static void Main(string[] args)
{
GAMSWorkspace ws;
if (Environment.GetCommandLineArgs().Length > 1)
{
ws = new GAMSWorkspace(systemDirectory: Environment.GetCommandLineArgs()[1]);
}
else
{
ws = new GAMSWorkspace();
}
GAMSJob data = ws.AddJobFromString(GetDataText());
GAMSOptions optData = ws.AddOptions();
optData.Defines.Add("useBig", "1");
optData.Defines.Add("nrScen", "100");
data.Run(optData);
optData.Dispose();
GAMSParameter scenarioData = data.OutDB.GetParameter("ScenarioData");
GAMSOptions opt = ws.AddOptions();
opt.Defines.Add("datain", data.OutDB.Name);
int maxiter = 40;
opt.Defines.Add("maxiter", maxiter.ToString());
opt.AllModelTypes = "cplexd";
GAMSCheckpoint cpMaster = ws.AddCheckpoint();
GAMSCheckpoint cpSub = ws.AddCheckpoint();
ws.AddJobFromString(GetMasterText()).Run(opt, cpMaster, data.OutDB);
GAMSModelInstance masteri = cpMaster.AddModelInstance();
GAMSParameter cutconst = masteri.SyncDB.AddParameter("cutconst", 1, "Benders optimality cut constant");
GAMSParameter cutcoeff = masteri.SyncDB.AddParameter("cutcoeff", 2, "Benders optimality coefficients");
GAMSVariable theta = masteri.SyncDB.AddVariable("theta", 0, VarType.Free, "Future profit function variable");
GAMSParameter thetaFix = masteri.SyncDB.AddParameter("thetaFix", 0, "");
masteri.Instantiate("masterproblem max zmaster using lp", opt, new GAMSModifier(cutconst), new GAMSModifier(cutcoeff), new GAMSModifier(theta, UpdateAction.Fixed, thetaFix));
ws.AddJobFromString(GetSubText()).Run(opt, cpSub, data.OutDB);
GAMSModelInstance subi = cpSub.AddModelInstance();
GAMSParameter received = subi.SyncDB.AddParameter("received", 1, "units received from master");
GAMSParameter demand = subi.SyncDB.AddParameter("demand", 1, "stochastic demand");
subi.Instantiate("subproblem max zsub using lp", opt, new GAMSModifier(received), new GAMSModifier(demand));
opt.Dispose();
double lowerbound = double.NegativeInfinity, upperbound = double.PositiveInfinity, objmaster = double.PositiveInfinity;
int iter = 1;
do
{
Console.WriteLine("Iteration: " + iter);
// Solve master
if (1 == iter) // fix theta for first iteration
{
thetaFix.AddRecord().Value = 0;
}
else
{
thetaFix.Clear();
}
masteri.Solve(GAMSModelInstance.SymbolUpdateType.BaseCase);
Console.WriteLine(" Master " + masteri.ModelStatus + " : obj=" + masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level);
if (1 < iter)
{
upperbound = masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level;
}
objmaster = masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level - theta.FirstRecord().Level;
// Set received from master
received.Clear();
foreach (GAMSVariableRecord r in masteri.SyncDB.GetVariable("received"))
{
received.AddRecord(r.Keys).Value = r.Level;
cutcoeff.AddRecord(iter.ToString(), r.Keys[0]);
}
cutconst.AddRecord(iter.ToString());
double objsub = 0.0;
foreach (GAMSSetRecord s in data.OutDB.GetSet("s"))
{
demand.Clear();
foreach (GAMSSetRecord j in data.OutDB.GetSet("j"))
{
demand.AddRecord(j.Keys).Value = scenarioData.FindRecord(s.Keys[0], j.Keys[0]).Value;
}
subi.Solve(GAMSModelInstance.SymbolUpdateType.BaseCase);
Console.WriteLine(" Sub " + subi.ModelStatus + " : obj=" + subi.SyncDB.GetVariable("zsub").FirstRecord().Level);
double probability = scenarioData.FindRecord(s.Keys[0], "prob").Value;
objsub += probability * subi.SyncDB.GetVariable("zsub").FirstRecord().Level;
foreach (GAMSSetRecord j in data.OutDB.GetSet("j"))
{
cutconst.FindRecord(iter.ToString()).Value += probability * subi.SyncDB.GetEquation("market").FindRecord(j.Keys).Marginal *demand.FindRecord(j.Keys).Value;
cutcoeff.FindRecord(iter.ToString(), j.Keys[0]).Value += probability * subi.SyncDB.GetEquation("selling").FindRecord(j.Keys).Marginal;
}
}
lowerbound = Math.Max(lowerbound, objmaster + objsub);
iter++;
if (iter == maxiter + 1)
{
throw new Exception("Benders out of iterations");
}
Console.WriteLine(" lowerbound: " + lowerbound + " upperbound: " + upperbound + " objmaster: " + objmaster);
} while ((upperbound - lowerbound) >= 0.001 * (1 + Math.Abs(upperbound)));
masteri.Dispose();
subi.Dispose();
}
static void Main(string[] args)
{
GAMSWorkspace ws;
if (Environment.GetCommandLineArgs().Length > 1)
{
ws = new GAMSWorkspace(systemDirectory: Environment.GetCommandLineArgs()[1]);
}
else
{
ws = new GAMSWorkspace();
}
GAMSJob data = ws.AddJobFromString(GetDataText());
GAMSOptions optData = ws.AddOptions();
optData.Defines.Add("useBig", "1");
optData.Defines.Add("nrScen", "100");
data.Run(optData);
optData.Dispose();
GAMSParameter scenarioData = data.OutDB.GetParameter("ScenarioData");
GAMSOptions opt = ws.AddOptions();
opt.Defines.Add("datain", data.OutDB.Name);
int maxiter = 40;
opt.Defines.Add("maxiter", maxiter.ToString());
opt.AllModelTypes = "cplexd";
GAMSCheckpoint cpMaster = ws.AddCheckpoint();
GAMSCheckpoint cpSub = ws.AddCheckpoint();
ws.AddJobFromString(GetMasterText()).Run(opt, cpMaster, data.OutDB);
GAMSModelInstance masteri = cpMaster.AddModelInstance();
GAMSParameter cutconst = masteri.SyncDB.AddParameter("cutconst", 1, "Benders optimality cut constant");
GAMSParameter cutcoeff = masteri.SyncDB.AddParameter("cutcoeff", 2, "Benders optimality coefficients");
GAMSVariable theta = masteri.SyncDB.AddVariable("theta", 0, VarType.Free, "Future profit function variable");
GAMSParameter thetaFix = masteri.SyncDB.AddParameter("thetaFix", 0, "");
masteri.Instantiate("masterproblem max zmaster using lp", opt, new GAMSModifier(cutconst), new GAMSModifier(cutcoeff), new GAMSModifier(theta, UpdateAction.Fixed, thetaFix));
ws.AddJobFromString(GetSubText()).Run(opt, cpSub, data.OutDB);
int numThreads = 2;
GAMSModelInstance[] subi = new GAMSModelInstance[numThreads];
Queue <Tuple <string, double, Dictionary <string, double> > > demQueue = new Queue <Tuple <string, double, Dictionary <string, double> > >();
for (int i = 0; i < numThreads; i++)
{
subi[i] = cpSub.AddModelInstance();
GAMSParameter received = subi[i].SyncDB.AddParameter("received", 1, "units received from first stage solution");
GAMSParameter demand = subi[i].SyncDB.AddParameter("demand", 1, "stochastic demand");
subi[i].Instantiate("subproblem max zsub using lp", opt, new GAMSModifier(received), new GAMSModifier(demand));
}
opt.Dispose();
double lowerbound = double.NegativeInfinity, upperbound = double.PositiveInfinity, objmaster = double.PositiveInfinity;
int iter = 1;
do
{
Console.WriteLine("Iteration: " + iter);
// Solve master
if (1 == iter) // fix theta for first iteration
{
thetaFix.AddRecord().Value = 0;
}
else
{
thetaFix.Clear();
}
masteri.Solve(GAMSModelInstance.SymbolUpdateType.BaseCase);
Console.WriteLine(" Master " + masteri.ModelStatus + " : obj=" + masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level);
if (1 < iter)
{
upperbound = masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level;
}
objmaster = masteri.SyncDB.GetVariable("zmaster").FirstRecord().Level - theta.FirstRecord().Level;
foreach (GAMSSetRecord s in data.OutDB.GetSet("s"))
{
Dictionary <string, double> demDict = new Dictionary <string, double>();
foreach (GAMSSetRecord j in data.OutDB.GetSet("j"))
{
demDict[j.Keys[0]] = scenarioData.FindRecord(s.Keys[0], j.Keys[0]).Value;
}
demQueue.Enqueue(new Tuple <string, double, Dictionary <string, double> >(s.Keys[0], scenarioData.FindRecord(s.Keys[0], "prob").Value, demDict));
}
for (int i = 0; i < numThreads; i++)
{
subi[i].SyncDB.GetParameter("received").Clear();
}
foreach (GAMSVariableRecord r in masteri.SyncDB.GetVariable("received"))
{
cutcoeff.AddRecord(iter.ToString(), r.Keys[0]);
for (int i = 0; i < numThreads; i++)
{
subi[i].SyncDB.GetParameter("received").AddRecord(r.Keys).Value = r.Level;
}
}
cutconst.AddRecord(iter.ToString());
double objsubsum = 0.0;
// solve multiple model instances in parallel
Object queueMutex = new Object();
Object ioMutex = new Object();
double[] objsub = new double[numThreads];
Dictionary <string, double>[] coef = new Dictionary <string, double> [numThreads];
double[] cons = new double[numThreads];
for (int i = 0; i < numThreads; i++)
{
coef[i] = new Dictionary <string, double>();
foreach (GAMSSetRecord j in data.OutDB.GetSet("j"))
{
coef[i].Add(j.Keys[0], 0.0);
}
}
Parallel.For(0, numThreads, delegate(int i) { ScenSolve(subi[i], ref cons[i], ref coef[i], demQueue, ref objsub[i], queueMutex, ioMutex); });
for (int i = 0; i < numThreads; i++)
{
objsubsum += objsub[i];
cutconst.FindRecord(iter.ToString()).Value += cons[i];
foreach (GAMSSetRecord j in data.OutDB.GetSet("j"))
{
cutcoeff.FindRecord(iter.ToString(), j.Keys[0]).Value += coef[i][j.Keys[0]];
}
}
lowerbound = Math.Max(lowerbound, objmaster + objsubsum);
iter++;
if (iter == maxiter + 1)
{
throw new Exception("Benders out of iterations");
}
Console.WriteLine(" lowerbound: " + lowerbound + " upperbound: " + upperbound + " objmaster: " + objmaster);
} while ((upperbound - lowerbound) >= 0.001 * (1 + Math.Abs(upperbound)));
masteri.Dispose();
foreach (GAMSModelInstance inst in subi)
{
inst.Dispose();
}
}