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Fix computing duals #1091

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Fix computing duals #1091

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18b31d4
Try to fix computing duals
manuelma Sep 10, 2024
26ea194
Merge branch 'v0.7.2.x-release' into fix_computing_duals
manuelma Sep 10, 2024
79ea9f0
Fix investment variables only if for benders
manuelma Sep 10, 2024
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23 changes: 7 additions & 16 deletions src/run_spineopt_basic.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -720,7 +720,7 @@
if ret == 0
try
_save_marginal_values!(m)
_save_bound_marginal_values!(m, v -> _reduced_cost_cplex(v, cplex_model, CPLEX))
_save_bound_marginal_values!(m)

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catch err
@error err
CPLEX.CPXchgprobtype(cplex_model.env, cplex_model.lp, prob_type)
Expand All @@ -731,25 +731,16 @@
ret == 0
end

function _reduced_cost_cplex(v::VariableRef, cplex_model, CPLEX)
m = owner_model(v)
sign = objective_sense(m) == MIN_SENSE ? 1.0 : -1.0
col = Cint(CPLEX.column(cplex_model, index(v)) - 1)
p = Ref{Cdouble}()
CPLEX.CPXgetdj(cplex_model.env, cplex_model.lp, p, col, col)
rc = p[]
sign * rc
end

function _calculate_duals_fallback(m; log_level=3, for_benders=false)
@timelog log_level 1 "Copying model..." (m_dual_lp, ref_map) = copy_model(m)
set_optimizer(m_dual_lp, m.ext[:spineopt].lp_solver)
@log log_level 1 "Set LP solver $(solver_name(m_dual_lp)) for the copy."
if for_benders
@timelog log_level 1 "Relaxing discrete variables..." _relax_discrete_vars!(m, ref_map)
fix_variables = if for_benders
(:bound_units_invested_available, :bound_connections_invested_available, :bound_storages_invested_available)
else
@timelog log_level 1 "Fixing discrete variables..." _relax_discrete_vars!(m, ref_map; and_fix=true)
()
end
@timelog log_level 1 "Relaxing discrete variables..." _relax_discrete_vars!(m, ref_map; fix_variables)
dual_fallback(con) = DualPromise(ref_map[con])
reduced_cost_fallback(var) = ReducedCostPromise(ref_map[var])
_save_marginal_values!(m, dual_fallback)
Expand All @@ -767,7 +758,7 @@
end
end

function _relax_discrete_vars!(m::Model, ref_map::ReferenceMap; and_fix=false)
function _relax_discrete_vars!(m::Model, ref_map::ReferenceMap; fix_variables=())
for (name, var_by_ind) in m.ext[:spineopt].variables
def = m.ext[:spineopt].variables_definition[name]
def[:bin] === def[:int] === nothing && continue
Expand All @@ -781,7 +772,7 @@
else
continue
end
if and_fix
if name in fix_variables
val = _variable_value(var)
fix(ref_var, val; force=true)
end
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