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Using COIN-OR Solvers with Microsoft Windows

1. This example illustrates the API for the six service methods that implement the remote solver service These methods are described in the user s manual see http www coin or org OS doc osUsersManual_2 0 pdf The file osRemoteTest cpp in folder osRemoteTest first builds a small linear example solves it remotely in synchronous mode and displays the solution The asynchronous mode is also tested by submitting the problem to a remote solver checking the status and either retrieving the answer or killing the process if it has not yet finished 6 9 Template The code template cpp is in the template directory This is linked to all of the COIN OR libraries in lib but is an empty example The user can write his or her own code here and build an application based on the COIN OR projects 12
2. as the type numeric used by the Ipopt solver can also be accommodated It is the user s responsibility to verify the type expected by the solver std string description this argument is used to provide any detail or additional information about the option An empty string can be passed if such additional information is not needed For excellent documentation that details solver options for Bonmin Cbc and Ipopt we rec ommend http www coin or org GAMSlinks gamscoin pdf Create the solver object In the OS project there is a virtual solver that is declared by DefaultSolver solver NULL The Cbc Clp and SYMPHONY solvers as well as other solvers of linear and integer linear programs are all invoked by creating a CoinSolver For example the following is used to invoke Che solver new CoinSolver solver gt sSolverName cbc Other solvers particularly the nonlinear solvers Ipopt Bonmin and Couenne are implemented separately So to declare for example an Ipopt solver one should write solver new IpoptSolver The syntax is the same regardless of solver Import the OSOption and OSInstance into the solver and solve the model This process is identical regardless of which solver is used The syntax is solver gt osinstance osinstance solver gt osoption osoption solver gt solve After optimizing the instance each of the OS solver interfaces uses the underlying solver API to get the solutio
3. calling a COIN OR solver in this case Clp Important the ability to modify a problem instance is extremely limited in Release 2 0 of OS A better API for problem modification will come with a later release of OS 6 5 OSSolverDemo Building In Memory Solver and Option Objects The code in the example file OSSolverDemo cpp in the folder osSolverDemo illustrates how to build solver interfaces and an in memory OSOption object In this example we illustrate building a solver interface and corresponding OSOption object for the solvers Clp Cbc SYMPHONY Ipopt Bonmin and Couenne Each solver class inherits from a virtual OSDefaultSolver class Each solver class has the string data members e osil this string conforms to the OSiL standard and holds the model instance e osol this string conforms to the OSoL standard and holds an instance with the solver options if there are any this string can be empty e osrl this string conforms to the OSrL standard and holds the solution instance each solver interface produces an osrl1 string Corresponding to each string there is an in memory object data member namely e osinstance an in memory OSInstance object containing the model instance and get and set methods to access various parts of the model osoption an in memory OSOption object solver options can be accessed or set using get and set methods osresult an in memory OSResult object various parts of
4. in that this describes how to write code to hook with the various solvers See Section 6 5 There is also an empty example Template for users to put in their own code 6 1 Algorithmic Differentiation Using the OS Algorithmic Differentiation Meth ods In the OS examples algorithmicDiff folder is the test code OSAlgorithmicDiffTest cpp This code illustrates the key methods in the OSInstance API that are used for algorithmic differentiation 6 2 Instance Generator Using the OSInstance API to Generate Instances This example is found in the instanceGenerator folder in the examples folder This example illustrates how to build a complete in memory model instance using the OSInstance API See the code OSInstanceGenerator cpp for the complete example Here we provide a few highlights to illustrate the power of the API The first step is to create an OSInstance object OSInstance osinstance osinstance new OSInstance The instance has two variables xp and z Variable x9 is a continuous variable with lower bound of 100 and upper bound of 100 Variable x is a binary variable First declare the instance to have two variables osinstance gt setVariableNumber 2 Next add each variable There is an addVariable method with the signature addVariable int index string name double lowerBound double upperBound char type Then the calls for these two variables are osinstance gt addVariable O x0 100 100 C OSNAN
5. lt numVar i xinitial i 1 0 osoption gt setInitVarValuesDense numVar xinitial e Bonmin In this example we read a problem instance that is in OSiL format and create an in memory OSInstance object just as was done in the Cbc and SYMPHONY examples We then create an OSOption object In setting the OSOption object we intentionally set an option that will cause the Bonmin solver to terminate early In particular we set the node_limit to Zero osoption gt setAnotherSolverOption node_limit 0 bonmin integer This results in early termination of the algorithm The OSResult class API has a method std string getSolutionStatusDescription int solIdx For this example invoking osresult gt getSolutionStatusDescription 0 gives the result LIMIT_EXCEEDED BONMIN A resource limit was exceeded we provide the current solution e Couenne In this example we read in a problem instance in AMPL nl format The class OSn12o0sil has a method nl2osil that is used to convert the nl instance contained in a file into an in memory OSInstance object This is done as follows convert to the OS native format OSn120sil nl2osil NULL nl2osil new OSn12o0sil nlFileName create the first in memory OSInstance nl20sil gt createOSInstance osinstance nl2osil gt osinstance This part of the example also illustrates setting options in one solver from another Couenne uses Bonmin which uses Ipopt So for
6. the model solution are accessible through get and set methods For each solver we detail five steps Step 1 Step 2 Read a model instance from a file and create the corresponding OSInstance object For four of the solvers we read a file with the model instance in OSiL format For the Clp example we read an MPS file and convert to OSiL For the Couenne example we read an AMPL nl file and convert to OSIL Create an OSOption object and set options appropriate for the given solver This is done by defining OSOption osoption NULL osoption new OSOption A key method in the OSOption interface is setAnotherSolver0ption This method takes the following arguments in order std string name the option name std string value the value of the option std string solver the name of the solver to which the option applies std string category options may fall into categories For example consider the Couenne solver This solver is also linked to the Ipopt and Bonmin solvers and it is possible to set options for these solvers through the Couenne API In order to set an Ipopt option you would set the solver argument to couenne and set the category argument to ipopt Step 3 Step 4 Step 5 std string type many solvers require knowledge of the data type so you can set the type to double integer boolean or string depending on the solver requirements Special types defined by the solver such
7. xml writeosrl osrl xml readosol osolFiles rosenbrockmod_ipopt osol solver ipopt GAMS options files follow specific naming conventions as set out below optfile 1 corresponds to lt solver gt opt optfile 2 corresponds to lt solver gt op2 optfile 99 corresponds to lt solver gt op99 For example in order to solve the Rosenbrock test problem using the options file os opt execute the command gams rbrock nlp os optfile 1 It is also possible to have GAMS call a remote solver If you have installed a remote solver service then in the options file specify the option service serviceaddress 4 2 Using AMPL This section is based on the assumption that the user has installed AMPL on his or her machine It is also possible to call all of these solvers directly from the modeling language AMPL see http www ampl com In this discussion we assume the user has already obtained and installed AMPL In the bin directory there is an executable OSAmp1Client exe that is linked to all of the COIN OR solvers in this distribution The OSAmp1Client acts like an AMPL solver The OSAmp1Client is linked with the OS library and can be used to solve problems either locally or remotely In both cases the OSAmp1Client uses the 0Sn120sil class to convert the AMPL generated nl file which represents the problem instance into the corresponding instance representation in the OSiL format In the following discussion we assume that the AMPL executable
8. R projects that are part of this binary download 3 Calling COIN OR Solvers with Model Instances The following solvers are contained in the bin directory bonmin exe a solver for mixed integer nonlinear programs see https projects coin or org Bonmin cbc exe a solver for mixed integer linear programs see https projects coin or org Cbc clp exe a solver for linear programs see https projects coin or org Clp couenne exe a global optimizer for mixed integer nonlinear programs see https projects coin or org Couenne ipopt exe an optimizer for continuous nonlinear programs see https projects coin or org Ipopt symphony exe a solver for mixed integer linear programs see https projects coin or org SYMPHONY See the respective project pages referenced above for more detail on each of the solvers and which optimization instance formats they take For the convenience of the user the bin directory also contains the OSSolverService exe This executable is linked to libraries for all of the solvers that are in the bin directory and can be used in lieu of any of them One advantage of using the OSSolverService exe is its flexibility Using this executable gives the user access to any of the above solvers with an instance in MPS nl or OSiL format In addition the DSSolverService exe returns the solver solution in the OSrL XML format which is easily parsed We now illustrate sev
9. Using COIN OR Solvers with Microsoft Windows Horand Gassmann Jun Ma and Kipp Martin August 22 2009 1 Overview This binary distribution is specifically designed for Microsoft Windows users who 1 want to use COIN OR solvers to solve optimization problems but do not want to compile any code or 2 want to write applications using Visual Studio projects that link to COIN OR solver libraries This download is plug and play complete with pre configured Visual Studio project files it is not necessary to build any COIN OR projects from source code This document contains the following information In Section 2 we detail the various components contained in this distribution In Section 3 we show how to call and use the optimization solvers contained in this distribution In Section 4 we describe how to call the COIN OR solvers in this distribution using the AMPL modeling language In Section 5 we describe the Visual Studio project files Finally in Section 6 we detail nine examples for which there are Visual Studio project files that illustrate how to use the COIN OR libraries provided in this distribution Libraries from the following COIN OR projects are contained in this distribution Bep https projects coin or org Bcp Bonmin https projects coin or org Bonmin Cbc https projects coin or org Cbc Cgl https projects coin or org Cg1l Clp https projects coin or org Clp Couenne https projects coin or org Couenne Co
10. ablePoint gt idx 1 nlNodeVec push_back nlNodeVariablePoint create the nl node for nlNodePoint new OSnLNodeTimes nlNodeVec push_back nlNodePoint now move the temporaray storage into the expression tree osinstance gt instanceData gt nonlinearExpressions gt nl 1 gt osExpressionTree gt m_treeRoot nlNodeVec 0 gt createExpressionTreeFromPostfix nlNodeVec 6 3 branchCutPrice Using Bcp This example illustrates the use of the COIN OR Bcp Branch cut and price project This project presents the user with the ability to have control over each node in the branch and process This makes it possible to add user defined cuts and or user defined variables At each node in the tree a call is made to the method process_1p_result In the example problem we illustrate 1 adding COIN OR Cgl cuts 2 a user defined cut and 3 a user defined variable 6 4 OSModDemo Modifying an n Memory OSInstance Object The osModDemo folder holds the file OSModDemo cpp This is similar to the instanceGenerator example In this case a simple linear program is generated However this example also illustrates how to modify an in memory OSInstance object In particular we illustrate how to modify an objective function coeffient Note the line of code solver gt osinstance gt bO0bjectivesModified true which is critical otherwise changes made to the OSInstance object will not be fed to the solver This example also illustrates
11. amp1 exe the OSAmp1Client and the test problem hs71 mod are all in the same directory The problem instance hs71 mod is an AMPL model file included in the data amp1Client directory To solve this problem locally by calling the OSAmp1Client from AMPL first start AMPL and then execute the following commands In this case we are testing Ipopt as the local solver take in problem 71 in Hock and Schittkowski assume the problem is in the AMPL directory model hs71 mod tell AMPL that the solver is OSAmp1Client option solver OSAmp1Client now tell OSAmplClient to use Ipopt option OSAmp1Client_options solver ipopt now solve the problem solve This will invoke Ipopt locally and the result in OSrL format will be displayed on the screen In addition the values of the optimal solution objective dual variables etc are returned to AMPL so that they can be displayed and manipulated like solutions from any other AMPL solver Remote solution is also possible For details the user is directed to the OS User s Manual http www coin or org 0S doc osUsersManual_2 0 pdf 5 Using Visual Studio to Build Applications In this section we describe the directory MSVisualStudioOSExamples This directory con tains nine Visual Studio project files each in a separate folder Each of these project files is linked to all of the COIN OR libraries in the lib directory and the necessary header files in the include directory The Visual Studio so
12. eral calls to the OSSolverService exe Open a command window and change into the bin directory Then execute the following in order to solve an instance in this case a linear program in OSiL format OSSolverService osil data osilFiles parincLinear osil The following illustrates solving an instance in AMPL nl format OSSolverService nl data amplFiles parinc nl Likewise to solve a problem in mps format OSSolverService mps data mpsFiles parinc mps The result is printed to standard output in OSrL format For example the values of the primal variables are expressed as lt values number0fVar 2 gt lt var idx 0 gt 539 9999999999999 lt var gt lt var idx 1 gt 252 0000000000001 lt var gt lt values gt And the the objective function value is expressed as lt objectives gt lt values gt lt obj idx 1 gt 7667 941722450357 lt obj gt lt values gt lt objectives gt You can also print the result to a file by using the osrl option This is done as follows OSSolverService osil data osilFiles parincLinear osil osrl result xml A call to OSSolverService exe uses the Cbc solver as a default In order to specify another solver use the solver option to specify the solver you want For example to solve a model instance with SYMPHONY type OSSolverService osil data osilFiles p0033 osil solver symphony To solve a nonlinear model with Bonmin type OSSolverService osil data
13. example 11 osoption gt setAnotherSolver0Option max_iter 100 couenne ipopt integer identifies the solver as Couenne but the category value of ipopt tells the solver interface to set the iteration limit on the Ipopt algorithm that is solving the continuous relaxation of the problem Likewise the setting osoption gt setAnotherSolverO0ption num_resolve_at_node 3 couenne bonmin integer identifies the solver as Couenne but the category value of bonmin tells the solver interface to tell the Bonmin solver to try three starting points at each node 6 6 OSResultDemo Building n Memory Result Object to Display Solver Re sult The OS protocol for representing an optimization result is OSrL Like the OSiL and OSoL protocol this protocol has an associated in memory OSResult class with corresponding API The use of the API is demonstrated in the code OSResultDemo cpp in the folder OS examples OSResultDemo In the code we solve a linear program with the Clp solver The OS solver interface builds an OSrL string that we read into the OSrLReader class and create and OSResult object We then use the OSResult API to get the optimal primal and dual solution We also use the API to get the reduced cost values 6 7 OSCglCuts Using the OSInstance API to Generate Cutting Planes In this example we show how to add cuts to tighten an LP using COIN OR Cgl Cut Generation Library 6 8 OSRemoteTest Calling a Remote Server
14. inUtils https projects coin or org CoinUtils CppAD https projects coin or org CppAD DyLP https projects coin or org DyLP Ipopt https projects coin or org Ipopt Optimization Services https projects coin or org OS Osi https projects coin or org Osi SYMPHONY https projects coin or org SYMPHONY 2 The Binary Distribution When properly installed the material in this distribution is arranged into a number of folders in hierarchical fashion The top level of this hierarchy consists of the following folders bin this directory contains solver executables Using the solver executables is explained in Section 3 data problem instances in OSiL nl and MPS format doc the directory containing this documentation for more thorough documentation see http www coin or org 0S doc osUsersManual_2 0 pdf examples this directory contains source code illustrating how to build applications that use COIN OR software include this directory contains the necessary header files if a user wishes to build appli cations linking to the COIN OR libraries supplied in the lib directory lib this directory contains the solver libraries the Visual Studio project files are linked to these libraries MSVisualStudioOSExamples this directory contains Visual Studio project files for each of the examples given in Section 6 share this directory contains author and license information for each of the COIN O
15. lution file osExamplesSolution sln contains each of these projects Building these examples for instance after making modifications to the code is therefore very easy Find the solution file in the Windows Explorer and double click on it This opens up Visual Studio 2008 If you do not have Visual Studio 2008 available see the OS user s manual http www coin or org 0S doc osUsersManual_2 0 pdf for information on how to download a free copy of Visual Studio Once inside Visual Studio push F7 or se lect Build Solution from the Build menu To keep things simple and in order not to have to supply multiple versions of all the libraries the solution file contains only a single configuration Release When the examples are successfully built the executables will be stored into the folders that contain the project files For example OSSolverDemoTest exe will be found in the folder MSVisualStudioExamples OSSolverDemoTest The examples are described in more detail in Section 6 Eight of the examples illustrate various aspects of COIN OR projects The ninth project is a plug and play project The user can use this project to build his or her own application based on the pre compiled libraries Obviously the code in the other projects can be used as a guide to using the OS API 6 Example Projects We provide eight examples that demonstrate how to use various aspects of the COIN OR software Many users will find the OSSolverDemo to be the most useful
16. n result and write the result to a string named osrl which is a string representing the solution instance in the OSrL XML format This string is accessed by solver gt osrl In the example code 0SSolverDemo cpp we have written a method void getOSResult std string osrl that takes the osr1 string and creates an OSResult object We then illustrate several of the OSResult API methods double getOptimal0bjValue int objIdx int solIdx std vector lt IndexValuePair gt getOptimalPrimalVariableValues int sollIdx to get and write out the optimal objective function value and optimal primal values See also Section 6 6 We now highlight some of the features illustrated by each of the solver examples e Clp In this example we read in a problem instance in MPS format The class OSmps2o0sil has a method mps2osil that is used to convert the MPS instance contained in a file into an in memory OSInstance object This example also illustrates how to set options using the Osi interface In particular we turn on intermediate output which is turned off by default in the Coin Solver Interface e Cbc In this example we read a problem instance that is in OSiL format and create an in memory OSInstance object We then create an OSOption object This is quite trivial A plain text XML file conforming to the OSiL schema is read into a string osil which is then converted into the in memory OSInstance object by OSiLReader osilreader NULL OSIns
17. osilFiles bonminEx1 osil solver bonmin The name of the solver should always be given in all lower case It is possible to build the OSSolverService to work with solvers other than the ones listed in Section 3 but they are not included due to licensing issues Specifically OSSolverServices has also been linked to these solvers e Glpk e Cplex e LINDO For more detail on using the OSSolverService exe see the documentation for the OS project http www coin or org 0S doc osUsersManual_2 0 pdf 4 Calling COIN OR Solvers using a Modeling Language 4 1 Using GAMS This section is based on the assumption that the user has installed GAMS 22 9 or above on his or her machine In the bin directory there is a file gmsos_ zip Copy this file into your GAMS folder Then run gamsinst and select OS as the default solver whenever it is listed as a solver You can now solve a wide variety of problems either locally or remotely through Optimization Services In the discussion that follows we assume that folder where GAMS is installed is in the PATH command In the folder data gamsFiles directory are several test problems in GAMS model format Connect to this folder and execute the following command gams rbrockmod It is also possible to read an OS options file generate the instance OSiL file and write the solution OSrL file This is done by giving GAMS an options file One such file os opt is illustrated below The os opt file is writeosil osil
18. osinstance gt addVariable 1 x1 0 1 B OSNAN There is also a method setVariables for adding more than one variable simultaneously The objective function s and constraints are added through similar calls Nonlinear terms are also added in a straightforward if slightly cumbersome manner The follow ing code illustrates how to add a nonlinear term xo x in the lt nonlinearExpressions gt section of OSiL This term is part of constraint 1 and is the second of six constraints contained in the instance First we set up storage for all six expressions as follows osinstance gt instanceData gt nonlinearExpressions gt number0fNonlinearExpressions 6 osinstance gt instanceData gt nonlinearExpressions gt nl new N1 6 The next code snippet shows how to initial the second of the six expressions osinstance gt instanceData gt nonlinearExpressions gt nl 1 new N1 osinstance gt instanceData gt nonlinearExpressions gt nl 1 gt idx 1 osinstance gt instanceData gt nonlinearExpressions gt nl 1 gt osExpressionTree new OSExpressionTree Next we build the expression in postfix notation that is in the form zo 71 create a variable nl node for x0 an dput into temporary storage nlNodeVariablePoint new OSnLNodeVariable nlNodeVariablePoint gt idx 0 nlNodeVec push_back nlNodeVariablePoint create the nl node for x1 nlNodeVariablePoint new OSnLNodeVariable nlNodeVari
19. tance osinstance NULL osilreader new OSiLReader osinstance osilreader gt readOSiL osil We set the linear programming algorithm to be the primal simplex method and then set the option on the pivot selection to be stepest edge Finally we set the print level to be 10 osoption gt setAnotherSolverOption primalS cbc string osoption gt setAnotherSolverOption primalpivot steepest cbc string osoption gt setAnotherSolverOption log 10 cbc integer e SYMPHONY In this example we also read a problem instance that is in OSiL format and create an in memory OSInstance object We then create an OSOption object and illustrate setting the verbosity option e Ipopt In this example we also read a problem instance that is in OSiL format However in this case we do not create an OSInstance object We read the OSIL file into a string osil We then feed the osil string directly into the Ipopt solver by solver gt osil osil 10 The user always has the option of providing the OSiL to the solver as either a string or in memory object Next we create an OSOption object For Ipopt we illustrate setting the maximum iteration limit and also provide the name of the output file In addition the OSOption object can hold initial solution values We illustrate how to initialize all of the variable to 1 0 numVar 2 rosenbrock mod has two variables xinitial new double numVar for i 0 i

Using COIN-OR Solvers with Microsoft Windows

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