"""Revised simplex method for linear programming
The *revised simplex* method uses the method decribed in [1]_, except
that a factorization [2]_ of the basis matrix, rather than its inverse,
is efficiently maintained and used to solve the linear systems at each
iteration of the algorithm.
.. versionadded:: 1.3.0
References
----------
.. [1] Bertsimas, Dimitris, and J. Tsitsiklis. "Introduction to linear
programming." Athena Scientific 1 (1997): 997.
.. [2] Bartels, Richard H. "A stabilization of the simplex method."
Journal in Numerische Mathematik 16.5 (1971): 414-434.
"""
# Author: Matt Haberland
from __future__ import division, absolute_import, print_function
import numpy as np
from scipy.linalg import solve
from .optimize import _check_unknown_options
from ._bglu_dense import LU
from ._bglu_dense import BGLU as BGLU
from scipy.linalg import LinAlgError
from numpy.linalg.linalg import LinAlgError as LinAlgError2
from ._linprog_util import _postsolve
from .optimize import OptimizeResult
def _phase_one(A, b, x0, maxiter, tol, maxupdate, mast, pivot, callback=None,
_T_o=[], disp=False):
"""
The purpose of phase one is to find an initial basic feasible solution
(BFS) to the original problem.
Generates an auxiliary problem with a trivial BFS and an objective that
minimizes infeasibility of the original problem. Solves the auxiliary
problem using the main simplex routine (phase two). This either yields
a BFS to the original problem or determines that the original problem is
infeasible. If feasible, phase one detects redundant rows in the original
constraint matrix and removes them, then chooses additional indices as
necessary to complete a basis/BFS for the original problem.
"""
m, n = A.shape
status = 0
# generate auxiliary problem to get initial BFS
A, b, c, basis, x, status = _generate_auxiliary_problem(A, b, x0, tol)
if status == 6:
residual = c.dot(x)
iter_k = 0
return x, basis, A, b, residual, status, iter_k
# solve auxiliary problem
phase_one_n = n
x, basis, status, iter_k = _phase_two(c, A, x, basis, maxiter,
tol, maxupdate, mast, pivot,
0, callback, _T_o, disp, phase_one_n)
# check for infeasibility
residual = c.dot(x)
if status == 0 and residual > tol:
status = 2
# drive artificial variables out of basis
# TODO: test redundant row removal better
# TODO: make solve more efficient with BGLU? This could take a while.
keep_rows = np.ones(m, dtype=bool)
for basis_column in basis[basis >= n]:
B = A[:, basis]
try:
basis_finder = np.abs(solve(B, A)) # inefficient
pertinent_row = np.argmax(basis_finder[:, basis_column])
eligible_columns = np.ones(n, dtype=bool)
eligible_columns[basis[basis < n]] = 0
eligible_column_indices = np.where(eligible_columns)[0]
index = np.argmax(basis_finder[:, :n]
[pertinent_row, eligible_columns])
new_basis_column = eligible_column_indices[index]
if basis_finder[pertinent_row, new_basis_column] < tol:
keep_rows[pertinent_row] = False
else:
basis[basis == basis_column] = new_basis_column
except (LinAlgError, LinAlgError2):
status = 4
# form solution to original problem
A = A[keep_rows, :n]
basis = basis[keep_rows]
x = x[:n]
m = A.shape[0]
return x, basis, A, b, residual, status, iter_k
def _get_more_basis_columns(A, basis):
"""
Called when the auxiliary problem terminates with artificial columns in
the basis, which must be removed and replaced with non-artificial
columns. Finds additional columns that do not make the matrix singular.
"""
m, n = A.shape
# options for inclusion are those that aren't already in the basis
a = np.arange(m+n)
bl = np.zeros(len(a), dtype=bool)
bl[basis] = 1
options = a[~bl]
options = options[options < n] # and they have to be non-artificial
# form basis matrix
B = np.zeros((m, m))
B[:, 0:len(basis)] = A[:, basis]
if (basis.size > 0 and
np.linalg.matrix_rank(B[:, :len(basis)]) < len(basis)):
raise Exception("Basis has dependent columns")
rank = 0 # just enter the loop
for i in range(n): # somewhat arbitrary, but we need another way out
# permute the options, and take as many as needed
new_basis = np.random.permutation(options)[:m-len(basis)]
B[:, len(basis):] = A[:, new_basis] # update the basis matrix
rank = np.linalg.matrix_rank(B) # check the rank
if rank == m:
break
return np.concatenate((basis, new_basis))
def _generate_auxiliary_problem(A, b, x0, tol):
"""
Modifies original problem to create an auxiliary problem with a trivial
intial basic feasible solution and an objective that minimizes
infeasibility in the original problem.
Conceptually this is done by stacking an identity matrix on the right of
the original constraint matrix, adding artificial variables to correspond
with each of these new columns, and generating a cost vector that is all
zeros except for ones corresponding with each of the new variables.
A initial basic feasible solution is trivial: all variables are zero
except for the artificial variables, which are set equal to the
corresponding element of the right hand side `b`.
Runnning the simplex method on this auxiliary problem drives all of the
artificial variables - and thus the cost - to zero if the original problem
is feasible. The original problem is declared infeasible otherwise.
Much of the complexity below is to improve efficiency by using singleton
columns in the original problem where possible, thus generating artificial
variables only as necessary, and using an initial 'guess' basic feasible
solution.
"""
status = 0
m, n = A.shape
if x0 is not None:
x = x0
else:
x = np.zeros(n)
r = b - A@x # residual; this must be all zeros for feasibility
A[r < 0] = -A[r < 0] # express problem with RHS positive for trivial BFS
b[r < 0] = -b[r < 0] # to the auxiliary problem
r[r < 0] *= -1
# Rows which we will need to find a trivial way to zero.
# This should just be the rows where there is a nonzero residual.
# But then we would not necessarily have a column singleton in every row.
# This makes it difficult to find an initial basis.
if x0 is None:
nonzero_constraints = np.arange(m)
else:
nonzero_constraints = np.where(r > tol)[0]
# these are (at least some of) the initial basis columns
basis = np.where(np.abs(x) > tol)[0]
if len(nonzero_constraints) == 0 and len(basis) <= m: # already a BFS
c = np.zeros(n)
basis = _get_more_basis_columns(A, basis)
return A, b, c, basis, x, status
elif (len(nonzero_constraints) > m - len(basis) or
np.any(x < 0)): # can't get trivial BFS
c = np.zeros(n)
status = 6
return A, b, c, basis, x, status
# chooses existing columns appropriate for inclusion in initial basis
cols, rows = _select_singleton_columns(A, r)
# find the rows we need to zero that we _can_ zero with column singletons
i_tofix = np.isin(rows, nonzero_constraints)
# these columns can't already be in the basis, though
# we are going to add them to the basis and change the corresponding x val
i_notinbasis = np.logical_not(np.isin(cols, basis))
i_fix_without_aux = np.logical_and(i_tofix, i_notinbasis)
rows = rows[i_fix_without_aux]
cols = cols[i_fix_without_aux]
# indices of the rows we can only zero with auxiliary variable
# these rows will get a one in each auxiliary column
arows = nonzero_constraints[np.logical_not(
np.isin(nonzero_constraints, rows))]
n_aux = len(arows)
acols = n + np.arange(n_aux) # indices of auxiliary columns
basis_ng = np.concatenate((cols, acols)) # basis columns not from guess
basis_ng_rows = np.concatenate((rows, arows)) # rows we need to zero
# add auxiliary singleton columns
A = np.hstack((A, np.zeros((m, n_aux))))
A[arows, acols] = 1
# generate initial BFS
x = np.concatenate((x, np.zeros(n_aux)))
x[basis_ng] = r[basis_ng_rows]/A[basis_ng_rows, basis_ng]
# generate costs to minimize infeasibility
c = np.zeros(n_aux + n)
c[acols] = 1
# basis columns correspond with nonzeros in guess, those with column
# singletons we used to zero remaining constraints, and any additional
# columns to get a full set (m columns)
basis = np.concatenate((basis, basis_ng))
basis = _get_more_basis_columns(A, basis) # add columns as needed
return A, b, c, basis, x, status
def _select_singleton_columns(A, b):
"""
Finds singleton columns for which the singleton entry is of the same sign
as the right hand side; these columns are eligible for inclusion in an
initial basis. Determines the rows in which the singleton entries are
located. For each of these rows, returns the indices of the one singleton
column and its corresponding row.
"""
# find indices of all singleton columns and corresponding row indicies
column_indices = np.nonzero(np.sum(np.abs(A) != 0, axis=0) == 1)[0]
columns = A[:, column_indices] # array of singleton columns
row_indices = np.zeros(len(column_indices), dtype=int)
nonzero_rows, nonzero_columns = np.nonzero(columns)
row_indices[nonzero_columns] = nonzero_rows # corresponding row indicies
# keep only singletons with entries that have same sign as RHS
# this is necessary because all elements of BFS must be non-negative
same_sign = A[row_indices, column_indices]*b[row_indices] >= 0
column_indices = column_indices[same_sign][::-1]
row_indices = row_indices[same_sign][::-1]
# Reversing the order so that steps below select rightmost columns
# for initial basis, which will tend to be slack variables. (If the
# guess corresponds with a basic feasible solution but a constraint
# is not satisfied with the corresponding slack variable zero, the slack
# variable must be basic.)
# for each row, keep rightmost singleton column with an entry in that row
unique_row_indices, first_columns = np.unique(row_indices,
return_index=True)
return column_indices[first_columns], unique_row_indices
def _find_nonzero_rows(A, tol):
"""
Returns logical array indicating the locations of rows with at least
one nonzero element.
"""
return np.any(np.abs(A) > tol, axis=1)
def _select_enter_pivot(c_hat, bl, a, rule="bland", tol=1e-12):
"""
Selects a pivot to enter the basis. Currently Bland's rule - the smallest
index that has a negative reduced cost - is the default.
"""
if rule.lower() == "mrc": # index with minimum reduced cost
return a[~bl][np.argmin(c_hat)]
else: # smallest index w/ negative reduced cost
return a[~bl][c_hat < -tol][0]
def _display_iter(phase, iteration, slack, con, fun):
"""
Print indicators of optimization status to the console.
"""
header = True if not iteration % 20 else False
if header:
print("Phase",
"Iteration",
"Minimum Slack ",
"Constraint Residual",
"Objective ")
# :<X.Y left aligns Y digits in X digit spaces
fmt = '{0:<6}{1:<10}{2:<20.13}{3:<20.13}{4:<20.13}'
try:
slack = np.min(slack)
except ValueError:
slack = "NA"
print(fmt.format(phase, iteration, slack, np.linalg.norm(con), fun))
def _phase_two(c, A, x, b, maxiter, tol, maxupdate, mast, pivot, iteration=0,
callback=None, _T_o=[], disp=False, phase_one_n=None):
"""
The heart of the simplex method. Beginning with a basic feasible solution,
moves to adjacent basic feasible solutions successively lower reduced cost.
Terminates when there are no basic feasible solutions with lower reduced
cost or if the problem is determined to be unbounded.
This implementation follows the revised simplex method based on LU
decomposition. Rather than maintaining a tableau or an inverse of the
basis matrix, we keep a factorization of the basis matrix that allows
efficient solution of linear systems while avoiding stability issues
associated with inverted matrices.
"""
m, n = A.shape
status = 0
a = np.arange(n) # indices of columns of A
ab = np.arange(m) # indices of columns of B
if maxupdate:
# basis matrix factorization object; similar to B = A[:, b]
B = BGLU(A, b, maxupdate, mast)
else:
B = LU(A, b)
for iteration in range(iteration, iteration + maxiter):
if disp or callback is not None:
if phase_one_n is not None:
phase = 1
x_postsolve = x[:phase_one_n]
else:
phase = 2
x_postsolve = x
x_o, fun, slack, con, _, _ = _postsolve(x_postsolve, *_T_o,
tol=tol, copy=True)
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