Source code for the experiment with column scalings


Source code for the experiment with column scalings


import sys
import random
import argparse
import gurobipy as gp

# Use parameters for greater flexibility
parser = argparse.ArgumentParser(formatter_class=argparse.ArgumentDefaultsHelpFormatter)
parser.add_argument('-f','--infile', help='Problem File',
                    default=None, required=True)
parser.add_argument('-s','--scale', help='Scaling Factor',
                    type=float, default=10000.0)
args = parser.parse_args()

# Load input problem
m = gp.read(args.infile)

# Scale domain of all columns randomly in the given domain
for var in m.getVars():
    if var.vtype == gp.GRB.CONTINUOUS:
        scale = random.uniform(args.scale/2.0, args.scale*2.0)
        flip = random.randint(0,3)
        if flip == 0:
            scale = 1.0
        elif flip == 1:
            scale = 1.0/scale
        col = m.getCol(var)
        for i in range(col.size()):
            coeff = col.getCoeff(i)
            row   = col.getConstr(i)
            m.chgCoeff(row, var, coeff*scale)
        var.obj = var.obj*scale
        if var.lb > -gp.GRB.INFINITY:
            var.lb  = var.lb/scale
        if var.ub < gp.GRB.INFINITY:
            var.ub  = var.ub/scale

# Optimize
m.optimize()
if m.Status == gp.GRB.OPTIMAL:
    print('Kappa: %e\n' % m.KappaExact)