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fixanddive_vb.vb

' Copyright 2016, Gurobi Optimization, Inc.
'
' Implement a simple MIP heuristic.  Relax the model,
' sort variables based on fractionality, and fix the 25% of
' the fractional variables that are closest to integer variables.
' Repeat until either the relaxation is integer feasible or
' linearly infeasible.

Imports System
Imports System.Collections.Generic
Imports Gurobi

Class fixanddive_vb
' Comparison class used to sort variable list based on relaxation
' fractionality

Private Class FractionalCompare : Implements IComparer(Of GRBVar)
Public Function Compare(ByVal v1 As GRBVar, ByVal v2 As GRBVar) As Integer _
Implements IComparer(Of Gurobi.GRBVar).Compare
Try
Dim sol1 As Double = Math.Abs(v1.Get(GRB.DoubleAttr.X))
Dim sol2 As Double = Math.Abs(v2.Get(GRB.DoubleAttr.X))
Dim frac1 As Double = Math.Abs(sol1 - Math.Floor(sol1 + 0.5))
Dim frac2 As Double = Math.Abs(sol2 - Math.Floor(sol2 + 0.5))
If frac1 < frac2 Then
Return -1
ElseIf frac1 > frac2 Then
Return 1
Else
Return 0
End If
Catch e As GRBException
Console.WriteLine("Error code: " & e.ErrorCode & ". " & e.Message)
End Try
Return 0
End Function
End Class

Shared Sub Main(ByVal args As String())

If args.Length < 1 Then
Console.WriteLine("Usage: fixanddive_vb filename")
Return
End If

Try
' Read model
Dim env As New GRBEnv()
Dim model As New GRBModel(env, args(0))

' Collect integer variables and relax them
Dim intvars As New List(Of GRBVar)()
For Each v As GRBVar In model.GetVars()
If v.Get(GRB.CharAttr.VType) <> GRB.CONTINUOUS Then
intvars.Add(v)
v.Set(GRB.CharAttr.VType, GRB.CONTINUOUS)
End If
Next

model.GetEnv().Set(GRB.IntParam.OutputFlag, 0)
model.Optimize()

' Perform multiple iterations. In each iteration, identify the first
' quartile of integer variables that are closest to an integer value
' in the relaxation, fix them to the nearest integer, and repeat.

For iter As Integer = 0 To 999

' create a list of fractional variables, sorted in order of
' increasing distance from the relaxation solution to the nearest
' integer value

Dim fractional As New List(Of GRBVar)()
For Each v As GRBVar In intvars
Dim sol As Double = Math.Abs(v.Get(GRB.DoubleAttr.X))
If Math.Abs(sol - Math.Floor(sol + 0.5)) > 0.00001 Then
fractional.Add(v)
End If
Next

Console.WriteLine("Iteration " & iter & ", obj " & _
model.Get(GRB.DoubleAttr.ObjVal) & _
", fractional " & fractional.Count)

If fractional.Count = 0 Then
Console.WriteLine("Found feasible solution - objective " & _
model.Get(GRB.DoubleAttr.ObjVal))
Exit For
End If

' Fix the first quartile to the nearest integer value

fractional.Sort(New FractionalCompare())
Dim nfix As Integer = Math.Max(fractional.Count / 4, 1)
For i As Integer = 0 To nfix - 1
Dim v As GRBVar = fractional(i)
Dim fixval As Double = Math.Floor(v.Get(GRB.DoubleAttr.X) + 0.5)
v.Set(GRB.DoubleAttr.LB, fixval)
v.Set(GRB.DoubleAttr.UB, fixval)
Console.WriteLine("  Fix " & v.Get(GRB.StringAttr.VarName) & _
" to " & fixval & _
" ( rel " & v.Get(GRB.DoubleAttr.X) & " )")
Next

model.Optimize()

' Check optimization result

If model.Get(GRB.IntAttr.Status) <> GRB.Status.OPTIMAL Then
Console.WriteLine("Relaxation is infeasible")
Exit For
End If
Next

' Dispose of model and env
model.Dispose()
env.Dispose()

Catch e As GRBException
Console.WriteLine("Error code: " & e.ErrorCode & ". " + e.Message)
End Try
End Sub
End Class


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