind[], double val[]) { int m = lp->m; int n = lp->n; int i, t, len, lll, *iii; double alfa, *rho, *vvv; if (!(m == 0 || lp->valid)) xerror("glp_eval_tab_row: basis factorization does not exist\n" ); if (!(1 <= k && k <= m+n)) xerror("glp_eval_tab_row: k = %d; variable number out of range" , k); /* determine xB[i] which corresponds to x[k] */ if (k <= m) i = glp_get_row_bind(lp, k); else i = glp_get_col_bind(lp, k-m); if (i == 0) xerror("glp_eval_tab_row: k = %d; variable must be basic", k); xassert(1 <= i && i <= m); /* allocate working arrays */ rho = xcalloc(1+m, sizeof(double)); iii = xcalloc(1+m, sizeof(int)); vvv = xcalloc(1+m, sizeof(double)); /* compute i-th row of the inverse; see (8) */ for (t = 1; t <= m; t++) rho[t] = 0.0; rho[i] = 1.0; glp_btran(lp, rho); /* compute i-th row of the simplex table */ len = 0; for (k = 1; k <= m+n; k++) { if (k <= m) { /* x[k] is auxiliary variable, so N[k] is a unity column */ if (glp_get_row_stat(lp, k) == GLP_BS) continue; /* compute alfa[i,j]; see (9) */ alfa = - rho[k]; } else { /* x[k] is structural variable, so N[k] is a column of the original constraint matrix A with negative sign */ if (glp_get_col_stat(lp, k-m) == GLP_BS) continue; /* compute alfa[i,j]; see (9) */ lll = glp_get_mat_col(lp, k-m, iii, vvv); alfa = 0.0; for (t = 1; t <= lll; t++) alfa += rho[iii[t]] * vvv[t]; } /* store alfa[i,j] */ if (alfa != 0.0) len++, ind[len] = k, val[len] = alfa; } xassert(len <= n); /* free working arrays */ xfree(rho); xfree(iii); xfree(vvv); /* return to the calling program */ return len; } /*********************************************************************** * NAME * * glp_eval_tab_col - compute column of the simplex tableau * * SYNOPSIS * * int glp_eval_tab_col(glp_prob *lp, int k, int ind[], double val[]); * * DESCRIPTION * * The routine glp_eval_tab_col computes a column of the current simplex * table for the non-basic variable, which is specified by the number k: * if 1 <= k <= m, x[k] is k-th auxiliary variable; if m+1 <= k <= m+n, * x[k] is (k-m)-th structural variable, where m is number of rows, and * n is number of columns. The current basis must be available. * * The routine stores row indices and numerical values of non-zero * elements of the computed column using sparse format to the locations * ind[1], ..., ind[len] and val[1], ..., val[len] respectively, where * 0 <= len <= m is number of non-zeros returned on exit. * * Element indices stored in the array ind have the same sense as the * index k, i.e. indices 1 to m denote auxiliary variables and indices * m+1 to m+n denote structural ones (all these variables are obviously * basic by the definition). * * The computed column shows how basic variables depend on the specified * non-basic variable x[k] = xN[j]: * * xB[1] = ... + alfa[1,j]*xN[j] + ... * xB[2] = ... + alfa[2,j]*xN[j] + ... * . . . . . . * xB[m] = ... + alfa[m,j]*xN[j] + ... * * where alfa[i,j] are elements of the simplex table column, xB[i] are * basic (auxiliary and structural) variables. * * RETURNS * * The routine returns number of non-zero elements in the simplex table * column stored in the arrays ind and val. * * BACKGROUND * * As it was explained in comments to the routine glp_eval_tab_row (see * above) the simplex table is the following matrix: * * A^ = - inv(B) * N. (1) * * Therefore j-th column of the simplex table is: * * A^ * e = - inv(B) * N * e = - inv(B) * N[j], (2) * * where e is a unity vector with e[j] = 1, B is the basis matrix, N[j] * is a column of the augmented constraint matrix A~, which corresponds * to the given non-basic auxiliary or structural variable. */ int glp_eval_tab_col(glp_prob *lp, int k, int ind[], double val[]) { int m = lp->m; int n = lp->n; int t, len, stat; double *col; if (!(m == 0 || lp->valid)) xerror("glp_eval_tab_col: basis factorization does not exist\n" ); if (!(1 <= k && k <= m+n)) xerror("glp_eval_tab_col: k = %d; variable number out of range" , k); if (k <= m) stat = glp_get_row_stat(lp, k); else stat = glp_get_col_stat(lp, k-m); if (stat == GLP_BS) xerror("glp_eval_tab_col: k = %d; variable must be non-basic", k); /* obtain column N[k] with negative sign */ col = xcalloc(1+m, sizeof(double)); for (t = 1; t <= m; t++) col[t] = 0.0; if (k <= m) { /* x[k] is auxiliary variable, so N[k] is a unity column */ col[k] = -1.0; } else { /* x[k] is structural variable, so N[k] is a column of the original constraint matrix A with negative sign */ len = glp_get_mat_col(lp, k-m, ind, val); for (t = 1; t <= len; t++) col[ind[t]] = val[t]; } /* compute column of the simplex table, which corresponds to the specified non-basic variable x[k] */ glp_ftran(lp, col); len = 0; for (t = 1; t <= m; t++) { if (col[t] != 0.0) { len++; ind[len] = glp_get_bhead(lp, t); val[len] = col[t]; } } xfree(col); /* return to the calling program */ return len; } /*********************************************************************** * NAME * * glp_transform_row - transform explicitly specified row * * SYNOPSIS * * int glp_transform_row(glp_prob *P, int len, int ind[], double val[]); * * DESCRIPTION * * The routine glp_transform_row performs the same operation as the * routine glp_eval_tab_row with exception that the row to be * transformed is specified explicitly as a sparse vector. * * The explicitly specified row may be thought as a linear form: * * x = a[1]*x[m+1] + a[2]*x[m+2] + ... + a[n]*x[m+n], (1) * * where x is an auxiliary variable for this row, a[j] are coefficients * of the linear form, x[m+j] are structural variables. * * On entry column indices and numerical values of non-zero elements of * the row should be stored in locations ind[1], ..., ind[len] and * val[1], ..., val[len], where len is the number of non-zero elements. * * This routine uses the system of equality constraints and the current * basis in order to express the auxiliary variable x in (1) through the * current non-basic variables (as if the transformed row were added to * the problem object and its auxiliary variable were basic), i.e. the * resultant row has the form: * * x = alfa[1]*xN[1] + alfa[2]*xN[2] + ... + alfa[n]*xN[n], (2) * * where xN[j] are non-basic (auxiliary or structural) variables, n is * the number of columns in the LP problem object. * * On exit the routine stores indices and numerical values of non-zero * elements of the resultant row (2) in locations ind[1], ..., ind[len'] * and val[1], ..., val[len'], where 0 <= len' <= n is the number of * non-zero elements in the resultant row returned by the routine. Note * that indices (numbers) of non-basic variables stored in the array ind * correspond to original ordinal numbers of variables: indices 1 to m * mean auxiliary variables and indices m+1 to m+n mean structural ones. * * RETURNS * * The routine returns len', which is the number of non-zero elements in * the resultant row stored in the arrays ind and val. * * BACKGROUND * * The explicitly specified row (1) is transformed in the same way as it * were the objective function row. * * From (1) it follows that: * * x = aB * xB + aN * xN, (3) * * where xB is the vector of basic variables, xN is the vector of * non-basic variables. * * The simplex table, which corresponds to the current basis, is: * * xB = [-inv(B) * N] * xN. (4) * * Therefore substituting xB from (4) to (3) we have: * * x = aB * [-inv(B) * N] * xN + aN * xN = * (5) * = rho * (-N) * xN + aN * xN = alfa * xN, * * where: * * rho = inv(B') * aB, (6) * * and * * alfa = aN + rho * (-N) (7) * * is the resultant row computed by the routine. */ int glp_transform_row(glp_prob *P, int len, int ind[], double val[]) { int i, j, k, m, n, t, lll, *iii; double alfa, *a, *aB, *rho, *vvv; if (!glp_bf_exists(P)) xerror("glp_transform_row: basis factorization does not exist " "\n"); m = glp_get_num_rows(P); n = glp_get_num_cols(P); /* unpack the row to be transformed to the array a */ a = xcalloc(1+n, sizeof(double)); for (j = 1; j <= n; j++) a[j] = 0.0; if (!(0 <= len && len <= n)) xerror("glp_transform_row: len = %d; invalid row length\n", len); for (t = 1; t <= len; t++) { j = ind[t]; if (!(1 <= j && j <= n)) xerror("glp_transform_row: ind[%d] = %d; column index out o" "f range\n", t, j); if (val[t] == 0.0) xerror("glp_transform_row: val[%d] = 0; zero coefficient no" "t allowed\n", t); if (a[j] != 0.0) xerror("glp_transform_row: ind[%d] = %d; duplicate column i" "ndices not allowed\n", t, j); a[j] = val[t]; } /* construct the vector aB */ aB = xcalloc(1+m, sizeof(double)); for (i = 1; i <= m; i++) { k = glp_get_bhead(P, i); /* xB[i] is k-th original variable */ xassert(1 <= k && k <= m+n); aB[i] = (k <= m ? 0.0 : a[k-m]); } /* solve the system B'*rho = aB to compute the vector rho */ rho = aB, glp_btran(P, rho); /* compute coefficients at non-basic auxiliary variables */ len = 0; for (i = 1; i <= m; i++) { if (glp_get_row_stat(P, i) != GLP_BS) { alfa = - rho[i]; if (alfa != 0.0) { len++; ind[len] = i; val[len] = alfa; } } } /* compute coefficients at non-basic structural variables */ iii = xcalloc(1+m, sizeof(int)); vvv = xcalloc(1+m, sizeof(double)); for (j = 1; j <= n; j++) { if (glp_get_col_stat(P, j) != GLP_BS) { alfa = a[j]; lll = glp_get_mat_col(P, j, iii, vvv); for (t = 1; t <= lll; t++) alfa += vvv[t] * rho[iii[t]]; if (alfa != 0.0) { len++; ind[len] = m+j; val[len] = alfa; } } } xassert(len <= n); xfree(iii); xfree(vvv); xfree(aB); xfree(a); return len; } /*********************************************************************** * NAME * * glp_transform_col - transform explicitly specified column * * SYNOPSIS * * int glp_transform_col(glp_prob *P, int len, int ind[], double val[]); * * DESCRIPTION * * The routine glp_transform_col performs the same operation as the * routine glp_eval_tab_col with exception that the column to be * transformed is specified explicitly as a sparse vector. * * The explicitly specified column may be thought as if it were added * to the original system of equality constraints: * * x[1] = a[1,1]*x[m+1] + ... + a[1,n]*x[m+n] + a[1]*x * x[2] = a[2,1]*x[m+1] + ... + a[2,n]*x[m+n] + a[2]*x (1) * . . . . . . . . . . . . . . . * x[m] = a[m,1]*x[m+1] + ... + a[m,n]*x[m+n] + a[m]*x * * where x[i] are auxiliary variables, x[m+j] are structural variables, * x is a structural variable for the explicitly specified column, a[i] * are constraint coefficients for x. * * On entry row indices and numerical values of non-zero elements of * the column should be stored in locations ind[1], ..., ind[len] and * val[1], ..., val[len], where len is the number of non-zero elements. * * This routine uses the system of equality constraints and the current * basis in order to express the current basic variables through the * structural variable x in (1) (as if the transformed column were added * to the problem object and the variable x were non-basic), i.e. the * resultant column has the form: * * xB[1] = ... + alfa[1]*x * xB[2] = ... + alfa[2]*x (2) * . . . . . . * xB[m] = ... + alfa[m]*x * * where xB are basic (auxiliary and structural) variables, m is the * number of rows in the problem object. * * On exit the routine stores indices and numerical values of non-zero * elements of the resultant column (2) in locations ind[1], ..., * ind[len'] and val[1], ..., val[len'], where 0 <= len' <= m is the * number of non-zero element in the resultant column returned by the * routine. Note that indices (numbers) of basic variables stored in * the array ind correspond to original ordinal numbers of variables: * indices 1 to m mean auxiliary variables and indices m+1 to m+n mean * structural ones. * * RETURNS * * The routine returns len', which is the number of non-zero elements * in the resultant column stored in the arrays ind and val. * * BACKGROUND * * The explicitly specified column (1) is transformed in the same way * as any other column of the constraint matrix using the formula: * * alfa = inv(B) * a, (3) * * where alfa is the resultant column computed by the routine. */ int glp_transform_col(glp_prob *P, int len, int ind[], double val[]) { int i, m, t; double *a, *alfa; if (!glp_bf_exists(P)) xerror("glp_transform_col: basis factorization does not exist " "\n"); m = glp_get_num_rows(P); /* unpack the column to be transformed to the array a */ a = xcalloc(1+m, sizeof(double)); for (i = 1; i <= m; i++) a[i] = 0.0; if (!(0 <= len && len <= m)) xerror("glp_transform_col: len = %d; invalid column length\n", len); for (t = 1; t <= len; t++) { i = ind[t]; if (!(1 <= i && i <= m)) xerror("glp_transform_col: ind[%d] = %d; row index out of r" "ange\n", t, i); if (val[t] == 0.0) xerror("glp_transform_col: val[%d] = 0; zero coefficient no" "t allowed\n", t); if (a[i] != 0.0) xerror("glp_transform_col: ind[%d] = %d; duplicate row indi" "ces not allowed\n", t, i); a[i] = val[t]; } /* solve the system B*a = alfa to compute the vector alfa */ alfa = a, glp_ftran(P, alfa); /* store resultant coefficients */ len = 0; for (i = 1; i <= m; i++) { if (alfa[i] != 0.0) { len++; ind[len] = glp_get_bhead(P, i); val[len] = alfa[i]; } } xfree(a); return len; } /*********************************************************************** * NAME * * glp_prim_rtest - perform primal ratio test * * SYNOPSIS * * int glp_prim_rtest(glp_prob *P, int len, const int ind[], * const double val[], int dir, double eps); * * DESCRIPTION * * The routine glp_prim_rtest performs the primal ratio test using an * explicitly specified column of the simplex table. * * The current basic solution associated with the LP problem object * must be primal feasible. * * The explicitly specified column of the simplex table shows how the * basic variables xB depend on some non-basic variable x (which is not * necessarily presented in the problem object): * * xB[1] = ... + alfa[1] * x + ... * xB[2] = ... + alfa[2] * x + ... (*) * . . . . . . . . * xB[m] = ... + alfa[m] * x + ... * * The column (*) is specifed on entry to the routine using the sparse * format. Ordinal numbers of basic variables xB[i] should be placed in * locations ind[1], ..., ind[len], where ordinal number 1 to m denote * auxiliary variables, and ordinal numbers m+1 to m+n denote structural * variables. The corresponding non-zero coefficients alfa[i] should be * placed in locations val[1], ..., val[len]. The arrays ind and val are * not changed on exit. * * The parameter dir specifies direction in which the variable x changes * on entering the basis: +1 means increasing, -1 means decreasing. * * The parameter eps is an absolute tolerance (small positive number) * used by the routine to skip small alfa[j] of the row (*). * * The routine determines which basic variable (among specified in * ind[1], ..., ind[len]) should leave the basis in order to keep primal * feasibility. * * RETURNS * * The routine glp_prim_rtest returns the index piv in the arrays ind * and val corresponding to the pivot element chosen, 1 <= piv <= len. * If the adjacent basic solution is primal unbounded and therefore the * choice cannot be made, the routine returns zero. * * COMMENTS * * If the non-basic variable x is presented in the LP problem object, * the column (*) can be computed with the routine glp_eval_tab_col; * otherwise it can be computed with the routine glp_transform_col. */ int glp_prim_rtest(glp_prob *P, int len, const int ind[], const double val[], int dir, double eps) { int k, m, n, piv, t, type, stat; double alfa, big, beta, lb, ub, temp, teta; if (glp_get_prim_stat(P) != GLP_FEAS) xerror("glp_prim_rtest: basic solution is not primal feasible " "\n"); if (!(dir == +1 || dir == -1)) xerror("glp_prim_rtest: dir = %d; invalid parameter\n", dir); if (!(0.0 < eps && eps < 1.0)) xerror("glp_prim_rtest: eps = %g; invalid parameter\n", eps); m = glp_get_num_rows(P); n = glp_get_num_cols(P); /* initial settings */ piv = 0, teta = DBL_MAX, big = 0.0; /* walk through the entries of the specified column */ for (t = 1; t <= len; t++) { /* get the ordinal number of basic variable */ k = ind[t]; if (!(1 <= k && k <= m+n)) xerror("glp_prim_rtest: ind[%d] = %d; variable number out o" "f range\n", t, k); /* determine type, bounds, status and primal value of basic variable xB[i] = x[k] in the current basic solution */ if (k <= m) { type = glp_get_row_type(P, k); lb = glp_get_row_lb(P, k); ub = glp_get_row_ub(P, k); stat = glp_get_row_stat(P, k); beta = glp_get_row_prim(P, k); } else { type = glp_get_col_type(P, k-m); lb = glp_get_col_lb(P, k-m); ub = glp_get_col_ub(P, k-m); stat = glp_get_col_stat(P, k-m); beta = glp_get_col_prim(P, k-m); } if (stat != GLP_BS) xerror("glp_prim_rtest: ind[%d] = %d; non-basic variable no" "t allowed\n", t, k); /* determine influence coefficient at basic variable xB[i] in the explicitly specified column and turn to the case of increasing the variable x in order to simplify the program logic */ alfa = (dir > 0 ? + val[t] : - val[t]); /* analyze main cases */ if (type == GLP_FR) { /* xB[i] is free variable */ continue; } else if (type == GLP_LO) lo: { /* xB[i] has an lower bound */ if (alfa > - eps) continue; temp = (lb - beta) / alfa; } else if (type == GLP_UP) up: { /* xB[i] has an upper bound */ if (alfa < + eps) continue; temp = (ub - beta) / alfa; } else if (type == GLP_DB) { /* xB[i] has both lower and upper bounds */ if (alfa < 0.0) goto lo; else goto up; } else if (type == GLP_FX) { /* xB[i] is fixed variable */ if (- eps < alfa && alfa < + eps) continue; temp = 0.0; } else xassert(type != type); /* if the value of the variable xB[i] violates its lower or upper bound (slightly, because the current basis is assumed to be primal feasible), temp is negative; we can think this happens due to round-off errors and the value is exactly on the bound; this allows replacing temp by zero */ if (temp < 0.0) temp = 0.0; /* apply the minimal ratio test */ if (teta > temp || teta == temp && big < fabs(alfa)) piv = t, teta = temp, big = fabs(alfa); } /* return index of the pivot element chosen */ return piv; } /*********************************************************************** * NAME * * glp_dual_rtest - perform dual ratio test * * SYNOPSIS * * int glp_dual_rtest(glp_prob *P, int len, const int ind[], * const double val[], int dir, double eps); * * DESCRIPTION * * The routine glp_dual_rtest performs the dual ratio test using an * explicitly specified row of the simplex table. * * The current basic solution associated with the LP problem object * must be dual feasible. * * The explicitly specified row of the simplex table is a linear form * that shows how some basic variable x (which is not necessarily * presented in the problem object) depends on non-basic variables xN: * * x = alfa[1] * xN[1] + alfa[2] * xN[2] + ... + alfa[n] * xN[n]. (*) * * The row (*) is specified on entry to the routine using the sparse * format. Ordinal numbers of non-basic variables xN[j] should be placed * in locations ind[1], ..., ind[len], where ordinal numbers 1 to m * denote auxiliary variables, and ordinal numbers m+1 to m+n denote * structural variables. The corresponding non-zero coefficients alfa[j] * should be placed in locations val[1], ..., val[len]. The arrays ind * and val are not changed on exit. * * The parameter dir specifies direction in which the variable x changes * on leaving the basis: +1 means that x goes to its lower bound, and -1 * means that x goes to its upper bound. * * The parameter eps is an absolute tolerance (small positive number) * used by the routine to skip small alfa[j] of the row (*). * * The routine determines which non-basic variable (among specified in * ind[1], ..., ind[len]) should enter the basis in order to keep dual * feasibility. * * RETURNS * * The routine glp_dual_rtest returns the index piv in the arrays ind * and val corresponding to the pivot element chosen, 1 <= piv <= len. * If the adjacent basic solution is dual unbounded and therefore the * choice cannot be made, the routine returns zero. * * COMMENTS * * If the basic variable x is presented in the LP problem object, the * row (*) can be computed with the routine glp_eval_tab_row; otherwise * it can be computed with the routine glp_transform_row. */ int glp_dual_rtest(glp_prob *P, int len, const int ind[], const double val[], int dir, double eps) { int k, m, n, piv, t, stat; double alfa, big, cost, obj, temp, teta; if (glp_get_dual_stat(P) != GLP_FEAS) xerror("glp_dual_rtest: basic solution is not dual feasible\n") ; if (!(dir == +1 || dir == -1)) xerror("glp_dual_rtest: dir = %d; invalid parameter\n", dir); if (!(0.0 < eps && eps < 1.0)) xerror("glp_dual_rtest: eps = %g; invalid parameter\n", eps); m = glp_get_num_rows(P); n = glp_get_num_cols(P); /* take into account optimization direction */ obj = (glp_get_obj_dir(P) == GLP_MIN ? +1.0 : -1.0); /* initial settings */ piv = 0, teta = DBL_MAX, big = 0.0; /* walk through the entries of the specified row */ for (t = 1; t <= len; t++) { /* get ordinal number of non-basic variable */ k = ind[t]; if (!(1 <= k && k <= m+n)) xerror("glp_dual_rtest: ind[%d] = %d; variable number out o" "f range\n", t, k); /* determine status and reduced cost of non-basic variable x[k] = xN[j] in the current basic solution */ if (k <= m) { stat = glp_get_row_stat(P, k); cost = glp_get_row_dual(P, k); } else { stat = glp_get_col_stat(P, k-m); cost = glp_get_col_dual(P, k-m); } if (stat == GLP_BS) xerror("glp_dual_rtest: ind[%d] = %d; basic variable not al" "lowed\n", t, k); /* determine influence coefficient at non-basic variable xN[j] in the explicitly specified row and turn to the case of increasing the variable x in order to simplify the program logic */ alfa = (dir > 0 ? + val[t] : - val[t]); /* analyze main cases */ if (stat == GLP_NL) { /* xN[j] is on its lower bound */ if (alfa < + eps) continue; temp = (obj * cost) / alfa; } else if (stat == GLP_NU) { /* xN[j] is on its upper bound */ if (alfa > - eps) continue; temp = (obj * cost) / alfa; } else if (stat == GLP_NF) { /* xN[j] is non-basic free variable */ if (- eps < alfa && alfa < + eps) continue; temp = 0.0; } else if (stat == GLP_NS) { /* xN[j] is non-basic fixed variable */ continue; } else xassert(stat != stat); /* if the reduced cost of the variable xN[j] violates its zero bound (slightly, because the current basis is assumed to be dual feasible), temp is negative; we can think this happens due to round-off errors and the reduced cost is exact zero; this allows replacing temp by zero */ if (temp < 0.0) temp = 0.0; /* apply the minimal ratio test */ if (teta > temp || teta == temp && big < fabs(alfa)) piv = t, teta = temp, big = fabs(alfa); } /* return index of the pivot element chosen */ return piv; } /*********************************************************************** * NAME * * glp_analyze_row - simulate one iteration of dual simplex method * * SYNOPSIS * * int glp_analyze_row(glp_prob *P, int len, const int ind[], * const double val[], int type, double rhs, double eps, int *piv, * double *x, double *dx, double *y, double *dy, double *dz); * * DESCRIPTION * * Let the current basis be optimal or dual feasible, and there be * specified a row (constraint), which is violated by the current basic * solution. The routine glp_analyze_row simulates one iteration of the * dual simplex method to determine some information on the adjacent * basis (see below), where the specified row becomes active constraint * (i.e. its auxiliary variable becomes non-basic). * * The current basic solution associated with the problem object passed * to the routine must be dual feasible, and its primal components must * be defined. * * The row to be analyzed must be previously transformed either with * the routine glp_eval_tab_row (if the row is in the problem object) * or with the routine glp_transform_row (if the row is external, i.e. * not in the problem object). This is needed to express the row only * through (auxiliary and structural) variables, which are non-basic in * the current basis: * * y = alfa[1] * xN[1] + alfa[2] * xN[2] + ... + alfa[n] * xN[n], * * where y is an auxiliary variable of the row, alfa[j] is an influence * coefficient, xN[j] is a non-basic variable. * * The row is passed to the routine in sparse format. Ordinal numbers * of non-basic variables are stored in locations ind[1], ..., ind[len], * where numbers 1 to m denote auxiliary variables while numbers m+1 to * m+n denote structural variables. Corresponding non-zero coefficients * alfa[j] are stored in locations val[1], ..., val[len]. The arrays * ind and val are ot changed on exit. * * The parameters type and rhs specify the row type and its right-hand * side as follows: * * type = GLP_LO: y = sum alfa[j] * xN[j] >= rhs * * type = GLP_UP: y = sum alfa[j] * xN[j] <= rhs * * The parameter eps is an absolute tolerance (small positive number) * used by the routine to skip small coefficients alfa[j] on performing * the dual ratio test. * * If the operation was successful, the routine stores the following * information to corresponding location (if some parameter is NULL, * its value is not stored): * * piv index in the array ind and val, 1 <= piv <= len, determining * the non-basic variable, which would enter the adjacent basis; * * x value of the non-basic variable in the current basis; * * dx difference between values of the non-basic variable in the * adjacent and current bases, dx = x.new - x.old; * * y value of the row (i.e. of its auxiliary variable) in the * current basis; * * dy difference between values of the row in the adjacent and * current bases, dy = y.new - y.old; * * dz difference between values of the objective function in the * adjacent and current bases, dz = z.new - z.old. Note that in * case of minimization dz >= 0, and in case of maximization * dz <= 0, i.e. in the adjacent basis the objective function * always gets worse (degrades). */ int _glp_analyze_row(glp_prob *P, int len, const int ind[], const double val[], int type, double rhs, double eps, int *_piv, double *_x, double *_dx, double *_y, double *_dy, double *_dz) { int t, k, dir, piv, ret = 0; double x, dx, y, dy, dz; if (P->pbs_stat == GLP_UNDEF) xerror("glp_analyze_row: primal basic solution components are " "undefined\n"); if (P->dbs_stat != GLP_FEAS) xerror("glp_analyze_row: basic solution is not dual feasible\n" ); /* compute the row value y = sum alfa[j] * xN[j] in the current basis */ if (!(0 <= len && len <= P->n)) xerror("glp_analyze_row: len = %d; invalid row length\n", len); y = 0.0; for (t = 1; t <= len; t++) { /* determine value of x[k] = xN[j] in the current basis */ k = ind[t]; if (!(1 <= k && k <= P->m+P->n)) xerror("glp_analyze_row: ind[%d] = %d; row/column index out" " of range\n", t, k); if (k <= P->m) { /* x[k] is auxiliary variable */ if (P->row[k]->stat == GLP_BS) xerror("glp_analyze_row: ind[%d] = %d; basic auxiliary v" "ariable is not allowed\n", t, k); x = P->row[k]->prim; } else { /* x[k] is structural variable */ if (P->col[k-P->m]->stat == GLP_BS) xerror("glp_analyze_row: ind[%d] = %d; basic structural " "variable is not allowed\n", t, k); x = P->col[k-P->m]->prim; } y += val[t] * x; } /* check if the row is primal infeasible in the current basis, i.e. the constraint is violated at the current point */ if (type == GLP_LO) { if (y >= rhs) { /* the constraint is not violated */ ret = 1; goto done; } /* in the adjacent basis y goes to its lower bound */ dir = +1; } else if (type == GLP_UP) { if (y <= rhs) { /* the constraint is not violated */ ret = 1; goto done; } /* in the adjacent basis y goes to its upper bound */ dir = -1; } else xerror("glp_analyze_row: type = %d; invalid parameter\n", type); /* compute dy = y.new - y.old */ dy = rhs - y; /* perform dual ratio test to determine which non-basic variable should enter the adjacent basis to keep it dual feasible */ piv = glp_dual_rtest(P, len, ind, val, dir, eps); if (piv == 0) { /* no dual feasible adjacent basis exists */ ret = 2; goto done; } /* non-basic variable x[k] = xN[j] should enter the basis */ k = ind[piv]; xassert(1 <= k && k <= P->m+P->n); /* determine its value in the current basis */ if (k <= P->m) x = P->row[k]->prim; else x = P->col[k-P->m]->prim; /* compute dx = x.new - x.old = dy / alfa[j] */ xassert(val[piv] != 0.0); dx = dy / val[piv]; /* compute dz = z.new - z.old = d[j] * dx, where d[j] is reduced cost of xN[j] in the current basis */ if (k <= P->m) dz = P->row[k]->dual * dx; else dz = P->col[k-P->m]->dual * dx; /* store the analysis results */ if (_piv != NULL) *_piv = piv; if (_x != NULL) *_x = x; if (_dx != NULL) *_dx = dx; if (_y != NULL) *_y = y; if (_dy != NULL) *_dy = dy; if (_dz != NULL) *_dz = dz; done: return ret; } #if 0 int main(void) { /* example program for the routine glp_analyze_row */ glp_prob *P; glp_smcp parm; int i, k, len, piv, ret, ind[1+100]; double rhs, x, dx, y, dy, dz, val[1+100]; P = glp_create_prob(); /* read plan.mps (see glpk/examples) */ ret = glp_read_mps(P, GLP_MPS_DECK, NULL, "plan.mps"); glp_assert(ret == 0); /* and solve it to optimality */ ret = glp_simplex(P, NULL); glp_assert(ret == 0); glp_assert(glp_get_status(P) == GLP_OPT); /* the optimal objective value is 296.217 */ /* we would like to know what happens if we would add a new row (constraint) to plan.mps: .01 * bin1 + .01 * bin2 + .02 * bin4 + .02 * bin5 <= 12 */ /* first, we specify this new row */ glp_create_index(P); len = 0; ind[++len] = glp_find_col(P, "BIN1"), val[len] = .01; ind[++len] = glp_find_col(P, "BIN2"), val[len] = .01; ind[++len] = glp_find_col(P, "BIN4"), val[len] = .02; ind[++len] = glp_find_col(P, "BIN5"), val[len] = .02; rhs = 12; /* then we can compute value of the row (i.e. of its auxiliary variable) in the current basis to see if the constraint is violated */ y = 0.0; for (k = 1; k <= len; k++) y += val[k] * glp_get_col_prim(P, ind[k]); glp_printf("y = %g\n", y); /* this prints y = 15.1372, so the constraint is violated, since we require that y <= rhs = 12 */ /* now we transform the row to express it only through non-basic (auxiliary and artificial) variables */ len = glp_transform_row(P, len, ind, val); /* finally, we simulate one step of the dual simplex method to obtain necessary information for the adjacent basis */ ret = _glp_analyze_row(P, len, ind, val, GLP_UP, rhs, 1e-9, &piv, &x, &dx, &y, &dy, &dz); glp_assert(ret == 0); glp_printf("k = %d, x = %g; dx = %g; y = %g; dy = %g; dz = %g\n", ind[piv], x, dx, y, dy, dz); /* this prints dz = 5.64418 and means that in the adjacent basis the objective function would be 296.217 + 5.64418 = 301.861 */ /* now we actually include the row into the problem object; note that the arrays ind and val are clobbered, so we need to build them once again */ len = 0; ind[++len] = glp_find_col(P, "BIN1"), val[len] = .01; ind[++len] = glp_find_col(P, "BIN2"), val[len] = .01; ind[++len] = glp_find_col(P, "BIN4"), val[len] = .02; ind[++len] = glp_find_col(P, "BIN5"), val[len] = .02; rhs = 12; i = glp_add_rows(P, 1); glp_set_row_bnds(P, i, GLP_UP, 0, rhs); glp_set_mat_row(P, i, len, ind, val); /* and perform one dual simplex iteration */ glp_init_smcp(&parm); parm.meth = GLP_DUAL; parm.it_lim = 1; glp_simplex(P, &parm); /* the current objective value is 301.861 */ return 0; } #endif /*********************************************************************** * NAME * * glp_analyze_bound - analyze active bound of non-basic variable * * SYNOPSIS * * void glp_analyze_bound(glp_prob *P, int k, double *limit1, int *var1, * double *limit2, int *var2); * * DESCRIPTION * * The routine glp_analyze_bound analyzes the effect of varying the * active bound of specified non-basic variable. * * The non-basic variable is specified by the parameter k, where * 1 <= k <= m means auxiliary variable of corresponding row while * m+1 <= k <= m+n means structural variable (column). * * Note that the current basic solution must be optimal, and the basis * factorization must exist. * * Results of the analysis have the following meaning. * * value1 is the minimal value of the active bound, at which the basis * still remains primal feasible and thus optimal. -DBL_MAX means that * the active bound has no lower limit. * * var1 is the ordinal number of an auxiliary (1 to m) or structural * (m+1 to n) basic variable, which reaches its bound first and thereby * limits further decreasing the active bound being analyzed. * if value1 = -DBL_MAX, var1 is set to 0. * * value2 is the maximal value of the active bound, at which the basis * still remains primal feasible and thus optimal. +DBL_MAX means that * the active bound has no upper limit. * * var2 is the ordinal number of an auxiliary (1 to m) or structural * (m+1 to n) basic variable, which reaches its bound first and thereby * limits further increasing the active bound being analyzed. * if value2 = +DBL_MAX, var2 is set to 0. */ void glp_analyze_bound(glp_prob *P, int k, double *value1, int *var1, double *value2, int *var2) { GLPROW *row; GLPCOL *col; int m, n, stat, kase, p, len, piv, *ind; double x, new_x, ll, uu, xx, delta, *val; /* sanity checks */ if (P == NULL || P->magic != GLP_PROB_MAGIC) xerror("glp_analyze_bound: P = %p; invalid problem object\n", P); m = P->m, n = P->n; if (!(P->pbs_stat == GLP_FEAS && P->dbs_stat == GLP_FEAS)) xerror("glp_analyze_bound: optimal basic solution required\n"); if (!(m == 0 || P->valid)) xerror("glp_analyze_bound: basis factorization required\n"); if (!(1 <= k && k <= m+n)) xerror("glp_analyze_bound: k = %d; variable number out of rang" "e\n", k); /* retrieve information about the specified non-basic variable x[k] whose active bound is to be analyzed */ if (k <= m) { row = P->row[k]; stat = row->stat; x = row->prim; } else { col = P->col[k-m]; stat = col->stat; x = col->prim; } if (stat == GLP_BS) xerror("glp_analyze_bound: k = %d; basic variable not allowed " "\n", k); /* allocate working arrays */ ind = xcalloc(1+m, sizeof(int)); val = xcalloc(1+m, sizeof(double)); /* compute column of the simplex table corresponding to the non-basic variable x[k] */ len = glp_eval_tab_col(P, k, ind, val); xassert(0 <= len && len <= m); /* perform analysis */ for (kase = -1; kase <= +1; kase += 2) { /* kase < 0 means active bound of x[k] is decreasing; kase > 0 means active bound of x[k] is increasing */ /* use the primal ratio test to determine some basic variable x[p] which reaches its bound first */ piv = glp_prim_rtest(P, len, ind, val, kase, 1e-9); if (piv == 0) { /* nothing limits changing the active bound of x[k] */ p = 0; new_x = (kase < 0 ? -DBL_MAX : +DBL_MAX); goto store; } /* basic variable x[p] limits changing the active bound of x[k]; determine its value in the current basis */ xassert(1 <= piv && piv <= len); p = ind[piv]; if (p <= m) { row = P->row[p]; ll = glp_get_row_lb(P, row->i); uu = glp_get_row_ub(P, row->i); stat = row->stat; xx = row->prim; } else { col = P->col[p-m]; ll = glp_get_col_lb(P, col->j); uu = glp_get_col_ub(P, col->j); stat = col->stat; xx = col->prim; } xassert(stat == GLP_BS); /* determine delta x[p] = bound of x[p] - value of x[p] */ if (kase < 0 && val[piv] > 0.0 || kase > 0 && val[piv] < 0.0) { /* delta x[p] < 0, so x[p] goes toward its lower bound */ xassert(ll != -DBL_MAX); delta = ll - xx; } else { /* delta x[p] > 0, so x[p] goes toward its upper bound */ xassert(uu != +DBL_MAX); delta = uu - xx; } /* delta x[p] = alfa[p,k] * delta x[k], so new x[k] = x[k] + delta x[k] = x[k] + delta x[p] / alfa[p,k] is the value of x[k] in the adjacent basis */ xassert(val[piv] != 0.0); new_x = x + delta / val[piv]; store: /* store analysis results */ if (kase < 0) { if (value1 != NULL) *value1 = new_x; if (var1 != NULL) *var1 = p; } else { if (value2 != NULL) *value2 = new_x; if (var2 != NULL) *var2 = p; } } /* free working arrays */ xfree(ind); xfree(val); return; } /*********************************************************************** * NAME * * glp_analyze_coef - analyze objective coefficient at basic variable * * SYNOPSIS * * void glp_analyze_coef(glp_prob *P, int k, double *coef1, int *var1, * double *value1, double *coef2, int *var2, double *value2); * * DESCRIPTION * * The routine glp_analyze_coef analyzes the effect of varying the * objective coefficient at specified basic variable. * * The basic variable is specified by the parameter k, where * 1 <= k <= m means auxiliary variable of corresponding row while * m+1 <= k <= m+n means structural variable (column). * * Note that the current basic solution must be optimal, and the basis * factorization must exist. * * Results of the analysis have the following meaning. * * coef1 is the minimal value of the objective coefficient, at which * the basis still remains dual feasible and thus optimal. -DBL_MAX * means that the objective coefficient has no lower limit. * * var1 is the ordinal number of an auxiliary (1 to m) or structural * (m+1 to n) non-basic variable, whose reduced cost reaches its zero * bound first and thereby limits further decreasing the objective * coefficient being analyzed. If coef1 = -DBL_MAX, var1 is set to 0. * * value1 is value of the basic variable being analyzed in an adjacent * basis, which is defined as follows. Let the objective coefficient * reaches its minimal value (coef1) and continues decreasing. Then the * reduced cost of the limiting non-basic variable (var1) becomes dual * infeasible and the current basis becomes non-optimal that forces the * limiting non-basic variable to enter the basis replacing there some * basic variable that leaves the basis to keep primal feasibility. * Should note that on determining the adjacent basis current bounds * of the basic variable being analyzed are ignored as if it were free * (unbounded) variable, so it cannot leave the basis. It may happen * that no dual feasible adjacent basis exists, in which case value1 is * set to -DBL_MAX or +DBL_MAX. * * coef2 is the maximal value of the objective coefficient, at which * the basis still remains dual feasible and thus optimal. +DBL_MAX * means that the objective coefficient has no upper limit. * * var2 is the ordinal number of an auxiliary (1 to m) or structural * (m+1 to n) non-basic variable, whose reduced cost reaches its zero * bound first and thereby limits further increasing the objective * coefficient being analyzed. If coef2 = +DBL_MAX, var2 is set to 0. * * value2 is value of the basic variable being analyzed in an adjacent * basis, which is defined exactly in the same way as value1 above with * exception that now the objective coefficient is increasing. */ void glp_analyze_coef(glp_prob *P, int k, double *coef1, int *var1, double *value1, double *coef2, int *var2, double *value2) { GLPROW *row; GLPCOL *col; int m, n, type, stat, kase, p, q, dir, clen, cpiv, rlen, rpiv, *cind, *rind; double lb, ub, coef, x, lim_coef, new_x, d, delta, ll, uu, xx, *rval, *cval; /* sanity checks */ if (P == NULL || P->magic != GLP_PROB_MAGIC) xerror("glp_analyze_coef: P = %p; invalid problem object\n", P); m = P->m, n = P->n; if (!(P->pbs_stat == GLP_FEAS && P->dbs_stat == GLP_FEAS)) xerror("glp_analyze_coef: optimal basic solution required\n"); if (!(m == 0 || P->valid)) xerror("glp_analyze_coef: basis factorization required\n"); if (!(1 <= k && k <= m+n)) xerror("glp_analyze_coef: k = %d; variable number out of range" "\n", k); /* retrieve information about the specified basic variable x[k] whose objective coefficient c[k] is to be analyzed */ if (k <= m) { row = P->row[k]; type = row->type; lb = row->lb; ub = row->ub; coef = 0.0; stat = row->stat; x = row->prim; } else { col = P->col[k-m]; type = col->type; lb = col->lb; ub = col->ub; coef = col->coef; stat = col->stat; x = col->prim; } if (stat != GLP_BS) xerror("glp_analyze_coef: k = %d; non-basic variable not allow" "ed\n", k); /* allocate working arrays */ cind = xcalloc(1+m, sizeof(int)); cval = xcalloc(1+m, sizeof(double)); rind = xcalloc(1+n, sizeof(int)); rval = xcalloc(1+n, sizeof(double)); /* compute row of the simplex table corresponding to the basic variable x[k] */ rlen = glp_eval_tab_row(P, k, rind, rval); xassert(0 <= rlen && rlen <= n); /* perform analysis */ for (kase = -1; kase <= +1; kase += 2) { /* kase < 0 means objective coefficient c[k] is decreasing; kase > 0 means objective coefficient c[k] is increasing */ /* note that decreasing c[k] is equivalent to increasing dual variable lambda[k] and vice versa; we need to correctly set the dir flag as required by the routine glp_dual_rtest */ if (P->dir == GLP_MIN) dir = - kase; else if (P->dir == GLP_MAX) dir = + kase; else xassert(P != P); /* use the dual ratio test to determine non-basic variable x[q] whose reduced cost d[q] reaches zero bound first */ rpiv = glp_dual_rtest(P, rlen, rind, rval, dir, 1e-9); if (rpiv == 0) { /* nothing limits changing c[k] */ lim_coef = (kase < 0 ? -DBL_MAX : +DBL_MAX); q = 0; /* x[k] keeps its current value */ new_x = x; goto store; } /* non-basic variable x[q] limits changing coefficient c[k]; determine its status and reduced cost d[k] in the current basis */ xassert(1 <= rpiv && rpiv <= rlen); q = rind[rpiv]; xassert(1 <= q && q <= m+n); if (q <= m) { row = P->row[q]; stat = row->stat; d = row->dual; } else { col = P->col[q-m]; stat = col->stat; d = col->dual; } /* note that delta d[q] = new d[q] - d[q] = - d[q], because new d[q] = 0; delta d[q] = alfa[k,q] * delta c[k], so delta c[k] = delta d[q] / alfa[k,q] = - d[q] / alfa[k,q] */ xassert(rval[rpiv] != 0.0); delta = - d / rval[rpiv]; /* compute new c[k] = c[k] + delta c[k], which is the limiting value of the objective coefficient c[k] */ lim_coef = coef + delta; /* let c[k] continue decreasing/increasing that makes d[q] dual infeasible and forces x[q] to enter the basis; to perform the primal ratio test we need to know in which direction x[q] changes on entering the basis; we determine that analyzing the sign of delta d[q] (see above), since d[q] may be close to zero having wrong sign */ /* let, for simplicity, the problem is minimization */ if (kase < 0 && rval[rpiv] > 0.0 || kase > 0 && rval[rpiv] < 0.0) { /* delta d[q] < 0, so d[q] being non-negative will become negative, so x[q] will increase */ dir = +1; } else { /* delta d[q] > 0, so d[q] being non-positive will become positive, so x[q] will decrease */ dir = -1; } /* if the problem is maximization, correct the direction */ if (P->dir == GLP_MAX) dir = - dir; /* check that we didn't make a silly mistake */ if (dir > 0) xassert(stat == GLP_NL || stat == GLP_NF); else xassert(stat == GLP_NU || stat == GLP_NF); /* compute column of the simplex table corresponding to the non-basic variable x[q] */ clen = glp_eval_tab_col(P, q, cind, cval); /* make x[k] temporarily free (unbounded) */ if (k <= m) { row = P->row[k]; row->type = GLP_FR; row->lb = row->ub = 0.0; } else { col = P->col[k-m]; col->type = GLP_FR; col->lb = col->ub = 0.0; } /* use the primal ratio test to determine some basic variable which leaves the basis */ cpiv = glp_prim_rtest(P, clen, cind, cval, dir, 1e-9); /* restore original bounds of the basic variable x[k] */ if (k <= m) { row = P->row[k]; row->type = type; row->lb = lb, row->ub = ub; } else { col = P->col[k-m]; col->type = type; col->lb = lb, col->ub = ub; } if (cpiv == 0) { /* non-basic variable x[q] can change unlimitedly */ if (dir < 0 && rval[rpiv] > 0.0 || dir > 0 && rval[rpiv] < 0.0) { /* delta x[k] = alfa[k,q] * delta x[q] < 0 */ new_x = -DBL_MAX; } else { /* delta x[k] = alfa[k,q] * delta x[q] > 0 */ new_x = +DBL_MAX; } goto store; } /* some basic variable x[p] limits changing non-basic variable x[q] in the adjacent basis */ xassert(1 <= cpiv && cpiv <= clen); p = cind[cpiv]; xassert(1 <= p && p <= m+n); xassert(p != k); if (p <= m) { row = P->row[p]; xassert(row->stat == GLP_BS); ll = glp_get_row_lb(P, row->i); uu = glp_get_row_ub(P, row->i); xx = row->prim; } else { col = P->col[p-m]; xassert(col->stat == GLP_BS); ll = glp_get_col_lb(P, col->j); uu = glp_get_col_ub(P, col->j); xx = col->prim; } /* determine delta x[p] = new x[p] - x[p] */ if (dir < 0 && cval[cpiv] > 0.0 || dir > 0 && cval[cpiv] < 0.0) { /* delta x[p] < 0, so x[p] goes toward its lower bound */ xassert(ll != -DBL_MAX); delta = ll - xx; } else { /* delta x[p] > 0, so x[p] goes toward its upper bound */ xassert(uu != +DBL_MAX); delta = uu - xx; } /* compute new x[k] = x[k] + alfa[k,q] * delta x[q], where delta x[q] = delta x[p] / alfa[p,q] */ xassert(cval[cpiv] != 0.0); new_x = x + (rval[rpiv] / cval[cpiv]) * delta; store: /* store analysis results */ if (kase < 0) { if (coef1 != NULL) *coef1 = lim_coef; if (var1 != NULL) *var1 = q; if (value1 != NULL) *value1 = new_x; } else { if (coef2 != NULL) *coef2 = lim_coef; if (var2 != NULL) *var2 = q; if (value2 != NULL) *value2 = new_x; } } /* free working arrays */ xfree(cind); xfree(cval); xfree(rind); xfree(rval); return; } /* eof */