git subrepo pull mp-opt-model

subrepo: subdir: "mp-opt-model" merged: "1dd6e8e8" upstream: origin: "[email protected]:MATPOWER/mp-opt-model" branch: "master" commit: "1dd6e8e8" git-subrepo: version: "0.4.9" origin: "https://github.com/ingydotnet/git-subrepo" commit: "b00d41b"
MATPOWER · Feb 12, 2025 · b1890e9 · b1890e9
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diff --git a/mp-opt-model/.gitrepo b/mp-opt-model/.gitrepo
@@ -6,7 +6,7 @@
 [subrepo]
 	remote = [email protected]:MATPOWER/mp-opt-model
 	branch = master
-	commit = 9c9ff65abf88021e1f8fabeacad617b609433b32
-	parent = 2f766a4ab4ff55a563b811be068f2f397f0f0862
+	commit = 1dd6e8e8aa9d96e216c1de6b9f827b04b309b6b6
+	parent = e3c4baf74fa20f2d65ee69faaff849afc9689295
 	method = merge
 	cmdver = 0.4.9
diff --git a/mp-opt-model/CHANGES.md b/mp-opt-model/CHANGES.md
@@ -5,6 +5,10 @@ Change history for MP-Opt-Model
 since 4.2
 ---------
 
+#### 10/29/24
+  - Add `relax_integer` option for `opt_model.solve()`. Set to true to easily
+    solve the LP or QP relaxation of a mixed integer LP or QP.
+
 #### 8/17/24
   - Add `mp.set_manager_opt_model` base class to handle common `opt_model`
     functionality, such as handling solutions, for the individual field

diff --git a/mp-opt-model/docs/src/MP-Opt-Model-manual/MP-Opt-Model-manual.tex b/mp-opt-model/docs/src/MP-Opt-Model-manual/MP-Opt-Model-manual.tex
@@ -2444,6 +2444,7 @@ \subsection{Solving the Model}
 \end{tabular}	\\
 \code{~~parse\_soln}	& 0	& flag that specifies whether or not to call the \code{parse\_soln} method and place the return values in the \code{soln}
 property of the field type objects \\
+\code{~~relax\_integer}	& 0	& relax integer constraints, if true \\
 \code{~~x0}	& \emph{empty}	& optional initial value of $x$, overrides value stored in model, \emph{(ignored by some solvers)}	\\
 \midrule
 \multicolumn{3}{l}{\emph{Additional Options for Specific Problem Types}} \\
@@ -4669,7 +4670,7 @@ \subsection{Version 4.3 -- released ??? ?, 202?}
 
 \subsubsection*{New Features}
 \begin{itemize}
-\item 
+\item New \code{relax\_integer} option for \code{opt\_model.solve()}. Set to true to easily solve the LP or QP relaxation of a mixed integer LP or QP.
 \item New classes:
     \begin{itemize}
     \item \code{mp.set\_manager} encapsulates \code{mp\_idx\_manager} functionality into an individual field object representing a specific set type, rather than in the container class.

diff --git a/mp-opt-model/lib/+mp/set_manager_opt_model.m b/mp-opt-model/lib/+mp/set_manager_opt_model.m
@@ -316,15 +316,13 @@
             end
             nargs = length(args);
 
-            if nargs < 2
-                idx = [];
-                if nargs < 1
-                    name = [];
-                else
-                    name = args{1};
+            idx = [];
+            name = [];
+            if nargs >= 1
+                name = args{1};
+                if nargs >= 2
+                    idx = args{2};
                 end
-            else
-                idx = args{2};
             end
 
             if obj.N

diff --git a/mp-opt-model/lib/@opt_model/display_soln.m b/mp-opt-model/lib/@opt_model/display_soln.m
@@ -60,12 +60,15 @@
 end
 nargs = length(args);
 
-if nargs < 3
-    idx = [];
-    if nargs < 2
-        name = [];
-        if nargs < 1
-            set_type = 'all';
+set_type = 'all';
+name = [];
+idx = [];
+if nargs >= 1
+    set_type = args{1};
+    if nargs >= 2
+        name = args{2};
+        if nargs >= 3
+            idx = args{3};
         end
     end
 end

diff --git a/mp-opt-model/lib/@opt_model/solve.m b/mp-opt-model/lib/@opt_model/solve.m
@@ -87,6 +87,7 @@
 %               value and primal variable relative match required to avoid
 %               mis-match warning message if mixed integer price computation
 %               stage is not skipped
+%           relax_integer (0) - relax integer constraints, if true
 %           skip_prices (0) - flag that specifies whether or not to skip the
 %               price computation stage for mixed integer problems, in which
 %               the problem is re-solved for only the continuous variables,
@@ -135,8 +136,6 @@
 %% call appropriate solver
 pt = om.problem_type();
 switch pt
-    case 'MINLP'        %% MINLP - mixed integer non-linear program
-        error('opt_model.solve: not yet implemented for ''MINLP'' problems.')
     case 'LEQ'          %% LEQ   - linear equations
         if isfield(opt, 'leq_opt')
             if isfield(opt.leq_opt, 'solver')
@@ -202,26 +201,34 @@
             case 'PNE'  %% PNE - parameterized nonlinear equation
                 [x, f, eflag, output, lambda] = pnes_master(fcn, x0, opt);
         end
-    case 'NLP'          %% NLP   - nonlinear program
-        %% optimization vars, bounds, types
-        [x0, xmin, xmax] = om.params_var();
-        if isfield(opt, 'x0')
-            x0 = opt.x0;
+    case {'MINLP', 'NLP'}
+        mixed_integer = strcmp(pt(1:2), 'MI') && ...
+            (~isfield(opt, 'relax_integer') || ~opt.relax_integer);
+        if mixed_integer    %% MINLP - mixed integer non-linear program
+            error('opt_model.solve: not yet implemented for ''MINLP'' problems.')
+        else                %% NLP   - nonlinear program
+            %% optimization vars, bounds, types
+            [x0, xmin, xmax] = om.params_var();
+            if isfield(opt, 'x0')
+                x0 = opt.x0;
+            end
+
+            %% run solver
+            [A, l, u] = om.params_lin_constraint();
+            f_fcn = @(x)nlp_costfcn(om, x);
+            gh_fcn = @(x)nlp_consfcn(om, x);
+            hess_fcn = @(x, lambda, cost_mult)nlp_hessfcn(om, x, lambda, cost_mult);
+            [x, f, eflag, output, lambda] = ...
+                nlps_master(f_fcn, x0, A, l, u, xmin, xmax, gh_fcn, hess_fcn, opt);
         end
-
-        %% run solver
-        [A, l, u] = om.params_lin_constraint();
-        f_fcn = @(x)nlp_costfcn(om, x);
-        gh_fcn = @(x)nlp_consfcn(om, x);
-        hess_fcn = @(x, lambda, cost_mult)nlp_hessfcn(om, x, lambda, cost_mult);
-        [x, f, eflag, output, lambda] = ...
-            nlps_master(f_fcn, x0, A, l, u, xmin, xmax, gh_fcn, hess_fcn, opt);
     otherwise
         %% get parameters
         [HH, CC, C0] = om.params_quad_cost();
         [A, l, u] = om.params_lin_constraint();
+        mixed_integer = strcmp(pt(1:2), 'MI') && ...
+            (~isfield(opt, 'relax_integer') || ~opt.relax_integer);
 
-        if strcmp(pt(1:2), 'MI')    %% MILP, MIQP - mixed integer linear/quadratic program
+        if mixed_integer    %% MILP, MIQP - mixed integer linear/quadratic program
             %% optimization vars, bounds, types
             [x0, xmin, xmax, vtype] = om.params_var();
             if isfield(opt, 'x0')
@@ -231,7 +238,7 @@
             %% run solver
             [x, f, eflag, output, lambda] = ...
                 miqps_master(HH, CC, A, l, u, xmin, xmax, x0, vtype, opt);
-        else                        %% LP, QP - linear/quadratic program
+        else                %% LP, QP - linear/quadratic program
             %% optimization vars, bounds, types
             [x0, xmin, xmax] = om.params_var();
             if isfield(opt, 'x0')

diff --git a/mp-opt-model/lib/miqps_master.m b/mp-opt-model/lib/miqps_master.m
@@ -192,14 +192,18 @@
         alg = 'CPLEX';
     elseif have_feature('mosek')    %% if not, then MOSEK, if available
         alg = 'MOSEK';
-    elseif isempty(H) || ~any(any(H))   %% if not, and linear objective
-        if have_feature('intlinprog')   %% then Optimization Tbx, if available
-            alg = 'OT';
-        elseif have_feature('glpk')     %% if not, and then GLPK, if available
-            alg = 'GLPK';
-        end
     else
-        error('miqps_master: no solvers available - requires CPLEX, Gurobi, MOSEK, INTLINPROG or GLPK');
+        if isempty(H) || ~any(any(H))   %% if not, and linear objective
+            if have_feature('intlinprog')   %% then Optimization Tbx, if available
+                alg = 'OT';
+            elseif have_feature('glpk')     %% if not, and then GLPK, if available
+                alg = 'GLPK';
+            else
+                error('miqps_master: no solvers available - requires CPLEX, Gurobi, MOSEK, INTLINPROG or GLPK');
+            end
+        else                            %% if not, and quadratic objective
+            error('miqps_master: no solvers available - requires CPLEX, Gurobi, or MOSEK');
+        end
     end
 end
 

diff --git a/mp-opt-model/lib/mpomver.m b/mp-opt-model/lib/mpomver.m
@@ -26,7 +26,7 @@
 v = struct( 'Name',     'MP-Opt-Model', ... 
             'Version',  '4.3-dev', ...
             'Release',  '', ...
-            'Date',     '30-Aug-2024' );
+            'Date',     '29-Oct-2024' );
 if nargout > 0
     if nargin > 0
         rv = v;

diff --git a/mp-opt-model/lib/t/t_miqps_master.m b/mp-opt-model/lib/t/t_miqps_master.m
@@ -15,7 +15,7 @@ function t_miqps_master(quiet)
 
 algs = {'DEFAULT', 'CPLEX', 'MOSEK', 'GUROBI', 'GLPK', 'OT'};
 names = {'DEFAULT', 'CPLEX', 'MOSEK', 'Gurobi', 'glpk', 'intlin/lin/quadprog'};
-check = {@have_miqp_solver, 'cplex', 'mosek', 'gurobi', 'glpk', 'intlinprog'};
+check = {@have_milp_solver, 'cplex', 'mosek', 'gurobi', 'glpk', 'intlinprog'};
 does_qp = [0 1 1 1 0 0];
 if have_feature('gurobi') || have_feature('cplex') || have_feature('mosek')
     does_qp(1) = 1;
@@ -213,6 +213,9 @@ function t_miqps_master(quiet)
         if does_qp(k)
             t = sprintf('%s - 4-d MIQP : ', names{k});
             %% from cplexmiqpex.m, CPLEX_Studio_Academic124/cplex/examples/src/matlab/cplexmiqpex.m
+            %% Note: This is a lame example; the integer relaxed problem already
+            %%       has an integer feasible solution, so this is actually just
+            %%       a simple QP. -RDZ 10/29/24
             H = sparse([ 33   6    0    0;
                           6  22   11.5  0;
                           0  11.5 11    0;
@@ -271,7 +274,7 @@ function t_miqps_master(quiet)
 
 t_end;
 
-function TorF = have_miqp_solver()
+function TorF = have_milp_solver()
 TorF = have_feature('cplex') || have_feature('glpk') || ...
     have_feature('gurobi') || have_feature('intlinprog') || ...
     have_feature('mosek');

diff --git a/mp-opt-model/lib/t/t_om_solve_miqps.m b/mp-opt-model/lib/t/t_om_solve_miqps.m
@@ -15,14 +15,14 @@ function t_om_solve_miqps(quiet)
 
 algs = {'DEFAULT', 'CPLEX', 'MOSEK', 'GUROBI', 'GLPK', 'OT'};
 names = {'DEFAULT', 'CPLEX', 'MOSEK', 'Gurobi', 'glpk', 'intlin/lin/quadprog'};
-check = {@have_miqp_solver, 'cplex', 'mosek', 'gurobi', 'glpk', 'intlinprog'};
+check = {@have_milp_solver, 'cplex', 'mosek', 'gurobi', 'glpk', 'intlinprog'};
 does_qp = [0 1 1 1 0 0];
 if have_feature('gurobi') || have_feature('cplex') || have_feature('mosek')
     does_qp(1) = 1;
 end
 
-n = 17;
-nmiqp = 10;
+n = 33;
+nmiqp = 20;
 nmiqp_soln = 30;
 diff_tool = 'bbdiff';
 show_diff_on_fail = false;
@@ -87,6 +87,8 @@ function t_om_solve_miqps(quiet)
             end
             opt.mosek_opt = mosek_options([], mpopt);
         end
+        opt_r = opt;
+        opt_r.relax_integer = 1;
 
 % opt.verbose = 3;
         t = sprintf('%s - 2-d ILP : ', names{k});
@@ -105,6 +107,11 @@ function t_om_solve_miqps(quiet)
         t_is(x, [4; 2], 12, [t 'x']);
         t_is(f, -14, 12, [t 'f']);
         t_ok(~om.has_parsed_soln(), [t 'has_parsed_soln() is false']);
+        t = sprintf('%s - 2-d ILP (integer relaxed) : ', names{k});
+        [x, f, s, out, lam] = om.solve(opt_r);
+        t_is(s, 1, 12, [t 'success']);
+        t_is(x, [2.441860465; 3.255813953], 8, [t 'x']);
+        t_is(f, -14.651162791, 8, [t 'f']);
 
         t = sprintf('%s - 6-d ILP : ', names{k});
         %% from https://doi.org/10.1109/TASE.2020.2998048
@@ -125,10 +132,19 @@ function t_om_solve_miqps(quiet)
              norm(x - [0; 0; 3; 1; 0; 2], Inf) < 1e-12 || ...
              norm(x - [0; 0; 3; 0; 2; 1], Inf) < 1e-12, [t 'x']);
         t_is(f, 16, 12, [t 'f']);
+        t = sprintf('%s - 6-d ILP (integer relaxed) : ', names{k});
+        [x, f, s, out, lam] = om.solve(opt_r);
+        t_is(s, 1, 12, [t 'success']);
+        t_ok(norm(x - [0; 0; 2.7; 0; 0; 2.5], Inf) < 1e-12 || ...
+             norm(x - [0; 0; 3.0; 0; 0; 2.2], Inf) < 1e-12, [t 'x']);
+        t_is(f, 15.6, 12, [t 'f']);
 
         if does_qp(k)
             t = sprintf('%s - 4-d MIQP : ', names{k});
             %% from cplexmiqpex.m, CPLEX_Studio_Academic124/cplex/examples/src/matlab/cplexmiqpex.m
+            %% Note: This is a lame example; the integer relaxed problem already
+            %%       has an integer feasible solution, so this is actually just
+            %%       a simple QP. -RDZ 10/29/24
             H = sparse([ 33   6    0    0;
                           6  22   11.5  0;
                           0  11.5 11    0;
@@ -157,6 +173,15 @@ function t_om_solve_miqps(quiet)
             t_is(lam.mu_u, [0; 272; 0], 6, [t 'lam.mu_u']);
             t_is(lam.lower, [0; 0; 349.5; 4350], 5, [t 'lam.lower']);
             t_is(lam.upper, [0; 0; 0; 0], 7, [t 'lam.upper']);
+            t = sprintf('%s - 4-d MIQP (integer relaxed) : ', names{k});
+            [x, f, s, out, lam] = om.solve(opt_r);
+            t_is(s, 1, 12, [t 'success']);
+            t_is(x, [7; 7; 0; 2], 7, [t 'x']);
+            t_is(f, 1618.5, 4, [t 'f']);
+            t_is(lam.mu_l, [466; 0; 0], 6, [t 'lam.mu_l']);
+            t_is(lam.mu_u, [0; 272; 0], 6, [t 'lam.mu_u']);
+            t_is(lam.lower, [0; 0; 349.5; 4350], 5, [t 'lam.lower']);
+            t_is(lam.upper, [0; 0; 0; 0], 7, [t 'lam.upper']);
 
             t = sprintf('%s - 6-d IQP : ', names{k});
             %% from Bragin, et. al. https://doi.org/10.1007/s10957-014-0561-3
@@ -176,14 +201,19 @@ function t_om_solve_miqps(quiet)
                  norm(x - [17; 0; 16; 0; 17; 0], Inf) < 1e-7 || ...
                  norm(x - [17; 0; 17; 0; 16; 0], Inf) < 1e-7, [t 'x']);
             t_is(f, 417, 6, [t 'f']);
+            t = sprintf('%s - 6-d IQP (integer relaxed) : ', names{k});
+            [x, f, s, out, lam] = om.solve(opt_r);
+            t_is(s, 1, 12, [t 'success']);
+            t_is(x, [50;0;50;0;50;0]/3, 8, [t 'x']);
+            t_is(f, 1250/3, 6, [t 'f']);
         else
             t_skip(nmiqp, sprintf('%s does not handle MIQP problems', names{k}));
         end
 % opt.verbose = 0;
     end
 end
 
-if have_miqp_solver()
+if have_milp_solver()
     t = 'om.soln.';
     c = [-2; -3];
     A = sparse([195 273; 4 40]);
@@ -276,7 +306,7 @@ function t_om_solve_miqps(quiet)
 
 t_end;
 
-function TorF = have_miqp_solver()
+function TorF = have_milp_solver()
 TorF = have_feature('cplex') || have_feature('glpk') || ...
     have_feature('gurobi') || have_feature('intlinprog') || ...
     have_feature('mosek');