OsiMskSolverInterface.hpp

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// Osi interface for Mosek ver. 5.0
// Lower versions are not supported
//-----------------------------------------------------------------------------
// name:     OSI Interface for MOSEK
// author:   Bo Jensen
// email:    support@MOSEK.com
//-----------------------------------------------------------------------------
 
// This code is licensed under the terms of the Eclipse Public License (EPL).
 
#ifndef OsiMskSolverInterface_H
#define OsiMskSolverInterface_H
 
#include "OsiSolverInterface.hpp"
 
typedef void* MSKtask_t;
typedef void* MSKenv_t;
 
/* MOSEK Solver Interface
   Instantiation of OsiMskSolverInterface for MOSEK
*/
 
class OsiMskSolverInterface : 
  virtual public OsiSolverInterface {
  friend void OsiMskSolverInterfaceUnitTest(const std::string & mpsDir, const std::string & netlibDir);
public:
  
  //---------------------------------------------------------------------------
  virtual void initialSolve();
  
  virtual void resolve();
  
  virtual void branchAndBound();
  
  //---------------------------------------------------------------------------
    // Set an integer parameter
    bool setIntParam(OsiIntParam key, int value);
    // Set an double parameter
    bool setDblParam(OsiDblParam key, double value);
    // Set a string parameter
    bool setStrParam(OsiStrParam key, const std::string & value);
    // Get an integer parameter
    bool getIntParam(OsiIntParam key, int& value) const;
    // Get an double parameter
    bool getDblParam(OsiDblParam key, double& value) const;
    // Get a string parameter
    bool getStrParam(OsiStrParam key, std::string& value) const;
 
  //---------------------------------------------------------------------------
 
    virtual bool isAbandoned() const;
    virtual bool isProvenOptimal() const;
    virtual bool isProvenPrimalInfeasible() const;
    virtual bool isProvenDualInfeasible() const;
    virtual bool isPrimalObjectiveLimitReached() const;
    virtual bool isDualObjectiveLimitReached() const;
    virtual bool isIterationLimitReached() const;
    virtual bool isLicenseError() const;
    int getRescode() const { return Mskerr; }
 
  //---------------------------------------------------------------------------
  CoinWarmStart* getEmptyWarmStart () const;
 
    virtual CoinWarmStart* getWarmStart() const;
    virtual bool setWarmStart(const CoinWarmStart* warmstart);
 
  //---------------------------------------------------------------------------
    virtual void markHotStart();
    virtual void solveFromHotStart();
    virtual void unmarkHotStart();
 
  //---------------------------------------------------------------------------
      virtual int getNumCols() const;
  
      virtual int getNumRows() const;
  
      virtual int getNumElements() const;
  
      virtual const double * getColLower() const;
  
      virtual const double * getColUpper() const;
  
      virtual const char * getRowSense() const;
  
      virtual const double * getRightHandSide() const;
  
      virtual const double * getRowRange() const;
  
      virtual const double * getRowLower() const;
  
      virtual const double * getRowUpper() const;
  
      virtual const double * getObjCoefficients() const;
  
      virtual double getObjSense() const;
 
      virtual bool isContinuous(int colNumber) const;
 
#if 0
      virtual bool isBinary(int columnNumber) const;
  
      virtual bool isInteger(int columnNumber) const;
  
      virtual bool isIntegerNonBinary(int columnNumber) const;
  
      virtual bool isFreeBinary(int columnNumber) const;
#endif
  
      virtual const CoinPackedMatrix * getMatrixByRow() const;
  
      virtual const CoinPackedMatrix * getMatrixByCol() const;
  
      virtual double getInfinity() const;
    
      virtual const double * getColSolution() const;
  
      virtual const double * getRowPrice() const;
  
      virtual const double * getReducedCost() const;
  
      virtual const double * getRowActivity() const;
  
      virtual double getObjValue() const;
  
      virtual int getIterationCount() const;
  
      virtual std::vector<double*> getDualRays(int maxNumRays,
                                               bool fullRay=false) const;
      virtual std::vector<double*> getPrimalRays(int maxNumRays) const;
  
#if 0
 
      virtual OsiVectorInt getFractionalIndices(const double etol=1.e-05)
        const;
#endif
 
 
  
  //---------------------------------------------------------------------------
 
    //-------------------------------------------------------------------------
      virtual void setObjCoeff( int elementIndex, double elementValue );
 
      virtual void setObjCoeffSet(const int* indexFirst,
                                  const int* indexLast,
                                  const double* coeffList);
 
      virtual void setColLower( int elementIndex, double elementValue );
      
      virtual void setColUpper( int elementIndex, double elementValue );
      
      virtual void setColBounds( int elementIndex,
                                 double lower, double upper );
    
      virtual void setColSetBounds(const int* indexFirst,
                                   const int* indexLast,
                                   const double* boundList);
      
      virtual void setRowLower( int elementIndex, double elementValue );
      
      virtual void setRowUpper( int elementIndex, double elementValue );
    
      virtual void setRowBounds( int elementIndex,
                                 double lower, double upper );
    
      virtual void setRowType(int index, char sense, double rightHandSide,
                              double range);
    
      virtual void setRowSetBounds(const int* indexFirst,
                                   const int* indexLast,
                                   const double* boundList);
    
      virtual void setRowSetTypes(const int* indexFirst,
                                  const int* indexLast,
                                  const char* senseList,
                                  const double* rhsList,
                                  const double* rangeList);
    
    //-------------------------------------------------------------------------
      virtual void setContinuous(int index);
      virtual void setInteger(int index);
      virtual void setContinuous(const int* indices, int len);
      virtual void setInteger(const int* indices, int len);
    
    //-------------------------------------------------------------------------
    virtual void setObjSense(double s);
    
    virtual void setColSolution(const double * colsol);
    
    virtual void setRowPrice(const double * rowprice);
    
    //-------------------------------------------------------------------------
      virtual void addCol(const CoinPackedVectorBase& vec,
                          const double collb, const double colub,   
                          const double obj);
      virtual void addCols(const int numcols,
                           const CoinPackedVectorBase * const * cols,
                           const double* collb, const double* colub,   
                           const double* obj);
      virtual void deleteCols(const int num, const int * colIndices);
    
      virtual void addRow(const CoinPackedVectorBase& vec,
                          const double rowlb, const double rowub);
      virtual void addRow(const CoinPackedVectorBase& vec,
                          const char rowsen, const double rowrhs,   
                          const double rowrng);
      virtual void addRows(const int numrows,
                           const CoinPackedVectorBase * const * rows,
                           const double* rowlb, const double* rowub);
      virtual void addRows(const int numrows,
                           const CoinPackedVectorBase * const * rows,
                           const char* rowsen, const double* rowrhs,   
                           const double* rowrng);
      virtual void deleteRows(const int num, const int * rowIndices);
    
#if 0
  // ??? implemented in OsiSolverInterface
      //-----------------------------------------------------------------------
      virtual ApplyCutsReturnCode applyCuts(const OsiCuts & cs,
                                            double effectivenessLb = 0.0);
#endif
 
 
 
  //---------------------------------------------------------------------------
 
    virtual void loadProblem(const CoinPackedMatrix& matrix,
                             const double* collb, const double* colub,   
                             const double* obj,
                             const double* rowlb, const double* rowub);
                            
    virtual void assignProblem(CoinPackedMatrix*& matrix,
                               double*& collb, double*& colub, double*& obj,
                               double*& rowlb, double*& rowub);
 
    virtual void loadProblem(const CoinPackedMatrix& matrix,
                             const double* collb, const double* colub,
                             const double* obj,
                             const char* rowsen, const double* rowrhs,   
                             const double* rowrng);
 
    virtual void assignProblem(CoinPackedMatrix*& matrix,
                               double*& collb, double*& colub, double*& obj,
                               char*& rowsen, double*& rowrhs,
                               double*& rowrng);
 
    virtual void loadProblem(const int numcols, const int numrows,
                             const int* start, const int* index,
                             const double* value,
                             const double* collb, const double* colub,   
                             const double* obj,
                             const double* rowlb, const double* rowub);
 
    virtual void loadProblem(const int numcols, const int numrows,
                             const int* start, const int* index,
                             const double* value,
                             const double* collb, const double* colub,   
                             const double* obj,
                             const char* rowsen, const double* rowrhs,   
                             const double* rowrng);
 
    virtual int readMps(const char *filename,
                         const char *extension = "mps");
 
    virtual void writeMps(const char *filename,
                          const char *extension = "mps",
                          double objSense=0.0) const;
 
    void passInMessageHandler(CoinMessageHandler * handler);
 
  //---------------------------------------------------------------------------
 
  enum keepCachedFlag
  {
    KEEPCACHED_NONE    = 0,
    KEEPCACHED_COLUMN  = 1,
    KEEPCACHED_ROW     = 2,
    KEEPCACHED_MATRIX  = 4,
    KEEPCACHED_RESULTS = 8,
    KEEPCACHED_PROBLEM = KEEPCACHED_COLUMN | KEEPCACHED_ROW | KEEPCACHED_MATRIX,
    KEEPCACHED_ALL     = KEEPCACHED_PROBLEM | KEEPCACHED_RESULTS,
    FREECACHED_COLUMN  = KEEPCACHED_PROBLEM & ~KEEPCACHED_COLUMN,
    FREECACHED_ROW     = KEEPCACHED_PROBLEM & ~KEEPCACHED_ROW,
    FREECACHED_MATRIX  = KEEPCACHED_PROBLEM & ~KEEPCACHED_MATRIX,
    FREECACHED_RESULTS = KEEPCACHED_ALL & ~KEEPCACHED_RESULTS
  };
 
  MSKtask_t getLpPtr( int keepCached = KEEPCACHED_NONE );
  
  MSKenv_t getEnvironmentPtr();
 
  const char* getCtype() const;
  
  static void incrementInstanceCounter(); 
  
  static void decrementInstanceCounter();
  
  static unsigned int getNumInstances();
 
  
  OsiMskSolverInterface(MSKenv_t mskenv = NULL); 
  
  virtual OsiSolverInterface * clone(bool copyData = true) const;
  
  OsiMskSolverInterface( const OsiMskSolverInterface& );
  
  OsiMskSolverInterface& operator=( const OsiMskSolverInterface& rhs );
  
  virtual ~OsiMskSolverInterface();
 
protected:
  
  virtual void applyRowCut( const OsiRowCut & rc );
  
  virtual void applyColCut( const OsiColCut & cc );
  
private:
  void switchToLP();
 
  void switchToMIP();
 
  void resizeColType( int minsize );
 
  void freeColType();
 
  bool definedSolution(int solution) const;
 
  int solverUsed() const;
 
 
  static MSKenv_t env_ ;
  
  //static unsigned int numInstances_;
  static unsigned int numInstances_;
  
  
  int Mskerr;
  int MSKsolverused_;
  double ObjOffset_;
 
  int InitialSolver;
 
  public: MSKtask_t getMutableLpPtr() const;
  
  void gutsOfCopy( const OsiMskSolverInterface & source );
  
  void gutsOfConstructor();
  
  void gutsOfDestructor();
 
  void freeCachedColRim();
 
  void freeCachedRowRim();
 
  void freeCachedResults();
  
  void freeCachedMatrix();
 
  void freeCachedData( int keepCached = KEEPCACHED_NONE );
 
  void freeAllMemory();
 
  mutable MSKtask_t task_;
 
  int *hotStartCStat_;
  int hotStartCStatSize_;
  int *hotStartRStat_;
  int hotStartRStatSize_;
  int hotStartMaxIteration_;
 
  mutable double  *obj_;
  
  mutable double  *collower_;
  
  mutable double  *colupper_;
  
  mutable char    *rowsense_;
  
  mutable double  *rhs_;
  
  mutable double  *rowrange_;
  
  mutable double  *rowlower_;
  
  mutable double  *rowupper_;
  
  mutable double  *colsol_;
  
  mutable double  *rowsol_;
 
  mutable double  *redcost_;
 
  mutable double  *rowact_;
 
  mutable CoinPackedMatrix *matrixByRow_;  
  
  mutable CoinPackedMatrix *matrixByCol_;  
 
  char            *coltype_;
 
  int             coltypesize_;
  
  mutable bool    probtypemip_;
 
};
 
//#############################################################################
void OsiMskSolverInterfaceUnitTest(const std::string & mpsDir, const std::string & netlibDir);
 
#endif