org.ojalgo.commons.math3.optim.linear.LinearOptimizerEBM Maven / Gradle / Ivy
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package org.ojalgo.commons.math3.optim.linear;
import java.math.BigDecimal;
import java.util.List;
import org.apache.commons.math3.exception.DimensionMismatchException;
import org.apache.commons.math3.linear.RealVector;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.optim.linear.LinearConstraint;
import org.apache.commons.math3.optim.linear.LinearObjectiveFunction;
import org.apache.commons.math3.optim.linear.LinearOptimizer;
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.ojalgo.optimisation.Expression;
import org.ojalgo.optimisation.ExpressionsBasedModel;
import org.ojalgo.optimisation.ModelEntity;
import org.ojalgo.optimisation.Optimisation.Result;
import org.ojalgo.optimisation.Optimisation.State;
import org.ojalgo.optimisation.Variable;
import org.ojalgo.type.context.NumberContext;
/**
* Intended to be a drop-in replacement to {@link org.apache.commons.math3.optim.linear.SimplexSolver} and/or
* the deprecated {@link org.apache.commons.math3.optimization.linear.SimplexSolver}.
*
* If you have any problems using those solvers, and would like to try ojAlgo instead. Just add
* ojAlgo-commons-math3 as a dependency and use {@link LinearOptimizerEBM} instead of {@link SimplexSolver} –
* different class name, but the same API.
*
* Internally this implementation builds an {@link ExpressionsBasedModel} and thus makes use of its pre-solve
* functionality and the ojAlgo suite of solvers. Code wise this is a bit of a detour. Should you find that
* this works better for you, then consider building an {@link ExpressionsBasedModel} direcly, and skip any
* usage of the Apache solver.
*
* @author apete
*/
public final class LinearOptimizerEBM extends LinearOptimizer {
private static final double LIMIT_CUT_OFF = 1E8;
private static final NumberContext PARAMETER_ACCURACY = NumberContext.of(12, 10);
static BigDecimal convert(final double value) {
if (!Double.isFinite(value)) {
throw new IllegalArgumentException();
}
return PARAMETER_ACCURACY.toBigDecimal(value);
}
static boolean isZero(final double value) {
return PARAMETER_ACCURACY.isZero(value);
}
static void limit(final ModelEntity> entity, final Relationship constrType, final double limit) {
if (Math.abs(limit) < LIMIT_CUT_OFF) {
BigDecimal convertedLimit = LinearOptimizerEBM.convert(limit);
switch (constrType) {
case GEQ:
entity.lower(convertedLimit);
break;
case LEQ:
entity.upper(convertedLimit);
break;
case EQ:
entity.level(convertedLimit);
break;
default:
break;
}
}
}
@Override
protected PointValuePair doOptimize() {
ExpressionsBasedModel model = new ExpressionsBasedModel();
LinearObjectiveFunction objective = this.getFunction();
RealVector objFuncCoeffs = objective.getCoefficients();
int nbVars = objFuncCoeffs.getDimension();
boolean restrictedToNonNegative = this.isRestrictedToNonNegative();
double[] lowerBounds = this.getLowerBound();
if (lowerBounds != null && lowerBounds.length != nbVars) {
throw new DimensionMismatchException(lowerBounds.length, nbVars);
}
double[] upperBounds = this.getUpperBound();
if (upperBounds != null && upperBounds.length != nbVars) {
throw new DimensionMismatchException(upperBounds.length, nbVars);
}
for (int i = 0; i < nbVars; i++) {
BigDecimal weight = LinearOptimizerEBM.convert(objFuncCoeffs.getEntry(i));
double lower = restrictedToNonNegative ? 0.0 : Double.NEGATIVE_INFINITY;
if (lowerBounds != null) {
lower = Math.max(lower, lowerBounds[i]);
}
double upper = Double.POSITIVE_INFINITY;
if (upperBounds != null) {
upper = Math.min(upper, upperBounds[i]);
}
Variable variable = model.addVariable();
variable.weight(weight);
LinearOptimizerEBM.limit(variable, Relationship.GEQ, lower);
LinearOptimizerEBM.limit(variable, Relationship.LEQ, upper);
}
List variables = model.getVariables();
for (LinearConstraint constraint : this.getConstraints()) {
RealVector coefficients = constraint.getCoefficients();
Relationship constrType = constraint.getRelationship();
double limit = constraint.getValue();
if (coefficients.getDimension() != nbVars) {
throw new DimensionMismatchException(coefficients.getDimension(), nbVars);
}
Expression expression = model.addExpression();
for (int i = 0; i < nbVars; i++) {
double coeff = coefficients.getEntry(i);
if (!LinearOptimizerEBM.isZero(coeff)) {
BigDecimal linearFactor = LinearOptimizerEBM.convert(coeff);
expression.set(variables.get(i), linearFactor);
}
}
LinearOptimizerEBM.limit(expression, constrType, limit);
}
Result result = this.getGoalType() == GoalType.MAXIMIZE ? model.maximise() : model.minimise();
State state = result.getState();
if (state == State.UNBOUNDED) {
throw new UnboundedSolutionException();
}
if (!state.isFeasible()) {
throw new NoFeasibleSolutionException();
}
double[] point = result.toRawCopy1D();
double value = objective.value(point);
return new PointValuePair(point, value);
}
}