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DisCO

DisCO (Discrete Conic Optimization) is a solver for Mixed Integer Second Order Conic Optimization (MISOCO) problems. It is developed on top of COIN-OR High-Performance Parallel Search (CHiPPS) framework.

DisCO implements various branch-and-cut algorithms to solve MISOCO problems. DisCO depends on many other projects. It depends OsiConic on communicating with its relaxation solvers. It depends on CglConic to cut infeasible solutions.

DisCO shares some commit history with COIN-OR project CHiPPS-Blis. However, master branch is re-written from scratch.

DisCO is distributed under the Eclipse Public License and is freely redistributable. All source code and documentation is Copyright 2001-2018 by Lehigh University, Aykut Bulut and Ted Ralphs. This README may be distributed freely.

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Cite DisCO

DOI

Basic Installation

Building on Linux

Most Linux distributions come with all the required tools installed. To obtain the source code, the first step is to get the installer that will then fetch the source for ALPS and all its dependencies. You do not need to clone this repository first, just do the following! Open a terminal and execute

git clone https://www.github.com/coin-or/coinbrew

Next, to check out source code for and build all the necessary projects (including dependencies), execute the script in the coinbrew subdirectory. To execute the script, you can now do

cd coinbrew
./coinbrew

for the interactive version. Once you run the script in interactive mode, you will be prompted to select a project to fetch and build. The rest should happen automagically. Alternatively, the following command-line incantation will execute the procedure non-interactively.

./coinbrew fetch build DisCO --no-prompt

Options that would have been passed to the configure script under the old build system can simply be added to the command-line. For example, to build with debugging symbols, do

./coinbrew fetch build DisCO --no-prompt --enable-debug

To get help with additional options available in running the script, do

./coinbrew --help

The above procedures will build all required dependencies and DisCO itself. Afterwards, the binaries will be installed in the directory build/bin and the libraries in the directory build/lib. If you wish to install in a different directory, such as /usr/local, then run the commands

./coinbrew fetch build DisCO --no-prompt --prefix=/path/to/install/dir
./coinbrew install DisCO --no-prompt

After installation, you will also need to add /path/to/install/dir/bin to your PATH variable in your .bashrc and also add /path/to/install/dir/lib to your LD_LIBRARY_PATH if you want to link to COIN libraries.

Building on Windows (MSys2/CYGWIN and MinGW/MSVC)

By far, the easiest way to build on Windows is with the GNU autotools and the GCC compilers. The first step is to install either

If you don't already have CYGWIN installed and don't want to fool around with WSL (which is a great option if you already know your way around Unix), it is recommended to use MSys2, since it provides a minimal toolset that is easy to install. To get MSys2, either download the installer here or download and unzip MSys2 base from here (this is an out-of-date version, there may be a better place to get an archive version).

Following any of the above steps, you should have the bash command (with Msys2, be sure to run msys2_shell.bat or manually add msys64\usr\bin, msys64\mingw32\bin, and msys64\mingw64\bin to your Windows path).

Once you have bash installed and in your PATH, open a Windows terminal and type

bash
pacman -S make wget tar patch dos2unix diffutils git svn

Next, to check out source code for and build all the necessary projects (including dependencies), execute the script in the coinbrew subdirectory. To execute the script, you can now do

cd coinbrew
./coinbrew

for the interactive version. Once you run the script in interactive mode, you will be prompted to select a project to fetch and build. The rest should happen automagically. Alternatively, the following command-line incantation will execute the procedure non-interactively.

./coinbrew fetch build DisCO --no-prompt

Options that would have been passed to the configure script under the old build system can simply be added to the command-line. For example, to build with debugging symbols, do

./coinbrew fetch build DisCO --no-prompt --enable-debug

To get help with additional options available in running the script, do

./coinbrew --help

To use the resulting binaries and/or libraries, you will need to add the full path of the directory build\bin to your Windows executable search PATH, or, alternatively, copy the conents of the build directory to C:\Program Files (x86)\DisCO and add the directory C:\Program Files (x86)\DisCO\bin to your Windows executable search PATH. You may also consider adding C:\Program Files (x86)\DisCO\lib to the LIB path and C:\Program Files (x86)\DisCO\include to the INCLUDE path.

It is possible to use almost the exact same commands to build with the Visual Studio compilers. Before doing any of the above commands in the Windows terminal, first run the vcvarsall.bat script for your version of Visual Studio. Note that you will also need a compatible Fortran compiler if you want to build any projects requiring Fortran (ifort is recommended, but not free). Then follow all the steps above, but replace the build command with

./coinbrew fetch build DisCO --no-prompt --enable-msvc

Building on OS X

OS X is a Unix-based OS and ships with many of the basic components needed to build COIN-OR, but it's missing some things. For examples, the latest versions of OS X come with the clang compiler but no Fortran compiler. You may also be missing the wget utility and subversion and git clients (needed for obtaining source code). The easiest way to get these missing utilitites is to install Homebrew (see http://brew.sh). After installation, open a terminal and do

brew install gcc wget svn git

To obtain the source code, the first step is to get the installer that will then fetch the source for DisCO and all its dependencies. You do not need to clone DisCO first, just do the following! Open a terminal and execute

git clone https://www.github.com/coin-or/coinbrew

Next, to check out source code for and build all the necessary projects (including dependencies), execute the script in the coinbrew subdirectory. To execute the script in interactive mode, do

cd coinbrew
./coinbrew

Once you run the script,you will be prompted interactively to select a project to fetch and build. the rest should happen automagically. Alternatively, the following command-line incantation will execute the procedure non-interactively.

./coinbrew fetch build DisCO --no-prompt

With this setup, clang will be used for compiling C++ by default and gfortran will be used for Fortran. Since clang uses the GNU standard library, gfortran is compatible.

If you want to use the gcc compiler provided by Homebrew, then replace the build command above with

./coinbrew build DisCO --no-prompt CC=gcc-x CXX=g++-x

where x is the version of gcc you have installed. Options that would have been passed to the configure script under the old build system can simply be added to the command-line. For example, to build with debugging symbols, do

./coinbrew fetch build DisCO --no-prompt --enable-debug

To get help with additional options available in running the script, do

./coinbrew --help

If you wish to install in a different directory, such as /usr/local, then run the commands

./coinbrew fetch build DisCO --no-prompt --prefix=/path/to/install/dir
./coinbrew install DisCO --no-prompt

After installation, you will also need to add /path/to/install/dir/bin to your PATH variable in your .bashrc and also add /path/to/install/dir/lib to your DYLD_LIBRARY_PATH if you want to link to COIN libraries.

Specifying Algorithms and Solvers

Specifying Algorithms and Solvers for DisCO

DisCO implements an OA algorithm and it is the default behavior you will get. If you want to use DisCO with a typical branch and bound algorithm (only integrality constraints are relaxed in nodes and corresponding problems are solved with a SOCO solver) you need to specify this during configure. DisCO depends on OsiConic in communicating with its solver. There are three solvers available, Ipopt, Mosek and Cplex. OsiIpopt, OsiMosek and OsiCplex implement OsiConic interface for the corresponding solvers.

To compile DisCO with Mosek/Cplex you should first compile OSI with Mosek/Cplex. Check this to compile OSI with these commercial solvers. Then, you should compile OsiMosek/OsiCplex. You should clone these from their repo separately and run configure and make. Configure script will find all dependencies if the --prefix is set right. Once OsiMosek/OsiCplex is compiled and installed, You can configure DisCO as follows.

./coinbrew build DisCO --no-prompt --with-soco-solver=mosek

To use Cplex, just replace mosek with cplex in the command above. Similarly for Ipopt just use ipopt.

Specifying SOCO Solver for CglConic

DisCO depends on CglConic to warm start OA algorithm and generate cuts during branch and bound. CglConic solves the SOCO relaxation in the root node to warm start OA algorithm. CglConic needs an SOCO solver for this. You can specify the solver to be used. To specify this solver, you need to give --with-ipm-solver flag to configure script. For example, following command configures CglConic with Mosek.

./coinbrew build DisCO --no-prompt --with-ipm-solver=mosek

This command assumes you compiled and installed OsiMosek. If not, check here for instructions. Similarly you can use cplex, ipopt or cola instead of mosek. If no SOCO solver is specified (no --with-ipm-solver=xxxxx flag is given) CGL-Conic will use Ipopt.

Parallel Build Using MPI

To use DisCO in parallel, you need to compile DisCO and CHiPPS with an MPI library. The parallel build and MPI library to use are specified during the configure step. The easiest way to acheive this is using the coinbrew script.

./coinbrew build DisCO --no-prompt --enable-static \
--disable-shared --with-mpi-incdir=/usr/local/mpich/include \
--with-mpi-lib='-L/usr/local/mpich/lib  -lmpich' MPICC=mpicc MPICXX=mpiCC

This command builds DisCO and CHiPPS for parallel runs with the given MPI options. This command compiles DisCO and its dependents in parallel with 3 processors. DisCO and all its dependents are installed to /install_directory and intermediate files generated during build are stored in /build_directory. The command will pass Mosek options and flags (--with-mosek-incdir and --with-mosek-lib) to OSI and OSI's Mosek interface is compiled. Note that, if you want to use Mosek, you need to clone and compile OsiMosek separately after running this command. See here. You should update the options in the command above acording to your system and MPI implementation you intend to use. DisCO is tested with both mpich2 and openmpi.

Compiling Individual Projects Independently

All dependent projects and DisCO can be compiled separately if done in the right order. Moreover, you do not need to compile dependent projects if they are already installed somewhere in your system.

Make sure all dependencies are accessible through pkg-config. Then DisCO's configure script will find them using pkg-config. Alternatively DisCO configure script can locate other projects if --prefix configure flag is set right (points to the install directory of dependent projects). Assume other projects are installed at /install_dir. Then following command will find them and configure DisCO accordingly.

./configure --prefix=/install_dir && make install

Build Examples

Use Cplex or Mosek in CglConic.

CglConic will use Mosek to warm start OA method.

./coinbrew build DisCO --with-mosek-incdir=/home/aykut/opt/mosek/8/tools/platform/linux64x86/h --with-mosek-lib="-L/home/aykut/opt/mosek/8/tools/platform/linux64x86/bin -lmosek64"

Build with OA and MPI

./coinbrew build DisCO --prefix=/home/aykut/research/conic/software/disco/build_openmpi_opt MPICC=/usr/lib64/openmpi/bin/mpicc MPICXX=/usr/lib64/openmpi/bin/mpic++ --with-mpi-lib=/usr/lib64/openmpi/lib/libmpi.so --with-mpi-incdir=/usr/include/openmpi-x86_64 --with-mosek-incdir=/home/aykut/opt/mosek/8/tools/platform/linux64x86/h --with-mosek-lib="-L/home/aykut/opt/mosek/8/tools/platform/linux64x86/bin -lmosek64"

This will compile OSI with Mosek and CHiPPS with OpenMPI. You need to reconfigure CglConic if you want to use Mosek to solve root node SOCO relaxation as explained above. By default CglConic will use Ipopt. Once compiled you can use disco in parallel using mpirun as follows.

mpirun -n 8 build/bin/disco Alps_instance input.mps

Using DisCO

DisCO can read problems in Mosek's extended MPS format (it can handle CSECTION in mps files, see http://docs.mosek.com/7.1/capi/The_MPS_file_format.html) for SOCO problems. Once you compiled DisCO you can use is as follows.

path_to_disco/disco input.mps

This uses the default parameters (cut generation/branching/search etc.). You can modify its default behavior by specifying parameters. See src/disco.par.in file for available parameters. For example following solves input problem using strong branching with generating gomory cuts (available in OA algorithm only) in the root node.

path_to_disco/disco input.mps Alps_instance input.mps Dco_branchStrategy 3 Dco_cutGomoryStrategy 1

Current Testing Status

Following is a list of DisCO options tested. Check Aykut's dissertation for more computational results of DisCO with various algorithms and solvers.

  • Operating Systems
    • Linux: Well tested.
    • Mac OS: I did not test DisCO in OS. In theory this should work.
    • Windows: Not tested.
  • Algorithms
    • OA: Well tested and works fine.
    • Ipopt: Works fine. There are missing functions in the OsiIpopt interface. Tested on CBLIB 2014 and random problems. Ipopt fails to converge on some instances. We beleive this is due to nonsmooth formulation of the conic constraints in OsiIpopt interface.
    • Cola: Well tested, works fine.
    • Mosek: Works fine. There are missing functions in the interface. It is complete enough to work with DisCO. Well tested on CBLIB 2014 and random problems. Mosek might fail on numerically challanging instances.
    • Cplex: Missing functions in the interface. Interface is complete enough to work with DisCO. Tested on CBLIB 2014 and random problems. Cplex rarely fails on some instances.
  • Branching/Cutting
    • When OA algorithm is used and Ipopt is chosen as an IPM solver in CglConic, Ipopt might fail, on some problems, at the root node. You can use Mosek or Cplex for this if it is available to you.
  • MPI testing,
    • MPICH2: Tested and works fine.
    • OpenMPI: Tested up to 128 processors and works fine. Great parallelization performance when the tree is well balanced.

Documentation

You can refer to documentations of the dependent projects. DisCO uses doxygen for documentation purposes. Running make doxydoc in Disco directory inside the directory you specified in option --build-dir will produce doxygen documentation of DisCO.

Check Aykut's dissertation for detailed explanations of the algorithms implemented.

SUPPORT

Authors

Aykut Bulut (aykutblt@gmail.com), Ted Ralphs (ted@lehigh.edu).

Bug Reports

Bug reports should be reported at the DisCO repository at https://github.com/coin-or/DisCO/issues/new