Merge pull request #7 from mckib2/embed-highs

MPS writer and cleanup

scipy/optimize/_highs/PYREADME.rst

@@ -5,7 +5,7 @@ Cython wrappers over `HiGHS <https://github.com/ERGO-Code/HiGHS>`_.  This projec
 
 The package is available on pypi as `scikit-highs <https://pypi.org/project/scikit-highs/>`_ and is tested on the following:
 
-- Ubuntu 18, gcc 7.5.0, Python 3.6.9
+- Ubuntu 18, gcc 7.5.0, Python 3.6.9 and 3.7
 - Windows 10, VS 2019, Python 3.8.2 x64
 
 It has dependencies on numpy and Cython that require these to be installed before installation of scikit-highs.  Once numpy and Cython are installed, install using pip like this:
@@ -18,8 +18,8 @@ Example usage from script:
 
 .. code:: python
 
-    from pyHiGHS import highs_wrapper
-    from pyHiGHS import CONST_INF, CONST_I_INF
+    from _highs.highs_wrapper import highs_wrapper
+    from _highs.highs_wrapper import CONST_INF, CONST_I_INF
 
     # Call like this (usually using numpy arrays and A is a scipy.sparse.csc_matrix):
     res = highs_wrapper(c, A.indptr, A.indices, A.data, lhs, rhs, lb, ub, options)

scipy/optimize/_highs/pyHiGHS/src/HConst.pxd

@@ -30,3 +30,10 @@ cdef extern from "HConst.h" nogil:
         SOLVER_OPTION_SIMPLEX "SolverOption::SOLVER_OPTION_SIMPLEX" = -1
         SOLVER_OPTION_CHOOSE "SolverOption::SOLVER_OPTION_CHOOSE"
         SOLVER_OPTION_IPM "SolverOption::SOLVER_OPTION_IPM"
+
+    cdef enum PrimalDualStatus:
+        PrimalDualStatusSTATUS_NOT_SET "PrimalDualStatus::STATUS_NOT_SET" = -1
+        PrimalDualStatusSTATUS_NO_SOLUTION "PrimalDualStatus::STATUS_NO_SOLUTION"
+        PrimalDualStatusSTATUS_UNKNOWN "PrimalDualStatus::STATUS_UNKOWN"
+        PrimalDualStatusSTATUS_INFEASIBLE_POINT "PrimalDualStatus::STATUS_INFEASIBLE_POINT"
+        PrimalDualStatusSTATUS_FEASIBLE_POINT "PrimalDualStatus::STATUS_FEASIBLE_POINT"

scipy/optimize/_highs/pyHiGHS/src/HighsLp.pxd

@@ -40,6 +40,10 @@ cdef extern from "HighsLp.h" nogil:
         HighsModelStatusREACHED_TIME_LIMIT "HighsModelStatus::REACHED_TIME_LIMIT"
         HighsModelStatusREACHED_ITERATION_LIMIT "HighsModelStatus::REACHED_ITERATION_LIMIT"
 
+    ctypedef enum ObjSense:
+        ObjSenseMINIMIZE "ObjSense::MINIMIZE" = 1
+        ObjSenseMAXIMIZE "ObjSense::MAXIMIZE" = -1
+
     cdef cppclass HighsSolution:
         vector[double] col_value
         vector[double] col_dual

scipy/optimize/_highs/pyHiGHS/src/highs_wrapper.pyx

@@ -6,7 +6,10 @@ import logging
 from libc.stdio cimport FILE, tmpfile
 from libcpp.memory cimport unique_ptr
 
-from HConst cimport ML_NONE
+from HConst cimport (
+    ML_NONE,
+    PrimalDualStatusSTATUS_FEASIBLE_POINT,
+)
 from Highs cimport Highs
 from HighsStatus cimport (
     HighsStatus,
@@ -392,7 +395,7 @@ def highs_wrapper(
             model_status = scaled_model_status
 
     # We might need an info object if we can look up the solution and a place to put solution
-    cdef HighsInfo info
+    cdef HighsInfo info = highs.getHighsInfo() # it should always be safe to get the info object
     cdef HighsSolution solution
 
     # If the status is bad, don't look up the solution
@@ -408,23 +411,17 @@ def highs_wrapper(
             HighsModelStatusPRIMAL_UNBOUNDED,
             HighsModelStatusREACHED_ITERATION_LIMIT,
     ]:
-        info = highs.getHighsInfo()
         return {
             'status': <int> model_status,
             'message': highs.highsModelStatusToString(model_status).decode(),
             'simplex_nit': info.simplex_iteration_count,
             'ipm_nit': info.ipm_iteration_count,
             'fun': info.objective_function_value,
             'crossover_nit': info.crossover_iteration_count,
-            'con': info.sum_primal_infeasibilities,
         }
     # If the model status is such that the solution can be read
-    elif model_status in [
-            HighsModelStatusOPTIMAL,
-            HighsModelStatusREACHED_DUAL_OBJECTIVE_VALUE_UPPER_BOUND,
-            HighsModelStatusREACHED_TIME_LIMIT,
-    ]:
-        info = highs.getHighsInfo()
+    else:
+        # Should be safe to read the solution:
         solution = highs.getSolution()
         return {
             'status': <int> model_status,
@@ -434,6 +431,7 @@ def highs_wrapper(
             'x': [solution.col_value[ii] for ii in range(numcol)],
 
             # Ax + s = b => Ax = b - s
+            # Note: this is for all constraints (A_ub and A_eq)
             'slack': [rhs[ii] - solution.row_value[ii] for ii in range(numrow)],
 
             # slacks in HiGHS appear as Ax - s, not Ax + s, so lambda is negated;
@@ -447,7 +445,6 @@ def highs_wrapper(
             'simplex_nit': info.simplex_iteration_count,
             'ipm_nit': info.ipm_iteration_count,
             'crossover_nit': info.crossover_iteration_count,
-            'con': info.sum_primal_infeasibilities,
         }
 
 # Export some things

scipy/optimize/_highs/pyHiGHS/src/mpswriter.pyx

@@ -7,12 +7,16 @@ from libcpp.vector cimport vector
 from libcpp.string cimport string
 
 from HighsStatus cimport HighsStatus
+from HighsLp cimport (
+    ObjSense,
+    ObjSenseMINIMIZE,
+)
 
 from scipy.sparse import csc_matrix
 
 cdef extern from "HMPSIO.h" nogil:
     HighsStatus writeMPS(FILE* logfile, const char* filename, const int& numRow, const int& numCol,
-                         const int& numInt, const int& objSense, const double& objOffset,
+                         const int& numInt, const ObjSense& objSense, const double& objOffset,
                          const vector[int]& Astart, const vector[int]& Aindex,
                          const vector[double]& Avalue, const vector[double]& colCost,
                          const vector[double]& colLower, const vector[double]& colUpper,
@@ -24,20 +28,49 @@ def mpswriter(
         string filename,
         const double[::1] c,
         A,
-        const double[::1] rhs,
         const double[::1] lhs,
+        const double[::1] rhs,
         const double[::1] lb,
         const double[::1] ub,
         const int[::1] integer_valued,
-        const bool use_free_format=True):
+        const bool use_free_format=False):
+    '''MPS writer: create MPS file from matrices.
+
+    Parameters
+    ----------
+    filename : bytes (string)
+        Name of MPS file to write out to.  Will be overwritten.
+    c : 1-D array (numcol,)
+        Objective coefficient values (assumes minimization).
+    A : 2-D array (numrow, numcol), scipy.sparse.csc_matrix
+        Sparse inequality constraint matrix.
+    lhs : 1-D array (numrow,)
+        Left hand side inequality values.
+    rhs : 1-D array (numrow,)
+        Right hand side inequality values.
+    lb : 1-D array (numcol,)
+        Lower bounds of solution variables.
+    ub : 1-D array (numcol,)
+        Upper bounds of solution variables.
+    integer_valued : 1-D array (numint,)
+        Indices of integer valued solution variables.
+    use_free_format : bool, optional
+        Use MPS free format.  Default is False.
+
+    Notes
+    -----
+    Wrapper over HiGHS `writeMPS` function.
+    '''
+
+    if not isinstance(A, csc_matrix):
+        raise ValueError('A must be a scipy.sparse.csc_matrix!')
 
     cdef int ii = 0
-    A = csc_matrix(A)
 
     cdef int numRow = A.shape[0]
     cdef int numCol = A.shape[1]
-    cdef int numInt = A.nnz
-    cdef int objSense = 1 # MIN for now
+    cdef int numInt = integer_valued.size
+    cdef ObjSense objSense = ObjSenseMINIMIZE # MIN for now
     cdef double objOffset = 0 # This is a RHS on cost row
 
     cdef vector[int] Astart = A.indptr

scipy/optimize/_highs/setup.py

@@ -25,7 +25,6 @@ def _get_sources(CMakeLists, start_token, end_token):
     sources = [str(pathlib.Path('src/' + s)) for s in sources]
     return sources
 
-
 # Grab some more info about HiGHS from root CMakeLists
 def _get_version(CMakeLists, start_token, end_token=')'):
     CMakeLists = pathlib.Path(__file__).parent / CMakeLists
@@ -80,36 +79,35 @@ def configuration(parent_package='', top_path=None):
         'basiclu',
         sources=basiclu_sources,
         include_dirs=[
-            str(pathlib.Path('src/')),
-            str(pathlib.Path('src/ipm/basiclu/include/')),
+            'src/',
+            'src/ipm/basiclu/include/',
         ],
         language='c',
         macros=DEFINE_MACROS,
     )
 
-    # Compile the rest of the sources all together,
-    # linking the BASICLU static library
+    # highs_wrapper:
     ipx_sources = _get_sources('src/CMakeLists.txt', 'set(ipx_sources\n', ')')
     highs_sources = _get_sources('src/CMakeLists.txt', 'set(sources\n', ')')
-    WRAPPER_INCLUDE_DIRS = [
-        str(pathlib.Path('src/ipm/basiclu/include/')),
-        str(pathlib.Path('external/')),
-        str(pathlib.Path('src/')),
-        str(pathlib.Path('src/ipm/ipx/include/')),
-        str(pathlib.Path('src/lp_data/')),
-        str(pathlib.Path('src/io/')),
-        str(pathlib.Path('src/mip/')),
-        str(pathlib.Path('src/interfaces/')),
-        str(pathlib.Path('pyHiGHS/src/')),
-    ]
     ext = config.add_extension(
         'highs_wrapper',
-        sources=[
-            str(pathlib.Path('pyHiGHS/src/highs_wrapper.cxx'))
-        ] + ipx_sources + highs_sources,
+        sources=['pyHiGHS/src/highs_wrapper.cxx'] + highs_sources + ipx_sources,
         include_dirs=[
-            str(pathlib.Path('pyHiGHS/src/')),
-        ] + WRAPPER_INCLUDE_DIRS,
+
+            # highs_wrapper
+            'pyHiGHS/src/',
+            'src/',
+            'src/lp_data/',
+
+            # highs
+            'src/',
+            'src/io/',
+            'src/ipm/ipx/include/',
+
+            # IPX
+            'src/ipm/ipx/include/',
+            'src/ipm/basiclu/include/',
+        ],
         language='c++',
         libraries=['basiclu'],
         define_macros=DEFINE_MACROS,
@@ -118,6 +116,32 @@ def configuration(parent_package='', top_path=None):
     # Add c++11/14 support:
     ext._pre_build_hook = pre_build_hook
 
+    # wrapper around HiGHS writeMPS:
+    ext = config.add_extension(
+        'mpswriter',
+        sources=[
+            # we should be using using highs shared library;
+            # next best thing is compiling minimal set of sources
+            'pyHiGHS/src/mpswriter.cxx',
+            'src/util/HighsUtils.cpp',
+            'src/io/HighsIO.cpp',
+            'src/io/HMPSIO.cpp',
+            'src/lp_data/HighsModelUtils.cpp',
+            'src/util/stringutil.cpp',
+        ],
+        include_dirs=[
+            'pyHiGHS/src/',
+            'src/',
+            'src/io/',
+            'src/lp_data/',
+        ],
+        language='c++',
+        libraries=['basiclu'],
+        define_macros=DEFINE_MACROS,
+        undef_macros=UNDEF_MACROS,
+    )
+    ext._pre_build_hook = pre_build_hook
+
     return config