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ojAlgo and Apache Commons Math integration
/*
* Copyright 1997-2018 Optimatika
*
* Permission is hereby granted, free of charge, to any person obtaining a copy
* of this software and associated documentation files (the "Software"), to deal
* in the Software without restriction, including without limitation the rights
* to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
* copies of the Software, and to permit persons to whom the Software is
* furnished to do so, subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in
* all copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
* FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
* AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
* LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
* OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
* SOFTWARE.
*/
package org.ojalgo.commons.math3.optim.linear;
import java.util.HashSet;
import java.util.List;
import java.util.Optional;
import java.util.Set;
import org.apache.commons.math3.optim.OptimizationData;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.optim.SimpleBounds;
import org.apache.commons.math3.optim.linear.LinearConstraint;
import org.apache.commons.math3.optim.linear.LinearConstraintSet;
import org.apache.commons.math3.optim.linear.LinearObjectiveFunction;
import org.apache.commons.math3.optim.linear.NoFeasibleSolutionException;
import org.apache.commons.math3.optim.linear.Relationship;
import org.apache.commons.math3.optim.linear.SimplexSolver;
import org.apache.commons.math3.optim.linear.UnboundedSolutionException;
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType;
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunction;
import org.ojalgo.optimisation.ExpressionsBasedModel;
import org.ojalgo.optimisation.Optimisation;
import org.ojalgo.optimisation.Variable;
import org.ojalgo.structure.Access1D;
import org.ojalgo.structure.Structure1D.IntIndex;
public final class SolverCommonsMath implements Optimisation.Solver {
@FunctionalInterface
public static interface Configurator {
void configure(SimplexSolver solver, Optimisation.Options options);
}
static final class Integration extends ExpressionsBasedModel.Integration {
Integration() {
super();
}
public SolverCommonsMath build(final ExpressionsBasedModel model) {
final Set data = new HashSet<>();
final Access1D linearFactors = model.objective().toFunction().getLinearFactors();
final LinearObjectiveFunction obj = new LinearObjectiveFunction(linearFactors.toRawCopy1D(), 0.0);
Variable tmpVariable;
final List variables = model.getVariables();
final Set fixed = model.getFixedVariables();
final double[] lowerBounds = new double[variables.size()];
final double[] upperBounds = new double[variables.size()];
for (int v = 0; v < variables.size(); v++) {
tmpVariable = variables.get(v);
lowerBounds[v] = tmpVariable.getUnadjustedLowerLimit();
upperBounds[v] = tmpVariable.getUnadjustedUpperLimit();
}
final SimpleBounds simpleBounds = new SimpleBounds(lowerBounds, upperBounds);
final GoalType goalType = model.isMaximisation() ? GoalType.MAXIMIZE : GoalType.MINIMIZE;
data.add(goalType);
data.add(obj);
data.add(new ObjectiveFunction(obj));
data.add(simpleBounds);
final Set constraints = new HashSet<>();
model.constraints().forEach(expr -> {
final double[] coeffs = new double[variables.size()];
final Set keySet = expr.getLinearKeySet();
for (final IntIndex tmpIntIndex : keySet) {
coeffs[tmpIntIndex.index] = expr.getAdjustedLinearFactor(tmpIntIndex);
}
if (expr.isEqualityConstraint()) {
constraints.add(new LinearConstraint(coeffs, Relationship.EQ, expr.getAdjustedUpperLimit()));
} else {
if (expr.isLowerConstraint()) {
constraints.add(new LinearConstraint(coeffs, Relationship.GEQ, expr.getAdjustedLowerLimit()));
} else if (expr.isUpperConstraint()) {
constraints.add(new LinearConstraint(coeffs, Relationship.LEQ, expr.getAdjustedUpperLimit()));
}
}
});
for (int i = 0; i < upperBounds.length; i++) {
if (Double.isFinite(lowerBounds[i])) {
final double[] coeffs = new double[variables.size()];
coeffs[i] = 1.0;
constraints.add(new LinearConstraint(coeffs, Relationship.GEQ, lowerBounds[i]));
}
if (Double.isFinite(upperBounds[i])) {
final double[] coeffs = new double[variables.size()];
coeffs[i] = 1.0;
constraints.add(new LinearConstraint(coeffs, Relationship.LEQ, upperBounds[i]));
}
}
data.add(new LinearConstraintSet(constraints));
return new SolverCommonsMath(data, model.options);
}
public boolean isCapable(final ExpressionsBasedModel model) {
return !model.isAnyVariableInteger() && !model.isAnyExpressionQuadratic();
}
@Override
protected boolean isSolutionMapped() {
return false;
}
}
public static final SolverCommonsMath.Integration INTEGRATION = new Integration();
static final Configurator DEFAULT = new Configurator() {
public void configure(final SimplexSolver solver, final Options options) {
// TODO Auto-generated method stub
}
};
private final Set myModelData;
private final Optimisation.Options myOptions;
SolverCommonsMath(final Set modelData, final Optimisation.Options options) {
super();
myModelData = modelData;
myOptions = options;
}
public Optimisation.Result solve(final Result kickStarter) {
// final InitialGuess guess = new InitialGuess(kickStarter.toRawCopy1D());
//
// myModelData.add(guess);
Optimisation.State state = Optimisation.State.FAILED;
double value = Double.NaN;
Access1D solution = kickStarter;
try {
final SimplexSolver solver = new SimplexSolver();
DEFAULT.configure(solver, myOptions);
final Optional optional = myOptions.getConfigurator(Configurator.class);
if (optional.isPresent()) {
optional.get().configure(solver, myOptions);
}
final PointValuePair solutionAndValue = solver.optimize(myModelData.toArray(new OptimizationData[myModelData.size()]));
state = Optimisation.State.OPTIMAL;
value = solutionAndValue.getValue();
solution = Access1D.wrap(solutionAndValue.getPoint());
} catch (final NoFeasibleSolutionException infeasible) {
state = Optimisation.State.INFEASIBLE;
} catch (final UnboundedSolutionException unbounded) {
state = Optimisation.State.UNBOUNDED;
}
final Optimisation.Result result = new Optimisation.Result(state, value, solution);
return result;
}
}