Merge pull request #71 from sandialabs/highs

Preliminary interface to the HIGHS solver
sandialabs · May 6, 2024 · 8de953e · 8de953e
2 parents b2ec377 + 6fae3ba
commit 8de953e
Show file tree

Hide file tree

Showing 24 changed files with 954 additions and 68 deletions.
diff --git a/build_dev.sh b/build_dev.sh
@@ -57,7 +57,7 @@ else
     . ${SPACK_HOME}/share/spack/setup-env.sh
     spack env create coekenv
     spack env activate coekenv
-    spack add asl cppad fmt rapidjson catch2
+    spack add asl cppad fmt rapidjson catch2 highs
     spack install
     spack env deactivate
 fi
@@ -67,5 +67,5 @@ echo ""
 \rm -Rf build
 mkdir build
 cd build
-cmake -DCMAKE_PREFIX_PATH=${SPACK_HOME}/var/spack/environments/coekenv/.spack-env/view -Dwith_python=${with_python} -Dwith_gurobi=$with_gurobi -Dwith_cppad=ON -Dwith_fmtlib=ON -Dwith_rapidjson=ON -Dwith_catch2=ON -Dwith_tests=ON -Dwith_asl=ON -Dwith_openmp=OFF ..
+cmake -DCMAKE_PREFIX_PATH=${SPACK_HOME}/var/spack/environments/coekenv/.spack-env/view -Dwith_python=${with_python} -Dwith_gurobi=$with_gurobi -Dwith_highs=ON -Dwith_cppad=ON -Dwith_fmtlib=ON -Dwith_rapidjson=ON -Dwith_catch2=ON -Dwith_tests=ON -Dwith_asl=ON -Dwith_openmp=OFF ..
 make -j20
diff --git a/lib/coek/CMakeLists.txt b/lib/coek/CMakeLists.txt
@@ -28,6 +28,7 @@ option(with_asl "Use the ASL autograd library" OFF)
 # Solver Dependencies
 option(with_gurobi "Use the Gurobi solver" OFF)
 set(GUROBI_HOME "" CACHE FILEPATH "Set the path to gurobi")
+option(with_highs "Use the Highs solver" OFF)
 
 
 ##################### Other Config #####################
@@ -42,8 +43,13 @@ endif()
 
 MESSAGE("-- With Gurobi Solver: ${with_gurobi}")
 if(with_gurobi)
-  find_package(GUROBI)
-  list(APPEND solver_flags "-DWITH_GUROBI")
+  find_package(GUROBI REQUIRED)
+endif()
+
+MESSAGE("-- With Highs Solver: ${with_highs}")
+if(with_highs)
+  find_package(HIGHS REQUIRED)
+  find_package(Threads REQUIRED)
 endif()
 
 

diff --git a/lib/coek/coek/CMakeLists.txt b/lib/coek/coek/CMakeLists.txt
@@ -34,6 +34,7 @@ SET(sources
     solvers/solver_results.cpp
     solvers/solver.cpp
     solvers/solver_repn.cpp
+    solvers/create_solver.cpp
     solvers/testsolver.cpp
     autograd/autograd.cpp
     abstract/expr_rule.cpp
@@ -154,16 +155,19 @@ endif()
 if(with_gurobi)
     list(APPEND sources
                 solvers/gurobi/gurobi.cpp)
-    #if(NOT "$ENV{GUROBI_HOME}" STREQUAL "")
-    #    MESSAGE("-- GUROBI_HOME $ENV{GUROBI_HOME}")
-    #    list(APPEND coek_link_directories $ENV{GUROBI_HOME}/lib)
-    #else()
-    #    MESSAGE("-- GUROBI_HOME Not provided")
-    #endif()
     list(APPEND coek_compile_options -DWITH_GUROBI)
     list(APPEND coek_link_libraries ${GUROBI_CXX_LIBRARY} ${GUROBI_LIBRARY})
     list(APPEND coek_include_directories ${GUROBI_INCLUDE_DIRS})
-#gurobi_g++5.2 gurobi90)
+endif()
+
+#
+# HIGHS LIBRARY
+#
+if(with_highs)
+    list(APPEND sources
+                solvers/highs/highs.cpp)
+    list(APPEND coek_compile_options -DWITH_HIGHS)
+    list(APPEND coek_link_libraries highs::highs)
 endif()
 
 #

diff --git a/lib/coek/coek/api/expression_visitor.hpp b/lib/coek/coek/api/expression_visitor.hpp
@@ -5,6 +5,18 @@
 
 namespace coek {
 
+class ParameterTerm;
+class IndexParameterTerm;
+class VariableTerm;
+class BaseExpressionTerm;
+class SubExpressionTerm;
+
+typedef std::shared_ptr<ParameterTerm> ParameterRepn;
+typedef std::shared_ptr<IndexParameterTerm> IndexParameterRepn;
+typedef std::shared_ptr<VariableTerm> VariableRepn;
+typedef std::shared_ptr<BaseExpressionTerm> ExpressionRepn;
+typedef std::shared_ptr<SubExpressionTerm> SubExpressionRepn;
+
 class VariableTerm;
 class Expression;
 class Objective;

diff --git a/lib/coek/coek/autograd/asl_repn.cpp b/lib/coek/coek/autograd/asl_repn.cpp
@@ -467,10 +467,10 @@ void ASL_Repn::call_hesset()
     nnz_lag_h = static_cast<size_t>(sphsetup(-1, coeff_obj, mult_supplied, uptri));
 }
 
-bool ASL_Repn::get_option(const std::string& option, std::string& value) const
+bool ASL_Repn::get_option(const std::string& option, bool& value) const
 {
-    if (option == "temp_directory") {
-        value = temp_directory;
+    if (option == "remove_nl_file") {
+        value = remove_nl_file;
         return true;
     }
     return false;
@@ -485,16 +485,31 @@ bool ASL_Repn::get_option(const std::string& option, int& value) const
     return false;
 }
 
-void ASL_Repn::set_option(const std::string& option, const std::string value)
+bool ASL_Repn::get_option(const std::string& option, std::string& value) const
 {
-    if (option == "temp_directory")
-        temp_directory = value;
+    if (option == "temp_directory") {
+        value = temp_directory;
+        return true;
+    }
+    return false;
 }
 
-void ASL_Repn::set_option(const std::string& option, int value)
+void ASL_Repn::set_option(const std::string& option, bool value)
 {
     if (option == "remove_nl_file")
         remove_nl_file = value;
 }
 
+void ASL_Repn::set_option(const std::string& option, int value)
+{
+    if (option == "remove_nl_file")
+        remove_nl_file = (value == 1);
+}
+
+void ASL_Repn::set_option(const std::string& option, const std::string value)
+{
+    if (option == "temp_directory")
+        temp_directory = value;
+}
+
 }  // namespace coek
diff --git a/lib/coek/coek/autograd/asl_repn.hpp b/lib/coek/coek/autograd/asl_repn.hpp
@@ -22,8 +22,8 @@ class ASL_Repn : public NLPModelRepn {
     ASL_pfgh* asl_;
     // The temporary file directory used to write the NL file
     std::string temp_directory;
-    // If set to 1, then the NL file is removed
-    int remove_nl_file = 1;
+    // If true, then the NL file is removed
+    bool remove_nl_file = true;
 
     // ----------------------------------------------------------------------
     // Problem information
@@ -103,10 +103,12 @@ class ASL_Repn : public NLPModelRepn {
     void compute_J(std::vector<double>& J);
 
    public:
-    bool get_option(const std::string& option, std::string& value) const;
+    bool get_option(const std::string& option, bool& value) const;
     bool get_option(const std::string& option, int& value) const;
-    void set_option(const std::string& option, const std::string value);
+    bool get_option(const std::string& option, std::string& value) const;
+    void set_option(const std::string& option, bool value);
     void set_option(const std::string& option, int value);
+    void set_option(const std::string& option, const std::string value);
 
    protected:
     void* nerror_;

diff --git a/lib/coek/coek/autograd/autograd.hpp b/lib/coek/coek/autograd/autograd.hpp
@@ -66,6 +66,17 @@ class NLPModelRepn {
     void find_used_variables();
 
    public:
+    /** Get the value of an boolean option
+     *
+     * The option value is returned by reference if it has
+     * a value.
+     *
+     * \param option  the option name
+     * \param value   a boolean value that is passed by reference
+     *
+     * \returns \c true if the option is found
+     */
+    virtual bool get_option(const std::string& /*option*/, bool& /*value*/) const { return false; }
     /** Get the value of an integer option
      *
      * The option value is returned by reference if it has
@@ -106,6 +117,12 @@ class NLPModelRepn {
         return false;
     }
 
+    /** Set a boolean option
+     *
+     * \param option  the option name
+     * \param value   the boolean value
+     */
+    virtual void set_option(const std::string& /*option*/, bool /*value*/) {}
     /** Set an integer option
      *
      * \param option  the option name
@@ -123,7 +140,17 @@ class NLPModelRepn {
      * \param option  the option name
      * \param value   the string value
      */
-    virtual void set_option(const std::string& /*option*/, const std::string /*value*/) {}
+    virtual void set_option(const std::string& /*option*/, const std::string& /*value*/) {}
+
+    /** Set a string option
+     *
+     * \param option  the option name
+     * \param value   the string value
+     */
+    void set_option(const std::string& option, const char* value)
+    {
+        this->set_option(option, std::string(value));
+    }
 };
 
 NLPModelRepn* create_NLPModelRepn(Model& model, const std::string& name);

diff --git a/lib/coek/coek/autograd/cppad_repn.cpp b/lib/coek/coek/autograd/cppad_repn.cpp
@@ -610,6 +610,19 @@ void CppAD_Repn::reset(void)
     set_variables(currx);
 }
 
+bool CppAD_Repn::get_option(const std::string& option, bool& value) const
+{
+    if (option == "sparse_JH") {
+        value = sparse_JH;
+        return true;
+    }
+    else if (option == "simplify_expressions") {
+        value = simplify_expressions;
+        return true;
+    }
+    return false;
+}
+
 bool CppAD_Repn::get_option(const std::string& option, int& value) const
 {
     if (option == "sparse_JH") {
@@ -623,6 +636,14 @@ bool CppAD_Repn::get_option(const std::string& option, int& value) const
     return false;
 }
 
+void CppAD_Repn::set_option(const std::string& option, bool value)
+{
+    if (option == "sparse_JH")
+        sparse_JH = value;
+    else if (option == "simplify_expressions")
+        simplify_expressions = value;
+}
+
 void CppAD_Repn::set_option(const std::string& option, int value)
 {
     if (option == "sparse_JH")

diff --git a/lib/coek/coek/autograd/cppad_repn.hpp b/lib/coek/coek/autograd/cppad_repn.hpp
@@ -127,8 +127,10 @@ class CppAD_Repn : public NLPModelRepn {
     void compute_J(std::vector<double>& J);
 
    public:
+    bool get_option(const std::string& option, bool& value) const;
     bool get_option(const std::string& option, int& value) const;
 
+    void set_option(const std::string& option, bool value);
     void set_option(const std::string& option, int value);
 
    public:

diff --git a/lib/coek/coek/model/nlp_model.cpp b/lib/coek/coek/model/nlp_model.cpp
@@ -23,6 +23,8 @@ void NLPModel::initialize(Model& model, std::string type)
     std::shared_ptr<NLPModelRepn> tmp(create_NLPModelRepn(model, type));
     repn = tmp;
 
+    for (const auto& ioption : boolean_options())
+        repn->set_option(ioption.first, ioption.second);
     for (const auto& ioption : integer_options())
         repn->set_option(ioption.first, ioption.second);
     for (const auto& doption : double_options())

diff --git a/lib/coek/coek/solvers/create_solver.cpp b/lib/coek/coek/solvers/create_solver.cpp
@@ -0,0 +1,49 @@
+#include "coek/solvers/solver_repn.hpp"
+
+namespace coek {
+
+SolverRepn* create_coektest_solver();
+NLPSolverRepn* create_ipopt_solver();
+#ifdef WITH_GUROBI
+SolverRepn* create_gurobi_solver();
+#endif
+#ifdef WITH_HIGHS
+SolverRepn* create_highs_solver();
+#endif
+
+SolverRepn* create_solver(std::string& name, OptionCache& options)
+{
+    if (name == "test")
+        return create_coektest_solver();
+
+#ifdef WITH_GUROBI
+    if (name == "gurobi") {
+        auto tmp = create_gurobi_solver();
+        tmp->set_options(options);
+        return tmp;
+    }
+#endif
+
+#ifdef WITH_HIGHS
+    if (name == "highs") {
+        auto tmp = create_highs_solver();
+        tmp->set_options(options);
+        return tmp;
+    }
+#endif
+
+    return 0;
+}
+
+NLPSolverRepn* create_nlpsolver(std::string& name, OptionCache& options)
+{
+    if (name == "ipopt") {
+        auto tmp = create_ipopt_solver();
+        tmp->set_options(options);
+        return tmp;
+    }
+
+    return 0;
+}
+
+}  // namespace coek