Skip to content

Latest commit

 

History

History
192 lines (151 loc) · 12.6 KB

README.md

File metadata and controls

192 lines (151 loc) · 12.6 KB
Raw

MORSE

Author: Noah Schulhof with guidance from Pattara Sukprasert, Alejandro Schaffer, Samir Khuller, and Eytan Ruppin

Integer Linear Program (ILPs) and Mixed Integer Linear Programs (MILPs) are optimization problems in which a linear objective function is minimized or maximized while satisfying a set of linear constraints. All variables in ILPs are constrained to only take on integer values, while only some variables in MILPs must be integral. ILPs and MILPs often have multiple distinct optimal solutions, yet many optimization solvers struggle to efficiently explore the space of optima, returning certain solutions at disproportionately high frequencies. In the present work, we introduce MORSE (Multiple Optima via Random Sampling and careful choice of the parameter Epsilon), a parallelizable algorithm to efficiently generate multiple optima for ILPs and MILPs.

Paramount to our method is the selection of a small value $ε$ that determines the maximum value by which we may vary the objective function coefficients, as we explain with the following example. Consider the following instance: maximizing the expression $x+y$ subject to the constraints $x,y≤2$ and $x+y≤3.5$, $x,y∈Z$. Suppose we choose $ε=0.01$. Next, we randomly generate a perturbation vector of length two (equal to the number of coefficients in the objective function) whose entries $v_1, v_2 \stackrel{\text{i.i.d.}}{\sim} \mathcal{U}(1-ε, 1+ε)$. An example of such a perturbation vector is $[0.99864, 1.00142]$. We then map the vector entries to the coefficients in the objective function, which becomes $0.99864x+1.00142y$. Without modifying the constraints, we solve the resulting instance and obtain the optimum $\{x=1, y=2\}$. On another execution of MORSE, with the same value for $ε$, suppose we randomly generate the perturbation vector $[1.00045, 0.99312]$. After mapping the vector entries to the coefficients in the objective function, and solving the instance, we obtain the optimum $\{x=2, y=1\}$. By executing two independent runs of MORSE, we can find the two distinct optima for the provided instance. To generalize this notion, for any instance with $n>1$ distinct optima, we aim to find all distinct optima in $r≥n$ independent MORSE runs.

If $ε$ is sufficiently small, we can prove that each optimum of the perturbed instance is an optimum of the original instance. By executing several MORSE runs in parallel, and aggregating the solutions found, one can explore the space of optima to any ILP or MILP.

Prerequisites

Installing Gurobi with Conda

The following command installs Gurobi (version 11.0.0) and gurobipy

$ conda install -c gurobi gurobi

pandas comes pre-installed with the Anaconda Distribution. Users running the Miniconda Distribution should execute the command:

$ conda install -c conda-forge pandas

Obtaining a Gurobi License

To use the Gurobi Optimizer, a valid license is required. A guide to the available licenses can be found here.

Scripts

MORSE includes four scripts: three top-level scripts and one script containing helper functions.

  • solve.py -- solve one instance one time
  • parallel.py -- set up parallel runs of solve.py for the same instance but different pertubation vectors
  • agg.py -- aggregate solutions to collect summary data
  • morse.py -- helper functions

Instructions for using solve.py, parallel.py, and agg.py can be found below.

Usage

$ python3 solve.py \
    --instance_filepath instance.mps
  • To write solutions to csv file, simply supply a filepath to the intended solutions file
$ python3 solve.py \
    --instance_filepath instance.mps \
    --sol_filepath solutions.csv

Arguments to solve.py

For solve.py and the other programs in MORSE each command-line argument has a one-letter version preceded by a single-dash (good for compact command lines) and an equivalent long form preceded by two dashes (good for remembering the purpose of each argument).

-i, --instance_filepath filepath to instance (in .mps or .mps.gz format)
-s, --sol_filepath filepath to solutions file [default=None]
-r, --random_seed seed for Gurobi and random weights (if perturbation vector is not supplied) [default=None]
-p, --perturbation_filepath filepath to csv file with one perturbation vector per line [default=None]
-l, --perturbation_line line in perturbation file on which the perturbation is found [default=1]

If -r/--random_seed is not supplied, then no random seed nor Gurobi seed will be set. If both -r/--random_seed and -p/--perturbation_filepath are supplied, then the seed will exclusively be used to set the Gurobi seed.

Example Run

$ wget https://miplib2010.zib.de/miplib3/miplib3/p0033.mps.gz
$ python3 solve.py \
    --instance_filepath p0033.mps.gz \
    --sol_filepath p0033_sols.csv

p0033.mps.gz is one of the instances listed below in the subsection Sample MPS Files.

Example Output

Solutions are written in csv format to the filepath supplied to --sol_filepath; If no value is supplied, solutions will not be stored. Solution files contain the following fields:

  • VarName: names of variables in the objective function
  • Value: values of variables post-optimization
  • Weight multiplicative perturbations mapped to variables' coefficients in the objective function

Executing the example run should yield a solution file at filepath p0033_sols.csv that resembles the following (Value and Weight values will naturally differ between runs):

VarName Value Weight
C157 1.0 0.9999736987837438
C158 -0.0 1.0000201635866284
C159 -0.0 1.0000600005644749
... ... ...
C187 0.0 1.0000163156917197
C188 -0.0 0.9999720270642298
C189 0.0 1.0000057960341204

Full sample output can be found here.

Parallelization

Central to MORSE is the ability to execute several runs in parallel. parallel.py can be used to generate parallelizable bash scripts.

Arguments to parallel.py

-f, --script_filepath filepath to parallelized script
-i, --instance_filepath filepath to instance (in .mps or .mps.gz format)
-n, --num_runs number of runs to be executed
-s, --sol_filepath base filepath to solutions file [default=None]
-e, --executable name of the python executable file [default=python3]
-r, --seeds_filepath filepath to csv/txt/tsv file with one seed per line [default=None]
-p, --perturbation_filepath filepath to csv file with one perturbation vector per line [default=None]

If -r/--seeds_filepath is not supplied, then no random seed nor Gurobi seed will be set for any run. If both -r/--seeds_filepath and -p/--perturbation_filepath are supplied, then the seeds are exclusively used to set Gurobi seeds for each run.

Example Run

$ python3 parallel.py \
    --script_filepath p0033_parallel.sh \
    --instance_filepath p0033.mps.gz \
    --num_runs 5 \
    --sol_filepath p0033_sols.csv

Example Output

The above command will yield the following script at the filepath p0033_parallel.sh

python3 solve.py -i p0033.mps.gz -s p0033_sols_1.csv  
python3 solve.py -i p0033.mps.gz -s p0033_sols_2.csv  
python3 solve.py -i p0033.mps.gz -s p0033_sols_3.csv  
python3 solve.py -i p0033.mps.gz -s p0033_sols_4.csv  
python3 solve.py -i p0033.mps.gz -s p0033_sols_5.csv

This script (or variations thereof) can subsequently be executed with a line-level parallelism tool of the user's choosing. We tested scripts produced by parallel.py on two compute farms that use the SLURM (Simple Linux Utility for Resource Management) formalism for job scheduling: Biowulf at the National Institutes of Health and Quest at Northwestern University.

Aggregating Solutions

After executing runs in parallel, the solutions found can be aggregated into a single file with the script agg.py.

Arguments to agg.py

-m, --match string to match solution files
-s, --sols_dir filepath to solutions directory (defaults to working directory)
-o, --output_filepath filepath to output aggregated solutions file
-c, --cleanup flag to cleanup (delete) individual solution files
-v, --var_names flag to store variable names in aggregated solutions file

Example Run

After executing the script p0033_parallel.csv (generated in the previous section), the following command will aggregate all solution files (with variable names stored) into the file p0033.csv and remove the individual solution files:

$ python3 agg.py \
    --match p0033_sols \
    --output_filepath p0033_agg.csv \
    --cleanup \
    --var_names

Example Output

The above command will yield an aggregated solution file at the filepath p0033_agg.csv that resembles the following (variable values will naturally differ between runs):

C157 C158 C159 ... C181 C182 C183 C184 C185 C186 C187 C188 C189
1.0 -0.0 -0.0 ... 0.0 1.0 1.0 1.0 1.0 1.0 0.0 -0.0 0.0
1.0 0.0 -0.0 ... 1.0 1.0 1.0 1.0 1.0 1.0 -0.0 -0.0 0.0
1.0 -0.0 -0.0 ... 0.0 1.0 1.0 1.0 1.0 1.0 -0.0 -0.0 0.0
1.0 0.0 0.0 ... 1.0 1.0 1.0 1.0 1.0 1.0 0.0 -0.0 0.0
1.0 -0.0 -0.0 ... 1.0 1.0 1.0 1.0 1.0 1.0 -0.0 -0.0 0.0

Full sample output can be found here.

Sample MPS Files

The directory mps_files contains 20 Mathematical Programming System (MPS) files, each of which is an ILP or MILP instance for which MORSE has been verified to find multiple distinct optima. These instances were retrieved from the Mixed Integer Programming Library (MIPLIB) versions 2.0 - 6.0.

The table below gives the full list of instances, the most recent MIPLIB version in which each instance appeared, and the number of distinct optima (enumerated using the PySCIPOpt count function). Distinct optima counts marked with ≥ give the number of optima enumerated by count within a 24-hour runtime; if there is no ≥, then enumeration was fully completed in runtime <24 hours and hence the number of distinct optimal solutions is exact.

MIPLIB instance Most recent MIPLIB version Number of distinct optima
set1al 2.0 2
set1cl 2.0 2
p0201 3.0 4
bell3a 3.0 5
mod008 3.0 6
p0033 3.0 9
bell5 3.0 16
lp4l 2.0 24
vpm2 4.0 33
stein9 2.0 54
stein45 3.0 70
supportcase14 6.0 256
supportcase16 6.0 256
stein15 3.0 315
stein27 3.0 2106
harp2 5.0 ≥1
pigeon-10 6.0 ≥6574
app2-2 6.0 ≥41819
noswot 6.0 ≥48776
vpm1 3.0 ≥86186