_linprog_util.py
61.7 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358
1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417
1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476
1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535
1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
"""
Method agnostic utility functions for linear progamming
"""
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, _remove_redundancy_sparse, _remove_redundancy_dense
)
from collections import namedtuple
_LPProblem = namedtuple('_LPProblem', 'c A_ub b_ub A_eq b_eq bounds x0')
_LPProblem.__new__.__defaults__ = (None,) * 6 # 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.
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, 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')`.
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 = options.get('sparse', False)
if not sparse and (sps.issparse(A_eq) or sps.issparse(A_ub)):
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 = lp
if c is None:
raise TypeError
try:
c = np.array(c, dtype=np.float64, copy=True).squeeze()
except ValueError:
raise TypeError(
"Invalid input for linprog: c must be a 1-D array of numerical "
"coefficients")
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:
raise TypeError(
"Invalid input for linprog: A_ub must be a 2-D array "
"of numerical values")
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:
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")
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:
raise TypeError(
"Invalid input for linprog: A_eq must be a 2-D array "
"of numerical values")
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:
raise TypeError(
"Invalid input for linprog: b_eq must be a 1-D array of "
"numerical values, each representing the upper bound of an "
"inequality constraint (row) in A_eq")
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:
raise TypeError(
"Invalid input for linprog: x0 must be a 1-D array of "
"numerical coefficients")
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])
except TypeError as e:
raise TypeError(
"Invalid input for linprog: unable to interpret bounds, "
"check values and dimensions: " + e.args[0])
# 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, "
"not a {:d}-D array.".format(len(bsh)))
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(
"Invalid input for linprog: provide a {:d} x 2 array for bounds, "
"not a 2 x {:d} array.".format(n_x, n_x))
else:
raise ValueError(
"Invalid input for linprog: unable to interpret bounds with this "
"dimension tuple: {0}.".format(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)
def _presolve(lp, rr, 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).
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)
undo: list of tuples
(index, value) pairs that record the original index and fixed value
for each variable removed from the problem
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
undo = [] # 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
lb = bounds[:, 0]
ub = bounds[:, 1]
m_eq, n = A_eq.shape
m_ub, n = A_ub.shape
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
# 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, undo, 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, undo, 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, undo, 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, undo, 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, undo, 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, undo, 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 = 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]
# record of variables to be added back in
undo = [np.nonzero(i_f)[0], lb[i_f]]
# don't remove these entries from bounds; they'll be used later.
# but we _also_ need a version of the bounds with these removed
lb_mod = lb[i_nf]
ub_mod = ub[i_nf]
# 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 lb and ub back into Nx2 bounds
bounds = np.hstack((lb[:, np.newaxis], ub[:, 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?
A_eq, b_eq, status, message = _remove_redundancy_sparse(A_eq, b_eq)
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, undo, 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: instead use results of first SVD in _remove_redundancy
rank = np.linalg.matrix_rank(A_eq)
except Exception: # oh well, we'll have to go with _remove_redundancy_dense
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 dim_row_nullspace <= small_nullspace:
A_eq, b_eq, status, message = _remove_redundancy(A_eq, b_eq)
if dim_row_nullspace > small_nullspace or status == 4:
A_eq, b_eq, status, message = _remove_redundancy_dense(A_eq, b_eq)
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, undo, complete, status, message)
def _parse_linprog(lp, options):
"""
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, 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, undo=[]):
"""
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.
undo: list of tuples
(`index`, `value`) pairs that record the original index and fixed value
for each variable removed from the problem
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 = 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
# bounds will be modified, create a copy
bounds = np.array(bounds, copy=True)
# undo[0] contains indices of variables removed from the problem
# however, their bounds are still part of the bounds list
# they are needed elsewhere, but not here
if undo is not None and undo != []:
bounds = np.delete(bounds, undo[0], 0)
# 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)
# if preprocessing is on, lb == ub can't happen
# if preprocessing is off, then it would be best to convert that
# to an equality constraint, but it's tricky to make the other
# required modifications from inside here.
# 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(" Current function value: {0: <12.6f}".format(fun))
print(" Iterations: {0:d}".format(iteration))
def _postsolve(x, postsolve_args, complete=False, tol=1e-8, copy=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.
undo: list of tuples
(`index`, `value`) pairs that record the original index and fixed value
for each variable removed from the problem
complete : bool
Whether the solution is was determined in presolve (``True`` if so)
tol : float
Termination tolerance; see [1]_ Section 4.5.
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``
bounds : 2D array
The bounds on the original variables ``x``
"""
# note that all the inputs are the ORIGINAL, unmodified versions
# no rows, columns have been removed
# the only exception is bounds; it has been modified
# we need these modified values to undo the variable substitutions
# in retrospect, perhaps this could have been simplified if the "undo"
# variable also contained information for undoing variable substitutions
(c, A_ub, b_ub, A_eq, b_eq, bounds, x0), undo, C, b_scale = postsolve_args
x = _unscale(x, C, b_scale)
n_x = len(c)
# we don't have to undo variable substitutions for fixed variables that
# were removed from the problem
no_adjust = set()
# if there were variables removed from the problem, add them back into the
# solution vector
if len(undo) > 0:
no_adjust = set(undo[0])
x = x.tolist()
for i, val in zip(undo[0], undo[1]):
x.insert(i, val)
copy = True
if copy:
x = np.array(x, copy=True)
# now undo variable substitutions
# if "complete", problem was solved in presolve; don't do anything here
if not complete and bounds is not None: # bounds are never none, probably
n_unbounded = 0
for i, bi in enumerate(bounds):
if i in no_adjust:
continue
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
n_x = len(c)
x = x[:n_x] # all the rest of the variables were artificial
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, bounds
def _check_result(x, fun, status, slack, con, bounds, tol, message):
"""
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, but status 5 is very unusual
tol = np.sqrt(tol) * 10
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:
invalid_bounds = (x < bounds[:, 0] - tol).any() or (x > bounds[:, 1] + tol).any()
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 " + "{:.2E}".format(tol) + ", yet "
"no errors were raised and there is no certificate of "
"infeasibility or unboundedness. This is known to occur "
"if the `presolve` option is False and the problem is "
"infeasible. This can also occur due to the limited "
"accuracy of the `interior-point` method. Check whether "
"the slack and constraint residuals are acceptable; "
"if not, consider enabling presolve, reducing option "
"`tol`, and/or using method `revised simplex`. "
"If you encounter this message under different "
"circumstances, please submit a bug report.")
elif status == 0 and contains_nans:
status = 4
message = ("Numerical difficulties were encountered but no errors "
"were raised. This is known to occur if the 'presolve' "
"option is False, 'sparse' is True, and A_eq includes "
"redundant rows. If you encounter this under different "
"circumstances, please submit a bug report. Otherwise, "
"remove linearly dependent equations from your equality "
"constraints or enable presolve.")
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
raise ValueError(message)
return status, message
def _postprocess(x, postsolve_args, complete=False, status=0, message="",
tol=1e-8, iteration=None, disp=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.
c : 1-D array
Original coefficients of the linear objective function to be minimized.
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``.
b_ub : 1-D array, optional
1-D array of values representing the upper-bound of each inequality
constraint (row) in ``A_ub``.
A_eq : 2-D array, optional
2-D array such that ``A_eq @ x`` gives the values of the equality
constraints at ``x``.
b_eq : 1-D array, optional
1-D array of values representing the RHS of each equality constraint
(row) in ``A_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.
complete : bool
Whether the solution is was determined in presolve (``True`` if so)
undo: list of tuples
(`index`, `value`) pairs that record the original index and fixed value
for each variable removed from the 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
message : str
A string descriptor of the exit status of the optimization.
tol : float
Termination tolerance; see [1]_ Section 4.5.
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``
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.
"""
x, fun, slack, con, bounds = _postsolve(
x, postsolve_args, complete, tol
)
status, message = _check_result(
x, fun, status, slack, con,
bounds, tol, message
)
if disp:
_display_summary(message, status, fun, iteration)
return x, fun, slack, con, status, message