# Copyright (c) 2019 Arpit Bhatia and contributors #src
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# SOFTWARE. #src
# # [Tips and tricks](@id linear_tips_and_tricks)
# **This tutorial was originally contributed by Arpit Bhatia.**
# !!! tip
# A good source of tips is the [Mosek Modeling Cookbook](https://docs.mosek.com/modeling-cookbook/mio.html).
# This tutorial collates some tips and tricks you can use when formulating
# mixed-integer programs. It uses the following packages:
using JuMP
# ## Absolute value
# To model the absolute value function ``t \ge |x|``, there are a few options.
# In all cases, these reformulations only work if you are minimizing ``t``
# "down" into ``|x|``. They do not work if you are trying to maximize ``|x|``.
# ### Option 1
# This option adds two linear inequality constraints:
model = Model();
@variable(model, x)
@variable(model, t)
@constraint(model, t >= x)
@constraint(model, t >= -x)
# ### Option 2
# This option uses two non-negative variables and forms expressions for ``x``
# and ``t``:
model = Model();
@variable(model, z[1:2] >= 0)
@expression(model, t, z[1] + z[2])
@expression(model, x, z[1] - z[2])
# ### Option 3
# This option uses [`MOI.NormOneCone`](@ref) and lets JuMP choose the
# reformulation:
model = Model();
@variable(model, x)
@variable(model, t)
@constraint(model, [t; x] in MOI.NormOneCone(2))
# ## L1-norm
# To model ``\min ||x||_1``, that is, ``\min \sum\limits_i |x_i|``, use the
# [`MOI.NormOneCone`](@ref):
model = Model();
@variable(model, x[1:3])
@variable(model, t)
@constraint(model, [t; x] in MOI.NormOneCone(1 + length(x)))
@objective(model, Min, t)
# ## Infinity-norm
# To model ``\min ||x||_\infty``, that is, ``\min \max\limits_i |x_i|``, use the
# [`MOI.NormInfinityCone`](@ref):
model = Model();
@variable(model, x[1:3])
@variable(model, t)
@constraint(model, [t; x] in MOI.NormInfinityCone(1 + length(x)))
@objective(model, Min, t)
# ## Max
# To model ``t \ge \max\{x, y\}``, do:
model = Model();
@variable(model, t)
@variable(model, x)
@variable(model, y)
@constraint(model, t >= x)
@constraint(model, t >= y)
# This reformulation does not work for ``t \ge \min\{x, y\}``.
# ## Min
# To model ``t \le \min\{x, y\}``, do:
model = Model();
@variable(model, t)
@variable(model, x)
@variable(model, y)
@constraint(model, t <= x)
@constraint(model, t <= y)
# This reformulation does not work for ``t \le \max\{x, y\}``.
# ## Boolean operators
# Binary variables can be used to construct logical operators. Here are some
# example.
# ### Or
# $$x_3 = x_1 \lor x_2$$
model = Model();
@variable(model, x[1:3], Bin)
@constraints(model, begin
x[1] <= x[3]
x[2] <= x[3]
x[3] <= x[1] + x[2]
end)
# ### And
# $$x_3 = x_1 \land x_2$$
model = Model();
@variable(model, x[1:3], Bin)
@constraints(model, begin
x[3] <= x[1]
x[3] <= x[2]
x[3] >= x[1] + x[2] - 1
end)
# ### Not
# $$x_1 \neg x_2$$
model = Model();
@variable(model, x[1:2], Bin)
@constraint(model, x[1] == 1 - x[2])
# ### Implies
# $$x_1 \implies x_2$$
model = Model();
@variable(model, x[1:2], Bin)
@constraint(model, x[1] <= x[2])
# ## Disjunctions
# ### Problem
# Suppose that we have two constraints $a^\top x \leq b$ and
# $c^\top x \leq d$, and we want at least one to hold.
# ### Trick
# Introduce a "big-M" multiplied by a binary variable to relax one of
# the constraints.
# **Example** Either $x_1 \leq 1$ or $x_2 \leq 2$.
model = Model();
@variable(model, x[1:2])
@variable(model, y, Bin)
M = 100
@constraint(model, x[1] <= 1 + M * y)
@constraint(model, x[2] <= 2 + M * (1 - y))
# !!! warning
# If `M` is too small, the solution may be suboptimal. If `M` is too big,
# the solver may encounter numerical issues. Try to use domain knowledge to
# choose an `M` that is just right. Gurobi has a [good documentation section](https://www.gurobi.com/documentation/9.1/refman/dealing_with_big_m_constra.html)
# on this topic.
# ## Indicator constraints
# ### Problem
# Suppose we want to model that a certain linear inequality must be satisfied
# when some other event occurs, that is, for a binary variable $z$, we want to
# model the implication:
# $$z = 1 \implies a^\top x \leq b$$
# ### Trick 1
# Some solvers have native support for indicator constraints.
# **Example** $x_1 + x_2 \leq 1$ if $z = 1$.
model = Model();
@variable(model, x[1:2])
@variable(model, z, Bin)
@constraint(model, z => {sum(x) <= 1})
# **Example** $x_1 + x_2 \leq 1$ if $z = 0$.
model = Model();
@variable(model, x[1:2])
@variable(model, z, Bin)
@constraint(model, !z => {sum(x) <= 1})
# ### Trick 2
# If the solver doesn't support indicator constraints, you an use the big-M
# trick.
# **Example** $x_1 + x_2 \leq 1$ if $z = 1$.
model = Model();
@variable(model, x[1:2])
@variable(model, z, Bin)
M = 100
@constraint(model, sum(x) <= 1 + M * (1 - z))
# **Example** $x_1 + x_2 \leq 1$ if $z = 0$.
model = Model();
@variable(model, x[1:2])
@variable(model, z, Bin)
M = 100
@constraint(model, sum(x) <= 1 + M * z)
# ## Semi-continuous variables
# !!! info
# This section uses sets from [MathOptInterface](@ref moi_documentation).
# By default, JuMP exports the `MOI` symbol as an alias for the
# MathOptInterface.jl package. We recommend making this more explicit in
# your code by adding the following lines:
# ```julia
# import MathOptInterface as MOI
# ```
# A semi-continuous variable is a continuous variable between bounds $[l,u]$
# that also can assume the value zero, that is:
# $$x \in \{0\} \cup [l,u].$$
# **Example** $$x \in \{0\}\cup [1, 2]$$
model = Model();
@variable(model, x in Semicontinuous(1.0, 2.0))
# ## Semi-integer variables
# A semi-integer variable is a variable which assumes integer values between
# bounds $[l,u]$ and can also assume the value zero:
# $$x \in \{0\} \cup [l, u] \cap \mathbb{Z}.$$
model = Model();
@variable(model, x in Semiinteger(5.0, 10.0))
# ## Special Ordered Sets of Type 1
# A Special Ordered Set of Type 1 is a set of variables, at most one of which
# can take a non-zero value, all others being at 0.
#
# They most frequently apply where a set of variables are actually binary
# variables. In other words, we have to choose at most one from a set of
# possibilities.
model = Model();
@variable(model, x[1:3], Bin)
@constraint(model, x in SOS1())
# You can optionally pass `SOS1` a weight vector like
@constraint(model, x in SOS1([0.2, 0.5, 0.3]))
# If the decision variables are related and have a physical ordering, then the
# weight vector, although not used directly in the constraint, can help the
# solver make a better decision in the solution process.
# ## [Special Ordered Sets of Type 2](@id tip_sos2)
# A Special Ordered Set of type 2 is a set of non-negative variables, of which
# at most two can be non-zero, and if two are non-zero these must be consecutive
# in their ordering.
model = Model();
@variable(model, x[1:3])
@constraint(model, x in SOS2([3.0, 1.0, 2.0]))
# The ordering provided by the weight vector is more important in this case as
# the variables need to be consecutive according to the ordering.
# For example, in the above constraint, the possible pairs are:
# * Consecutive
# * (`x[1]` and `x[3]`) as they correspond to 3 and 2 resp. and thus can be non-zero
# * (`x[2]` and `x[3]`) as they correspond to 1 and 2 resp. and thus can be non-zero
# * Non-consecutive
# * (`x[1]` and `x[2]`) as they correspond to 3 and 1 resp. and thus cannot be non-zero
# ## Piecewise linear approximations
# [SOSII constraints](@ref tip_sos2) are most often used to form piecewise
# linear approximations of a function.
# Given a set of points for `x`:
x̂ = -1:0.5:2
# and a set of corresponding points for `y`:
ŷ = x̂ .^ 2
# the piecewise linear approximation is constructed by representing `x` and `y`
# as convex combinations of `x̂` and `ŷ`.
N = length(x̂)
model = Model();
@variable(model, -1 <= x <= 2)
@variable(model, y)
@variable(model, 0 <= λ[1:N] <= 1)
@objective(model, Max, y)
@constraints(model, begin
x == sum(x̂[i] * λ[i] for i in 1:N)
y == sum(ŷ[i] * λ[i] for i in 1:N)
sum(λ) == 1
λ in SOS2()
end)