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1098 lines
37 KiB
1098 lines
37 KiB
%* glpk05.tex *%
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\chapter{Branch-and-Cut API Routines}
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\section{Introduction}
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\subsection{Using the callback routine}
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The GLPK MIP solver based on the branch-and-cut method allows the
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application program to control the solution process. This is attained
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by means of the user-defined callback routine, which is called by the
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solver at various points of the branch-and-cut algorithm.
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The callback routine passed to the MIP solver should be written by the
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user and has the following specification:\footnote{The name
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{\tt foo\_bar} used here is a placeholder for the callback routine
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name.}
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\begin{verbatim}
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void foo_bar(glp_tree *T, void *info);
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\end{verbatim}
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\noindent
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where \verb|tree| is a pointer to the data structure \verb|glp_tree|,
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which should be used on subsequent calls to branch-and-cut interface
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routines, and \verb|info| is a transit pointer passed to the routine
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\verb|glp_intopt|, which may be used by the application program to pass
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some external data to the callback routine.
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The callback routine is passed to the MIP solver through the control
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parameter structure \verb|glp_iocp| (see Chapter ``Basic API
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Routines'', Section ``Mixed integer programming routines'', Subsection
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``Solve MIP problem with the branch-and-cut method'') as follows:
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\begin{verbatim}
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glp_prob *mip;
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glp_iocp parm;
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. . .
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glp_init_iocp(&parm);
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. . .
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parm.cb_func = foo_bar;
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parm.cb_info = ... ;
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ret = glp_intopt(mip, &parm);
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. . .
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\end{verbatim}
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To determine why it is being called by the MIP solver the callback
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routine should use the routine \verb|glp_ios_reason| (described in this
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section below), which returns a code indicating the reason for calling.
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Depending on the reason the callback routine may perform necessary
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actions to control the solution process.
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The reason codes, which correspond to various point of the
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branch-and-cut algorithm implemented in the MIP solver, are described
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in Subsection ``Reasons for calling the callback routine'' below.
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To ignore calls for reasons, which are not processed by the callback
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routine, it should simply return to the MIP solver doing nothing. For
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example:
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\begin{verbatim}
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void foo_bar(glp_tree *T, void *info)
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{ . . .
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switch (glp_ios_reason(T))
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{ case GLP_IBRANCH:
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. . .
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break;
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case GLP_ISELECT:
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. . .
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break;
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default:
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/* ignore call for other reasons */
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break;
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}
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return;
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}
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\end{verbatim}
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To control the solution process as well as to obtain necessary
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information the callback routine may use the branch-and-cut API
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routines described in this chapter. Names of all these routines begin
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with `\verb|glp_ios_|'.
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\subsection{Branch-and-cut algorithm}
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This section gives a schematic description of the branch-and-cut
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algorithm as it is implemented in the GLPK MIP solver.
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{\it 1. Initialization}
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Set $L:=\{P_0\}$, where $L$ is the {\it active list} (i.e. the list of
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active subproblems), $P_0$ is the original MIP problem to be solved.
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Set $z^{\it best}:=+\infty$ (in case of minimization) or
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$z^{\it best}:=-\infty$ (in case of maximization), where $z^{\it best}$
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is {\it incumbent value}, i.e. an upper (minimization) or lower
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(maximization) global bound for $z^{\it opt}$, the optimal objective
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value for $P^0$.
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{\it 2. Subproblem selection}
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If $L=\varnothing$ then GO TO 9.
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Select $P\in L$, i.e. make active subproblem $P$ current.
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%\newpage
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{\it 3. Solving LP relaxation}
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Solve $P^{\it LP}$, which is LP relaxation of $P$.
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If $P^{\it LP}$ has no primal feasible solution then GO TO 8.
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Let $z^{\it LP}$ be the optimal objective value for $P^{\it LP}$.
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If $z^{\it LP}\geq z^{\it best}$ (minimization) or
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$z^{\it LP}\leq z^{\rm best}$ (), GO TO 8.
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{\it 4. Adding ``lazy'' constraints}
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Let $x^{\it LP}$ be the optimal solution to $P^{\it LP}$.
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If there are ``lazy'' constraints (i.e. essential constraints not
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included in the original MIP problem $P_0$), which are violated at the
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optimal point $x^{\it LP}$, add them to $P$, and GO TO 3.
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{\it 5. Check for integrality}
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Let $x_j$ be a variable, which is required to be integer, and let
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$x^{\it LP}_j\in x^{\it LP}$ be its value in the optimal solution to
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$P^{\it LP}$.
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If $x^{\it LP}_j$ are integral for all integer variables, then a better
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integer feasible solution is found. Store its components, set
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$z^{\it best}:=z^{\it LP}$, and GO TO 8.
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{\it 6. Adding cutting planes}
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If there are cutting planes (i.e. valid constraints for $P$),
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which are violated at the optimal point $x^{\it LP}$, add them to $P$,
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and GO TO 3.
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{\it 7. Branching}
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Select {\it branching variable} $x_j$, i.e. a variable, which is
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required to be integer, and whose value $x^{\it LP}_j\in x^{\it LP}$ is
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fractional in the optimal solution to $P^{\it LP}$.
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Create new subproblem $P^D$ (so called {\it down branch}), which is
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identical to the current subproblem $P$ with exception that the upper
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bound of $x_j$ is replaced by $\lfloor x^{\it LP}_j\rfloor$. (For
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example, if $x^{\it LP}_j=3.14$, the new upper bound of $x_j$ in the
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down branch will be $\lfloor 3.14\rfloor=3$.)
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Create new subproblem $P^U$ (so called {\it up branch}), which is
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identical to the current subproblem $P$ with exception that the lower
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bound of $x_j$ is replaced by $\lceil x^{\it LP}_j\rceil$. (For example,
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if $x^{\it LP}_j=3.14$, the new lower bound of $x_j$ in the up branch
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will be $\lceil 3.14\rceil=4$.)
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Set $L:=(L\backslash\{P\})\cup\{P^D,P^U\}$, i.e. remove the current
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subproblem $P$ from the active list $L$ and add two new subproblems
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$P^D$ and $P^U$ to it. Then GO TO 2.
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{\it 8. Pruning}
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Remove from the active list $L$ all subproblems (including the current
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one), whose local bound $\widetilde{z}$ is not better than the global
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bound $z^{\it best}$, i.e. set $L:=L\backslash\{P\}$ for all $P$, where
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$\widetilde{z}\geq z^{\it best}$ (in case of minimization) or
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$\widetilde{z}\leq z^{\it best}$ (in case of maximization), and then
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GO TO 2.
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The local bound $\widetilde{z}$ for subproblem $P$ is an lower
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(minimization) or upper (maximization) bound for integer optimal
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solution to {\it this} subproblem (not to the original problem). This
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bound is local in the sense that only subproblems in the subtree rooted
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at node $P$ cannot have better integer feasible solutions. Note that
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the local bound is not necessarily the optimal objective value to LP
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relaxation $P^{\it LP}$.
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{\it 9. Termination}
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If $z^{\it best}=+\infty$ (in case of minimization) or
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$z^{\it best}=-\infty$ (in case of maximization), the original problem
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$P_0$ has no integer feasible solution. Otherwise, the last integer
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feasible solution stored on step 5 is the integer optimal solution to
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the original problem $P_0$ with $z^{\it opt}=z^{\it best}$. STOP.
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\subsection{The search tree}
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On the branching step of the branch-and-cut algorithm the current
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subproblem is divided into two\footnote{In more general cases the
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current subproblem may be divided into more than two subproblems.
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However, currently such feature is not used in GLPK.} new subproblems,
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so the set of all subproblems can be represented in the form of a rooted
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tree, which is called the {\it search} or {\it branch-and-bound} tree.
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An example of the search tree is shown on Fig.~1. Each node of the
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search tree corresponds to a subproblem, so the terms `node' and
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`subproblem' may be used synonymously.
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\begin{figure}[t]
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\noindent\hfil
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\xymatrix @R=20pt @C=10pt
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{&&&&&&*+<14pt>[o][F=]{A}\ar@{-}[dllll]\ar@{-}[dr]\ar@{-}[drrrr]&&&&\\
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&&*+<14pt>[o][F=]{B}\ar@{-}[dl]\ar@{-}[dr]&&&&&*+<14pt>[o][F=]{C}
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\ar@{-}[dll]\ar@{-}[dr]\ar@{-}[drrr]&&&*+<14pt>[o][F-]{\times}\\
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&*+<14pt>[o][F-]{\times}\ar@{-}[dl]\ar@{-}[d]\ar@{-}[dr]&&
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*+<14pt>[o][F-]{D}&&*+<14pt>[o][F=]{E}\ar@{-}[dl]\ar@{-}[dr]&&&
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*+<14pt>[o][F=]{F}\ar@{-}[dl]\ar@{-}[dr]&&*+<14pt>[o][F-]{G}\\
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*+<14pt>[o][F-]{\times}&*+<14pt>[o][F-]{\times}&*+<14pt>[o][F-]{\times}
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&&*+<14pt>[][F-]{H}&&*+<14pt>[o][F-]{I}&*+<14pt>[o][F-]{\times}&&
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*+<14pt>[o][F-]{J}&\\}
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\bigskip
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\noindent\hspace{.8in}
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\xymatrix @R=11pt
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{*+<20pt>[][F-]{}&*\txt{\makebox[1in][l]{Current}}&&
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*+<20pt>[o][F-]{}&*\txt{\makebox[1in][l]{Active}}\\
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*+<20pt>[o][F=]{}&*\txt{\makebox[1in][l]{Non-active}}&&
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*+<14pt>[o][F-]{\times}&*\txt{\makebox[1in][l]{Fathomed}}\\
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}
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\bigskip
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\begin{center}
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Fig. 1. An example of the search tree.
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\end{center}
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\end{figure}
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In GLPK each node may have one of the following four statuses:
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%\vspace*{-8pt}
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%\begin{itemize}
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\Item{---}{\it current node} is the active node currently being
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processed;
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\Item{---}{\it active node} is a leaf node, which still has to be
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processed;
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\Item{---}{\it non-active node} is a node, which has been processed,
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but not fathomed;
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\Item{---}{\it fathomed node} is a node, which has been processed and
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fathomed.
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%\end{itemize}
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%\vspace*{-8pt}
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In the data structure representing the search tree GLPK keeps only
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current, active, and non-active nodes. Once a node has been fathomed,
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it is removed from the tree data structure.
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Being created each node of the search tree is assigned a distinct
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positive integer called the {\it subproblem reference number}, which
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may be used by the application program to specify a particular node of
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the tree. The root node corresponding to the original problem to be
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solved is always assigned the reference number 1.
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\subsection{Current subproblem}
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The current subproblem is a MIP problem corresponding to the current
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node of the search tree. It is represented as the GLPK problem object
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(\verb|glp_prob|) that allows the application program using API
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routines to access its content in the standard way. If the MIP
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presolver is not used, it is the original problem object passed to the
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routine \verb|glp_intopt|; otherwise, it is an internal problem object
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built by the MIP presolver.
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Note that the problem object is used by the MIP solver itself during
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the solution process for various purposes (to solve LP relaxations, to
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perfom branching, etc.), and even if the MIP presolver is not used, the
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current content of the problem object may differ from its original
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content. For example, it may have additional rows, bounds of some rows
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and columns may be changed, etc. In particular, LP segment of the
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problem object corresponds to LP relaxation of the current subproblem.
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However, on exit from the MIP solver the content of the problem object
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is restored to its original state.
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To obtain information from the problem object the application program
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may use any API routines, which do not change the object. Using API
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routines, which change the problem object, is restricted to stipulated
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cases.
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\subsection{The cut pool}
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The {\it cut pool} is a set of cutting plane constraints maintained by
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the MIP solver. It is used by the GLPK cut generation routines and may
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be used by the application program in the same way, i.e. rather than
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to add cutting plane constraints directly to the problem object the
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application program may store them to the cut pool. In the latter case
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the solver looks through the cut pool, selects efficient constraints,
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and adds them to the problem object.
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\subsection{Reasons for calling the callback routine}
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The callback routine may be called by the MIP solver for the following
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reasons.
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\para{Request for subproblem selection}
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The callback routine is called with the reason code \verb|GLP_ISELECT|
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if the current subproblem has been fathomed and therefore there is no
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current subproblem.
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In response the callback routine may select some subproblem from the
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active list and pass its reference number to the solver using the
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routine \verb|glp_ios_select_node|, in which case the solver continues
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the search from the specified active subproblem. If no selection is
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made by the callback routine, the solver uses a backtracking technique
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specified by the control parameter \verb|bt_tech|.
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To explore the active list (i.e. active nodes of the branch-and-bound
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tree) the callback routine may use the routines \verb|glp_ios_next_node|
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and \verb|glp_ios_prev_node|.
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\para{Request for preprocessing}
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The callback routine is called with the reason code \verb|GLP_IPREPRO|
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if the current subproblem has just been selected from the active list
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and its LP relaxation is not solved yet.
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In response the callback routine may perform some preprocessing of the
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current subproblem like tightening bounds of some variables or removing
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bounds of some redundant constraints.
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\para{Request for row generation}
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The callback routine is called with the reason code \verb|GLP_IROWGEN|
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if LP relaxation of the current subproblem has just been solved to
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optimality and its objective value is better than the best known
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integer feasible solution.
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In response the callback routine may add one or more ``lazy''
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constraints (rows), which are violated by the current optimal solution
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of LP relaxation, using API routines \verb|glp_add_rows|,
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\verb|glp_set_row_name|, \verb|glp_set_row_bnds|, and
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\verb|glp_set_mat_row|, in which case the solver will perform
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re-optimization of LP relaxation. If there are no violated constraints,
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the callback routine should just return.
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Note that components of optimal solution to LP relaxation can be
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obtained with API\linebreak routines \verb|glp_get_obj_val|,
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\verb|glp_get_row_prim|, \verb|glp_get_row_dual|,
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\verb|glp_get_col_prim|, and\linebreak \verb|glp_get_col_dual|.
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\para{Request for heuristic solution}
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The callback routine is called with the reason code \verb|GLP_IHEUR|
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if LP relaxation of the current subproblem being solved to optimality
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is integer infeasible (i.e. values of some structural variables of
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integer kind are fractional), though its objective value is better than
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the best known integer feasible solution.
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In response the callback routine may try applying a primal heuristic
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to find an integer feasible solution,\footnote{Integer feasible to the
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original MIP problem, not to the current subproblem.} which is better
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than the best known one. In case of success the callback routine may
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store such better solution in the problem object using the routine
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\verb|glp_ios_heur_sol|.
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\para{Request for cut generation}
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The callback routine is called with the reason code \verb|GLP_ICUTGEN|
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if LP relaxation of the current subproblem being solved to optimality
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is integer infeasible (i.e. values of some structural variables of
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integer kind are fractional), though its objective value is better than
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the best known integer feasible solution.
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In response the callback routine may reformulate the {\it current}
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subproblem (before it will be splitted up due to branching) by adding
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to the problem object one or more {\it cutting plane constraints},
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which cut off the fractional optimal point from the MIP
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polytope.\footnote{Since these constraints are added to the current
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subproblem, they may be globally as well as locally valid.}
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Adding cutting plane constraints may be performed in two ways.
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One way is the same as for the reason code \verb|GLP_IROWGEN| (see
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above), in which case the callback routine adds new rows corresponding
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to cutting plane constraints directly to the current subproblem.
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The other way is to add cutting plane constraints to the
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{\it cut pool}, a set of cutting plane constraints maintained by the
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solver, rather than directly to the current subproblem. In this case
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after return from the callback routine the solver looks through the
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cut pool, selects efficient cutting plane constraints, adds them to the
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current subproblem, drops other constraints, and then performs
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re-optimization.
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\para{Request for branching}
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The callback routine is called with the reason code \verb|GLP_IBRANCH|
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if LP relaxation of the current subproblem being solved to optimality
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is integer infeasible (i.e. values of some structural variables of
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integer kind are fractional), though its objective value is better than
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the best known integer feasible solution.
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In response the callback routine may choose some variable suitable for
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branching (i.e. integer variable, whose value in optimal solution to
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LP relaxation of the current subproblem is fractional) and pass its
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ordinal number to the solver using the routine
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\verb|glp_ios_branch_upon|, in which case the solver splits the current
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subproblem in two new subproblems and continues the search.
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If no choice is made by the callback routine, the solver uses
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a branching technique specified by the control parameter \verb|br_tech|.
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\para{Better integer solution found}
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The callback routine is called with the reason code \verb|GLP_IBINGO|
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if LP relaxation of the current subproblem being solved to optimality
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is integer feasible (i.e. values of all structural variables of integer
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kind are integral within the working precision) and its objective value
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is better than the best known integer feasible solution.
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Optimal solution components for LP relaxation can be obtained in the
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same way as for the reason code \verb|GLP_IROWGEN| (see above).
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Components of the new MIP solution can be obtained with API routines
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\verb|glp_mip_obj_val|, \verb|glp_mip_row_val|, and
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\verb|glp_mip_col_val|. Note, however, that due to row/cut generation
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there may be additional rows in the problem object.
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The difference between optimal solution to LP relaxation and
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corresponding MIP solution is that in the former case some structural
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variables of integer kind (namely, basic variables) may have values,
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which are close to nearest integers within the working precision, while
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in the latter case all such variables have exact integral values.
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The reason \verb|GLP_IBINGO| is intended only for informational
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purposes, so the callback routine should not modify the problem object
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in this case.
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\newpage
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\section{Basic routines}
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\subsection{glp\_ios\_reason --- determine reason for calling the
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callback routine}
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\synopsis
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\begin{verbatim}
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int glp_ios_reason(glp_tree *T);
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\end{verbatim}
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\returns
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The routine \verb|glp_ios_reason| returns a code, which indicates why
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the user-defined callback routine is being called:
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\verb|GLP_ISELECT| --- request for subproblem selection;
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\verb|GLP_IPREPRO| --- request for preprocessing;
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|
|
\verb|GLP_IROWGEN| --- request for row generation;
|
|
|
|
\verb|GLP_IHEUR | --- request for heuristic solution;
|
|
|
|
\verb|GLP_ICUTGEN| --- request for cut generation;
|
|
|
|
\verb|GLP_IBRANCH| --- request for branching;
|
|
|
|
\verb|GLP_IBINGO | --- better integer solution found.
|
|
|
|
\subsection{glp\_ios\_get\_prob --- access the problem object}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
glp_prob *glp_ios_get_prob(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_get_prob| can be called from the user-defined
|
|
callback routine to access the problem object, which is used by the MIP
|
|
solver. It is the original problem object passed to the routine
|
|
\verb|glp_intopt| if the MIP presolver is not used; otherwise it is an
|
|
internal problem object built by the presolver.
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_get_prob| returns a pointer to the problem
|
|
object used by the MIP solver.
|
|
|
|
\para{Comments}
|
|
|
|
To obtain various information about the problem instance the callback
|
|
routine can access the problem object (i.e. the object of type
|
|
\verb|glp_prob|) using the routine \verb|glp_ios_get_prob|. It is the
|
|
original problem object passed to the routine \verb|glp_intopt| if the
|
|
MIP presolver is not used; otherwise it is an internal problem object
|
|
built by the presolver.
|
|
|
|
\newpage
|
|
|
|
\subsection{glp\_ios\_row\_attr --- determine additional row
|
|
attributes}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_row_attr(glp_tree *T, int i, glp_attr *attr);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_row_attr| retrieves additional attributes of
|
|
$i$-th row of the current subproblem and stores them in the structure
|
|
\verb|glp_attr|, which the parameter \verb|attr| points to.
|
|
|
|
The structure \verb|glp_attr| has the following fields:
|
|
|
|
\medskip
|
|
|
|
{\tt int level}
|
|
|
|
Subproblem level at which the row was created. (If \verb|level| = 0,
|
|
the row was added either to the original problem object passed to the
|
|
routine \verb|glp_intopt| or to the root subproblem on generating
|
|
``lazy'' or/and cutting plane constraints.)
|
|
|
|
\medskip
|
|
|
|
{\tt int origin}
|
|
|
|
The row origin flag:
|
|
|
|
\verb|GLP_RF_REG | --- regular constraint;
|
|
|
|
\verb|GLP_RF_LAZY| --- ``lazy'' constraint;
|
|
|
|
\verb|GLP_RF_CUT | --- cutting plane constraint.
|
|
|
|
\medskip
|
|
|
|
{\tt int klass}
|
|
|
|
The row class descriptor, which is a number passed to the routine
|
|
\verb|glp_ios_add_row| as its third parameter. If the row is a cutting
|
|
plane constraint generated by the solver, its class may be the
|
|
following:
|
|
|
|
\verb|GLP_RF_GMI | --- Gomory's mixed integer cut;
|
|
|
|
\verb|GLP_RF_MIR | --- mixed integer rounding cut;
|
|
|
|
\verb|GLP_RF_COV | --- mixed cover cut;
|
|
|
|
\verb|GLP_RF_CLQ | --- clique cut.
|
|
|
|
\subsection{glp\_ios\_mip\_gap --- compute relative MIP gap}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
double glp_ios_mip_gap(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_mip_gap| computes the relative MIP gap (also
|
|
called {\it duality gap}) with the following formula:
|
|
$${\tt gap} = \frac{|{\tt best\_mip} - {\tt best\_bnd}|}
|
|
{|{\tt best\_mip}| + {\tt DBL\_EPSILON}}$$
|
|
where \verb|best_mip| is the best integer feasible solution found so
|
|
far, \verb|best_bnd| is the best (global) bound. If no integer feasible
|
|
solution has been found yet, \verb|gap| is set to \verb|DBL_MAX|.
|
|
|
|
\newpage
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_mip_gap| returns the relative MIP gap.
|
|
|
|
\para{Comments}
|
|
|
|
The relative MIP gap is used to measure the quality of the best integer
|
|
feasible solution found so far, because the optimal solution value
|
|
$z^*$ for the original MIP problem always lies in the range
|
|
$${\tt best\_bnd}\leq z^*\leq{\tt best\_mip}$$
|
|
in case of minimization, or in the range
|
|
$${\tt best\_mip}\leq z^*\leq{\tt best\_bnd}$$
|
|
in case of maximization.
|
|
|
|
To express the relative MIP gap in percents the value returned by the
|
|
routine \verb|glp_ios_mip_gap| should be multiplied by 100\%.
|
|
|
|
\subsection{glp\_ios\_node\_data --- access application-specific data}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void *glp_ios_node_data(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_node_data| allows the application accessing
|
|
a memory block allocated for the subproblem (which may be active or
|
|
inactive), whose reference number is $p$.
|
|
|
|
The size of the block is defined by the control parameter
|
|
\verb|cb_size| passed to the routine \verb|glp_intopt|. The block is
|
|
initialized by binary zeros on creating corresponding subproblem, and
|
|
its contents is kept until the subproblem will be removed from the
|
|
tree.
|
|
|
|
The application may use these memory blocks to store specific data for
|
|
each subproblem.
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_node_data| returns a pointer to the memory
|
|
block for the specified subproblem. Note that if \verb|cb_size| = 0,
|
|
the routine returns a null pointer.
|
|
|
|
\subsection{glp\_ios\_select\_node --- select subproblem to continue
|
|
the search}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_select_node(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_select_node| can be called from the
|
|
user-defined callback routine in response to the reason
|
|
\verb|GLP_ISELECT| to select an active subproblem, whose reference
|
|
number\linebreak is $p$. The search will be continued from the
|
|
subproblem selected.
|
|
|
|
\newpage
|
|
|
|
\subsection{glp\_ios\_heur\_sol --- provide solution found by
|
|
heuristic}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_heur_sol(glp_tree *T, const double x[]);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_heur_sol| can be called from the user-defined
|
|
callback routine in response to the reason \verb|GLP_IHEUR| to provide
|
|
an integer feasible solution found by a primal heuristic.
|
|
|
|
Primal values of {\it all} variables (columns) found by the heuristic
|
|
should be placed in locations $x[1]$, \dots, $x[n]$, where $n$ is the
|
|
number of columns in the original problem object. Note that the routine
|
|
\verb|glp_ios_heur_sol| does {\it not} check primal feasibility of the
|
|
solution provided.
|
|
|
|
Using the solution passed in the array $x$ the routine computes value
|
|
of the objective function. If the objective value is better than the
|
|
best known integer feasible solution, the routine computes values of
|
|
auxiliary variables (rows) and stores all solution components in the
|
|
problem object.
|
|
|
|
\returns
|
|
|
|
If the provided solution is accepted, the routine
|
|
\verb|glp_ios_heur_sol| returns zero. Otherwise, if the provided
|
|
solution is rejected, the routine returns non-zero.
|
|
|
|
\vspace*{-5pt}
|
|
|
|
\subsection{glp\_ios\_can\_branch --- check if can branch upon
|
|
specified variable}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_can_branch(glp_tree *T, int j);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
If $j$-th variable (column) can be used to branch upon, the routine
|
|
returns non-zero, otherwise zero.
|
|
|
|
\vspace*{-5pt}
|
|
|
|
\subsection{glp\_ios\_branch\_upon --- choose variable to branch upon}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_branch_upon(glp_tree *T, int j, int sel);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_branch_upon| can be called from the
|
|
user-defined callback routine in response to the reason
|
|
\verb|GLP_IBRANCH| to choose a branching variable, whose ordinal number
|
|
\linebreak is $j$. Should note that only variables, for which the
|
|
routine \verb|glp_ios_can_branch| returns non-zero, can be used to
|
|
branch upon.
|
|
|
|
The parameter \verb|sel| is a flag that indicates which branch
|
|
(subproblem) should be selected next to continue the search:
|
|
|
|
\verb|GLP_DN_BRNCH| --- select down-branch;
|
|
|
|
\verb|GLP_UP_BRNCH| --- select up-branch;
|
|
|
|
\verb|GLP_NO_BRNCH| --- use general selection technique.
|
|
|
|
\newpage
|
|
|
|
\para{Comments}
|
|
|
|
On branching the solver removes the current active subproblem from the
|
|
active list and creates two new subproblems ({\it down-} and {\it
|
|
up-branches}), which are added to the end of the active list. Note that
|
|
the down-branch is created before the up-branch, so the last active
|
|
subproblem will be the up-branch.
|
|
|
|
The down- and up-branches are identical to the current subproblem with
|
|
exception that in the down-branch the upper bound of $x_j$, the variable
|
|
chosen to branch upon, is replaced by $\lfloor x_j^*\rfloor$, while in
|
|
the up-branch the lower bound of $x_j$ is replaced by
|
|
$\lceil x_j^*\rceil$, where $x_j^*$ is the value of $x_j$ in optimal
|
|
solution to LP relaxation of the current subproblem. For example, if
|
|
$x_j^*=3.14$, the new upper bound of $x_j$ in the down-branch is
|
|
$\lfloor 3.14\rfloor=3$, and the new lower bound in the up-branch is
|
|
$\lceil 3.14\rceil=4$.)
|
|
|
|
Additionally the callback routine may select either down- or up-branch,
|
|
from which the solver will continue the search. If none of the branches
|
|
is selected, a general selection technique will be used.
|
|
|
|
\subsection{glp\_ios\_terminate --- terminate the solution process}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_terminate(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_terminate| sets a flag indicating that the
|
|
MIP solver should prematurely terminate the search.
|
|
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
|
|
\newpage
|
|
|
|
\section{The search tree exploring routines}
|
|
|
|
\subsection{glp\_ios\_tree\_size --- determine size of the search tree}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_tree_size(glp_tree *T, int *a_cnt, int *n_cnt, int *t_cnt);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_tree_size| stores the following three counts
|
|
which characterize the current size of the search tree:
|
|
|
|
\verb|a_cnt| is the current number of active nodes, i.e. the current
|
|
size of the active list;
|
|
|
|
\verb|n_cnt| is the current number of all (active and inactive) nodes;
|
|
|
|
\verb|t_cnt| is the total number of nodes including those which have
|
|
been already removed from the tree. This count is increased whenever
|
|
a new node appears in the tree and never decreased.
|
|
|
|
If some of the parameters \verb|a_cnt|, \verb|n_cnt|, \verb|t_cnt| is
|
|
a null pointer, the corresponding count is not stored.
|
|
|
|
\subsection{glp\_ios\_curr\_node --- determine current active
|
|
subproblem}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_curr_node(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_curr_node| returns the reference number of
|
|
the current active subproblem. However, if the current subproblem does
|
|
not exist, the routine returns zero.
|
|
|
|
\subsection{glp\_ios\_next\_node --- determine next active subproblem}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_next_node(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
If the parameter $p$ is zero, the routine \verb|glp_ios_next_node|
|
|
returns the reference number of the first active subproblem. However,
|
|
if the tree is empty, zero is returned.
|
|
|
|
If the parameter $p$ is not zero, it must specify the reference number
|
|
of some active subproblem, in which case the routine returns the
|
|
reference number of the next active subproblem. However, if there is
|
|
no next active subproblem in the list, zero is returned.
|
|
|
|
All subproblems in the active list are ordered chronologically, i.e.
|
|
subproblem $A$ precedes subproblem $B$ if $A$ was created before $B$.
|
|
|
|
\newpage
|
|
|
|
\subsection{glp\_ios\_prev\_node --- determine previous active
|
|
subproblem}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_prev_node(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
If the parameter $p$ is zero, the routine \verb|glp_ios_prev_node|
|
|
returns the reference number of the last active subproblem. However, if
|
|
the tree is empty, zero is returned.
|
|
|
|
If the parameter $p$ is not zero, it must specify the reference number
|
|
of some active subproblem, in which case the routine returns the
|
|
reference number of the previous active subproblem. However, if there
|
|
is no previous active subproblem in the list, zero is returned.
|
|
|
|
All subproblems in the active list are ordered chronologically, i.e.
|
|
subproblem $A$ precedes subproblem $B$ if $A$ was created before $B$.
|
|
|
|
\subsection{glp\_ios\_up\_node --- determine parent subproblem}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_up_node(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The parameter $p$ must specify the reference number of some (active or
|
|
inactive) subproblem, in which case the routine \verb|iet_get_up_node|
|
|
returns the reference number of its parent subproblem. However, if the
|
|
specified subproblem is the root of the tree and, therefore, has
|
|
no parent, the routine returns zero.
|
|
|
|
\subsection{glp\_ios\_node\_level --- determine subproblem level}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_node_level(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_node_level| returns the level of the
|
|
subproblem, whose reference number is $p$, in the branch-and-bound
|
|
tree. (The root subproblem has level 0, and the level of any other
|
|
subproblem is the level of its parent plus one.)
|
|
|
|
\subsection{glp\_ios\_node\_bound --- determine subproblem local bound}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
double glp_ios_node_bound(glp_tree *T, int p);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_node_bound| returns the local bound for
|
|
(active or inactive) subproblem, whose reference number is $p$.
|
|
|
|
\newpage
|
|
|
|
\para{Comments}
|
|
|
|
The local bound for subproblem $p$ is an lower (minimization) or upper
|
|
(maximization) bound for integer optimal solution to {\it this}
|
|
subproblem (not to the original problem). This bound is local in the
|
|
sense that only subproblems in the subtree rooted at node $p$ cannot
|
|
have better integer feasible solutions.
|
|
|
|
On creating a subproblem (due to the branching step) its local bound is
|
|
inherited from its parent and then may get only stronger (never weaker).
|
|
For the root subproblem its local bound is initially set to
|
|
\verb|-DBL_MAX| (minimization) or \verb|+DBL_MAX| (maximization) and
|
|
then improved as the root LP relaxation has been solved.
|
|
|
|
Note that the local bound is not necessarily the optimal objective
|
|
value to corresponding LP relaxation.
|
|
|
|
\subsection{glp\_ios\_best\_node --- find active subproblem with best
|
|
local bound}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_best_node(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_best_node| returns the reference number of
|
|
the active subproblem, whose local bound is best (i.e. smallest in case
|
|
of minimization or largest in case of maximization). However, if the
|
|
tree is empty, the routine returns zero.
|
|
|
|
\para{Comments}
|
|
|
|
The best local bound is an lower (minimization) or upper (maximization)
|
|
bound for integer optimal solution to the original MIP problem.
|
|
|
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
|
|
|
\newpage
|
|
|
|
\section{The cut pool routines}
|
|
|
|
\subsection{glp\_ios\_pool\_size --- determine current size of the cut
|
|
pool}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_pool_size(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_pool_size| returns the current size of the
|
|
cut pool, that is, the number of cutting plane constraints currently
|
|
added to it.
|
|
|
|
\subsection{glp\_ios\_add\_row --- add constraint to the cut pool}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
int glp_ios_add_row(glp_tree *T, const char *name, int klass, int flags,
|
|
int len, const int ind[], const double val[], int type, double rhs);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_add_row| adds specified row (cutting plane
|
|
constraint) to the cut pool.
|
|
|
|
The cutting plane constraint should have the following format:
|
|
$$\sum_{j\in J}a_jx_j\left\{\begin{array}{@{}c@{}}\geq\\\leq\\
|
|
\end{array}\right\}b,$$
|
|
where $J$ is a set of indices (ordinal numbers) of structural
|
|
variables, $a_j$ are constraint coefficients, $x_j$ are structural
|
|
variables, $b$ is the right-hand side.
|
|
|
|
The parameter \verb|name| specifies a symbolic name assigned to the
|
|
constraint (1 up to 255 characters). If it is \verb|NULL| or an empty
|
|
string, no name is assigned.
|
|
|
|
The parameter \verb|klass| specifies the constraint class, which must
|
|
be either zero or a number in the range from 101 to 200.
|
|
The application may use this attribute to distinguish between cutting
|
|
plane constraints of different classes.\footnote{Constraint classes
|
|
numbered from 1 to 100 are reserved for GLPK cutting plane generators.}
|
|
|
|
The parameter \verb|flags| currently is not used and must be zero.
|
|
|
|
Ordinal numbers of structural variables (i.e. column indices) $j\in J$
|
|
and numerical values of corresponding constraint coefficients $a_j$
|
|
should be placed in locations \verb|ind[1]|, \dots, \verb|ind[len]| and
|
|
\verb|val[1]|, \dots, \verb|val[len]|, respectively, where
|
|
${\tt len}=|J|$ is the number of constraint coefficients,
|
|
$0\leq{\tt len}\leq n$, and $n$ is the number of columns in the problem
|
|
object. Coefficients with identical column indices are not allowed.
|
|
Zero coefficients are allowed, however, they are ignored.
|
|
|
|
The parameter \verb|type| specifies the constraint type as follows:
|
|
|
|
\verb|GLP_LO| means inequality constraint $\Sigma a_jx_j\geq b$;
|
|
|
|
\verb|GLP_UP| means inequality constraint $\Sigma a_jx_j\leq b$;
|
|
|
|
\newpage
|
|
|
|
The parameter \verb|rhs| specifies the right-hand side $b$.
|
|
|
|
All cutting plane constraints in the cut pool are identified by their
|
|
ordinal numbers 1, 2, \dots, $size$, where $size$ is the current size
|
|
of the cut pool. New constraints are always added to the end of the cut
|
|
pool, thus, ordinal numbers of previously added constraints are not
|
|
changed.
|
|
|
|
\returns
|
|
|
|
The routine \verb|glp_ios_add_row| returns the ordinal number of the
|
|
cutting plane constraint added, which is the new size of the cut pool.
|
|
|
|
\para{Example}
|
|
|
|
\begin{verbatim}
|
|
/* generate triangle cutting plane:
|
|
x[i] + x[j] + x[k] <= 1 */
|
|
. . .
|
|
/* add the constraint to the cut pool */
|
|
ind[1] = i, val[1] = 1.0;
|
|
ind[2] = j, val[2] = 1.0;
|
|
ind[3] = k, val[3] = 1.0;
|
|
glp_ios_add_row(tree, NULL, TRIANGLE_CUT, 0, 3, ind, val, GLP_UP, 1.0);
|
|
\end{verbatim}
|
|
|
|
\para{Comments}
|
|
|
|
Cutting plane constraints added to the cut pool are intended to be then
|
|
added only to the {\it current} subproblem, so these constraints can be
|
|
globally as well as locally valid. However, adding a constraint to the
|
|
cut pool does not mean that it will be added to the current
|
|
subproblem---it depends on the solver's decision: if the constraint
|
|
seems to be efficient, it is moved from the pool to the current
|
|
subproblem, otherwise it is simply dropped.\footnote{Globally valid
|
|
constraints could be saved and then re-used for other subproblems, but
|
|
currently such feature is not implemented.}
|
|
|
|
Normally, every time the callback routine is called for cut generation,
|
|
the cut pool is empty. On the other hand, the solver itself can
|
|
generate cutting plane constraints (like Gomory's or mixed integer
|
|
rounding cuts), in which case the cut pool may be non-empty.
|
|
|
|
\subsection{glp\_ios\_del\_row --- remove constraint from the cut pool}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_del_row(glp_tree *T, int i);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_del_row| deletes $i$-th row (cutting plane
|
|
constraint) from the cut pool, where $1\leq i\leq size$ is the ordinal
|
|
number of the constraint in the pool, $size$ is the current size of the
|
|
cut pool.
|
|
|
|
Note that deleting a constraint from the cut pool leads to changing
|
|
ordinal numbers of other constraints remaining in the pool. New ordinal
|
|
numbers of the remaining constraints are assigned under assumption that
|
|
the original order of constraints is not changed. Let, for example,
|
|
there be four constraints $a$, $b$, $c$ and $d$ in the cut pool, which
|
|
have ordinal numbers 1, 2, 3 and 4, respectively, and let constraint
|
|
$b$ have been deleted. Then after deletion the remaining constraint $a$,
|
|
$c$ and $d$ are assigned new ordinal numbers 1, 2 and 3, respectively.
|
|
|
|
To find the constraint to be deleted the routine \verb|glp_ios_del_row|
|
|
uses ``smart'' linear search, so it is recommended to remove
|
|
constraints in a natural or reverse order and avoid removing them in
|
|
a random order.
|
|
|
|
\para{Example}
|
|
|
|
\begin{verbatim}
|
|
/* keep first 10 constraints in the cut pool and remove other
|
|
constraints */
|
|
while (glp_ios_pool_size(tree) > 10)
|
|
glp_ios_del_row(tree, glp_ios_pool_size(tree));
|
|
\end{verbatim}
|
|
|
|
\subsection{glp\_ios\_clear\_pool --- remove all constraints from the
|
|
cut pool}
|
|
|
|
\synopsis
|
|
|
|
\begin{verbatim}
|
|
void glp_ios_clear_pool(glp_tree *T);
|
|
\end{verbatim}
|
|
|
|
\description
|
|
|
|
The routine \verb|glp_ios_clear_pool| makes the cut pool empty deleting
|
|
all existing rows (cutting plane constraints) from it.
|
|
|
|
%* eof *%
|