""" An interior-point method for linear programming. """ # Author: Matt Haberland from __future__ import print_function, division, absolute_import import numpy as np import scipy as sp import scipy.sparse as sps from warnings import warn from scipy.linalg import LinAlgError from .optimize import OptimizeWarning, _check_unknown_options def _get_solver(sparse=False, lstsq=False, sym_pos=True, cholesky=True): """ Given solver options, return a handle to the appropriate linear system solver. Parameters ---------- sparse : bool True if the system to be solved is sparse. This is typically set True when the original ``A_ub`` and ``A_eq`` arrays are sparse. lstsq : bool True if the system is ill-conditioned and/or (nearly) singular and thus a more robust least-squares solver is desired. This is sometimes needed as the solution is approached. sym_pos : bool True if the system matrix is symmetric positive definite Sometimes this needs to be set false as the solution is approached, even when the system should be symmetric positive definite, due to numerical difficulties. cholesky : bool True if the system is to be solved by Cholesky, rather than LU, decomposition. This is typically faster unless the problem is very small or prone to numerical difficulties. Returns ------- solve : function Handle to the appropriate solver function """ if sparse: if lstsq or not(sym_pos): def solve(M, r, sym_pos=False): return sps.linalg.lsqr(M, r)[0] else: # this is not currently used; it is replaced by splu solve # TODO: expose use of this as an option def solve(M, r): return sps.linalg.spsolve(M, r, permc_spec="MMD_AT_PLUS_A") else: if lstsq: # sometimes necessary as solution is approached def solve(M, r): return sp.linalg.lstsq(M, r)[0] elif cholesky: solve = sp.linalg.cho_solve else: # this seems to cache the matrix factorization, so solving # with multiple right hand sides is much faster def solve(M, r, sym_pos=sym_pos): return sp.linalg.solve(M, r, sym_pos=sym_pos) return solve def _get_delta( A, b, c, x, y, z, tau, kappa, gamma, eta, sparse=False, lstsq=False, sym_pos=True, cholesky=True, pc=True, ip=False, permc_spec='MMD_AT_PLUS_A' ): """ Given standard form problem defined by ``A``, ``b``, and ``c``; current variable estimates ``x``, ``y``, ``z``, ``tau``, and ``kappa``; algorithmic parameters ``gamma and ``eta; and options ``sparse``, ``lstsq``, ``sym_pos``, ``cholesky``, ``pc`` (predictor-corrector), and ``ip`` (initial point improvement), get the search direction for increments to the variable estimates. Parameters ---------- As defined in [4], except: sparse : bool True if the system to be solved is sparse. This is typically set True when the original ``A_ub`` and ``A_eq`` arrays are sparse. lstsq : bool True if the system is ill-conditioned and/or (nearly) singular and thus a more robust least-squares solver is desired. This is sometimes needed as the solution is approached. sym_pos : bool True if the system matrix is symmetric positive definite Sometimes this needs to be set false as the solution is approached, even when the system should be symmetric positive definite, due to numerical difficulties. cholesky : bool True if the system is to be solved by Cholesky, rather than LU, decomposition. This is typically faster unless the problem is very small or prone to numerical difficulties. pc : bool True if the predictor-corrector method of Mehrota is to be used. This is almost always (if not always) beneficial. Even though it requires the solution of an additional linear system, the factorization is typically (implicitly) reused so solution is efficient, and the number of algorithm iterations is typically reduced. ip : bool True if the improved initial point suggestion due to [4] section 4.3 is desired. It's unclear whether this is beneficial. permc_spec : str (default = 'MMD_AT_PLUS_A') (Has effect only with ``sparse = True``, ``lstsq = False``, ``sym_pos = True``.) A matrix is factorized in each iteration of the algorithm. This option specifies how to permute the columns of the matrix for sparsity preservation. Acceptable values are: - ``NATURAL``: natural ordering. - ``MMD_ATA``: minimum degree ordering on the structure of A^T A. - ``MMD_AT_PLUS_A``: minimum degree ordering on the structure of A^T+A. - ``COLAMD``: approximate minimum degree column ordering. This option can impact the convergence of the interior point algorithm; test different values to determine which performs best for your problem. For more information, refer to ``scipy.sparse.linalg.splu``. Returns ------- Search directions as defined in [4] References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ if A.shape[0] == 0: # If there are no constraints, some solvers fail (understandably) # rather than returning empty solution. This gets the job done. sparse, lstsq, sym_pos, cholesky = False, False, True, False solve = _get_solver(sparse, lstsq, sym_pos, cholesky) n_x = len(x) # [4] Equation 8.8 r_P = b * tau - A.dot(x) r_D = c * tau - A.T.dot(y) - z r_G = c.dot(x) - b.transpose().dot(y) + kappa mu = (x.dot(z) + tau * kappa) / (n_x + 1) # Assemble M from [4] Equation 8.31 Dinv = x / z splu = False if sparse and not lstsq: # sparse requires Dinv to be diag matrix M = A.dot(sps.diags(Dinv, 0, format="csc").dot(A.T)) try: # TODO: should use linalg.factorized instead, but I don't have # umfpack and therefore cannot test its performance solve = sps.linalg.splu(M, permc_spec=permc_spec).solve splu = True except Exception: lstsq = True solve = _get_solver(sparse, lstsq, sym_pos, cholesky) else: # dense does not; use broadcasting M = A.dot(Dinv.reshape(-1, 1) * A.T) # For some small problems, calling sp.linalg.solve w/ sym_pos = True # may be faster. I am pretty certain it caches the factorization for # multiple uses and checks the incoming matrix to see if it's the same as # the one it already factorized. (I can't explain the speed otherwise.) if cholesky: try: L = sp.linalg.cho_factor(M) except Exception: cholesky = False solve = _get_solver(sparse, lstsq, sym_pos, cholesky) # pc: "predictor-corrector" [4] Section 4.1 # In development this option could be turned off # but it always seems to improve performance substantially n_corrections = 1 if pc else 0 i = 0 alpha, d_x, d_z, d_tau, d_kappa = 0, 0, 0, 0, 0 while i <= n_corrections: # Reference [4] Eq. 8.6 rhatp = eta(gamma) * r_P rhatd = eta(gamma) * r_D rhatg = np.array(eta(gamma) * r_G).reshape((1,)) # Reference [4] Eq. 8.7 rhatxs = gamma * mu - x * z rhattk = np.array(gamma * mu - tau * kappa).reshape((1,)) if i == 1: if ip: # if the correction is to get "initial point" # Reference [4] Eq. 8.23 rhatxs = ((1 - alpha) * gamma * mu - x * z - alpha**2 * d_x * d_z) rhattk = np.array( (1 - alpha) * gamma * mu - tau * kappa - alpha**2 * d_tau * d_kappa).reshape( (1, )) else: # if the correction is for "predictor-corrector" # Reference [4] Eq. 8.13 rhatxs -= d_x * d_z rhattk -= d_tau * d_kappa # sometimes numerical difficulties arise as the solution is approached # this loop tries to solve the equations using a sequence of functions # for solve. For dense systems, the order is: # 1. scipy.linalg.cho_factor/scipy.linalg.cho_solve, # 2. scipy.linalg.solve w/ sym_pos = True, # 3. scipy.linalg.solve w/ sym_pos = False, and if all else fails # 4. scipy.linalg.lstsq # For sparse systems, the order is: # 1. scipy.sparse.linalg.splu # 2. scipy.sparse.linalg.lsqr # TODO: if umfpack is installed, use factorized instead of splu. # Can't do that now because factorized doesn't pass permc_spec # to splu if umfpack isn't installed. Also, umfpack not tested. solved = False while(not solved): try: solve_this = L if cholesky else M # [4] Equation 8.28 p, q = _sym_solve(Dinv, solve_this, A, c, b, solve, splu) # [4] Equation 8.29 u, v = _sym_solve(Dinv, solve_this, A, rhatd - (1 / x) * rhatxs, rhatp, solve, splu) if np.any(np.isnan(p)) or np.any(np.isnan(q)): raise LinAlgError solved = True except (LinAlgError, ValueError) as e: # Usually this doesn't happen. If it does, it happens when # there are redundant constraints or when approaching the # solution. If so, change solver. cholesky = False if not lstsq: if sym_pos: warn( "Solving system with option 'sym_pos':True " "failed. It is normal for this to happen " "occasionally, especially as the solution is " "approached. However, if you see this frequently, " "consider setting option 'sym_pos' to False.", OptimizeWarning) sym_pos = False else: warn( "Solving system with option 'sym_pos':False " "failed. This may happen occasionally, " "especially as the solution is " "approached. However, if you see this frequently, " "your problem may be numerically challenging. " "If you cannot improve the formulation, consider " "setting 'lstsq' to True. Consider also setting " "`presolve` to True, if it is not already.", OptimizeWarning) lstsq = True else: raise e solve = _get_solver(sparse, lstsq, sym_pos) # [4] Results after 8.29 d_tau = ((rhatg + 1 / tau * rhattk - (-c.dot(u) + b.dot(v))) / (1 / tau * kappa + (-c.dot(p) + b.dot(q)))) d_x = u + p * d_tau d_y = v + q * d_tau # [4] Relations between after 8.25 and 8.26 d_z = (1 / x) * (rhatxs - z * d_x) d_kappa = 1 / tau * (rhattk - kappa * d_tau) # [4] 8.12 and "Let alpha be the maximal possible step..." before 8.23 alpha = _get_step(x, d_x, z, d_z, tau, d_tau, kappa, d_kappa, 1) if ip: # initial point - see [4] 4.4 gamma = 10 else: # predictor-corrector, [4] definition after 8.12 beta1 = 0.1 # [4] pg. 220 (Table 8.1) gamma = (1 - alpha)**2 * min(beta1, (1 - alpha)) i += 1 return d_x, d_y, d_z, d_tau, d_kappa def _sym_solve(Dinv, M, A, r1, r2, solve, splu=False): """ An implementation of [4] equation 8.31 and 8.32 References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ # [4] 8.31 r = r2 + A.dot(Dinv * r1) if splu: v = solve(r) else: v = solve(M, r) # [4] 8.32 u = Dinv * (A.T.dot(v) - r1) return u, v def _get_step(x, d_x, z, d_z, tau, d_tau, kappa, d_kappa, alpha0): """ An implementation of [4] equation 8.21 References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ # [4] 4.3 Equation 8.21, ignoring 8.20 requirement # same step is taken in primal and dual spaces # alpha0 is basically beta3 from [4] Table 8.1, but instead of beta3 # the value 1 is used in Mehrota corrector and initial point correction i_x = d_x < 0 i_z = d_z < 0 alpha_x = alpha0 * np.min(x[i_x] / -d_x[i_x]) if np.any(i_x) else 1 alpha_tau = alpha0 * tau / -d_tau if d_tau < 0 else 1 alpha_z = alpha0 * np.min(z[i_z] / -d_z[i_z]) if np.any(i_z) else 1 alpha_kappa = alpha0 * kappa / -d_kappa if d_kappa < 0 else 1 alpha = np.min([1, alpha_x, alpha_tau, alpha_z, alpha_kappa]) return alpha def _get_message(status): """ Given problem status code, return a more detailed message. Parameters ---------- status : int An integer representing the exit status of the optimization:: 0 : Optimization terminated successfully 1 : Iteration limit reached 2 : Problem appears to be infeasible 3 : Problem appears to be unbounded 4 : Serious numerical difficulties encountered Returns ------- message : str A string descriptor of the exit status of the optimization. """ messages = ( ["Optimization terminated successfully.", "The iteration limit was reached before the algorithm converged.", "The algorithm terminated successfully and determined that the " "problem is infeasible.", "The algorithm terminated successfully and determined that the " "problem is unbounded.", "Numerical difficulties were encountered before the problem " "converged. Please check your problem formulation for errors, " "independence of linear equality constraints, and reasonable " "scaling and matrix condition numbers. If you continue to " "encounter this error, please submit a bug report." ]) return messages[status] def _do_step(x, y, z, tau, kappa, d_x, d_y, d_z, d_tau, d_kappa, alpha): """ An implementation of [4] Equation 8.9 References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ x = x + alpha * d_x tau = tau + alpha * d_tau z = z + alpha * d_z kappa = kappa + alpha * d_kappa y = y + alpha * d_y return x, y, z, tau, kappa def _get_blind_start(shape): """ Return the starting point from [4] 4.4 References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ m, n = shape x0 = np.ones(n) y0 = np.zeros(m) z0 = np.ones(n) tau0 = 1 kappa0 = 1 return x0, y0, z0, tau0, kappa0 def _indicators(A, b, c, c0, x, y, z, tau, kappa): """ Implementation of several equations from [4] used as indicators of the status of optimization. References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ # residuals for termination are relative to initial values x0, y0, z0, tau0, kappa0 = _get_blind_start(A.shape) # See [4], Section 4 - The Homogeneous Algorithm, Equation 8.8 def r_p(x, tau): return b * tau - A.dot(x) def r_d(y, z, tau): return c * tau - A.T.dot(y) - z def r_g(x, y, kappa): return kappa + c.dot(x) - b.dot(y) # np.dot unpacks if they are arrays of size one def mu(x, tau, z, kappa): return (x.dot(z) + np.dot(tau, kappa)) / (len(x) + 1) obj = c.dot(x / tau) + c0 def norm(a): return np.linalg.norm(a) # See [4], Section 4.5 - The Stopping Criteria r_p0 = r_p(x0, tau0) r_d0 = r_d(y0, z0, tau0) r_g0 = r_g(x0, y0, kappa0) mu_0 = mu(x0, tau0, z0, kappa0) rho_A = norm(c.T.dot(x) - b.T.dot(y)) / (tau + norm(b.T.dot(y))) rho_p = norm(r_p(x, tau)) / max(1, norm(r_p0)) rho_d = norm(r_d(y, z, tau)) / max(1, norm(r_d0)) rho_g = norm(r_g(x, y, kappa)) / max(1, norm(r_g0)) rho_mu = mu(x, tau, z, kappa) / mu_0 return rho_p, rho_d, rho_A, rho_g, rho_mu, obj def _display_iter(rho_p, rho_d, rho_g, alpha, rho_mu, obj, header=False): """ Print indicators of optimization status to the console. Parameters ---------- rho_p : float The (normalized) primal feasibility, see [4] 4.5 rho_d : float The (normalized) dual feasibility, see [4] 4.5 rho_g : float The (normalized) duality gap, see [4] 4.5 alpha : float The step size, see [4] 4.3 rho_mu : float The (normalized) path parameter, see [4] 4.5 obj : float The objective function value of the current iterate header : bool True if a header is to be printed References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. """ if header: print("Primal Feasibility ", "Dual Feasibility ", "Duality Gap ", "Step ", "Path Parameter ", "Objective ") # no clue why this works fmt = '{0:<20.13}{1:<20.13}{2:<20.13}{3:<17.13}{4:<20.13}{5:<20.13}' print(fmt.format( rho_p, rho_d, rho_g, alpha, rho_mu, obj)) def _ip_hsd(A, b, c, c0, alpha0, beta, maxiter, disp, tol, sparse, lstsq, sym_pos, cholesky, pc, ip, permc_spec): r""" Solve a linear programming problem in standard form: Minimize:: c @ x Subject to:: A @ x == b x >= 0 using the interior point method of [4]. Parameters ---------- A : 2D array 2D array such that ``A @ x``, gives the values of the equality constraints at ``x``. b : 1D array 1D array of values representing the RHS of each equality constraint (row) in ``A`` (for standard form problem). c : 1D array Coefficients of the linear objective function to be minimized (for standard form problem). c0 : float Constant term in objective function due to fixed (and eliminated) variables. (Purely for display.) alpha0 : float The maximal step size for Mehrota's predictor-corrector search direction; see :math:`\beta_3`of [4] Table 8.1 beta : float The desired reduction of the path parameter :math:`\mu` (see [6]_) maxiter : int The maximum number of iterations of the algorithm. disp : bool Set to ``True`` if indicators of optimization status are to be printed to the console each iteration. tol : float Termination tolerance; see [4]_ Section 4.5. sparse : bool Set to ``True`` if the problem is to be treated as sparse. However, the inputs ``A_eq`` and ``A_ub`` should nonetheless be provided as (dense) arrays rather than sparse matrices. lstsq : bool Set to ``True`` if the problem is expected to be very poorly conditioned. This should always be left as ``False`` unless severe numerical difficulties are frequently encountered, and a better option would be to improve the formulation of the problem. sym_pos : bool Leave ``True`` if the problem is expected to yield a well conditioned symmetric positive definite normal equation matrix (almost always). cholesky : bool Set to ``True`` if the normal equations are to be solved by explicit Cholesky decomposition followed by explicit forward/backward substitution. This is typically faster for moderate, dense problems that are numerically well-behaved. pc : bool Leave ``True`` if the predictor-corrector method of Mehrota is to be used. This is almost always (if not always) beneficial. ip : bool Set to ``True`` if the improved initial point suggestion due to [4]_ Section 4.3 is desired. It's unclear whether this is beneficial. permc_spec : str (default = 'MMD_AT_PLUS_A') (Has effect only with ``sparse = True``, ``lstsq = False``, ``sym_pos = True``.) A matrix is factorized in each iteration of the algorithm. This option specifies how to permute the columns of the matrix for sparsity preservation. Acceptable values are: - ``NATURAL``: natural ordering. - ``MMD_ATA``: minimum degree ordering on the structure of A^T A. - ``MMD_AT_PLUS_A``: minimum degree ordering on the structure of A^T+A. - ``COLAMD``: approximate minimum degree column ordering. This option can impact the convergence of the interior point algorithm; test different values to determine which performs best for your problem. For more information, refer to ``scipy.sparse.linalg.splu``. Returns ------- x_hat : float Solution vector (for standard form problem). status : int An integer representing the exit status of the optimization:: 0 : Optimization terminated successfully 1 : Iteration limit reached 2 : Problem appears to be infeasible 3 : Problem appears to be unbounded 4 : Serious numerical difficulties encountered message : str A string descriptor of the exit status of the optimization. iteration : int The number of iterations taken to solve the problem References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. .. [6] Freund, Robert M. "Primal-Dual Interior-Point Methods for Linear Programming based on Newton's Method." Unpublished Course Notes, March 2004. Available 2/25/2017 at: https://ocw.mit.edu/courses/sloan-school-of-management/15-084j-nonlinear-programming-spring-2004/lecture-notes/lec14_int_pt_mthd.pdf """ iteration = 0 # default initial point x, y, z, tau, kappa = _get_blind_start(A.shape) # first iteration is special improvement of initial point ip = ip if pc else False # [4] 4.5 rho_p, rho_d, rho_A, rho_g, rho_mu, obj = _indicators( A, b, c, c0, x, y, z, tau, kappa) go = rho_p > tol or rho_d > tol or rho_A > tol # we might get lucky : ) if disp: _display_iter(rho_p, rho_d, rho_g, "-", rho_mu, obj, header=True) status = 0 message = "Optimization terminated successfully." if sparse: A = sps.csc_matrix(A) A.T = A.transpose() # A.T is defined for sparse matrices but is slow # Redefine it to avoid calculating again # This is fine as long as A doesn't change while go: iteration += 1 if ip: # initial point # [4] Section 4.4 gamma = 1 def eta(g): return 1 else: # gamma = 0 in predictor step according to [4] 4.1 # if predictor/corrector is off, use mean of complementarity [6] # 5.1 / [4] Below Figure 10-4 gamma = 0 if pc else beta * np.mean(z * x) # [4] Section 4.1 def eta(g=gamma): return 1 - g try: # Solve [4] 8.6 and 8.7/8.13/8.23 d_x, d_y, d_z, d_tau, d_kappa = _get_delta( A, b, c, x, y, z, tau, kappa, gamma, eta, sparse, lstsq, sym_pos, cholesky, pc, ip, permc_spec) if ip: # initial point # [4] 4.4 # Formula after 8.23 takes a full step regardless if this will # take it negative alpha = 1.0 x, y, z, tau, kappa = _do_step( x, y, z, tau, kappa, d_x, d_y, d_z, d_tau, d_kappa, alpha) x[x < 1] = 1 z[z < 1] = 1 tau = max(1, tau) kappa = max(1, kappa) ip = False # done with initial point else: # [4] Section 4.3 alpha = _get_step(x, d_x, z, d_z, tau, d_tau, kappa, d_kappa, alpha0) # [4] Equation 8.9 x, y, z, tau, kappa = _do_step( x, y, z, tau, kappa, d_x, d_y, d_z, d_tau, d_kappa, alpha) except (LinAlgError, FloatingPointError, ValueError, ZeroDivisionError): # this can happen when sparse solver is used and presolve # is turned off. Also observed ValueError in AppVeyor Python 3.6 # Win32 build (PR #8676). I've never seen it otherwise. status = 4 message = _get_message(status) break # [4] 4.5 rho_p, rho_d, rho_A, rho_g, rho_mu, obj = _indicators( A, b, c, c0, x, y, z, tau, kappa) go = rho_p > tol or rho_d > tol or rho_A > tol if disp: _display_iter(rho_p, rho_d, rho_g, alpha, float(rho_mu), obj) # [4] 4.5 inf1 = (rho_p < tol and rho_d < tol and rho_g < tol and tau < tol * max(1, kappa)) inf2 = rho_mu < tol and tau < tol * min(1, kappa) if inf1 or inf2: # [4] Lemma 8.4 / Theorem 8.3 if b.transpose().dot(y) > tol: status = 2 else: # elif c.T.dot(x) < tol: ? Probably not necessary. status = 3 message = _get_message(status) break elif iteration >= maxiter: status = 1 message = _get_message(status) break x_hat = x / tau # [4] Statement after Theorem 8.2 return x_hat, status, message, iteration def _linprog_ip( c, c0=0, A=None, b=None, callback=None, alpha0=.99995, beta=0.1, maxiter=1000, disp=False, tol=1e-8, sparse=False, lstsq=False, sym_pos=True, cholesky=None, pc=True, ip=False, permc_spec='MMD_AT_PLUS_A', **unknown_options): r""" Minimize a linear objective function subject to linear equality and non-negativity constraints using the interior point method of [4]_. Linear programming is intended to solve problems of the following form: Minimize:: c @ x Subject to:: A @ x == b x >= 0 Parameters ---------- c : 1D array Coefficients of the linear objective function to be minimized. c0 : float Constant term in objective function due to fixed (and eliminated) variables. (Purely for display.) A : 2D array 2D array such that ``A @ x``, gives the values of the equality constraints at ``x``. b : 1D array 1D array of values representing the right hand side of each equality constraint (row) in ``A``. Options ------- maxiter : int (default = 1000) The maximum number of iterations of the algorithm. disp : bool (default = False) Set to ``True`` if indicators of optimization status are to be printed to the console each iteration. tol : float (default = 1e-8) Termination tolerance to be used for all termination criteria; see [4]_ Section 4.5. alpha0 : float (default = 0.99995) The maximal step size for Mehrota's predictor-corrector search direction; see :math:`\beta_{3}` of [4]_ Table 8.1. beta : float (default = 0.1) The desired reduction of the path parameter :math:`\mu` (see [6]_) when Mehrota's predictor-corrector is not in use (uncommon). sparse : bool (default = False) Set to ``True`` if the problem is to be treated as sparse after presolve. If either ``A_eq`` or ``A_ub`` is a sparse matrix, this option will automatically be set ``True``, and the problem will be treated as sparse even during presolve. If your constraint matrices contain mostly zeros and the problem is not very small (less than about 100 constraints or variables), consider setting ``True`` or providing ``A_eq`` and ``A_ub`` as sparse matrices. lstsq : bool (default = False) Set to ``True`` if the problem is expected to be very poorly conditioned. This should always be left ``False`` unless severe numerical difficulties are encountered. Leave this at the default unless you receive a warning message suggesting otherwise. sym_pos : bool (default = True) Leave ``True`` if the problem is expected to yield a well conditioned symmetric positive definite normal equation matrix (almost always). Leave this at the default unless you receive a warning message suggesting otherwise. cholesky : bool (default = True) Set to ``True`` if the normal equations are to be solved by explicit Cholesky decomposition followed by explicit forward/backward substitution. This is typically faster for moderate, dense problems that are numerically well-behaved. pc : bool (default = True) Leave ``True`` if the predictor-corrector method of Mehrota is to be used. This is almost always (if not always) beneficial. ip : bool (default = False) Set to ``True`` if the improved initial point suggestion due to [4]_ Section 4.3 is desired. Whether this is beneficial or not depends on the problem. permc_spec : str (default = 'MMD_AT_PLUS_A') (Has effect only with ``sparse = True``, ``lstsq = False``, ``sym_pos = True``.) A matrix is factorized in each iteration of the algorithm. This option specifies how to permute the columns of the matrix for sparsity preservation. Acceptable values are: - ``NATURAL``: natural ordering. - ``MMD_ATA``: minimum degree ordering on the structure of A^T A. - ``MMD_AT_PLUS_A``: minimum degree ordering on the structure of A^T+A. - ``COLAMD``: approximate minimum degree column ordering. This option can impact the convergence of the interior point algorithm; test different values to determine which performs best for your problem. For more information, refer to ``scipy.sparse.linalg.splu``. Returns ------- x : 1D array Solution vector. status : int An integer representing the exit status of the optimization:: 0 : Optimization terminated successfully 1 : Iteration limit reached 2 : Problem appears to be infeasible 3 : Problem appears to be unbounded 4 : Serious numerical difficulties encountered message : str A string descriptor of the exit status of the optimization. iteration : int The number of iterations taken to solve the problem. Notes ----- This method implements the algorithm outlined in [4]_ with ideas from [8]_ and a structure inspired by the simpler methods of [6]_ and [4]_. The primal-dual path following method begins with initial 'guesses' of the primal and dual variables of the standard form problem and iteratively attempts to solve the (nonlinear) Karush-Kuhn-Tucker conditions for the problem with a gradually reduced logarithmic barrier term added to the objective. This particular implementation uses a homogeneous self-dual formulation, which provides certificates of infeasibility or unboundedness where applicable. The default initial point for the primal and dual variables is that defined in [4]_ Section 4.4 Equation 8.22. Optionally (by setting initial point option ``ip=True``), an alternate (potentially improved) starting point can be calculated according to the additional recommendations of [4]_ Section 4.4. A search direction is calculated using the predictor-corrector method (single correction) proposed by Mehrota and detailed in [4]_ Section 4.1. (A potential improvement would be to implement the method of multiple corrections described in [4]_ Section 4.2.) In practice, this is accomplished by solving the normal equations, [4]_ Section 5.1 Equations 8.31 and 8.32, derived from the Newton equations [4]_ Section 5 Equations 8.25 (compare to [4]_ Section 4 Equations 8.6-8.8). The advantage of solving the normal equations rather than 8.25 directly is that the matrices involved are symmetric positive definite, so Cholesky decomposition can be used rather than the more expensive LU factorization. With the default ``cholesky=True``, this is accomplished using ``scipy.linalg.cho_factor`` followed by forward/backward substitutions via ``scipy.linalg.cho_solve``. With ``cholesky=False`` and ``sym_pos=True``, Cholesky decomposition is performed instead by ``scipy.linalg.solve``. Based on speed tests, this also appears to retain the Cholesky decomposition of the matrix for later use, which is beneficial as the same system is solved four times with different right hand sides in each iteration of the algorithm. In problems with redundancy (e.g. if presolve is turned off with option ``presolve=False``) or if the matrices become ill-conditioned (e.g. as the solution is approached and some decision variables approach zero), Cholesky decomposition can fail. Should this occur, successively more robust solvers (``scipy.linalg.solve`` with ``sym_pos=False`` then ``scipy.linalg.lstsq``) are tried, at the cost of computational efficiency. These solvers can be used from the outset by setting the options ``sym_pos=False`` and ``lstsq=True``, respectively. Note that with the option ``sparse=True``, the normal equations are solved using ``scipy.sparse.linalg.spsolve``. Unfortunately, this uses the more expensive LU decomposition from the outset, but for large, sparse problems, the use of sparse linear algebra techniques improves the solve speed despite the use of LU rather than Cholesky decomposition. A simple improvement would be to use the sparse Cholesky decomposition of ``CHOLMOD`` via ``scikit-sparse`` when available. Other potential improvements for combatting issues associated with dense columns in otherwise sparse problems are outlined in [4]_ Section 5.3 and [10]_ Section 4.1-4.2; the latter also discusses the alleviation of accuracy issues associated with the substitution approach to free variables. After calculating the search direction, the maximum possible step size that does not activate the non-negativity constraints is calculated, and the smaller of this step size and unity is applied (as in [4]_ Section 4.1.) [4]_ Section 4.3 suggests improvements for choosing the step size. The new point is tested according to the termination conditions of [4]_ Section 4.5. The same tolerance, which can be set using the ``tol`` option, is used for all checks. (A potential improvement would be to expose the different tolerances to be set independently.) If optimality, unboundedness, or infeasibility is detected, the solve procedure terminates; otherwise it repeats. The expected problem formulation differs between the top level ``linprog`` module and the method specific solvers. The method specific solvers expect a problem in standard form: Minimize:: c @ x Subject to:: A @ x == b x >= 0 Whereas the top level ``linprog`` module expects a problem of form: Minimize:: c @ x Subject to:: A_ub @ x <= b_ub A_eq @ x == b_eq lb <= x <= ub where ``lb = 0`` and ``ub = None`` unless set in ``bounds``. The original problem contains equality, upper-bound and variable constraints whereas the method specific solver requires equality constraints and variable non-negativity. ``linprog`` module converts the original problem to standard form by converting the simple bounds to upper bound constraints, introducing non-negative slack variables for inequality constraints, and expressing unbounded variables as the difference between two non-negative variables. References ---------- .. [4] Andersen, Erling D., and Knud D. Andersen. "The MOSEK interior point optimizer for linear programming: an implementation of the homogeneous algorithm." High performance optimization. Springer US, 2000. 197-232. .. [6] Freund, Robert M. "Primal-Dual Interior-Point Methods for Linear Programming based on Newton's Method." Unpublished Course Notes, March 2004. Available 2/25/2017 at https://ocw.mit.edu/courses/sloan-school-of-management/15-084j-nonlinear-programming-spring-2004/lecture-notes/lec14_int_pt_mthd.pdf .. [8] Andersen, Erling D., and Knud D. Andersen. "Presolving in linear programming." Mathematical Programming 71.2 (1995): 221-245. .. [9] Bertsimas, Dimitris, and J. Tsitsiklis. "Introduction to linear programming." Athena Scientific 1 (1997): 997. .. [10] Andersen, Erling D., et al. Implementation of interior point methods for large scale linear programming. HEC/Universite de Geneve, 1996. """ _check_unknown_options(unknown_options) if callback is not None: raise NotImplementedError("method 'interior-point' does not support " "callback functions.") # These should be warnings, not errors if sparse and lstsq: warn("Invalid option combination 'sparse':True " "and 'lstsq':True; Sparse least squares is not recommended.", OptimizeWarning) if sparse and not sym_pos: warn("Invalid option combination 'sparse':True " "and 'sym_pos':False; the effect is the same as sparse least " "squares, which is not recommended.", OptimizeWarning) if sparse and cholesky: # Cholesky decomposition is not available for sparse problems warn("Invalid option combination 'sparse':True " "and 'cholesky':True; sparse Colesky decomposition is not " "available.", OptimizeWarning) if lstsq and cholesky: warn("Invalid option combination 'lstsq':True " "and 'cholesky':True; option 'cholesky' has no effect when " "'lstsq' is set True.", OptimizeWarning) valid_permc_spec = ('NATURAL', 'MMD_ATA', 'MMD_AT_PLUS_A', 'COLAMD') if permc_spec.upper() not in valid_permc_spec: warn("Invalid permc_spec option: '" + str(permc_spec) + "'. " "Acceptable values are 'NATURAL', 'MMD_ATA', 'MMD_AT_PLUS_A', " "and 'COLAMD'. Reverting to default.", OptimizeWarning) permc_spec = 'MMD_AT_PLUS_A' # This can be an error if not sym_pos and cholesky: raise ValueError( "Invalid option combination 'sym_pos':False " "and 'cholesky':True: Cholesky decomposition is only possible " "for symmetric positive definite matrices.") cholesky = cholesky is None and sym_pos and not sparse and not lstsq x, status, message, iteration = _ip_hsd(A, b, c, c0, alpha0, beta, maxiter, disp, tol, sparse, lstsq, sym_pos, cholesky, pc, ip, permc_spec) return x, status, message, iteration