Working on MIP wrappers

glpk/_glpk.py

@@ -7,7 +7,7 @@
 from scipy.sparse import coo_matrix
 from scipy.optimize import OptimizeWarning, OptimizeResult
 
-from ._glpk_defines import GLPK, glp_smcp, glp_iptcp, glp_bfcp
+from ._glpk_defines import GLPK, glp_smcp, glp_iptcp, glp_bfcp, glp_iocp
 
 def glpk(
         c,
@@ -48,7 +48,7 @@ def glpk(
             - ``up`` : double
 
         If the entry is ``None``, then ``type=GLP_FX`` and ``ub==lb==0``.
-    solver : { 'simplex', 'interior' }
+    solver : { 'simplex', 'interior', 'mip' }
         Use simplex (LP/MIP) or interior point method (LP only).
         Default is ``simplex``.
     sense : { 'GLP_MIN', 'GLP_MAX' }
@@ -414,6 +414,28 @@ def glpk(
             # We shouldn't be reading this field... But we will anyways
             res.nit = prob.contents.it_cnt
 
+    elif solver == 'mip':
+
+        # Make a control structure
+        iocp = glp_iocp()
+        _lib.glp_init_iocp(ctypes.byref(iocp))
+
+        # Set options
+        iocp.msg_lev = message_level*disp
+        iocp.br_tech = {
+            'first': GLPK.GLP_BR_FFV,
+            'last': GLPK.GLP_BR_LFV,
+            'mostf': GLPK.GLP_BR_MFV,
+            'drtom': GLPK.GLP_BR_DTH,
+            'pcost': GLPK.GLP_BR_PCH,
+        }[ip_options.get('branch', 'drtom')]
+        iocp.bt_tech = {
+            'dfs': GLPK.GLP_BT_DFS,
+            'bfs': GLPK.GLP_BT_BFS,
+            'bestp': GLPK.GLP_BT_BPH,
+            'bestb': GLPK.GLP_BT_BLB,
+        }[ip_options.get('backtrack', 'bestb')]
+
     else:
         raise ValueError('"%s" is not a recognized solver.' % solver)
 

glpk/_glpk_defines.py

@@ -41,7 +41,7 @@ class glp_mpscp(ctypes.Structure):
 class glp_bfcp(ctypes.Structure):
     _fields_ = [
         ('msg_lev', ctypes.c_int),       # (not used)
-        ('type', ctypes.c_int),          # factorization type:
+        ('type', ctypes.c_int),          # factorization type
         ('lu_size', ctypes.c_int),       # (not used)
         ('piv_tol', ctypes.c_double),    # sgf_piv_tol
         ('piv_lim', ctypes.c_int),       # sgf_piv_lim
@@ -55,6 +55,43 @@ class glp_bfcp(ctypes.Structure):
         ('foo_bar', ctypes.c_double*38), # (reserved)
     ]
 
+# integer optimizer control parameters
+class glp_tree(ctypes.Structure):
+    _fields_ = []
+class glp_iocp(ctypes.Structure):
+    _fields_ = [
+        ('msg_lev', ctypes.c_int),       # message level (see glp_smcp)
+        ('br_tech', ctypes.c_int),       # branching technique
+        ('bt_tech', ctypes.c_int),       # backtracking technique:
+        ('tol_int', ctypes.c_double),    # mip.tol_int
+        ('tol_obj', ctypes.c_double),    # mip.tol_obj
+        ('tm_lim', ctypes.c_int),        # mip.tm_lim (milliseconds)
+        ('out_frq', ctypes.c_int),       # mip.out_frq (milliseconds)
+        ('out_dly', ctypes.c_int),       # mip.out_dly (milliseconds)
+        #void (*cb_func)(glp_tree *T, void *info);  # mip.cb_func
+        ('cb_func', ctypes.CFUNCTYPE(None, ctypes.POINTER(glp_tree), ctypes.c_void_p)),
+        ('cb_info', ctypes.c_void_p),    # mip.cb_info
+        ('cb_size', ctypes.c_int),       # mip.cb_size
+        ('pp_tech', ctypes.c_int),       # preprocessing technique:
+        ('mip_gap', ctypes.c_double),    # relative MIP gap tolerance
+        ('mir_cuts', ctypes.c_int),      # MIR cuts       (GLP_ON/GLP_OFF)
+        ('gmi_cuts', ctypes.c_int),      # Gomory's cuts  (GLP_ON/GLP_OFF)
+        ('cov_cuts', ctypes.c_int),      # cover cuts     (GLP_ON/GLP_OFF)
+        ('clq_cuts', ctypes.c_int),      # clique cuts    (GLP_ON/GLP_OFF)
+        ('presolve', ctypes.c_int),      # enable/disable using MIP presolver
+        ('binarize', ctypes.c_int),      # try to binarize integer variables
+        ('fp_heur', ctypes.c_int),       # feasibility pump heuristic
+        ('ps_heur', ctypes.c_int),       # proximity search heuristic
+        ('ps_tm_lim', ctypes.c_int),     # proxy time limit, milliseconds
+        ('sr_heur', ctypes.c_int),       # simple rounding heuristic
+        ('use_sol', ctypes.c_int),       # use existing solution
+        ('save_sol', ctypes.c_char_p),   # filename to save every new solution
+        ('alien', ctypes.c_int),         # use alien solver
+        ('flip', ctypes.c_int),          # use long-step dual simplex; not documented--should not be used
+        ('foo_bar', ctypes.c_double*23), # (reserved)
+    ]
+
+
 # LP problem structure
 class glp_prob(ctypes.Structure):
     class DMP(ctypes.Structure):
@@ -100,7 +137,6 @@ class BFD(ctypes.Structure):
         ('mip_obj', ctypes.c_double),
     ]
 
-
 class GLPK:
 
     INT_MAX = ctypes.c_uint(-1).value // 2
@@ -224,6 +260,24 @@ class GLPK:
     GLP_BF_BG = 2   # 0x02  # Schur compl. + Bartels-Golub
     GLP_BF_GR = 3   # 0x03  # Schur compl. + Givens rotation
 
+    # Branching techniques
+    GLP_BR_FFV = 1  # first fractional variable
+    GLP_BR_LFV = 2  # last fractional variable
+    GLP_BR_MFV = 3  # most fractional variable
+    GLP_BR_DTH = 4  # heuristic by Driebeck and Tomlin
+    GLP_BR_PCH = 5  # hybrid pseudocost heuristic
+
+    # Backtracking technique
+    GLP_BT_DFS = 1  # depth first search
+    GLP_BT_BFS = 2  # breadth first search
+    GLP_BT_BLB = 3  # best local bound
+    GLP_BT_BPH = 4  # best projection heuristic
+
+    # MIP preprocessing
+    GLP_PP_NONE =  0 # disable preprocessing
+    GLP_PP_ROOT =  1 # preprocessing only on root level
+    GLP_PP_ALL = 2   # preprocessing on all levels
+
     def __init__(self, libpath):
 
         # Load the shared library;
@@ -413,6 +467,9 @@ def __init__(self, libpath):
         _lib.glp_init_iptcp.restype = ctypes.c_int
         _lib.glp_init_iptcp.argtypes = [ctypes.POINTER(glp_iptcp)]
 
+        _lib.glp_init_iocp.restype = None
+        _lib.glp_init_iocp.argtypes = [ctypes.POINTER(glp_iocp)]
+
         # Simplex drivers
         _lib.glp_simplex.restype = ctypes.c_int
         _lib.glp_simplex.argtypes = [ctypes.POINTER(glp_prob), ctypes.POINTER(glp_smcp)]

test.py

@@ -21,7 +21,7 @@
         message_level=GLPK.GLP_MSG_OFF,
         maxit=100,
         timeout=10,
-        solver='interior',
+        solver='mip',
         basis_fac='btf+cbg',
         simplex_options={
             'init_basis': 'adv',