multiobj=2: force emulation #239

doc/source/features-guide.rst

@@ -240,7 +240,7 @@ solver but are emulated by MP).
 +------------------------------+-------+--------+---------+--------+---------+------+------+--------+-------+
 | Feature                      | Copt_ | CPLEX_ | Gurobi_ | Mosek_ | Xpress_ | CBC_ | GCG_ | HiGHS_ | SCIP_ |
 +==============================+=======+========+=========+========+=========+======+======+========+=======+
-| :ref:`writeprob`             | |y|   | |y|    | |y|     | |y|    | |y|     | |y|  | |n|  | |y|    | |n|   |
+| :ref:`writeprob`             | |y|   | |y|    | |y|     | |y|    | |y|     | |y|  | |y|  | |y|    | |y|   |
 +------------------------------+-------+--------+---------+--------+---------+------+------+--------+-------+
 | Solution Export              | |n|   | |y|    | |y|     | |n|    | |y|     | |n|  | |n|  | |y|    | |n|   |
 +------------------------------+-------+--------+---------+--------+---------+------+------+--------+-------+
@@ -974,7 +974,8 @@ for the functionalities available on your solver.
      - Values:
 
        * **0** - No (default)
-       * **1** - Yes
+       * **1** - Yes, natively supported if available, otherwise emulated
+       * **2** - Yes, emulated
    * - **Example**
      - Use :ref:`multiObjectiveDiet`
 

doc/source/modeling-mo.rst

@@ -8,7 +8,8 @@ Multiple objectives
   :width: 200
   :align: right
 
-To consider multiple objectives in an AMPL model, use
+To consider multiple objectives in an AMPL model,
+either natively supported by the solver, or emulated, use
 :ref:`solver option <solver-options>` ``obj:multi``.
 Otherwise, only the 1st objective is considered
 (or any objective specified by ``obj:no``.)
@@ -49,3 +50,5 @@ as described in the ``obj:multi`` option description.
       suffix objpriority (2-e)*S_range + 1 + S[i] - min {j in I} S[j];
 
 Suffixes ``.objabstol`` and ``.objreltol`` allow for objective degradation.
+However their exact meaning can vary for a solver's native multi-objective
+mode (``obj:multi=1``), in particular for LPs. Consult the solver documentation.

include/mp/backend-std.h

@@ -294,7 +294,7 @@ class StdBackend :
 
   /// Standard extras
   virtual void InputStdExtras() {
-    if (multiobj() && multiobj_has_native()) {
+    if (multiobj()==1 && multiobj_has_native()) {   // multiobj native
       if (auto suf = ReadSuffix(suf_objpriority))
         ObjPriorities( suf );
       if (auto suf = GetMM().GetObjWeightsAdapted())

include/mp/flat/converter_multiobj.h

@@ -28,8 +28,9 @@ class MOManager {
   /// @note This should be called first.
   void ConsiderEmulatingMultiobj() {
     status_ = MOManagerStatus::NOT_ACTIVE;
-    if (MPCD(num_objs())>1       // have multiple objectives
-        && MPCD(GetEnv()).multiobj_has_native()==false)
+    if (MPCD(num_objs())>1                                  // have multiple objectives
+        && (MPCD(GetEnv()).multiobj_has_native()==false
+            || MPCD(GetEnv()).multiobj()>1))                // force emulation
       SetupMultiobjEmulation();
     // Anything todo otherwise?
   }

include/mp/solver-base.h

@@ -311,9 +311,11 @@ class BasicSolver : private ErrorHandler,
   void notify_end_opts() { opts_read_=true; }
 
   /// Returns true if multiobjective optimization is enabled.
+  /// In particular, 1 if enabled and preferred native handling,
+  /// or 2 if forcing emulation.
   /// Both multiobj and objno are used in NLReader to select
   /// the objective(s), solvers should not use these options.
-  bool multiobj() const { return multiobj_ && objno_<0; }
+  int multiobj() const { return (objno_<0) ? multiobj_ : 0; }
 
   /// Whether the solver natively supports multiobj
   bool multiobj_has_native() const { return multiobj_has_native_; }
@@ -612,7 +614,7 @@ class BasicSolver : private ErrorHandler,
   Stats stats_;
 
 
-  bool multiobj_ {false};
+  int multiobj_ {0};
   bool multiobj_has_native_ {false};
   int multiobj_weight_ {2};
 

solvers/cplexmp/cplexmpmodelapi.cc

@@ -33,8 +33,14 @@ void CplexModelAPI::SetLinearObjective( int iobj, const LinearObjective& lo ) {
     CPLEX_CALL( CPXchgobjsen (env(), lp(),
                     obj::Type::MAX==lo.obj_sense() ? CPX_MAX : CPX_MIN) );
     NoteCPLEXMainObjSense(lo.obj_sense());
+    if (obj_ind_save_.size()) {
+      std::vector<double> obj_coef_0(obj_ind_save_.size(), 0.0);
+      CPLEX_CALL( CPXchgobj (env(), lp(), obj_ind_save_.size(),
+                           obj_ind_save_.data(), obj_coef_0.data()) );
+    }
     CPLEX_CALL( CPXchgobj (env(), lp(), lo.num_terms(),
                            lo.vars().data(), lo.coefs().data()) );
+    obj_ind_save_ = lo.vars();
   } else {
     CPXsetnumobjs(env(), lp(), iobj+1);
     auto status = CPXmultiobjsetobj(env(), lp(), iobj,

solvers/cplexmp/cplexmpmodelapi.h

@@ -83,8 +83,9 @@ class CplexModelAPI :
   ACCEPT_CONSTRAINT(PLConstraint, Recommended, CG_General)
   void AddConstraint(const PLConstraint& cc);
 
-  private:
+private:
   obj::Type main_obj_sense_;
+  std::vector<int> obj_ind_save_;                   // to zero out last objective
 
   protected:
   /// First objective's sense

solvers/gurobi/gurobibackend.cc

@@ -2102,10 +2102,7 @@ void GurobiBackend::InitCustomOptions() {
   /// std feature MULTIOBJ is set.
   /// Change the help text
   AddToOptionDescription("obj:multi",
-                           "Degradation suffixes .objabstol, .objreltol are handled "
-                           "differently for LP, see Gurobi documentation.\n\n"
-                           "The objectives must all be linear.\n\n"
-                           "Objective-specific "
+                           "For Gurobi's native handling (obj:multi=1), objective-specific "
                            "tolerances and method values may be assigned via "
                            "keywords of the form obj_n_<name>, such as obj_1_method for the "
                            "first objective.");

solvers/gurobi/gurobimodelapi.cc

@@ -34,7 +34,12 @@ void GurobiModelAPI::SetLinearObjective( int iobj, const LinearObjective& lo ) {
     GrbSetIntAttr( GRB_INT_ATTR_MODELSENSE,
                   obj::Type::MAX==lo.obj_sense() ? GRB_MAXIMIZE : GRB_MINIMIZE);
     NoteGurobiMainObjSense(lo.obj_sense());
+    if (obj_ind_save_.size()) {
+      std::vector<double> obj_coef_0(obj_ind_save_.size(), 0.0);
+      GrbSetDblAttrList( GRB_DBL_ATTR_OBJ, obj_ind_save_, obj_coef_0 );
+    }
     GrbSetDblAttrList( GRB_DBL_ATTR_OBJ, lo.vars(), lo.coefs() );
+    obj_ind_save_ = lo.vars();
   } else {
     GRB_CALL( GRBsetobjectiven(model(), iobj, 0,           // default priority 0
                                /// Gurobi allows opposite sense by weight sign
@@ -47,6 +52,7 @@ void GurobiModelAPI::SetLinearObjective( int iobj, const LinearObjective& lo ) {
 
 void GurobiModelAPI::SetQuadraticObjective(int iobj, const QuadraticObjective &qo) {
   if (1>iobj) {
+    GRB_CALL( GRBdelq(model()) );                         // delete current QP terms
     SetLinearObjective(iobj, qo);                         // add the linear part
     const auto& qt = qo.GetQPTerms();
     GRB_CALL( GRBaddqpterms(model(), qt.size(),

solvers/gurobi/gurobimodelapi.h

@@ -135,6 +135,9 @@ class GurobiModelAPI :
   /// The sense of the main objective
   obj::Type main_obj_sense_;
 
+  /// To zero out last objective
+  std::vector<int> obj_ind_save_;
+
   /// These options are stored in the class as variables
   /// for direct access
   struct Options {

solvers/xpress/xpressmodelapi.cc

@@ -72,8 +72,13 @@ void XpressmpModelAPI::SetLinearObjective( int iobj, const LinearObjective& lo )
   if (iobj<1) {
     if (lo.obj_sense() == obj::Type::MAX)
       XPRESSMP_CCALL(XPRSchgobjsense(lp(), XPRS_OBJ_MAXIMIZE));
+    if (obj_ind_save_.size()) {
+      std::vector<double> obj_coef_0(obj_ind_save_.size(), 0.0);
+      XPRESSMP_CCALL(XPRSchgobj(lp(), obj_ind_save_.size(),
+                                obj_ind_save_.data(), obj_coef_0.data()));
+    }
     XPRESSMP_CCALL(XPRSchgobj(lp(), lo.num_terms(), lo.vars().data(), lo.coefs().data()));
-
+    obj_ind_save_ = lo.vars();
   } else {
     // All objectives must have the same sense, so we will have to automatically 
     // set a conflicting objective's weight to -1 
@@ -85,17 +90,26 @@ void XpressmpModelAPI::SetLinearObjective( int iobj, const LinearObjective& lo )
 
 void XpressmpModelAPI::SetQuadraticObjective(int iobj, const QuadraticObjective& qo) {
   if (1 > iobj) {
-    fmt::format("Setting first quadratic objective\n");
+    // fmt::format("Setting first quadratic objective\n");
     SetLinearObjective(iobj, qo);                         // add the linear part
     const auto& qt = qo.GetQPTerms();
     std::vector<double> coeffs(qt.coefs());
     for (std::size_t i = 0; i < qt.size(); i++)
       if (qt.pvars1()[i] == qt.pvars2()[i]) coeffs[i] *= 2;
 
-    fmt::format("Quadratic part is made of {} terms\n", qt.size());
+    if (qobj_ind1_save_.size()) {
+      assert(qobj_ind1_save_.size()==qobj_ind2_save_.size());
+      std::vector<double> qobj_coef_0(qobj_ind1_save_.size(), 0.0);
+      XPRESSMP_CCALL(XPRSchgmqobj(lp(), qobj_ind1_save_.size(),
+                                  qobj_ind1_save_.data(), qobj_ind2_save_.data(),
+                                  qobj_coef_0.data()));
+    }
+    // fmt::format("Quadratic part is made of {} terms\n", qt.size());
     XPRESSMP_CCALL(XPRSchgmqobj(lp(), qt.size(),
       (int*)qt.pvars1(), (int*)qt.pvars2(),
       (double*)coeffs.data()));
+    qobj_ind1_save_ = qt.vars1();
+    qobj_ind2_save_ = qt.vars2();
   }
   else {
     throw std::runtime_error("Multiple quadratic objectives not supported");

solvers/xpress/xpressmodelapi.h

@@ -174,6 +174,10 @@ class XpressmpModelAPI :
 
   void AddGlobalConstraint(NLParams& params);
   void AddGlobalConstraint(int resultVar, int argumentVar, int functionId);
+
+
+private:
+  std::vector<int> obj_ind_save_, qobj_ind1_save_, qobj_ind2_save_;
 };
 
 } // namespace mp

src/solver.cc

@@ -667,11 +667,16 @@ void BasicSolver::InitMetaInfoAndOptions(
     "0*/1: whether to assist testing & debugging, e.g., "
     "by outputting auxiliary information.")));
 
+  static const mp::OptionValueInfo values_multiobj_[] = {
+      { "0", "Single objective, see option obj:no (default)", 0},
+      { "1", "Multi-objective, solver's native handling if available", 1},
+      { "2", "Multi-objective, force emulation", 2}
+  };
   if ((flags & MULTIPLE_OBJ) != 0) {
-    AddOption(OptionPtr(new BoolOption(multiobj_, "obj:multi multiobj",
-      "0*/1:  Whether to use multi-objective optimization.\n"
-                                       "\n"
-                                       "When obj:multi = 1 and several objectives are present, suffixes "
+    AddStoredOption("obj:multi multiobj",
+      "Whether to use multi-objective optimization:\n"
+                    "\n.. value-table::\n\n"
+                                       "When obj:multi>0 and several objectives are present, suffixes "
                                        ".objpriority, .objweight, .objreltol, and .objabstol on the "
                                        "objectives are relevant.  Objectives with greater .objpriority "
                                        "values (integer values) have higher priority.  Objectives with "
@@ -681,7 +686,12 @@ void BasicSolver::InitMetaInfoAndOptions(
                                        "Objectives "
                                        "with positive .objabstol or .objreltol are allowed to be "
                                        "degraded by lower priority objectives by amounts not exceeding "
-                                       "the .objabstol (absolute) and .objreltol (relative) limits. ")));
+                                       "the .objabstol (absolute) and .objreltol (relative) limits.\n"
+                    "\n"
+                    "Note that with solver's native handling (when obj:multi=1 and supported), "
+                    "some solvers might have special rules for the tolerances, especially for LP, "
+                    "and not allow quadratic objectives. See the solver documentation.",
+                    multiobj_, values_multiobj_);
 
     static const mp::OptionValueInfo values_multiobjweight_[] = {
         { "1", "relative to the sense of the 1st objective", 1},

test/end2end/cases/categorized/fast/multi_obj/modellist.json

@@ -59,6 +59,20 @@
       "_sobj[4]": 32.604395604395734
     }
   },
+  {
+    "name" : "dietobj_1000 multiobj=2 obj_pr_1",
+    "Comment": "Modify obj priorities and weights via suffixes in dietobj_pr_1",
+    "tags" : ["linear", "continuous", "multiobj"],
+    "files" : ["dietobj_1000.mod", "dietobj.dat", "dietobj_pr_1.inc"],
+    "options": { "ANYSOLVER_options": "multiobj=2" },
+    "values": {
+      "total_cost[\"A&P\"]": 924.1546153846151,
+      "total_cost[\"JEWEL\"]": 925.6467032967034,
+      "total_cost[\"VONS\"]": 918.8280219780219,
+      "total_number": 32.604395604395734,
+      "_sobj[4]": 32.604395604395734
+    }
+  },
   {
     "name" : "dietobj_1000 multiobj=1 obj_pr_2",
     "Comment": "Modify obj priorities and weights via suffixes in dietobj_pr_2",
@@ -92,7 +106,8 @@
     "tags" : ["linear", "integer", "multiobj"],
     "options": {
       "ANYSOLVER_options": "multiobj=1",
-      "gurobi_options": "multiobj=1 mip:gap=0"
+      "gurobi_options": "multiobj=1 mip:gap=0",
+      "xpress_options": "multiobj=1 mip:gap=0"
     },
     "values": {
       "_sobj[1]": 2.75,
@@ -104,7 +119,21 @@
     "tags" : ["linear", "integer", "multiobj"],
     "options": {
       "ANYSOLVER_options": "multiobj=1",
-      "gurobi_options": "multiobj=1 mip:gap=0"
+      "gurobi_options": "multiobj=1 mip:gap=0",
+      "xpress_options": "multiobj=1 mip:gap=0"
+    },
+    "values": {
+      "_sobj[1]": 2.75,
+      "_sobj[2]": 3.5
+    }
+  },
+  {
+    "name" : "multiobj_reltol_MIP multiobj=2",
+    "tags" : ["linear", "integer", "multiobj"],
+    "options": {
+      "ANYSOLVER_options": "multiobj=2",
+      "gurobi_options": "multiobj=1 mip:gap=0",
+      "xpress_options": "multiobj=1 mip:gap=0"
     },
     "values": {
       "_sobj[1]": 2.75,

test/end2end/cases/categorized/fast/multi_obj/multiobj_abstol_MIP.mod

@@ -16,11 +16,13 @@ subj to c5_keep_z: y >= z;
 
 suffix objpriority IN;
 suffix objabstol IN;
+suffix objreltol IN;               # Add for XPRESS, all 0
 
 let xobj.objpriority := 10;
 let yobj.objpriority := 1;
 
 let xobj.objabstol := 0.25;
+let xobj.objreltol := 1e-10;       # To have the suffix 
 
 # Need mip:gap=0 due to the way tolerances are applied:
 # https://www.gurobi.com/documentation/current/refman/working_with_multiple_obje.html.

test/end2end/cases/categorized/fast/multi_obj/multiobj_reltol_MIP.mod

@@ -15,12 +15,14 @@ subj to c4: y >= 2*x - 2;
 subj to c5_keep_z: y >= z;
 
 suffix objpriority IN;
-suffix objreltol IN;
+suffix objreltol IN;
+suffix objabstol IN;               # For XPRESS, all 0
 
 let xobj.objpriority := 10;
 let yobj.objpriority := 1;
 
-let xobj.objreltol:= 0.25/3;
+let xobj.objreltol:= 0.25/3;
+let xobj.objabstol := 1e-10;       # To have the suffix 
 
 # Need mip:gap=0 due to the way tolerances are applied:
 # https://www.gurobi.com/documentation/current/refman/working_with_multiple_obje.html.