gurobi_proto_solver.cc

// Copyright 2010-2018 Google LLC
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
//     http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.

#if defined(USE_GUROBI)

#include "ortools/linear_solver/gurobi_proto_solver.h"

#include <limits>
#include <memory>
#include <numeric>
#include <string>
#include <vector>

#include "absl/status/status.h"
#include "absl/strings/str_cat.h"
#include "absl/strings/str_format.h"
#include "absl/strings/str_split.h"
#include "absl/types/optional.h"
#include "ortools/base/cleanup.h"
#include "ortools/base/status_macros.h"
#include "ortools/linear_solver/gurobi_environment.h"
#include "ortools/linear_solver/linear_solver.pb.h"
#include "ortools/linear_solver/model_validator.h"
#include "ortools/util/lazy_mutable_copy.h"

namespace operations_research {

namespace {
constexpr int GRB_OK = 0;

inline absl::Status GurobiCodeToUtilStatus(int error_code,
                                           const char* source_file,
                                           int source_line,
                                           const char* statement,
                                           GRBenv* const env) {
  if (error_code == GRB_OK) return absl::OkStatus();
  return absl::InvalidArgumentError(absl::StrFormat(
      "Gurobi error code %d (file '%s', line %d) on '%s': %s", error_code,
      source_file, source_line, statement, GRBgeterrormsg(env)));
}

absl::Status SetSolverSpecificParameters(const std::string& parameters,
                                         GRBenv* gurobi) {
  for (const auto parameter :
       absl::StrSplit(parameters, '\n', absl::SkipWhitespace())) {
    if (parameter.empty()) return absl::OkStatus();
    if (*parameter.begin() == '#') return absl::OkStatus();
    std::vector<std::string> key_value =
        absl::StrSplit(parameter, ' ', absl::SkipWhitespace());
    if (key_value.size() != 2) {
      return absl::InvalidArgumentError(
          absl::StrFormat("Cannot parse parameter '%s'. Expected format is "
                          "'ParameterName value'",
                          parameter));
    }

    std::string name = key_value[0];
    std::string value = key_value[1];

    if (GRBsetparam(gurobi, name.c_str(), value.c_str()) != GRB_OK) {
      return absl::InvalidArgumentError(
          absl::StrFormat("Error setting parameter '%s' to value '%s': %s",
                          name, value, GRBgeterrormsg(gurobi)));
    }
  }

  return absl::OkStatus();
}

int AddIndicatorConstraint(const MPGeneralConstraintProto& gen_cst,
                           GRBmodel* gurobi_model,
                           std::vector<int>* tmp_variables,
                           std::vector<double>* tmp_coefficients) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);
  CHECK(tmp_coefficients != nullptr);

  const auto& ind_cst = gen_cst.indicator_constraint();
  MPConstraintProto cst = ind_cst.constraint();
  if (cst.lower_bound() > -std::numeric_limits<double>::infinity()) {
    int status = GRBaddgenconstrIndicator(
        gurobi_model, gen_cst.name().c_str(), ind_cst.var_index(),
        ind_cst.var_value(), cst.var_index_size(),
        cst.mutable_var_index()->mutable_data(),
        cst.mutable_coefficient()->mutable_data(),
        cst.upper_bound() == cst.lower_bound() ? GRB_EQUAL : GRB_GREATER_EQUAL,
        cst.lower_bound());
    if (status != GRB_OK) return status;
  }
  if (cst.upper_bound() < std::numeric_limits<double>::infinity() &&
      cst.lower_bound() != cst.upper_bound()) {
    return GRBaddgenconstrIndicator(gurobi_model, gen_cst.name().c_str(),
                                    ind_cst.var_index(), ind_cst.var_value(),
                                    cst.var_index_size(),
                                    cst.mutable_var_index()->mutable_data(),
                                    cst.mutable_coefficient()->mutable_data(),
                                    GRB_LESS_EQUAL, cst.upper_bound());
  }

  return GRB_OK;
}

int AddSosConstraint(const MPSosConstraint& sos_cst, GRBmodel* gurobi_model,
                     std::vector<int>* tmp_variables,
                     std::vector<double>* tmp_weights) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);
  CHECK(tmp_weights != nullptr);

  tmp_variables->resize(sos_cst.var_index_size(), 0);
  for (int v = 0; v < sos_cst.var_index_size(); ++v) {
    (*tmp_variables)[v] = sos_cst.var_index(v);
  }
  tmp_weights->resize(sos_cst.var_index_size(), 0);
  if (sos_cst.weight_size() == sos_cst.var_index_size()) {
    for (int w = 0; w < sos_cst.weight_size(); ++w) {
      (*tmp_weights)[w] = sos_cst.weight(w);
    }
  } else {
    DCHECK_EQ(sos_cst.weight_size(), 0);
    // Gurobi requires variable weights in their SOS constraints.
    std::iota(tmp_weights->begin(), tmp_weights->end(), 1);
  }

  std::vector<int> types = {sos_cst.type() == MPSosConstraint::SOS1_DEFAULT
                                ? GRB_SOS_TYPE1
                                : GRB_SOS_TYPE2};
  std::vector<int> begins = {0};
  return GRBaddsos(gurobi_model, /*numsos=*/1,
                   /*nummembers=*/sos_cst.var_index_size(),
                   /*types=*/types.data(),
                   /*beg=*/begins.data(), /*ind=*/tmp_variables->data(),
                   /*weight*/ tmp_weights->data());
}

int AddQuadraticConstraint(const MPGeneralConstraintProto& gen_cst,
                           GRBmodel* gurobi_model) {
  CHECK(gurobi_model != nullptr);
  constexpr double kInfinity = std::numeric_limits<double>::infinity();

  CHECK(gen_cst.has_quadratic_constraint());
  const MPQuadraticConstraint& quad_cst = gen_cst.quadratic_constraint();

  auto addqconstr = [](GRBmodel* gurobi_model, MPQuadraticConstraint quad_cst,
                       char sense, double rhs, const std::string& name) {
    return GRBaddqconstr(
        gurobi_model,
        /*numlnz=*/quad_cst.var_index_size(),
        /*lind=*/quad_cst.mutable_var_index()->mutable_data(),
        /*lval=*/quad_cst.mutable_coefficient()->mutable_data(),
        /*numqnz=*/quad_cst.qvar1_index_size(),
        /*qrow=*/quad_cst.mutable_qvar1_index()->mutable_data(),
        /*qcol=*/quad_cst.mutable_qvar2_index()->mutable_data(),
        /*qval=*/quad_cst.mutable_qcoefficient()->mutable_data(),
        /*sense=*/sense,
        /*rhs=*/rhs,
        /*QCname=*/name.c_str());
  };

  if (quad_cst.has_lower_bound() && quad_cst.lower_bound() > -kInfinity) {
    const int grb_status =
        addqconstr(gurobi_model, gen_cst.quadratic_constraint(),
                   GRB_GREATER_EQUAL, quad_cst.lower_bound(),
                   gen_cst.has_name() ? gen_cst.name() + "_lb" : "");
    if (grb_status != GRB_OK) return grb_status;
  }
  if (quad_cst.has_upper_bound() && quad_cst.upper_bound() < kInfinity) {
    const int grb_status =
        addqconstr(gurobi_model, gen_cst.quadratic_constraint(), GRB_LESS_EQUAL,
                   quad_cst.upper_bound(),
                   gen_cst.has_name() ? gen_cst.name() + "_ub" : "");
    if (grb_status != GRB_OK) return grb_status;
  }

  return GRB_OK;
}

int AddAndConstraint(const MPGeneralConstraintProto& gen_cst,
                     GRBmodel* gurobi_model, std::vector<int>* tmp_variables) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);

  auto and_cst = gen_cst.and_constraint();
  return GRBaddgenconstrAnd(
      gurobi_model,
      /*name=*/gen_cst.name().c_str(),
      /*resvar=*/and_cst.resultant_var_index(),
      /*nvars=*/and_cst.var_index_size(),
      /*vars=*/and_cst.mutable_var_index()->mutable_data());
}

int AddOrConstraint(const MPGeneralConstraintProto& gen_cst,
                    GRBmodel* gurobi_model, std::vector<int>* tmp_variables) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);

  auto or_cst = gen_cst.or_constraint();
  return GRBaddgenconstrOr(gurobi_model,
                           /*name=*/gen_cst.name().c_str(),
                           /*resvar=*/or_cst.resultant_var_index(),
                           /*nvars=*/or_cst.var_index_size(),
                           /*vars=*/or_cst.mutable_var_index()->mutable_data());
}

int AddMinConstraint(const MPGeneralConstraintProto& gen_cst,
                     GRBmodel* gurobi_model, std::vector<int>* tmp_variables) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);

  auto min_cst = gen_cst.min_constraint();
  return GRBaddgenconstrMin(
      gurobi_model,
      /*name=*/gen_cst.name().c_str(),
      /*resvar=*/min_cst.resultant_var_index(),
      /*nvars=*/min_cst.var_index_size(),
      /*vars=*/min_cst.mutable_var_index()->mutable_data(),
      /*constant=*/min_cst.has_constant()
          ? min_cst.constant()
          : std::numeric_limits<double>::infinity());
}

int AddMaxConstraint(const MPGeneralConstraintProto& gen_cst,
                     GRBmodel* gurobi_model, std::vector<int>* tmp_variables) {
  CHECK(gurobi_model != nullptr);
  CHECK(tmp_variables != nullptr);

  auto max_cst = gen_cst.max_constraint();
  return GRBaddgenconstrMax(
      gurobi_model,
      /*name=*/gen_cst.name().c_str(),
      /*resvar=*/max_cst.resultant_var_index(),
      /*nvars=*/max_cst.var_index_size(),
      /*vars=*/max_cst.mutable_var_index()->mutable_data(),
      /*constant=*/max_cst.has_constant()
          ? max_cst.constant()
          : -std::numeric_limits<double>::infinity());
}
}  // namespace

absl::StatusOr<MPSolutionResponse> GurobiSolveProto(
    const MPModelRequest& request) {
  MPSolutionResponse response;
  const absl::optional<LazyMutableCopy<MPModelProto>> optional_model =
      ExtractValidMPModelOrPopulateResponseStatus(request, &response);
  if (!optional_model) return response;
  const MPModelProto& model = optional_model->get();

  if (model.has_solution_hint()) {
    // TODO(user): Support solution hints.
    return absl::UnimplementedError("Solution hint not supported.");
  }

  GRBenv* gurobi = nullptr;
  GRBmodel* gurobi_model = nullptr;

// `gurobi` references ther GRBenv variable defined above.
#define RETURN_IF_GUROBI_ERROR(x) \
  RETURN_IF_ERROR(GurobiCodeToUtilStatus(x, __FILE__, __LINE__, #x, gurobi));

  auto delete_gurobi_objects = [&]() -> absl::Status {
    // Release all created pointers.
    if (gurobi_model) RETURN_IF_GUROBI_ERROR(GRBfreemodel(gurobi_model));
    if (gurobi) GRBfreeenv(gurobi);
    return absl::OkStatus();
  };
  auto gurobi_deleter = absl::MakeCleanup([delete_gurobi_objects]() {
    const absl::Status deleter_status = delete_gurobi_objects();
    LOG_IF(DFATAL, !deleter_status.ok()) << deleter_status;
  });

  RETURN_IF_ERROR(LoadGurobiEnvironment(&gurobi));
  RETURN_IF_GUROBI_ERROR(GRBnewmodel(gurobi, &gurobi_model,
                                     model.name().c_str(),
                                     /*numvars=*/0,
                                     /*obj=*/nullptr,
                                     /*lb=*/nullptr,
                                     /*ub=*/nullptr,
                                     /*vtype=*/nullptr,
                                     /*varnames=*/nullptr));

  if (request.has_solver_specific_parameters()) {
    const auto parameters_status = SetSolverSpecificParameters(
        request.solver_specific_parameters(), GRBgetenv(gurobi_model));
    if (!parameters_status.ok()) {
      response.set_status(MPSOLVER_MODEL_INVALID_SOLVER_PARAMETERS);
      response.set_status_str(parameters_status.message().data());
      return response;
    }
  }
  if (request.solver_time_limit_seconds() > 0) {
    RETURN_IF_GUROBI_ERROR(GRBsetdblparam(GRBgetenv(gurobi_model),
                                          GRB_DBL_PAR_TIMELIMIT,
                                          request.solver_time_limit_seconds()));
  }
  RETURN_IF_GUROBI_ERROR(
      GRBsetintparam(GRBgetenv(gurobi_model), GRB_INT_PAR_OUTPUTFLAG,
                     request.enable_internal_solver_output()));

  const int variable_size = model.variable_size();
  bool has_integer_variables = false;
  {
    std::vector<double> obj_coeffs(variable_size, 0);
    std::vector<double> lb(variable_size);
    std::vector<double> ub(variable_size);
    std::vector<char> ctype(variable_size);
    std::vector<const char*> varnames(variable_size);
    for (int v = 0; v < variable_size; ++v) {
      const MPVariableProto& variable = model.variable(v);
      obj_coeffs[v] = variable.objective_coefficient();
      lb[v] = variable.lower_bound();
      ub[v] = variable.upper_bound();
      ctype[v] = variable.is_integer() ? GRB_INTEGER : GRB_CONTINUOUS;
      if (variable.is_integer()) has_integer_variables = true;
      if (!variable.name().empty()) varnames[v] = variable.name().c_str();
    }

    RETURN_IF_GUROBI_ERROR(
        GRBaddvars(gurobi_model, variable_size, 0, nullptr, nullptr, nullptr,
                   /*obj=*/obj_coeffs.data(),
                   /*lb=*/lb.data(), /*ub=*/ub.data(), /*vtype=*/ctype.data(),
                   /*varnames=*/const_cast<char**>(varnames.data())));
  }

  {
    std::vector<int> ct_variables;
    std::vector<double> ct_coefficients;
    for (int c = 0; c < model.constraint_size(); ++c) {
      const MPConstraintProto& constraint = model.constraint(c);
      const int size = constraint.var_index_size();
      ct_variables.resize(size, 0);
      ct_coefficients.resize(size, 0);
      for (int i = 0; i < size; ++i) {
        ct_variables[i] = constraint.var_index(i);
        ct_coefficients[i] = constraint.coefficient(i);
      }
      // Using GRBaddrangeconstr for constraints that don't require it adds
      // a slack which is not always removed by presolve.
      if (constraint.lower_bound() == constraint.upper_bound()) {
        RETURN_IF_GUROBI_ERROR(GRBaddconstr(
            gurobi_model, /*numnz=*/size, /*cind=*/ct_variables.data(),
            /*cval=*/ct_coefficients.data(),
            /*sense=*/GRB_EQUAL, /*rhs=*/constraint.lower_bound(),
            /*constrname=*/constraint.name().c_str()));
      } else if (constraint.lower_bound() ==
                 -std::numeric_limits<double>::infinity()) {
        RETURN_IF_GUROBI_ERROR(GRBaddconstr(
            gurobi_model, /*numnz=*/size, /*cind=*/ct_variables.data(),
            /*cval=*/ct_coefficients.data(),
            /*sense=*/GRB_LESS_EQUAL, /*rhs=*/constraint.upper_bound(),
            /*constrname=*/constraint.name().c_str()));
      } else if (constraint.upper_bound() ==
                 std::numeric_limits<double>::infinity()) {
        RETURN_IF_GUROBI_ERROR(GRBaddconstr(
            gurobi_model, /*numnz=*/size, /*cind=*/ct_variables.data(),
            /*cval=*/ct_coefficients.data(),
            /*sense=*/GRB_GREATER_EQUAL, /*rhs=*/constraint.lower_bound(),
            /*constrname=*/constraint.name().c_str()));
      } else {
        RETURN_IF_GUROBI_ERROR(GRBaddrangeconstr(
            gurobi_model, /*numnz=*/size, /*cind=*/ct_variables.data(),
            /*cval=*/ct_coefficients.data(),
            /*lower=*/constraint.lower_bound(),
            /*upper=*/constraint.upper_bound(),
            /*constrname=*/constraint.name().c_str()));
      }
    }

    for (const auto& gen_cst : model.general_constraint()) {
      switch (gen_cst.general_constraint_case()) {
        case MPGeneralConstraintProto::kIndicatorConstraint: {
          RETURN_IF_GUROBI_ERROR(AddIndicatorConstraint(
              gen_cst, gurobi_model, &ct_variables, &ct_coefficients));
          break;
        }
        case MPGeneralConstraintProto::kSosConstraint: {
          RETURN_IF_GUROBI_ERROR(AddSosConstraint(gen_cst.sos_constraint(),
                                                  gurobi_model, &ct_variables,
                                                  &ct_coefficients));
          break;
        }
        case MPGeneralConstraintProto::kQuadraticConstraint: {
          RETURN_IF_GUROBI_ERROR(AddQuadraticConstraint(gen_cst, gurobi_model));
          break;
        }
        case MPGeneralConstraintProto::kAbsConstraint: {
          RETURN_IF_GUROBI_ERROR(GRBaddgenconstrAbs(
              gurobi_model,
              /*name=*/gen_cst.name().c_str(),
              /*resvar=*/gen_cst.abs_constraint().resultant_var_index(),
              /*argvar=*/gen_cst.abs_constraint().var_index()));
          break;
        }
        case MPGeneralConstraintProto::kAndConstraint: {
          RETURN_IF_GUROBI_ERROR(
              AddAndConstraint(gen_cst, gurobi_model, &ct_variables));
          break;
        }
        case MPGeneralConstraintProto::kOrConstraint: {
          RETURN_IF_GUROBI_ERROR(
              AddOrConstraint(gen_cst, gurobi_model, &ct_variables));
          break;
        }
        case MPGeneralConstraintProto::kMinConstraint: {
          RETURN_IF_GUROBI_ERROR(
              AddMinConstraint(gen_cst, gurobi_model, &ct_variables));
          break;
        }
        case MPGeneralConstraintProto::kMaxConstraint: {
          RETURN_IF_GUROBI_ERROR(
              AddMaxConstraint(gen_cst, gurobi_model, &ct_variables));
          break;
        }
        default:
          return absl::UnimplementedError(
              absl::StrFormat("General constraints of type %i not supported.",
                              gen_cst.general_constraint_case()));
      }
    }
  }

  RETURN_IF_GUROBI_ERROR(GRBsetintattr(gurobi_model, GRB_INT_ATTR_MODELSENSE,
                                       model.maximize() ? -1 : 1));
  RETURN_IF_GUROBI_ERROR(GRBsetdblattr(gurobi_model, GRB_DBL_ATTR_OBJCON,
                                       model.objective_offset()));
  if (model.has_quadratic_objective()) {
    MPQuadraticObjective qobj = model.quadratic_objective();
    if (qobj.coefficient_size() > 0) {
      RETURN_IF_GUROBI_ERROR(
          GRBaddqpterms(gurobi_model, /*numqnz=*/qobj.coefficient_size(),
                        /*qrow=*/qobj.mutable_qvar1_index()->mutable_data(),
                        /*qcol=*/qobj.mutable_qvar2_index()->mutable_data(),
                        /*qval=*/qobj.mutable_coefficient()->mutable_data()));
    }
  }

  RETURN_IF_GUROBI_ERROR(GRBupdatemodel(gurobi_model));
  RETURN_IF_GUROBI_ERROR(GRBoptimize(gurobi_model));

  int optimization_status = 0;
  RETURN_IF_GUROBI_ERROR(
      GRBgetintattr(gurobi_model, GRB_INT_ATTR_STATUS, &optimization_status));
  int solution_count = 0;
  RETURN_IF_GUROBI_ERROR(
      GRBgetintattr(gurobi_model, GRB_INT_ATTR_SOLCOUNT, &solution_count));
  switch (optimization_status) {
    case GRB_OPTIMAL:
      response.set_status(MPSOLVER_OPTIMAL);
      break;
    case GRB_INF_OR_UNBD:
      DLOG(INFO) << "Gurobi solve returned GRB_INF_OR_UNBD, which we treat as "
                    "INFEASIBLE even though it may mean UNBOUNDED.";
      response.set_status_str(
          "The model may actually be unbounded: Gurobi returned "
          "GRB_INF_OR_UNBD");
      ABSL_FALLTHROUGH_INTENDED;
    case GRB_INFEASIBLE:
      response.set_status(MPSOLVER_INFEASIBLE);
      break;
    case GRB_UNBOUNDED:
      response.set_status(MPSOLVER_UNBOUNDED);
      break;
    default: {
      if (solution_count > 0) {
        response.set_status(MPSOLVER_FEASIBLE);
      } else {
        response.set_status(MPSOLVER_NOT_SOLVED);
        response.set_status_str(
            absl::StrFormat("Gurobi status code %d", optimization_status));
      }
      break;
    }
  }

  if (solution_count > 0 && (response.status() == MPSOLVER_FEASIBLE ||
                             response.status() == MPSOLVER_OPTIMAL)) {
    double objective_value = 0;
    RETURN_IF_GUROBI_ERROR(
        GRBgetdblattr(gurobi_model, GRB_DBL_ATTR_OBJVAL, &objective_value));
    response.set_objective_value(objective_value);
    double best_objective_bound = 0;
    const int error = GRBgetdblattr(gurobi_model, GRB_DBL_ATTR_OBJBOUND,
                                    &best_objective_bound);
    if (response.status() == MPSOLVER_OPTIMAL &&
        error == GRB_ERROR_DATA_NOT_AVAILABLE) {
      // If the presolve deletes all variables, there's no best bound.
      response.set_best_objective_bound(objective_value);
    } else {
      RETURN_IF_GUROBI_ERROR(error);
      response.set_best_objective_bound(best_objective_bound);
    }

    response.mutable_variable_value()->Resize(variable_size, 0);
    RETURN_IF_GUROBI_ERROR(
        GRBgetdblattrarray(gurobi_model, GRB_DBL_ATTR_X, 0, variable_size,
                           response.mutable_variable_value()->mutable_data()));
    // NOTE, GurobiSolveProto() is exposed to external clients via MPSolver API,
    // which assumes the solution values of integer variables are rounded to
    // integer values.
    for (int v = 0; v < variable_size; ++v) {
      if (model.variable(v).is_integer()) {
        (*response.mutable_variable_value())[v] =
            std::round(response.variable_value(v));
      }
    }
    if (!has_integer_variables && model.general_constraint_size() == 0) {
      response.mutable_dual_value()->Resize(model.constraint_size(), 0);
      RETURN_IF_GUROBI_ERROR(GRBgetdblattrarray(
          gurobi_model, GRB_DBL_ATTR_PI, 0, model.constraint_size(),
          response.mutable_dual_value()->mutable_data()));
    }
  }
#undef RETURN_IF_GUROBI_ERROR

  return response;
}

}  // namespace operations_research

#endif  //  #if defined(USE_GUROBI)