Squashed 'scipy/optimize/_highs/' changes from fbdda9438..075b95922

075b95922 Merge pull request #21 from ERGO-Code/presolveCleanBounds 862131490 Added cleanBounds to resolve minor inconsistencies in bounds after presolve and return error if large git-subtree-dir: scipy/optimize/_highs git-subtree-split: 075b959220fa00469455f4b19dc0a677ddf9737c
mckib2 · Apr 12, 2020 · a15ff5a · a15ff5a
1 parent dc7fece
commit a15ff5a
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diff --git a/src/lp_data/Highs.cpp b/src/lp_data/Highs.cpp
@@ -387,6 +387,10 @@ basis_.valid_, hmos_[0].basis_.valid_);
         HighsLp& reduced_lp = presolve_info.getReducedProblem();
         // Validate the reduced LP
         assert(assessLp(reduced_lp, options_) == HighsStatus::OK);
+        call_status = cleanBounds(options_, reduced_lp);
+        return_status =
+            interpretCallStatus(call_status, return_status, "cleanBounds");
+        if (return_status == HighsStatus::Error) return return_status;
         // Add reduced lp object to vector of HighsModelObject,
         // so the last one in lp_ is the presolved one.
 

diff --git a/src/lp_data/HighsLpUtils.cpp b/src/lp_data/HighsLpUtils.cpp
@@ -615,6 +615,51 @@ HighsStatus assessMatrix(const HighsOptions& options, const int vec_dim,
   return return_status;
 }
 
+HighsStatus cleanBounds(const HighsOptions& options, HighsLp& lp) {
+  double max_residual = 0;
+  int num_change = 0;
+  for (int iCol = 0; iCol < lp.numCol_; iCol++) {
+    double residual = lp.colLower_[iCol] - lp.colUpper_[iCol];
+    if (residual > options.primal_feasibility_tolerance) {
+      HighsLogMessage(options.logfile, HighsMessageType::ERROR,
+                      "Column %d has inconsistent bounds [%g, %g] (residual = "
+                      "%g) after presolve ",
+                      iCol, lp.colLower_[iCol], lp.colUpper_[iCol], residual);
+      return HighsStatus::Error;
+    } else if (residual > 0) {
+      num_change++;
+      max_residual = std::max(residual, max_residual);
+      double mid = 0.5 * (lp.colLower_[iCol] + lp.colUpper_[iCol]);
+      lp.colLower_[iCol] = mid;
+      lp.colUpper_[iCol] = mid;
+    }
+  }
+  for (int iRow = 0; iRow < lp.numRow_; iRow++) {
+    double residual = lp.rowLower_[iRow] - lp.rowUpper_[iRow];
+    if (residual > options.primal_feasibility_tolerance) {
+      HighsLogMessage(options.logfile, HighsMessageType::ERROR,
+                      "Row %d has inconsistent bounds [%g, %g] (residual = %g) "
+                      "after presolve ",
+                      iRow, lp.rowLower_[iRow], lp.rowUpper_[iRow], residual);
+      return HighsStatus::Error;
+    } else if (residual > 0) {
+      num_change++;
+      max_residual = std::max(residual, max_residual);
+      double mid = 0.5 * (lp.rowLower_[iRow] + lp.rowUpper_[iRow]);
+      lp.rowLower_[iRow] = mid;
+      lp.rowUpper_[iRow] = mid;
+    }
+  }
+  if (num_change) {
+    HighsLogMessage(options.logfile, HighsMessageType::WARNING,
+                    "Resolved %d inconsistent bounds (maximum residual = "
+                    "%9.4g) after presolve ",
+                    num_change, max_residual);
+    return HighsStatus::Warning;
+  }
+  return HighsStatus::OK;
+}
+
 HighsStatus scaleLpColCosts(const HighsOptions& options, HighsLp& lp,
                             vector<double>& colScale, const bool interval,
                             const int from_col, const int to_col,

diff --git a/src/lp_data/HighsLpUtils.h b/src/lp_data/HighsLpUtils.h
@@ -55,6 +55,8 @@ HighsStatus assessMatrix(const HighsOptions& options, const int vec_dim,
                          const double small_matrix_value,
                          const double large_matrix_value, bool normalise);
 
+HighsStatus cleanBounds(const HighsOptions& options, HighsLp& lp);
+
 HighsStatus scaleLpColCosts(const HighsOptions& options, HighsLp& lp,
                             vector<double>& colScale, const bool interval,
                             const int from_col, const int to_col,