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Java example source code file (SimplexSolver.java)

This example Java source code file (SimplexSolver.java) is included in the alvinalexander.com "Java Source Code Warehouse" project. The intent of this project is to help you "Learn Java by Example" TM.

Learn more about this Java project at its project page.

Java - Java tags/keywords

arraylist, default_cut_off, default_epsilon, default_ulps, integer, nofeasiblesolutionexception, override, pivotselectionrule, pointvaluepair, simplexsolver, simplextableau, solutioncallback, toomanyiterationsexception, unboundedsolutionexception, util

The SimplexSolver.java Java example source code

/*
 * Licensed to the Apache Software Foundation (ASF) under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The ASF licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *      http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
package org.apache.commons.math3.optim.linear;

import java.util.ArrayList;
import java.util.List;

import org.apache.commons.math3.exception.TooManyIterationsException;
import org.apache.commons.math3.optim.OptimizationData;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.util.FastMath;
import org.apache.commons.math3.util.Precision;

/**
 * Solves a linear problem using the "Two-Phase Simplex" method.
 * <p>
 * The {@link SimplexSolver} supports the following {@link OptimizationData} data provided
 * as arguments to {@link #optimize(OptimizationData...)}:
 * <ul>
 *   <li>objective function: {@link LinearObjectiveFunction} - mandatory
 *   <li>linear constraints {@link LinearConstraintSet} - mandatory
 *   <li>type of optimization: {@link org.apache.commons.math3.optim.nonlinear.scalar.GoalType GoalType}
 *    - optional, default: {@link org.apache.commons.math3.optim.nonlinear.scalar.GoalType#MINIMIZE MINIMIZE}</li>
 *   <li>whether to allow negative values as solution: {@link NonNegativeConstraint} - optional, default: true
 *   <li>pivot selection rule: {@link PivotSelectionRule} - optional, default {@link PivotSelectionRule#DANTZIG}
 *   <li>callback for the best solution: {@link SolutionCallback} - optional
 *   <li>maximum number of iterations: {@link org.apache.commons.math3.optim.MaxIter} - optional, default: {@link Integer#MAX_VALUE}
 * </ul>
 * <p>
 * <b>Note: Depending on the problem definition, the default convergence criteria
 * may be too strict, resulting in {@link NoFeasibleSolutionException} or
 * {@link TooManyIterationsException}. In such a case it is advised to adjust these
 * criteria with more appropriate values, e.g. relaxing the epsilon value.
 * <p>
 * Default convergence criteria:
 * <ul>
 *   <li>Algorithm convergence: 1e-6
 *   <li>Floating-point comparisons: 10 ulp
 *   <li>Cut-Off value: 1e-10
  * </ul>
 * <p>
 * The cut-off value has been introduced to handle the case of very small pivot elements
 * in the Simplex tableau, as these may lead to numerical instabilities and degeneracy.
 * Potential pivot elements smaller than this value will be treated as if they were zero
 * and are thus not considered by the pivot selection mechanism. The default value is safe
 * for many problems, but may need to be adjusted in case of very small coefficients
 * used in either the {@link LinearConstraint} or {@link LinearObjectiveFunction}.
 *
 * @since 2.0
 */
public class SimplexSolver extends LinearOptimizer {
    /** Default amount of error to accept in floating point comparisons (as ulps). */
    static final int DEFAULT_ULPS = 10;

    /** Default cut-off value. */
    static final double DEFAULT_CUT_OFF = 1e-10;

    /** Default amount of error to accept for algorithm convergence. */
    private static final double DEFAULT_EPSILON = 1.0e-6;

    /** Amount of error to accept for algorithm convergence. */
    private final double epsilon;

    /** Amount of error to accept in floating point comparisons (as ulps). */
    private final int maxUlps;

    /**
     * Cut-off value for entries in the tableau: values smaller than the cut-off
     * are treated as zero to improve numerical stability.
     */
    private final double cutOff;

    /** The pivot selection method to use. */
    private PivotSelectionRule pivotSelection;

    /**
     * The solution callback to access the best solution found so far in case
     * the optimizer fails to find an optimal solution within the iteration limits.
     */
    private SolutionCallback solutionCallback;

    /**
     * Builds a simplex solver with default settings.
     */
    public SimplexSolver() {
        this(DEFAULT_EPSILON, DEFAULT_ULPS, DEFAULT_CUT_OFF);
    }

    /**
     * Builds a simplex solver with a specified accepted amount of error.
     *
     * @param epsilon Amount of error to accept for algorithm convergence.
     */
    public SimplexSolver(final double epsilon) {
        this(epsilon, DEFAULT_ULPS, DEFAULT_CUT_OFF);
    }

    /**
     * Builds a simplex solver with a specified accepted amount of error.
     *
     * @param epsilon Amount of error to accept for algorithm convergence.
     * @param maxUlps Amount of error to accept in floating point comparisons.
     */
    public SimplexSolver(final double epsilon, final int maxUlps) {
        this(epsilon, maxUlps, DEFAULT_CUT_OFF);
    }

    /**
     * Builds a simplex solver with a specified accepted amount of error.
     *
     * @param epsilon Amount of error to accept for algorithm convergence.
     * @param maxUlps Amount of error to accept in floating point comparisons.
     * @param cutOff Values smaller than the cutOff are treated as zero.
     */
    public SimplexSolver(final double epsilon, final int maxUlps, final double cutOff) {
        this.epsilon = epsilon;
        this.maxUlps = maxUlps;
        this.cutOff = cutOff;
        this.pivotSelection = PivotSelectionRule.DANTZIG;
    }

    /**
     * {@inheritDoc}
     *
     * @param optData Optimization data. In addition to those documented in
     * {@link LinearOptimizer#optimize(OptimizationData...)
     * LinearOptimizer}, this method will register the following data:
     * <ul>
     *  <li>{@link SolutionCallback}
     *  <li>{@link PivotSelectionRule}
     * </ul>
     *
     * @return {@inheritDoc}
     * @throws TooManyIterationsException if the maximal number of iterations is exceeded.
     */
    @Override
    public PointValuePair optimize(OptimizationData... optData)
        throws TooManyIterationsException {
        // Set up base class and perform computation.
        return super.optimize(optData);
    }

    /**
     * {@inheritDoc}
     *
     * @param optData Optimization data.
     * In addition to those documented in
     * {@link LinearOptimizer#parseOptimizationData(OptimizationData[])
     * LinearOptimizer}, this method will register the following data:
     * <ul>
     *  <li>{@link SolutionCallback}
     *  <li>{@link PivotSelectionRule}
     * </ul>
     */
    @Override
    protected void parseOptimizationData(OptimizationData... optData) {
        // Allow base class to register its own data.
        super.parseOptimizationData(optData);

        // reset the callback before parsing
        solutionCallback = null;

        for (OptimizationData data : optData) {
            if (data instanceof SolutionCallback) {
                solutionCallback = (SolutionCallback) data;
                continue;
            }
            if (data instanceof PivotSelectionRule) {
                pivotSelection = (PivotSelectionRule) data;
                continue;
            }
        }
    }

    /**
     * Returns the column with the most negative coefficient in the objective function row.
     *
     * @param tableau Simple tableau for the problem.
     * @return the column with the most negative coefficient.
     */
    private Integer getPivotColumn(SimplexTableau tableau) {
        double minValue = 0;
        Integer minPos = null;
        for (int i = tableau.getNumObjectiveFunctions(); i < tableau.getWidth() - 1; i++) {
            final double entry = tableau.getEntry(0, i);
            // check if the entry is strictly smaller than the current minimum
            // do not use a ulp/epsilon check
            if (entry < minValue) {
                minValue = entry;
                minPos = i;

                // Bland's rule: chose the entering column with the lowest index
                if (pivotSelection == PivotSelectionRule.BLAND && isValidPivotColumn(tableau, i)) {
                    break;
                }
            }
        }
        return minPos;
    }

    /**
     * Checks whether the given column is valid pivot column, i.e. will result
     * in a valid pivot row.
     * <p>
     * When applying Bland's rule to select the pivot column, it may happen that
     * there is no corresponding pivot row. This method will check if the selected
     * pivot column will return a valid pivot row.
     *
     * @param tableau simplex tableau for the problem
     * @param col the column to test
     * @return {@code true} if the pivot column is valid, {@code false} otherwise
     */
    private boolean isValidPivotColumn(SimplexTableau tableau, int col) {
        for (int i = tableau.getNumObjectiveFunctions(); i < tableau.getHeight(); i++) {
            final double entry = tableau.getEntry(i, col);

            // do the same check as in getPivotRow
            if (Precision.compareTo(entry, 0d, cutOff) > 0) {
                return true;
            }
        }
        return false;
    }

    /**
     * Returns the row with the minimum ratio as given by the minimum ratio test (MRT).
     *
     * @param tableau Simplex tableau for the problem.
     * @param col Column to test the ratio of (see {@link #getPivotColumn(SimplexTableau)}).
     * @return the row with the minimum ratio.
     */
    private Integer getPivotRow(SimplexTableau tableau, final int col) {
        // create a list of all the rows that tie for the lowest score in the minimum ratio test
        List<Integer> minRatioPositions = new ArrayList();
        double minRatio = Double.MAX_VALUE;
        for (int i = tableau.getNumObjectiveFunctions(); i < tableau.getHeight(); i++) {
            final double rhs = tableau.getEntry(i, tableau.getWidth() - 1);
            final double entry = tableau.getEntry(i, col);

            // only consider pivot elements larger than the cutOff threshold
            // selecting others may lead to degeneracy or numerical instabilities
            if (Precision.compareTo(entry, 0d, cutOff) > 0) {
                final double ratio = FastMath.abs(rhs / entry);
                // check if the entry is strictly equal to the current min ratio
                // do not use a ulp/epsilon check
                final int cmp = Double.compare(ratio, minRatio);
                if (cmp == 0) {
                    minRatioPositions.add(i);
                } else if (cmp < 0) {
                    minRatio = ratio;
                    minRatioPositions.clear();
                    minRatioPositions.add(i);
                }
            }
        }

        if (minRatioPositions.size() == 0) {
            return null;
        } else if (minRatioPositions.size() > 1) {
            // there's a degeneracy as indicated by a tie in the minimum ratio test

            // 1. check if there's an artificial variable that can be forced out of the basis
            if (tableau.getNumArtificialVariables() > 0) {
                for (Integer row : minRatioPositions) {
                    for (int i = 0; i < tableau.getNumArtificialVariables(); i++) {
                        int column = i + tableau.getArtificialVariableOffset();
                        final double entry = tableau.getEntry(row, column);
                        if (Precision.equals(entry, 1d, maxUlps) && row.equals(tableau.getBasicRow(column))) {
                            return row;
                        }
                    }
                }
            }

            // 2. apply Bland's rule to prevent cycling:
            //    take the row for which the corresponding basic variable has the smallest index
            //
            // see http://www.stanford.edu/class/msande310/blandrule.pdf
            // see http://en.wikipedia.org/wiki/Bland%27s_rule (not equivalent to the above paper)

            Integer minRow = null;
            int minIndex = tableau.getWidth();
            for (Integer row : minRatioPositions) {
                final int basicVar = tableau.getBasicVariable(row);
                if (basicVar < minIndex) {
                    minIndex = basicVar;
                    minRow = row;
                }
            }
            return minRow;
        }
        return minRatioPositions.get(0);
    }

    /**
     * Runs one iteration of the Simplex method on the given model.
     *
     * @param tableau Simple tableau for the problem.
     * @throws TooManyIterationsException if the allowed number of iterations has been exhausted.
     * @throws UnboundedSolutionException if the model is found not to have a bounded solution.
     */
    protected void doIteration(final SimplexTableau tableau)
        throws TooManyIterationsException,
               UnboundedSolutionException {

        incrementIterationCount();

        Integer pivotCol = getPivotColumn(tableau);
        Integer pivotRow = getPivotRow(tableau, pivotCol);
        if (pivotRow == null) {
            throw new UnboundedSolutionException();
        }

        tableau.performRowOperations(pivotCol, pivotRow);
    }

    /**
     * Solves Phase 1 of the Simplex method.
     *
     * @param tableau Simple tableau for the problem.
     * @throws TooManyIterationsException if the allowed number of iterations has been exhausted.
     * @throws UnboundedSolutionException if the model is found not to have a bounded solution.
     * @throws NoFeasibleSolutionException if there is no feasible solution?
     */
    protected void solvePhase1(final SimplexTableau tableau)
        throws TooManyIterationsException,
               UnboundedSolutionException,
               NoFeasibleSolutionException {

        // make sure we're in Phase 1
        if (tableau.getNumArtificialVariables() == 0) {
            return;
        }

        while (!tableau.isOptimal()) {
            doIteration(tableau);
        }

        // if W is not zero then we have no feasible solution
        if (!Precision.equals(tableau.getEntry(0, tableau.getRhsOffset()), 0d, epsilon)) {
            throw new NoFeasibleSolutionException();
        }
    }

    /** {@inheritDoc} */
    @Override
    public PointValuePair doOptimize()
        throws TooManyIterationsException,
               UnboundedSolutionException,
               NoFeasibleSolutionException {

        // reset the tableau to indicate a non-feasible solution in case
        // we do not pass phase 1 successfully
        if (solutionCallback != null) {
            solutionCallback.setTableau(null);
        }

        final SimplexTableau tableau =
            new SimplexTableau(getFunction(),
                               getConstraints(),
                               getGoalType(),
                               isRestrictedToNonNegative(),
                               epsilon,
                               maxUlps);

        solvePhase1(tableau);
        tableau.dropPhase1Objective();

        // after phase 1, we are sure to have a feasible solution
        if (solutionCallback != null) {
            solutionCallback.setTableau(tableau);
        }

        while (!tableau.isOptimal()) {
            doIteration(tableau);
        }

        // check that the solution respects the nonNegative restriction in case
        // the epsilon/cutOff values are too large for the actual linear problem
        // (e.g. with very small constraint coefficients), the solver might actually
        // find a non-valid solution (with negative coefficients).
        final PointValuePair solution = tableau.getSolution();
        if (isRestrictedToNonNegative()) {
            final double[] coeff = solution.getPoint();
            for (int i = 0; i < coeff.length; i++) {
                if (Precision.compareTo(coeff[i], 0, epsilon) < 0) {
                    throw new NoFeasibleSolutionException();
                }
            }
        }
        return solution;
    }
}

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