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@@ -7,3 +7,6 @@ Build | |
| .idea | ||
| ma27-1.0.0.tar.gz | ||
| scipoptsuite-3.1.1.tgz | ||
| build_master | ||
| build/* | ||
| build_merge/* | ||
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| [submodule "extra/CoinUtils"] | ||
| path = extra/CoinUtils | ||
| url = https://github.com/coin-or/CoinUtils.git | ||
| url=https://github.com/coin-or/CoinUtils.git | ||
| branch = stable/2.11 | ||
| [submodule "extra/Osi"] | ||
| path = extra/Osi | ||
| url=https://github.com/kibaekkim/Osi.new.git | ||
| branch = stable/dsp | ||
| [submodule "extra/Smi"] | ||
| path = extra/Smi | ||
| url = https://github.com/kibaekkim/Smi.git | ||
| url=https://github.com/kibaekkim/Smi.git | ||
| [submodule "extra/OOQP"] | ||
| path = extra/OOQP | ||
| url = https://github.com/emgertz/OOQP.git | ||
| url=https://github.com/emgertz/OOQP.git | ||
| [submodule "extra/Alps"] | ||
| path = extra/Alps | ||
| url=https://github.com/kibaekkim/CHiPPS-ALPS.git | ||
| [submodule "extra/Clp"] | ||
| path = extra/Clp | ||
| url = https://github.com/coin-or/Clp.git | ||
| [submodule "extra/Osi"] | ||
| path = extra/Osi | ||
| url = https://github.com/coin-or/Osi.git | ||
| branch = master | ||
| branch = stable/1.17 |
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| cmake_minimum_required(VERSION 2.8) | ||
| cmake_minimum_required(VERSION 3.5) | ||
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| # Should use GNU compilers for unix-type OS, including Mac and CygWin | ||
| if(UNIX) | ||
| set(CMAKE_C_COMPILER "gcc") | ||
| set(CMAKE_CXX_COMPILER "g++") | ||
| set(CMAKE_Fortran_COMPILER "gfortran") | ||
| endif() | ||
| set(CMAKE_CXX_STANDARD 11) | ||
| set(CMAKE_CXX_STANDARD_REQUIRED ON) | ||
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| include(color_scheme.cmake) | ||
| include(UserConfig.cmake) | ||
| set(DEPEND_DIR $ENV{PWD}) | ||
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| ################################################## | ||
| # Project name | ||
| ################################################## | ||
| project(DSP) | ||
| message(STATUS "The system information: ${CMAKE_SYSTEM}.${CMAKE_SYSTEM_PROCESSOR}") | ||
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| ################################################## | ||
| # REQUIRED PACKAGES | ||
| ################################################## | ||
| enable_language(CXX) | ||
| enable_language(Fortran) | ||
|
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| if(NOT CMAKE_BUILD_TYPE) | ||
| set(CMAKE_BUILD_TYPE Release) | ||
| endif(NOT CMAKE_BUILD_TYPE) | ||
| message(STATUS "Build type: ${CMAKE_BUILD_TYPE}") | ||
|
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| find_package(BLAS REQUIRED) | ||
| find_package(LAPACK REQUIRED) | ||
| find_package(ZLIB REQUIRED) | ||
| find_package(BZip2 REQUIRED) | ||
| find_package(MPI) | ||
| find_package(OpenMP) | ||
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| string(REPLACE ";" "\ " BLAS_LIBRARIES "${BLAS_LIBRARIES}") | ||
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| ################################################## | ||
| # My include files | ||
| ################################################## | ||
| include(UserConfig.cmake) | ||
| include(color_scheme.cmake) | ||
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| ################################################## | ||
| # Compiler settings | ||
| ################################################## | ||
|
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| # if(CMAKE_CXX_COMPILER_ID MATCHES "Clang") | ||
| # message(FATAL_ERROR "We currently do not support Clang compiler") | ||
| # elseif("${CMAKE_CXX_COMPILER_ID}" STREQUAL "Intel") | ||
| # message(FATAL_ERROR "We currently do not support Intel compiler") | ||
| # elseif("${CMAKE_CXX_COMPILER_ID}" STREQUAL "MSVC") | ||
| # message(FATAL_ERROR "We currently do not support MSVC compiler") | ||
| # endif() | ||
|
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| set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -O3 -std=c++0x -DNDEBUG") | ||
| if(MPI_CXX_FOUND) | ||
| set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${MPI_CXX_COMPILE_FLAGS} -DDSP_HAS_MPI") | ||
| endif() | ||
| if (OPENMP_FOUND) | ||
| set (CMAKE_C_FLAGS "${CMAKE_C_FLAGS} ${OpenMP_C_FLAGS}") | ||
| set (CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${OpenMP_CXX_FLAGS}") | ||
| endif() | ||
| if(APPLE) | ||
| set(CMAKE_MACOSX_RPATH OFF) | ||
| endif() | ||
|
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| ################################################## | ||
| # add include directories | ||
| ################################################## | ||
| include_directories( | ||
| src | ||
| ${SCIP_DIR}/src | ||
| ${SCIP_DIR}/src/scip | ||
| ${SPX_DIR}/src) | ||
| if (MPI_CXX_FOUND) | ||
| include_directories(${MPI_CXX_INCLUDE_PATH}) | ||
| set(CMAKE_C_COMPILER "mpicc") | ||
| set(CMAKE_CXX_COMPILER "mpicxx") | ||
| set(CMAKE_Fortran_COMPILER "mpif90") | ||
| endif() | ||
|
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| ################################################## | ||
| # SUBDIRECTORY | ||
| ################################################## | ||
| if(APPLE) | ||
| set(LIBRARY_PATH_VAR_NAME "DYLD_LIBRARY_PATH") | ||
| else(APPLE) | ||
| set(LIBRARY_PATH_VAR_NAME "LD_LIBRARY_PATH") | ||
| endif(APPLE) | ||
|
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||
| find_library(GFORTRANLIB NAMES gfortran libgfortran PATHS ENV ${LIBRARY_PATH_VAR_NAME}) | ||
| if(NOT GFORTRANLIB) | ||
| message(FATAL_ERROR "gfortran library is required, but cannot be found. Please either locate the library to a searchable path or set a proper environment variable for the path.") | ||
| endif(NOT GFORTRANLIB) | ||
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| find_library(SCIPLIB scip PATHS ${SCIPOPT_LIB_DIR}) | ||
| find_library(MA27LIB ma27 PATHS ${MA27LIB_DIR}) | ||
| find_library(CPLEXLIB cplex PATHS ${CPLEX_LIB_DIR}) | ||
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| # if(APPLE) | ||
| # set(CMAKE_MACOSX_RPATH OFF) | ||
| # endif() | ||
|
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| add_subdirectory(extra) | ||
| add_subdirectory(src) | ||
|
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| enable_testing() | ||
| add_subdirectory(test) |
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| Original file line number | Diff line number | Diff line change |
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| @@ -1,89 +1,48 @@ | ||
| # DSP | ||
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| [](https://zenodo.org/badge/latestdoi/26612881) | ||
| [](https://dsp.readthedocs.io/?badge=master) | ||
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| DSP is an open-source and parallel package that implements decomposition methods for **stochastic mixed-integer programming (SMIP)** problems. These are structured optimization problems considering uncertain scenario realizations s with probabilities p_s in the following form: | ||
| DSP is an open-source and parallel package that implements decomposition methods for **structured mixed-integer programming** problems. These are structured optimization problems in the following form: | ||
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| minimize c^T x + \sum_{s=1}^S p_s q_s^T y_s | ||
| minimize c^T x + \sum_{s=1}^S q_s^T y_s | ||
| subject to A x = b | ||
| T_s x + W_s y_s = h_s for s = 1, .., S | ||
| some x, y_s are integers | ||
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| where x and y_s are decision variable vectors with dimensions n_1 and n_2, respectively, A, T_s and W_s are matrices of dimensions m_1 by n_1, m_2 by n_1 and m_2 by n_2, respectively, and c, q_s, b, and h_s are vectors of appropriate dimensions. | ||
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| DSP provides **parallel** implementations for the following decomposition methods: | ||
| * Dual decomposition (with subgradient method and several bundle methods) | ||
| * Benders decomposition | ||
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| The methods can be run on computing clusters and multi-core processors. | ||
|
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| ## Download | ||
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| You can clone this repository in your preferred directory by typing: | ||
| ```bash | ||
| git clone --recursive https://github.com/Argonne-National-Laboratory/DSP.git | ||
| ``` | ||
| or | ||
| ```bash | ||
| git clone https://github.com/Argonne-National-Laboratory/DSP.git | ||
| cd DSP | ||
| git submodule update --init --recursive | ||
| ``` | ||
|
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| ## Installation | ||
|
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| * See [PREREQUISITES.md](PREREQUISITES.md) | ||
| * See [INSTALL.md](INSTALL.md) | ||
|
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| ## Interfaces | ||
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| ### Stand-alone binary | ||
| **DSP Solution Methods:** | ||
| * Extensive form solver (global solver) | ||
| * Serial/parallel dual decomposition (dual bounding solver) | ||
| * Serial/parallel Dantzig-Wolfe decomposition (global solver) | ||
| * Serial/parallel Benders decomposition | ||
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| DSP will be compiled as a binary file ``runDsp`` that can read ``SMPS`` files and solve the problems. | ||
| **Problem Input Formats:** | ||
| * SMPS file format for stochastic programs | ||
| * MPS and DEC files for generic block-structured optimization problems | ||
| * Julia modeling package [Dsp.jl](https://github.com/kibaekkim/Dsp.jl) | ||
|
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| ### Julia Interface | ||
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| DSP can use Julia as a modeling interface for the computational experiments. Julia is a high level dynamic programming language for technical computing, with syntax that is familiar to users of other technical computing environments such as MATLAB and Python. Julia can be downloaded from http://julialang.org/downloads/ If Julia is successfully installed on your machine, then you can start the Julia command-line tool by typing | ||
| ```bash | ||
| julia | ||
| ``` | ||
| Now we need to install four Julia packages required to run DSP in the Julia environment. The packages should be installed in the Julia command-line tool. Please update the package list of Julia by typing | ||
| ```julia | ||
| Pkg.update(); | ||
| ``` | ||
| * [JuMP.jl](https://github.com/JuliaOpt/JuMP.jl) is a algebraic modeling package in Julia for mathematical programming, which can be installed by the following Julia command: | ||
| ```julia | ||
| Pkg.add("JuMP"); | ||
| ``` | ||
| * The [Dsp.jl](https://github.com/kibaekkim/Dsp.jl) package provides an interface to ``JuMP.jl``. DSPsolver.jl can be installed by the Julia command | ||
| ```julia | ||
| Pkg.clone("https://github.com/kibaekkim/Dsp.jl.git"); | ||
| ``` | ||
| * [MPI.jl](https://github.com/JuliaParallel/MPI.jl) is an **optional** package to run DSP in parallel on high-performance computing machines using MPI library. This is an MPI interface package, which can be installed by the following Julia command. MPICH is required for this package. | ||
| ```julia | ||
| Pkg.add("MPI"); | ||
| ``` | ||
|
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| ## Example | ||
|
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| You can find examples in subdirectory examples. | ||
| ## Documentation | ||
|
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| The package documentation is available in [Readthedocs](https://dsp.readthedocs.io/?badge=master). | ||
|
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| ## Credits | ||
|
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| DSP has been developed and is maintained by: | ||
| * [Kibaek Kim](http://mcs.anl.gov/~kibaekkim/), Mathematics and Computer Science Division, Argonne National Laboratory. | ||
| * [Victor M. Zavala](http://zavalab.engr.wisc.edu/), Department of Chemical and Biological Engineering, University of Wisconsin-Madison. | ||
|
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| ## Publications | ||
| * Kibaek Kim and Victor M. Zavala. "[Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs](http://www.optimization-online.org/DB_FILE/2015/06/4960.pdf)" Mathematical Programming Computation (accepted), 2017 | ||
| * Kibaek Kim and Victor M. Zavala. "[Large-Scale Stochastic Mixed-Integer Programming Algorithms for Power Generation Scheduling](http://dx.doi.org/10.1007/978-3-319-28752-2_18)" Alternative Energy Sources and Technologies, 2016 | ||
| * Kibaek Kim, Fan Yang, Victor M. Zavala, and Andrew A. Chien. "[Data Centers as Dispatchable Loads to Harness Stranded Power](http://dx.doi.org/10.1109/TSTE.2016.2593607)" IEEE Transactions on Sustainable Energy, 2016 | ||
|
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| ## Key Publications | ||
|
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| * Kibaek Kim and Briand Dandurand. "[Scalable Branching on Dual Decomposition of Stochastic Mixed-Integer Programming Problems](http://www.optimization-online.org/DB_HTML/2018/10/6867.html)" Optimization Online, 2018 | ||
| * Kibaek Kim, Cosmin Petra, and Victor Zavala. "[An Asynchronous Bundle-Trust-Region Method for Dual Decomposition of Stochastic Mixed-Integer Programming](https://epubs.siam.org/doi/abs/10.1137/17M1148189)" SIAM Journal on Optimization 29(1), 2019 | ||
| * Kibaek Kim and Victor M. Zavala. "[Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs](https://link.springer.com/article/10.1007/s12532-017-0128-z)" Mathematical Programming Computation 10(2), 2017 | ||
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| ## Acknowledgements | ||
|
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| This material is based upon work supported by the U.S. Department of Energy, Office of Science, under contract number DE-AC02-06CH11357. We gratefully acknowledge the computing resources provided on *Blues*, a high-performance computing cluster operated by the Laboratory Computing Resource Center at Argonne National Laboratory. We thank E. Michael Gertz and Stephen Wright for providing the [OOQP](http://pages.cs.wisc.edu/~swright/ooqp/) software package. | ||
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| [](https://github.com/igrigorik/ga-beacon) | ||
|
|
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| Original file line number | Diff line number | Diff line change |
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| # This file defines the user-specific settings. | ||
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| # Setting CPLEX paths is required. | ||
| # The others (ma27 and scip) are optional. For example, OOQP will be | ||
| # disabled if MA27LIB_DIR is not set. | ||
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| set(MA27LIB_DIR "") | ||
| set(CPLEX_LIB_DIR "") | ||
| set(CPLEX_INC_DIR "") | ||
| set(SCIP_DIR "") | ||
| set(SCIP_LIB_DIR "") | ||
| set(SPX_DIR "") | ||
| set(MA27LIB_DIR "") | ||
| set(CPLEX_LIB_DIR "") | ||
| set(CPLEX_INC_DIR "") | ||
| set(SCIPOPT_INC_DIR "") | ||
| set(SCIPOPT_LIB_DIR "") | ||
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| # Please change OFF to ON once the settings are provided. | ||
| set(USER_SETTINGS OFF) | ||
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| if(NOT ${USER_SETTINGS}) | ||
| message(FATAL_ERROR "Please complete the user-specific settings in UserConfig.cmake") | ||
| endif() | ||
| set(DEPEND_DIR $ENV{PWD}) |
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| Acknowledgements | ||
| ---------------- | ||
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| This material is based upon work supported by the U.S. Department of Energy, Office of Science, under contract number DE-AC02-06CH11357. | ||
| We thank E. Michael Gertz and Stephen Wright for providing the `OOQP <http://pages.cs.wisc.edu/~swright/ooqp/>`_ software package. | ||
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| Credits | ||
| ^^^^^^^ | ||
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| DSP has been developed and is maintained by: | ||
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| * `Kibaek Kim <http://mcs.anl.gov/~kibaekkim/>`_, Mathematics and Computer Science Division, Argonne National Laboratory. | ||
| * `Victor M. Zavala <http://zavalab.engr.wisc.edu/>`_, Department of Chemical and Biological Engineering, University of Wisconsin-Madison. | ||
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| Publication | ||
| ^^^^^^^^^^^ | ||
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| * Kibaek Kim and Brian Dandurand. Scalable Branching on Dual Decomposition of Stochastic Mixed-Integer Programming Problems. Optimization Online, 2018 | ||
| * Kibaek Kim, Audun Botterud, and Feng Qiu. Temporal Decomposition for Improved Unit Commitment in Power System Production Cost Modeling. IEEE Transactions on Power Systems 33(5), 5276-5287, 2018 | ||
| * Kibaek Kim and Victor M. Zavala. Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs. Mathematical Programming Computation 10(2), 225-266, 2018 | ||
| * Kibaek Kim, Fan Yang, Victor M. Zavala, and Andrew A. Chien. Data Centers as Dispatchable Loads to Harness Stranded Power. IEEE Transactions on Sustainable Energy 8(1), 208-218, 2017 | ||
| * Kibaek Kim and Victor M. Zavala. Large-Scale Stochastic Mixed-Integer Programming Algorithms for Power Generation Scheduling. In Alternative Energy Sources and Technologies, 493-512, 2016 | ||
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