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Support for optimizer callback of COPT
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Release GIL when optimization, it is vital for callback of COPT, otherwise the callback function will be blocked when acquiring GIL.
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@metab0t
metab0t committed Apr 18, 2024
1 parent ede3d8d commit 35a58c5
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Showing 10 changed files with 502 additions and 170 deletions.
177 changes: 115 additions & 62 deletions include/pyoptinterface/copt_model.hpp
View file
Original file line number Diff line number Diff line change
Expand Up @@ -13,68 +13,74 @@ extern "C"
int COPT_SearchParamAttr(copt_prob *prob, const char *name, int *p_type);
}

#define APILIST \
B(COPT_GetRetcodeMsg); \
B(COPT_CreateProb); \
B(COPT_DeleteProb); \
B(COPT_WriteMps); \
B(COPT_WriteLp); \
B(COPT_WriteCbf); \
B(COPT_WriteBin); \
B(COPT_WriteBasis); \
B(COPT_WriteSol); \
B(COPT_WriteMst); \
B(COPT_WriteParam); \
B(COPT_AddCol); \
B(COPT_DelCols); \
B(COPT_AddRow); \
B(COPT_AddQConstr); \
B(COPT_AddSOSs); \
B(COPT_AddCones); \
B(COPT_DelRows); \
B(COPT_DelQConstrs); \
B(COPT_DelSOSs); \
B(COPT_DelCones); \
B(COPT_DelQuadObj); \
B(COPT_ReplaceColObj); \
B(COPT_SetObjConst); \
B(COPT_SetObjSense); \
B(COPT_SetQuadObj); \
B(COPT_Solve); \
B(COPT_SearchParamAttr); \
B(COPT_SetIntParam); \
B(COPT_SetDblParam); \
B(COPT_GetIntParam); \
B(COPT_GetDblParam); \
B(COPT_GetIntAttr); \
B(COPT_GetDblAttr); \
B(COPT_GetColInfo); \
B(COPT_GetColName); \
B(COPT_SetColNames); \
B(COPT_GetColType); \
B(COPT_SetColType); \
B(COPT_SetColLower); \
B(COPT_SetColUpper); \
B(COPT_GetRowInfo); \
B(COPT_GetQConstrInfo); \
B(COPT_GetRowName); \
B(COPT_GetQConstrName); \
B(COPT_SetRowNames); \
B(COPT_SetQConstrNames); \
B(COPT_AddMipStart); \
B(COPT_GetQConstrRhs); \
B(COPT_SetRowLower); \
B(COPT_SetRowUpper); \
B(COPT_SetQConstrRhs); \
B(COPT_GetElem); \
B(COPT_SetElem); \
B(COPT_SetColObj); \
B(COPT_GetBanner); \
B(COPT_CreateEnv); \
B(COPT_CreateEnvWithConfig); \
B(COPT_DeleteEnv); \
B(COPT_CreateEnvConfig); \
B(COPT_DeleteEnvConfig); \
#define APILIST \
B(COPT_GetRetcodeMsg); \
B(COPT_CreateProb); \
B(COPT_DeleteProb); \
B(COPT_WriteMps); \
B(COPT_WriteLp); \
B(COPT_WriteCbf); \
B(COPT_WriteBin); \
B(COPT_WriteBasis); \
B(COPT_WriteSol); \
B(COPT_WriteMst); \
B(COPT_WriteParam); \
B(COPT_AddCol); \
B(COPT_DelCols); \
B(COPT_AddRow); \
B(COPT_AddQConstr); \
B(COPT_AddSOSs); \
B(COPT_AddCones); \
B(COPT_DelRows); \
B(COPT_DelQConstrs); \
B(COPT_DelSOSs); \
B(COPT_DelCones); \
B(COPT_DelQuadObj); \
B(COPT_ReplaceColObj); \
B(COPT_SetObjConst); \
B(COPT_SetObjSense); \
B(COPT_SetQuadObj); \
B(COPT_Solve); \
B(COPT_SearchParamAttr); \
B(COPT_SetIntParam); \
B(COPT_SetDblParam); \
B(COPT_GetIntParam); \
B(COPT_GetDblParam); \
B(COPT_GetIntAttr); \
B(COPT_GetDblAttr); \
B(COPT_GetColInfo); \
B(COPT_GetColName); \
B(COPT_SetColNames); \
B(COPT_GetColType); \
B(COPT_SetColType); \
B(COPT_SetColLower); \
B(COPT_SetColUpper); \
B(COPT_GetRowInfo); \
B(COPT_GetQConstrInfo); \
B(COPT_GetRowName); \
B(COPT_GetQConstrName); \
B(COPT_SetRowNames); \
B(COPT_SetQConstrNames); \
B(COPT_AddMipStart); \
B(COPT_GetQConstrRhs); \
B(COPT_SetRowLower); \
B(COPT_SetRowUpper); \
B(COPT_SetQConstrRhs); \
B(COPT_GetElem); \
B(COPT_SetElem); \
B(COPT_SetColObj); \
B(COPT_GetBanner); \
B(COPT_SetCallback); \
B(COPT_GetCallbackInfo); \
B(COPT_AddCallbackSolution); \
B(COPT_AddCallbackLazyConstr); \
B(COPT_AddCallbackUserCut); \
B(COPT_Interrupt); \
B(COPT_CreateEnv); \
B(COPT_CreateEnvWithConfig); \
B(COPT_DeleteEnv); \
B(COPT_CreateEnvConfig); \
B(COPT_DeleteEnvConfig); \
B(COPT_SetEnvConfig);

namespace copt
Expand Down Expand Up @@ -125,6 +131,27 @@ struct COPTfreemodelT
};
};

class COPTModel;
using COPTCallback = std::function<void(COPTModel *, int)>;

struct COPTCallbackUserdata
{
void *model = nullptr;
COPTCallback callback;
int n_variables = 0;
int where = 0;
// store result of cbget
bool cb_get_mipsol_called = false;
std::vector<double> mipsol;
bool cb_get_mipnoderel_called = false;
std::vector<double> mipnoderel;
bool cb_get_mipincumbent_called = false;
std::vector<double> mipincumbent;
// Cache for cbsolution
bool cb_solution_called = false;
std::vector<double> heuristic_solution;
};

class COPTModel
{
public:
Expand Down Expand Up @@ -229,6 +256,32 @@ class COPTModel
int _constraint_index(const ConstraintIndex &constraint);
int _checked_constraint_index(const ConstraintIndex &constraint);

// Callback
void set_callback(const COPTCallback &callback, int cbctx);

// For callback
bool has_callback = false;
void *m_cbdata = nullptr;
COPTCallbackUserdata m_callback_userdata;

int cb_get_info_int(const std::string &what);
double cb_get_info_double(const std::string &what);
void cb_get_info_doublearray(const std::string &what);

double cb_get_solution(const VariableIndex &variable);
double cb_get_relaxation(const VariableIndex &variable);
double cb_get_incumbent(const VariableIndex &variable);
void cb_set_solution(const VariableIndex &variable, double value);
double cb_submit_solution();

void cb_exit();

void cb_add_lazy_constraint(const ScalarAffineFunction &function, ConstraintSense sense,
CoeffT rhs);
void cb_add_lazy_constraint(const ExprBuilder &function, ConstraintSense sense, CoeffT rhs);
void cb_add_user_cut(const ScalarAffineFunction &function, ConstraintSense sense, CoeffT rhs);
void cb_add_user_cut(const ExprBuilder &function, ConstraintSense sense, CoeffT rhs);

private:
MonotoneIndexer<int> m_variable_index;

Expand Down
4 changes: 3 additions & 1 deletion include/pyoptinterface/gurobi_model.hpp
View file
Original file line number Diff line number Diff line change
Expand Up @@ -266,10 +266,12 @@ class GurobiModel
void cb_get_info_doublearray(int what);

double cb_get_solution(const VariableIndex &variable);
double cb_get_noderel(const VariableIndex &variable);
double cb_get_relaxation(const VariableIndex &variable);
void cb_set_solution(const VariableIndex &variable, double value);
double cb_submit_solution();

void cb_exit();

void cb_add_lazy_constraint(const ScalarAffineFunction &function, ConstraintSense sense,
CoeffT rhs);
void cb_add_lazy_constraint(const ExprBuilder &function, ConstraintSense sense, CoeffT rhs);
Expand Down
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