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Add a hyperparameter that controls bounding of free variables #1713

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125 changes: 63 additions & 62 deletions cpp/include/cuopt/mathematical_optimization/constants.h
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Expand Up @@ -20,68 +20,69 @@
#define CUOPT_INSTANTIATE_INT64 0

/* @brief LP/MIP parameter string constants */
#define CUOPT_ABSOLUTE_DUAL_TOLERANCE "absolute_dual_tolerance"
#define CUOPT_RELATIVE_DUAL_TOLERANCE "relative_dual_tolerance"
#define CUOPT_ABSOLUTE_PRIMAL_TOLERANCE "absolute_primal_tolerance"
#define CUOPT_RELATIVE_PRIMAL_TOLERANCE "relative_primal_tolerance"
#define CUOPT_ABSOLUTE_GAP_TOLERANCE "absolute_gap_tolerance"
#define CUOPT_RELATIVE_GAP_TOLERANCE "relative_gap_tolerance"
#define CUOPT_INFEASIBILITY_DETECTION "infeasibility_detection"
#define CUOPT_STRICT_INFEASIBILITY "strict_infeasibility"
#define CUOPT_PRIMAL_INFEASIBLE_TOLERANCE "primal_infeasible_tolerance"
#define CUOPT_DUAL_INFEASIBLE_TOLERANCE "dual_infeasible_tolerance"
#define CUOPT_ITERATION_LIMIT "iteration_limit"
#define CUOPT_TIME_LIMIT "time_limit"
#define CUOPT_WORK_LIMIT "work_limit"
#define CUOPT_NODE_LIMIT "node_limit"
#define CUOPT_PDLP_SOLVER_MODE "pdlp_solver_mode"
#define CUOPT_METHOD "method"
#define CUOPT_PER_CONSTRAINT_RESIDUAL "per_constraint_residual"
#define CUOPT_SAVE_BEST_PRIMAL_SO_FAR "save_best_primal_so_far"
#define CUOPT_FIRST_PRIMAL_FEASIBLE "first_primal_feasible"
#define CUOPT_LOG_FILE "log_file"
#define CUOPT_LOG_TO_CONSOLE "log_to_console"
#define CUOPT_CROSSOVER "crossover"
#define CUOPT_FOLDING "folding"
#define CUOPT_AUGMENTED "augmented"
#define CUOPT_DUALIZE "dualize"
#define CUOPT_ORDERING "ordering"
#define CUOPT_BARRIER_DUAL_INITIAL_POINT "barrier_dual_initial_point"
#define CUOPT_POSTSOLVE_INFO "postsolve_info"
#define CUOPT_BARRIER_ITERATIVE_REFINEMENT "barrier_iterative_refinement"
#define CUOPT_BARRIER_STEP_SCALE "barrier_step_scale"
#define CUOPT_ELIMINATE_DENSE_COLUMNS "eliminate_dense_columns"
#define CUOPT_CUDSS_DETERMINISTIC "cudss_deterministic"
#define CUOPT_PRESOLVE "presolve"
#define CUOPT_MIP_PROBING "mip_probing"
#define CUOPT_DUAL_POSTSOLVE "dual_postsolve"
#define CUOPT_MIP_DETERMINISM_MODE "mip_determinism_mode"
#define CUOPT_MIP_ABSOLUTE_TOLERANCE "mip_absolute_tolerance"
#define CUOPT_MIP_RELATIVE_TOLERANCE "mip_relative_tolerance"
#define CUOPT_MIP_INTEGRALITY_TOLERANCE "mip_integrality_tolerance"
#define CUOPT_MIP_ABSOLUTE_GAP "mip_absolute_gap"
#define CUOPT_MIP_RELATIVE_GAP "mip_relative_gap"
#define CUOPT_MIP_HEURISTICS_ONLY "mip_heuristics_only"
#define CUOPT_MIP_SCALING "mip_scaling"
#define CUOPT_MIP_PRESOLVE "mip_presolve"
#define CUOPT_MIP_SYMMETRY "mip_symmetry"
#define CUOPT_MIP_RELIABILITY_BRANCHING "mip_reliability_branching"
#define CUOPT_MIP_CUT_PASSES "mip_cut_passes"
#define CUOPT_MIP_MIXED_INTEGER_ROUNDING_CUTS "mip_mixed_integer_rounding_cuts"
#define CUOPT_MIP_MIXED_INTEGER_GOMORY_CUTS "mip_mixed_integer_gomory_cuts"
#define CUOPT_MIP_KNAPSACK_CUTS "mip_knapsack_cuts"
#define CUOPT_MIP_FLOW_COVER_CUTS "mip_flow_cover_cuts"
#define CUOPT_MIP_IMPLIED_BOUND_CUTS "mip_implied_bound_cuts"
#define CUOPT_MIP_CLIQUE_CUTS "mip_clique_cuts"
#define CUOPT_MIP_ZERO_HALF_CUTS "mip_zero_half_cuts"
#define CUOPT_MIP_STRONG_CHVATAL_GOMORY_CUTS "mip_strong_chvatal_gomory_cuts"
#define CUOPT_MIP_REDUCED_COST_STRENGTHENING "mip_reduced_cost_strengthening"
#define CUOPT_MIP_RINS "mip_rins"
#define CUOPT_MIP_OBJECTIVE_STEP "mip_objective_step"
#define CUOPT_MIP_CUT_CHANGE_THRESHOLD "mip_cut_change_threshold"
#define CUOPT_MIP_CUT_MIN_ORTHOGONALITY "mip_cut_min_orthogonality"
#define CUOPT_MIP_BATCH_PDLP_STRONG_BRANCHING "mip_batch_pdlp_strong_branching"
#define CUOPT_MIP_BATCH_PDLP_RELIABILITY_BRANCHING "mip_batch_pdlp_reliability_branching"
#define CUOPT_ABSOLUTE_DUAL_TOLERANCE "absolute_dual_tolerance"
#define CUOPT_RELATIVE_DUAL_TOLERANCE "relative_dual_tolerance"
#define CUOPT_ABSOLUTE_PRIMAL_TOLERANCE "absolute_primal_tolerance"
#define CUOPT_RELATIVE_PRIMAL_TOLERANCE "relative_primal_tolerance"
#define CUOPT_ABSOLUTE_GAP_TOLERANCE "absolute_gap_tolerance"
#define CUOPT_RELATIVE_GAP_TOLERANCE "relative_gap_tolerance"
#define CUOPT_INFEASIBILITY_DETECTION "infeasibility_detection"
#define CUOPT_STRICT_INFEASIBILITY "strict_infeasibility"
#define CUOPT_PRIMAL_INFEASIBLE_TOLERANCE "primal_infeasible_tolerance"
#define CUOPT_DUAL_INFEASIBLE_TOLERANCE "dual_infeasible_tolerance"
#define CUOPT_ITERATION_LIMIT "iteration_limit"
#define CUOPT_TIME_LIMIT "time_limit"
#define CUOPT_WORK_LIMIT "work_limit"
#define CUOPT_NODE_LIMIT "node_limit"
#define CUOPT_PDLP_SOLVER_MODE "pdlp_solver_mode"
#define CUOPT_METHOD "method"
#define CUOPT_PER_CONSTRAINT_RESIDUAL "per_constraint_residual"
#define CUOPT_SAVE_BEST_PRIMAL_SO_FAR "save_best_primal_so_far"
#define CUOPT_FIRST_PRIMAL_FEASIBLE "first_primal_feasible"
#define CUOPT_LOG_FILE "log_file"
#define CUOPT_LOG_TO_CONSOLE "log_to_console"
#define CUOPT_CROSSOVER "crossover"
#define CUOPT_FOLDING "folding"
#define CUOPT_AUGMENTED "augmented"
#define CUOPT_DUALIZE "dualize"
#define CUOPT_ORDERING "ordering"
#define CUOPT_BARRIER_DUAL_INITIAL_POINT "barrier_dual_initial_point"
#define CUOPT_POSTSOLVE_INFO "postsolve_info"
#define CUOPT_BARRIER_PRESOLVE_BOUND_FREE_VARIABLES "barrier_presolve_bound_free_variables"
#define CUOPT_BARRIER_ITERATIVE_REFINEMENT "barrier_iterative_refinement"
#define CUOPT_BARRIER_STEP_SCALE "barrier_step_scale"
#define CUOPT_ELIMINATE_DENSE_COLUMNS "eliminate_dense_columns"
#define CUOPT_CUDSS_DETERMINISTIC "cudss_deterministic"
#define CUOPT_PRESOLVE "presolve"
#define CUOPT_MIP_PROBING "mip_probing"
#define CUOPT_DUAL_POSTSOLVE "dual_postsolve"
#define CUOPT_MIP_DETERMINISM_MODE "mip_determinism_mode"
#define CUOPT_MIP_ABSOLUTE_TOLERANCE "mip_absolute_tolerance"
#define CUOPT_MIP_RELATIVE_TOLERANCE "mip_relative_tolerance"
#define CUOPT_MIP_INTEGRALITY_TOLERANCE "mip_integrality_tolerance"
#define CUOPT_MIP_ABSOLUTE_GAP "mip_absolute_gap"
#define CUOPT_MIP_RELATIVE_GAP "mip_relative_gap"
#define CUOPT_MIP_HEURISTICS_ONLY "mip_heuristics_only"
#define CUOPT_MIP_SCALING "mip_scaling"
#define CUOPT_MIP_PRESOLVE "mip_presolve"
#define CUOPT_MIP_SYMMETRY "mip_symmetry"
#define CUOPT_MIP_RELIABILITY_BRANCHING "mip_reliability_branching"
#define CUOPT_MIP_CUT_PASSES "mip_cut_passes"
#define CUOPT_MIP_MIXED_INTEGER_ROUNDING_CUTS "mip_mixed_integer_rounding_cuts"
#define CUOPT_MIP_MIXED_INTEGER_GOMORY_CUTS "mip_mixed_integer_gomory_cuts"
#define CUOPT_MIP_KNAPSACK_CUTS "mip_knapsack_cuts"
#define CUOPT_MIP_FLOW_COVER_CUTS "mip_flow_cover_cuts"
#define CUOPT_MIP_IMPLIED_BOUND_CUTS "mip_implied_bound_cuts"
#define CUOPT_MIP_CLIQUE_CUTS "mip_clique_cuts"
#define CUOPT_MIP_ZERO_HALF_CUTS "mip_zero_half_cuts"
#define CUOPT_MIP_STRONG_CHVATAL_GOMORY_CUTS "mip_strong_chvatal_gomory_cuts"
#define CUOPT_MIP_REDUCED_COST_STRENGTHENING "mip_reduced_cost_strengthening"
#define CUOPT_MIP_RINS "mip_rins"
#define CUOPT_MIP_OBJECTIVE_STEP "mip_objective_step"
#define CUOPT_MIP_CUT_CHANGE_THRESHOLD "mip_cut_change_threshold"
#define CUOPT_MIP_CUT_MIN_ORTHOGONALITY "mip_cut_min_orthogonality"
#define CUOPT_MIP_BATCH_PDLP_STRONG_BRANCHING "mip_batch_pdlp_strong_branching"
#define CUOPT_MIP_BATCH_PDLP_RELIABILITY_BRANCHING "mip_batch_pdlp_reliability_branching"
#define CUOPT_MIP_STRONG_BRANCHING_SIMPLEX_ITERATION_LIMIT \
"mip_strong_branching_simplex_iteration_limit"

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1 change: 1 addition & 0 deletions cpp/include/cuopt/mathematical_optimization/pdlp/solver_settings.hpp
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Expand Up @@ -296,6 +296,7 @@ class pdlp_solver_settings_t {
i_t ordering{-1};
i_t barrier_dual_initial_point{-1};
i_t postsolve_info{-1};
i_t barrier_presolve_bound_free_variables{-1}; // -1 automatic, 0 disabled, 1 enabled
// Ruiz equilibration for QCQP (barrier) scaling: -1 automatic (row/column
// imbalance heuristic), 0 disabled, 1 enabled. Distinct from PDLP's own Ruiz
// scaling in pdlp_hyper_params_t.
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3 changes: 2 additions & 1 deletion cpp/src/dual_simplex/presolve.cpp
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Expand Up @@ -999,7 +999,8 @@ i_t presolve(const lp_problem_t<i_t, f_t>& original,
if (problem.lower[j] == -inf && problem.upper[j] == inf) { free_variables++; }
}

if (settings.barrier_presolve && free_variables > 0) {
if (settings.barrier_presolve && settings.barrier_presolve_bound_free_variables != 0 &&
free_variables > 0) {
// Try to remove free variables
std::vector<i_t> constraints_to_check;
std::vector<i_t> current_free_variables;
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2 changes: 2 additions & 0 deletions cpp/src/dual_simplex/simplex_solver_settings.hpp
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Expand Up @@ -79,6 +79,7 @@ struct simplex_solver_settings_t {
ordering(-1),
barrier_dual_initial_point(-1),
postsolve_info(-1),
barrier_presolve_bound_free_variables(-1),
qcqp_ruiz_equilibration(-1),
check_Q(false),
crossover(false),
Expand Down Expand Up @@ -174,6 +175,7 @@ struct simplex_solver_settings_t {
i_t barrier_dual_initial_point; // -1 automatic, 0 to use Lustig, Marsten, and Shanno initial
// point, 1 to use initial point form dual least squares problem
i_t postsolve_info; // -1 automatic (disabled), 0 disabled, 1 enabled
i_t barrier_presolve_bound_free_variables; // -1 automatic, 0 disabled, 1 enabled
i_t qcqp_ruiz_equilibration; // -1 automatic (imbalance heuristic), 0 disabled, 1 enabled
bool check_Q; // true to check if Q is positive semidefinite
bool crossover; // true to do crossover, false to not
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1 change: 1 addition & 0 deletions cpp/src/math_optimization/solver_settings.cu
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Expand Up @@ -187,6 +187,7 @@ solver_settings_t<i_t, f_t>::solver_settings_t() : pdlp_settings(), mip_settings
// Recursive sub-MIP (RINS) hyper-parameters (hidden from default --help: name contains "hyper_")
{CUOPT_MIP_HYPER_SUBMIP_NODE_LIMIT_BASE, &mip_settings.submip_params.node_limit_base, 0, std::numeric_limits<i_t>::max(), 200, "base node limit for the sub-MIP"},
{CUOPT_MIP_HYPER_SUBMIP_MAX_LEVEL, &mip_settings.submip_params.max_level, 0, std::numeric_limits<i_t>::max(), 10, "maximum sub-MIP recursion level"},
{CUOPT_BARRIER_PRESOLVE_BOUND_FREE_VARIABLES, &pdlp_settings.barrier_presolve_bound_free_variables, -1, 1, -1, "Bound free variables during barrier presolve: -1 automatic (current default behavior), 0 disabled, 1 enabled"},
// QCQP (barrier) scaling hyper-parameter
{CUOPT_QCQP_HYPER_RUIZ_EQUILIBRATION, &pdlp_settings.qcqp_ruiz_equilibration, -1, 1, -1, "Ruiz equilibration for QCQP barrier scaling: -1 automatic (row/column imbalance heuristic), 0 disabled, 1 enabled"},
};
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22 changes: 12 additions & 10 deletions cpp/src/pdlp/solve.cu
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Expand Up @@ -498,16 +498,18 @@ std::tuple<simplex::lp_solution_t<i_t, f_t>, simplex::lp_status_t, f_t, f_t, f_t
f_t norm_rhs = vector_norm2<i_t, f_t>(user_problem.rhs);

simplex::simplex_solver_settings_t<i_t, f_t> barrier_settings;
barrier_settings.num_gpus = settings.num_gpus;
barrier_settings.time_limit = settings.time_limit;
barrier_settings.iteration_limit = settings.iteration_limit;
barrier_settings.concurrent_halt = settings.concurrent_halt;
barrier_settings.folding = settings.folding;
barrier_settings.augmented = settings.augmented;
barrier_settings.dualize = settings.dualize;
barrier_settings.ordering = settings.ordering;
barrier_settings.barrier_dual_initial_point = settings.barrier_dual_initial_point;
barrier_settings.postsolve_info = settings.postsolve_info;
barrier_settings.num_gpus = settings.num_gpus;
barrier_settings.time_limit = settings.time_limit;
barrier_settings.iteration_limit = settings.iteration_limit;
barrier_settings.concurrent_halt = settings.concurrent_halt;
barrier_settings.folding = settings.folding;
barrier_settings.augmented = settings.augmented;
barrier_settings.dualize = settings.dualize;
barrier_settings.ordering = settings.ordering;
barrier_settings.barrier_dual_initial_point = settings.barrier_dual_initial_point;
barrier_settings.postsolve_info = settings.postsolve_info;
barrier_settings.barrier_presolve_bound_free_variables =
settings.barrier_presolve_bound_free_variables;
barrier_settings.barrier = true;
barrier_settings.barrier_presolve = true;
barrier_settings.crossover = settings.crossover;
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6 changes: 6 additions & 0 deletions cpp/tests/linear_programming/unit_tests/solver_settings_test.cu
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Expand Up @@ -73,6 +73,12 @@ TEST(SolverSettingsTest, TestSetGet)
EXPECT_EQ(solver_settings.postsolve_info, -1);
solver_settings.postsolve_info = 1;
EXPECT_EQ(solver_settings.postsolve_info, 1);

EXPECT_EQ(solver_settings.barrier_presolve_bound_free_variables, -1);
solver_settings.barrier_presolve_bound_free_variables = 0;
EXPECT_EQ(solver_settings.barrier_presolve_bound_free_variables, 0);
solver_settings.barrier_presolve_bound_free_variables = 1;
EXPECT_EQ(solver_settings.barrier_presolve_bound_free_variables, 1);
}

TEST(SolverSettingsTest, warm_start_smaller_vector)
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