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- """
- Unit test for Linear Programming
- """
- import sys
- import platform
- import numpy as np
- from numpy.testing import (assert_, assert_allclose, assert_equal,
- assert_array_less, assert_warns, suppress_warnings)
- from pytest import raises as assert_raises
- from scipy.optimize import linprog, OptimizeWarning
- from scipy.optimize._numdiff import approx_derivative
- from scipy.sparse.linalg import MatrixRankWarning
- from scipy.linalg import LinAlgWarning
- import scipy.sparse
- import pytest
- has_umfpack = True
- try:
- from scikits.umfpack import UmfpackWarning
- except ImportError:
- has_umfpack = False
- has_cholmod = True
- try:
- import sksparse
- from sksparse.cholmod import cholesky as cholmod
- except ImportError:
- has_cholmod = False
- def _assert_iteration_limit_reached(res, maxiter):
- assert_(not res.success, "Incorrectly reported success")
- assert_(res.success < maxiter, "Incorrectly reported number of iterations")
- assert_equal(res.status, 1, "Failed to report iteration limit reached")
- def _assert_infeasible(res):
- # res: linprog result object
- assert_(not res.success, "incorrectly reported success")
- assert_equal(res.status, 2, "failed to report infeasible status")
- def _assert_unbounded(res):
- # res: linprog result object
- assert_(not res.success, "incorrectly reported success")
- assert_equal(res.status, 3, "failed to report unbounded status")
- def _assert_unable_to_find_basic_feasible_sol(res):
- # res: linprog result object
- # The status may be either 2 or 4 depending on why the feasible solution
- # could not be found. If the undelying problem is expected to not have a
- # feasible solution, _assert_infeasible should be used.
- assert_(not res.success, "incorrectly reported success")
- assert_(res.status in (2, 4), "failed to report optimization failure")
- def _assert_success(res, desired_fun=None, desired_x=None,
- rtol=1e-8, atol=1e-8):
- # res: linprog result object
- # desired_fun: desired objective function value or None
- # desired_x: desired solution or None
- if not res.success:
- msg = "linprog status {0}, message: {1}".format(res.status,
- res.message)
- raise AssertionError(msg)
- assert_equal(res.status, 0)
- if desired_fun is not None:
- assert_allclose(res.fun, desired_fun,
- err_msg="converged to an unexpected objective value",
- rtol=rtol, atol=atol)
- if desired_x is not None:
- assert_allclose(res.x, desired_x,
- err_msg="converged to an unexpected solution",
- rtol=rtol, atol=atol)
- def magic_square(n):
- """
- Generates a linear program for which integer solutions represent an
- n x n magic square; binary decision variables represent the presence
- (or absence) of an integer 1 to n^2 in each position of the square.
- """
- np.random.seed(0)
- M = n * (n**2 + 1) / 2
- numbers = np.arange(n**4) // n**2 + 1
- numbers = numbers.reshape(n**2, n, n)
- zeros = np.zeros((n**2, n, n))
- A_list = []
- b_list = []
- # Rule 1: use every number exactly once
- for i in range(n**2):
- A_row = zeros.copy()
- A_row[i, :, :] = 1
- A_list.append(A_row.flatten())
- b_list.append(1)
- # Rule 2: Only one number per square
- for i in range(n):
- for j in range(n):
- A_row = zeros.copy()
- A_row[:, i, j] = 1
- A_list.append(A_row.flatten())
- b_list.append(1)
- # Rule 3: sum of rows is M
- for i in range(n):
- A_row = zeros.copy()
- A_row[:, i, :] = numbers[:, i, :]
- A_list.append(A_row.flatten())
- b_list.append(M)
- # Rule 4: sum of columns is M
- for i in range(n):
- A_row = zeros.copy()
- A_row[:, :, i] = numbers[:, :, i]
- A_list.append(A_row.flatten())
- b_list.append(M)
- # Rule 5: sum of diagonals is M
- A_row = zeros.copy()
- A_row[:, range(n), range(n)] = numbers[:, range(n), range(n)]
- A_list.append(A_row.flatten())
- b_list.append(M)
- A_row = zeros.copy()
- A_row[:, range(n), range(-1, -n - 1, -1)] = \
- numbers[:, range(n), range(-1, -n - 1, -1)]
- A_list.append(A_row.flatten())
- b_list.append(M)
- A = np.array(np.vstack(A_list), dtype=float)
- b = np.array(b_list, dtype=float)
- c = np.random.rand(A.shape[1])
- return A, b, c, numbers, M
- def lpgen_2d(m, n):
- """ -> A b c LP test: m*n vars, m+n constraints
- row sums == n/m, col sums == 1
- https://gist.github.com/denis-bz/8647461
- """
- np.random.seed(0)
- c = - np.random.exponential(size=(m, n))
- Arow = np.zeros((m, m * n))
- brow = np.zeros(m)
- for j in range(m):
- j1 = j + 1
- Arow[j, j * n:j1 * n] = 1
- brow[j] = n / m
- Acol = np.zeros((n, m * n))
- bcol = np.zeros(n)
- for j in range(n):
- j1 = j + 1
- Acol[j, j::n] = 1
- bcol[j] = 1
- A = np.vstack((Arow, Acol))
- b = np.hstack((brow, bcol))
- return A, b, c.ravel()
- def very_random_gen(seed=0):
- np.random.seed(seed)
- m_eq, m_ub, n = 10, 20, 50
- c = np.random.rand(n)-0.5
- A_ub = np.random.rand(m_ub, n)-0.5
- b_ub = np.random.rand(m_ub)-0.5
- A_eq = np.random.rand(m_eq, n)-0.5
- b_eq = np.random.rand(m_eq)-0.5
- lb = -np.random.rand(n)
- ub = np.random.rand(n)
- lb[lb < -np.random.rand()] = -np.inf
- ub[ub > np.random.rand()] = np.inf
- bounds = np.vstack((lb, ub)).T
- return c, A_ub, b_ub, A_eq, b_eq, bounds
- def nontrivial_problem():
- c = [-1, 8, 4, -6]
- A_ub = [[-7, -7, 6, 9],
- [1, -1, -3, 0],
- [10, -10, -7, 7],
- [6, -1, 3, 4]]
- b_ub = [-3, 6, -6, 6]
- A_eq = [[-10, 1, 1, -8]]
- b_eq = [-4]
- x_star = [101 / 1391, 1462 / 1391, 0, 752 / 1391]
- f_star = 7083 / 1391
- return c, A_ub, b_ub, A_eq, b_eq, x_star, f_star
- def l1_regression_prob(seed=0, m=8, d=9, n=100):
- '''
- Training data is {(x0, y0), (x1, y2), ..., (xn-1, yn-1)}
- x in R^d
- y in R
- n: number of training samples
- d: dimension of x, i.e. x in R^d
- phi: feature map R^d -> R^m
- m: dimension of feature space
- '''
- np.random.seed(seed)
- phi = np.random.normal(0, 1, size=(m, d)) # random feature mapping
- w_true = np.random.randn(m)
- x = np.random.normal(0, 1, size=(d, n)) # features
- y = w_true @ (phi @ x) + np.random.normal(0, 1e-5, size=n) # measurements
- # construct the problem
- c = np.ones(m+n)
- c[:m] = 0
- A_ub = scipy.sparse.lil_matrix((2*n, n+m))
- idx = 0
- for ii in range(n):
- A_ub[idx, :m] = phi @ x[:, ii]
- A_ub[idx, m+ii] = -1
- A_ub[idx+1, :m] = -1*phi @ x[:, ii]
- A_ub[idx+1, m+ii] = -1
- idx += 2
- A_ub = A_ub.tocsc()
- b_ub = np.zeros(2*n)
- b_ub[0::2] = y
- b_ub[1::2] = -y
- bnds = [(None, None)]*m + [(0, None)]*n
- return c, A_ub, b_ub, bnds
- def generic_callback_test(self):
- # Check that callback is as advertised
- last_cb = {}
- def cb(res):
- message = res.pop('message')
- complete = res.pop('complete')
- assert_(res.pop('phase') in (1, 2))
- assert_(res.pop('status') in range(4))
- assert_(isinstance(res.pop('nit'), int))
- assert_(isinstance(complete, bool))
- assert_(isinstance(message, str))
- last_cb['x'] = res['x']
- last_cb['fun'] = res['fun']
- last_cb['slack'] = res['slack']
- last_cb['con'] = res['con']
- c = np.array([-3, -2])
- A_ub = [[2, 1], [1, 1], [1, 0]]
- b_ub = [10, 8, 4]
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, callback=cb, method=self.method)
- _assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
- assert_allclose(last_cb['fun'], res['fun'])
- assert_allclose(last_cb['x'], res['x'])
- assert_allclose(last_cb['con'], res['con'])
- assert_allclose(last_cb['slack'], res['slack'])
- def test_unknown_solvers_and_options():
- c = np.array([-3, -2])
- A_ub = [[2, 1], [1, 1], [1, 0]]
- b_ub = [10, 8, 4]
- assert_raises(ValueError, linprog,
- c, A_ub=A_ub, b_ub=b_ub, method='ekki-ekki-ekki')
- assert_raises(ValueError, linprog,
- c, A_ub=A_ub, b_ub=b_ub, method='highs-ekki')
- with pytest.warns(OptimizeWarning, match="Unknown solver options:"):
- linprog(c, A_ub=A_ub, b_ub=b_ub,
- options={"rr_method": 'ekki-ekki-ekki'})
- def test_choose_solver():
- # 'highs' chooses 'dual'
- c = np.array([-3, -2])
- A_ub = [[2, 1], [1, 1], [1, 0]]
- b_ub = [10, 8, 4]
- res = linprog(c, A_ub, b_ub, method='highs')
- _assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
- def test_deprecation():
- with pytest.warns(DeprecationWarning):
- linprog(1, method='interior-point')
- with pytest.warns(DeprecationWarning):
- linprog(1, method='revised simplex')
- with pytest.warns(DeprecationWarning):
- linprog(1, method='simplex')
- def test_highs_status_message():
- res = linprog(1, method='highs')
- msg = "Optimization terminated successfully. (HiGHS Status 7:"
- assert res.status == 0
- assert res.message.startswith(msg)
- A, b, c, numbers, M = magic_square(6)
- bounds = [(0, 1)] * len(c)
- integrality = [1] * len(c)
- options = {"time_limit": 0.1}
- res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs',
- options=options, integrality=integrality)
- msg = "Time limit reached. (HiGHS Status 13:"
- assert res.status == 1
- assert res.message.startswith(msg)
- options = {"maxiter": 10}
- res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs-ds',
- options=options)
- msg = "Iteration limit reached. (HiGHS Status 14:"
- assert res.status == 1
- assert res.message.startswith(msg)
- res = linprog(1, bounds=(1, -1), method='highs')
- msg = "The problem is infeasible. (HiGHS Status 8:"
- assert res.status == 2
- assert res.message.startswith(msg)
- res = linprog(-1, method='highs')
- msg = "The problem is unbounded. (HiGHS Status 10:"
- assert res.status == 3
- assert res.message.startswith(msg)
- from scipy.optimize._linprog_highs import _highs_to_scipy_status_message
- status, message = _highs_to_scipy_status_message(58, "Hello!")
- msg = "The HiGHS status code was not recognized. (HiGHS Status 58:"
- assert status == 4
- assert message.startswith(msg)
- status, message = _highs_to_scipy_status_message(None, None)
- msg = "HiGHS did not provide a status code. (HiGHS Status None: None)"
- assert status == 4
- assert message.startswith(msg)
- def test_bug_17380():
- linprog([1, 1], A_ub=[[-1, 0]], b_ub=[-2.5], integrality=[1, 1])
- A_ub = None
- b_ub = None
- A_eq = None
- b_eq = None
- bounds = None
- ################
- # Common Tests #
- ################
- class LinprogCommonTests:
- """
- Base class for `linprog` tests. Generally, each test will be performed
- once for every derived class of LinprogCommonTests, each of which will
- typically change self.options and/or self.method. Effectively, these tests
- are run for many combination of method (simplex, revised simplex, and
- interior point) and options (such as pivoting rule or sparse treatment).
- """
- ##################
- # Targeted Tests #
- ##################
- def test_callback(self):
- generic_callback_test(self)
- def test_disp(self):
- # test that display option does not break anything.
- A, b, c = lpgen_2d(20, 20)
- res = linprog(c, A_ub=A, b_ub=b, method=self.method,
- options={"disp": True})
- _assert_success(res, desired_fun=-64.049494229)
- def test_docstring_example(self):
- # Example from linprog docstring.
- c = [-1, 4]
- A = [[-3, 1], [1, 2]]
- b = [6, 4]
- x0_bounds = (None, None)
- x1_bounds = (-3, None)
- res = linprog(c, A_ub=A, b_ub=b, bounds=(x0_bounds, x1_bounds),
- options=self.options, method=self.method)
- _assert_success(res, desired_fun=-22)
- def test_type_error(self):
- # (presumably) checks that linprog recognizes type errors
- # This is tested more carefully in test__linprog_clean_inputs.py
- c = [1]
- A_eq = [[1]]
- b_eq = "hello"
- assert_raises(TypeError, linprog,
- c, A_eq=A_eq, b_eq=b_eq,
- method=self.method, options=self.options)
- def test_aliasing_b_ub(self):
- # (presumably) checks that linprog does not modify b_ub
- # This is tested more carefully in test__linprog_clean_inputs.py
- c = np.array([1.0])
- A_ub = np.array([[1.0]])
- b_ub_orig = np.array([3.0])
- b_ub = b_ub_orig.copy()
- bounds = (-4.0, np.inf)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-4, desired_x=[-4])
- assert_allclose(b_ub_orig, b_ub)
- def test_aliasing_b_eq(self):
- # (presumably) checks that linprog does not modify b_eq
- # This is tested more carefully in test__linprog_clean_inputs.py
- c = np.array([1.0])
- A_eq = np.array([[1.0]])
- b_eq_orig = np.array([3.0])
- b_eq = b_eq_orig.copy()
- bounds = (-4.0, np.inf)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=3, desired_x=[3])
- assert_allclose(b_eq_orig, b_eq)
- def test_non_ndarray_args(self):
- # (presumably) checks that linprog accepts list in place of arrays
- # This is tested more carefully in test__linprog_clean_inputs.py
- c = [1.0]
- A_ub = [[1.0]]
- b_ub = [3.0]
- A_eq = [[1.0]]
- b_eq = [2.0]
- bounds = (-1.0, 10.0)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=2, desired_x=[2])
- def test_unknown_options(self):
- c = np.array([-3, -2])
- A_ub = [[2, 1], [1, 1], [1, 0]]
- b_ub = [10, 8, 4]
- def f(c, A_ub=None, b_ub=None, A_eq=None,
- b_eq=None, bounds=None, options={}):
- linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=options)
- o = {key: self.options[key] for key in self.options}
- o['spam'] = 42
- assert_warns(OptimizeWarning, f,
- c, A_ub=A_ub, b_ub=b_ub, options=o)
- def test_integrality_without_highs(self):
- # ensure that using `integrality` parameter without `method='highs'`
- # raises warning and produces correct solution to relaxed problem
- # source: https://en.wikipedia.org/wiki/Integer_programming#Example
- A_ub = np.array([[-1, 1], [3, 2], [2, 3]])
- b_ub = np.array([1, 12, 12])
- c = -np.array([0, 1])
- bounds = [(0, np.inf)] * len(c)
- integrality = [1] * len(c)
- with np.testing.assert_warns(OptimizeWarning):
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
- method=self.method, integrality=integrality)
- np.testing.assert_allclose(res.x, [1.8, 2.8])
- np.testing.assert_allclose(res.fun, -2.8)
- def test_invalid_inputs(self):
- def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None):
- linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- # Test ill-formatted bounds
- assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4)])
- assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4), (3, 4, 5)])
- assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, -2), (1, 2)])
- # Test other invalid inputs
- assert_raises(ValueError, f, [1, 2], A_ub=[[1, 2]], b_ub=[1, 2])
- assert_raises(ValueError, f, [1, 2], A_ub=[[1]], b_ub=[1])
- assert_raises(ValueError, f, [1, 2], A_eq=[[1, 2]], b_eq=[1, 2])
- assert_raises(ValueError, f, [1, 2], A_eq=[[1]], b_eq=[1])
- assert_raises(ValueError, f, [1, 2], A_eq=[1], b_eq=1)
- # this last check doesn't make sense for sparse presolve
- if ("_sparse_presolve" in self.options and
- self.options["_sparse_presolve"]):
- return
- # there aren't 3-D sparse matrices
- assert_raises(ValueError, f, [1, 2], A_ub=np.zeros((1, 1, 3)), b_eq=1)
- def test_sparse_constraints(self):
- # gh-13559: improve error message for sparse inputs when unsupported
- def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None):
- linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- np.random.seed(0)
- m = 100
- n = 150
- A_eq = scipy.sparse.rand(m, n, 0.5)
- x_valid = np.random.randn((n))
- c = np.random.randn((n))
- ub = x_valid + np.random.rand((n))
- lb = x_valid - np.random.rand((n))
- bounds = np.column_stack((lb, ub))
- b_eq = A_eq * x_valid
- if self.method in {'simplex', 'revised simplex'}:
- # simplex and revised simplex should raise error
- with assert_raises(ValueError, match=f"Method '{self.method}' "
- "does not support sparse constraint matrices."):
- linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
- method=self.method, options=self.options)
- else:
- # other methods should succeed
- options = {**self.options}
- if self.method in {'interior-point'}:
- options['sparse'] = True
- res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
- method=self.method, options=options)
- assert res.success
- def test_maxiter(self):
- # test iteration limit w/ Enzo example
- c = [4, 8, 3, 0, 0, 0]
- A = [
- [2, 5, 3, -1, 0, 0],
- [3, 2.5, 8, 0, -1, 0],
- [8, 10, 4, 0, 0, -1]]
- b = [185, 155, 600]
- np.random.seed(0)
- maxiter = 3
- res = linprog(c, A_eq=A, b_eq=b, method=self.method,
- options={"maxiter": maxiter})
- _assert_iteration_limit_reached(res, maxiter)
- assert_equal(res.nit, maxiter)
- def test_bounds_fixed(self):
- # Test fixed bounds (upper equal to lower)
- # If presolve option True, test if solution found in presolve (i.e.
- # number of iterations is 0).
- do_presolve = self.options.get('presolve', True)
- res = linprog([1], bounds=(1, 1),
- method=self.method, options=self.options)
- _assert_success(res, 1, 1)
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog([1, 2, 3], bounds=[(5, 5), (-1, -1), (3, 3)],
- method=self.method, options=self.options)
- _assert_success(res, 12, [5, -1, 3])
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog([1, 1], bounds=[(1, 1), (1, 3)],
- method=self.method, options=self.options)
- _assert_success(res, 2, [1, 1])
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog([1, 1, 2], A_eq=[[1, 0, 0], [0, 1, 0]], b_eq=[1, 7],
- bounds=[(-5, 5), (0, 10), (3.5, 3.5)],
- method=self.method, options=self.options)
- _assert_success(res, 15, [1, 7, 3.5])
- if do_presolve:
- assert_equal(res.nit, 0)
- def test_bounds_infeasible(self):
- # Test ill-valued bounds (upper less than lower)
- # If presolve option True, test if solution found in presolve (i.e.
- # number of iterations is 0).
- do_presolve = self.options.get('presolve', True)
- res = linprog([1], bounds=(1, -2), method=self.method, options=self.options)
- _assert_infeasible(res)
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog([1], bounds=[(1, -2)], method=self.method, options=self.options)
- _assert_infeasible(res)
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog([1, 2, 3], bounds=[(5, 0), (1, 2), (3, 4)], method=self.method, options=self.options)
- _assert_infeasible(res)
- if do_presolve:
- assert_equal(res.nit, 0)
- def test_bounds_infeasible_2(self):
- # Test ill-valued bounds (lower inf, upper -inf)
- # If presolve option True, test if solution found in presolve (i.e.
- # number of iterations is 0).
- # For the simplex method, the cases do not result in an
- # infeasible status, but in a RuntimeWarning. This is a
- # consequence of having _presolve() take care of feasibility
- # checks. See issue gh-11618.
- do_presolve = self.options.get('presolve', True)
- simplex_without_presolve = not do_presolve and self.method == 'simplex'
- c = [1, 2, 3]
- bounds_1 = [(1, 2), (np.inf, np.inf), (3, 4)]
- bounds_2 = [(1, 2), (-np.inf, -np.inf), (3, 4)]
- if simplex_without_presolve:
- def g(c, bounds):
- res = linprog(c, bounds=bounds, method=self.method, options=self.options)
- return res
- with pytest.warns(RuntimeWarning):
- with pytest.raises(IndexError):
- g(c, bounds=bounds_1)
- with pytest.warns(RuntimeWarning):
- with pytest.raises(IndexError):
- g(c, bounds=bounds_2)
- else:
- res = linprog(c=c, bounds=bounds_1, method=self.method, options=self.options)
- _assert_infeasible(res)
- if do_presolve:
- assert_equal(res.nit, 0)
- res = linprog(c=c, bounds=bounds_2, method=self.method, options=self.options)
- _assert_infeasible(res)
- if do_presolve:
- assert_equal(res.nit, 0)
- def test_empty_constraint_1(self):
- c = [-1, -2]
- res = linprog(c, method=self.method, options=self.options)
- _assert_unbounded(res)
- def test_empty_constraint_2(self):
- c = [-1, 1, -1, 1]
- bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)]
- res = linprog(c, bounds=bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- # Unboundedness detected in presolve requires no iterations
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_empty_constraint_3(self):
- c = [1, -1, 1, -1]
- bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)]
- res = linprog(c, bounds=bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[0, 0, -1, 1], desired_fun=-2)
- def test_inequality_constraints(self):
- # Minimize linear function subject to linear inequality constraints.
- # http://www.dam.brown.edu/people/huiwang/classes/am121/Archive/simplex_121_c.pdf
- c = np.array([3, 2]) * -1 # maximize
- A_ub = [[2, 1],
- [1, 1],
- [1, 0]]
- b_ub = [10, 8, 4]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-18, desired_x=[2, 6])
- def test_inequality_constraints2(self):
- # Minimize linear function subject to linear inequality constraints.
- # http://www.statslab.cam.ac.uk/~ff271/teaching/opt/notes/notes8.pdf
- # (dead link)
- c = [6, 3]
- A_ub = [[0, 3],
- [-1, -1],
- [-2, 1]]
- b_ub = [2, -1, -1]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=5, desired_x=[2 / 3, 1 / 3])
- def test_bounds_simple(self):
- c = [1, 2]
- bounds = (1, 2)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[1, 1])
- bounds = [(1, 2), (1, 2)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[1, 1])
- def test_bounded_below_only_1(self):
- c = np.array([1.0])
- A_eq = np.array([[1.0]])
- b_eq = np.array([3.0])
- bounds = (1.0, None)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=3, desired_x=[3])
- def test_bounded_below_only_2(self):
- c = np.ones(3)
- A_eq = np.eye(3)
- b_eq = np.array([1, 2, 3])
- bounds = (0.5, np.inf)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
- def test_bounded_above_only_1(self):
- c = np.array([1.0])
- A_eq = np.array([[1.0]])
- b_eq = np.array([3.0])
- bounds = (None, 10.0)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=3, desired_x=[3])
- def test_bounded_above_only_2(self):
- c = np.ones(3)
- A_eq = np.eye(3)
- b_eq = np.array([1, 2, 3])
- bounds = (-np.inf, 4)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
- def test_bounds_infinity(self):
- c = np.ones(3)
- A_eq = np.eye(3)
- b_eq = np.array([1, 2, 3])
- bounds = (-np.inf, np.inf)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
- def test_bounds_mixed(self):
- # Problem has one unbounded variable and
- # another with a negative lower bound.
- c = np.array([-1, 4]) * -1 # maximize
- A_ub = np.array([[-3, 1],
- [1, 2]], dtype=np.float64)
- b_ub = [6, 4]
- x0_bounds = (-np.inf, np.inf)
- x1_bounds = (-3, np.inf)
- bounds = (x0_bounds, x1_bounds)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-80 / 7, desired_x=[-8 / 7, 18 / 7])
- def test_bounds_equal_but_infeasible(self):
- c = [-4, 1]
- A_ub = [[7, -2], [0, 1], [2, -2]]
- b_ub = [14, 0, 3]
- bounds = [(2, 2), (0, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- def test_bounds_equal_but_infeasible2(self):
- c = [-4, 1]
- A_eq = [[7, -2], [0, 1], [2, -2]]
- b_eq = [14, 0, 3]
- bounds = [(2, 2), (0, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- def test_bounds_equal_no_presolve(self):
- # There was a bug when a lower and upper bound were equal but
- # presolve was not on to eliminate the variable. The bound
- # was being converted to an equality constraint, but the bound
- # was not eliminated, leading to issues in postprocessing.
- c = [1, 2]
- A_ub = [[1, 2], [1.1, 2.2]]
- b_ub = [4, 8]
- bounds = [(1, 2), (2, 2)]
- o = {key: self.options[key] for key in self.options}
- o["presolve"] = False
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- _assert_infeasible(res)
- def test_zero_column_1(self):
- m, n = 3, 4
- np.random.seed(0)
- c = np.random.rand(n)
- c[1] = 1
- A_eq = np.random.rand(m, n)
- A_eq[:, 1] = 0
- b_eq = np.random.rand(m)
- A_ub = [[1, 0, 1, 1]]
- b_ub = 3
- bounds = [(-10, 10), (-10, 10), (-10, None), (None, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-9.7087836730413404)
- def test_zero_column_2(self):
- if self.method in {'highs-ds', 'highs-ipm'}:
- # See upstream issue https://github.com/ERGO-Code/HiGHS/issues/648
- pytest.xfail()
- np.random.seed(0)
- m, n = 2, 4
- c = np.random.rand(n)
- c[1] = -1
- A_eq = np.random.rand(m, n)
- A_eq[:, 1] = 0
- b_eq = np.random.rand(m)
- A_ub = np.random.rand(m, n)
- A_ub[:, 1] = 0
- b_ub = np.random.rand(m)
- bounds = (None, None)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- # Unboundedness detected in presolve
- if self.options.get('presolve', True) and "highs" not in self.method:
- # HiGHS detects unboundedness or infeasibility in presolve
- # It needs an iteration of simplex to be sure of unboundedness
- # Other solvers report that the problem is unbounded if feasible
- assert_equal(res.nit, 0)
- def test_zero_row_1(self):
- c = [1, 2, 3]
- A_eq = [[0, 0, 0], [1, 1, 1], [0, 0, 0]]
- b_eq = [0, 3, 0]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=3)
- def test_zero_row_2(self):
- A_ub = [[0, 0, 0], [1, 1, 1], [0, 0, 0]]
- b_ub = [0, 3, 0]
- c = [1, 2, 3]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=0)
- def test_zero_row_3(self):
- m, n = 2, 4
- c = np.random.rand(n)
- A_eq = np.random.rand(m, n)
- A_eq[0, :] = 0
- b_eq = np.random.rand(m)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- # Infeasibility detected in presolve
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_zero_row_4(self):
- m, n = 2, 4
- c = np.random.rand(n)
- A_ub = np.random.rand(m, n)
- A_ub[0, :] = 0
- b_ub = -np.random.rand(m)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- # Infeasibility detected in presolve
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_singleton_row_eq_1(self):
- c = [1, 1, 1, 2]
- A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]]
- b_eq = [1, 2, 2, 4]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- # Infeasibility detected in presolve
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_singleton_row_eq_2(self):
- c = [1, 1, 1, 2]
- A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]]
- b_eq = [1, 2, 1, 4]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=4)
- def test_singleton_row_ub_1(self):
- c = [1, 1, 1, 2]
- A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]]
- b_ub = [1, 2, -2, 4]
- bounds = [(None, None), (0, None), (0, None), (0, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- # Infeasibility detected in presolve
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_singleton_row_ub_2(self):
- c = [1, 1, 1, 2]
- A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]]
- b_ub = [1, 2, -0.5, 4]
- bounds = [(None, None), (0, None), (0, None), (0, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=0.5)
- def test_infeasible(self):
- # Test linprog response to an infeasible problem
- c = [-1, -1]
- A_ub = [[1, 0],
- [0, 1],
- [-1, -1]]
- b_ub = [2, 2, -5]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- def test_infeasible_inequality_bounds(self):
- c = [1]
- A_ub = [[2]]
- b_ub = 4
- bounds = (5, 6)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- # Infeasibility detected in presolve
- if self.options.get('presolve', True):
- assert_equal(res.nit, 0)
- def test_unbounded(self):
- # Test linprog response to an unbounded problem
- c = np.array([1, 1]) * -1 # maximize
- A_ub = [[-1, 1],
- [-1, -1]]
- b_ub = [-1, -2]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- def test_unbounded_below_no_presolve_corrected(self):
- c = [1]
- bounds = [(None, 1)]
- o = {key: self.options[key] for key in self.options}
- o["presolve"] = False
- res = linprog(c=c, bounds=bounds,
- method=self.method,
- options=o)
- if self.method == "revised simplex":
- # Revised simplex has a special pathway for no constraints.
- assert_equal(res.status, 5)
- else:
- _assert_unbounded(res)
- def test_unbounded_no_nontrivial_constraints_1(self):
- """
- Test whether presolve pathway for detecting unboundedness after
- constraint elimination is working.
- """
- c = np.array([0, 0, 0, 1, -1, -1])
- A_ub = np.array([[1, 0, 0, 0, 0, 0],
- [0, 1, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, -1]])
- b_ub = np.array([2, -2, 0])
- bounds = [(None, None), (None, None), (None, None),
- (-1, 1), (-1, 1), (0, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- if not self.method.lower().startswith("highs"):
- assert_equal(res.x[-1], np.inf)
- assert_equal(res.message[:36],
- "The problem is (trivially) unbounded")
- def test_unbounded_no_nontrivial_constraints_2(self):
- """
- Test whether presolve pathway for detecting unboundedness after
- constraint elimination is working.
- """
- c = np.array([0, 0, 0, 1, -1, 1])
- A_ub = np.array([[1, 0, 0, 0, 0, 0],
- [0, 1, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 1]])
- b_ub = np.array([2, -2, 0])
- bounds = [(None, None), (None, None), (None, None),
- (-1, 1), (-1, 1), (None, 0)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- if not self.method.lower().startswith("highs"):
- assert_equal(res.x[-1], -np.inf)
- assert_equal(res.message[:36],
- "The problem is (trivially) unbounded")
- def test_cyclic_recovery(self):
- # Test linprogs recovery from cycling using the Klee-Minty problem
- # Klee-Minty https://www.math.ubc.ca/~israel/m340/kleemin3.pdf
- c = np.array([100, 10, 1]) * -1 # maximize
- A_ub = [[1, 0, 0],
- [20, 1, 0],
- [200, 20, 1]]
- b_ub = [1, 100, 10000]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[0, 0, 10000], atol=5e-6, rtol=1e-7)
- def test_cyclic_bland(self):
- # Test the effect of Bland's rule on a cycling problem
- c = np.array([-10, 57, 9, 24.])
- A_ub = np.array([[0.5, -5.5, -2.5, 9],
- [0.5, -1.5, -0.5, 1],
- [1, 0, 0, 0]])
- b_ub = [0, 0, 1]
- # copy the existing options dictionary but change maxiter
- maxiter = 100
- o = {key: val for key, val in self.options.items()}
- o['maxiter'] = maxiter
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- if self.method == 'simplex' and not self.options.get('bland'):
- # simplex cycles without Bland's rule
- _assert_iteration_limit_reached(res, o['maxiter'])
- else:
- # other methods, including simplex with Bland's rule, succeed
- _assert_success(res, desired_x=[1, 0, 1, 0])
- # note that revised simplex skips this test because it may or may not
- # cycle depending on the initial basis
- def test_remove_redundancy_infeasibility(self):
- # mostly a test of redundancy removal, which is carefully tested in
- # test__remove_redundancy.py
- m, n = 10, 10
- c = np.random.rand(n)
- A_eq = np.random.rand(m, n)
- b_eq = np.random.rand(m)
- A_eq[-1, :] = 2 * A_eq[-2, :]
- b_eq[-1] *= -1
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- #################
- # General Tests #
- #################
- def test_nontrivial_problem(self):
- # Problem involves all constraint types,
- # negative resource limits, and rounding issues.
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- def test_lpgen_problem(self):
- # Test linprog with a rather large problem (400 variables,
- # 40 constraints) generated by https://gist.github.com/denis-bz/8647461
- A_ub, b_ub, c = lpgen_2d(20, 20)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'")
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-64.049494229)
- def test_network_flow(self):
- # A network flow problem with supply and demand at nodes
- # and with costs along directed edges.
- # https://www.princeton.edu/~rvdb/542/lectures/lec10.pdf
- c = [2, 4, 9, 11, 4, 3, 8, 7, 0, 15, 16, 18]
- n, p = -1, 1
- A_eq = [
- [n, n, p, 0, p, 0, 0, 0, 0, p, 0, 0],
- [p, 0, 0, p, 0, p, 0, 0, 0, 0, 0, 0],
- [0, 0, n, n, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, p, p, 0, 0, p, 0],
- [0, 0, 0, 0, n, n, n, 0, p, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, n, n, 0, 0, p],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, n, n, n]]
- b_eq = [0, 19, -16, 33, 0, 0, -36]
- with suppress_warnings() as sup:
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=755, atol=1e-6, rtol=1e-7)
- def test_network_flow_limited_capacity(self):
- # A network flow problem with supply and demand at nodes
- # and with costs and capacities along directed edges.
- # http://blog.sommer-forst.de/2013/04/10/
- c = [2, 2, 1, 3, 1]
- bounds = [
- [0, 4],
- [0, 2],
- [0, 2],
- [0, 3],
- [0, 5]]
- n, p = -1, 1
- A_eq = [
- [n, n, 0, 0, 0],
- [p, 0, n, n, 0],
- [0, p, p, 0, n],
- [0, 0, 0, p, p]]
- b_eq = [-4, 0, 0, 4]
- with suppress_warnings() as sup:
- # this is an UmfpackWarning but I had trouble importing it
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- sup.filter(OptimizeWarning, "Solving system with option...")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=14)
- def test_simplex_algorithm_wikipedia_example(self):
- # https://en.wikipedia.org/wiki/Simplex_algorithm#Example
- c = [-2, -3, -4]
- A_ub = [
- [3, 2, 1],
- [2, 5, 3]]
- b_ub = [10, 15]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-20)
- def test_enzo_example(self):
- # https://github.com/scipy/scipy/issues/1779 lp2.py
- #
- # Translated from Octave code at:
- # http://www.ecs.shimane-u.ac.jp/~kyoshida/lpeng.htm
- # and placed under MIT licence by Enzo Michelangeli
- # with permission explicitly granted by the original author,
- # Prof. Kazunobu Yoshida
- c = [4, 8, 3, 0, 0, 0]
- A_eq = [
- [2, 5, 3, -1, 0, 0],
- [3, 2.5, 8, 0, -1, 0],
- [8, 10, 4, 0, 0, -1]]
- b_eq = [185, 155, 600]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=317.5,
- desired_x=[66.25, 0, 17.5, 0, 183.75, 0],
- atol=6e-6, rtol=1e-7)
- def test_enzo_example_b(self):
- # rescued from https://github.com/scipy/scipy/pull/218
- c = [2.8, 6.3, 10.8, -2.8, -6.3, -10.8]
- A_eq = [[-1, -1, -1, 0, 0, 0],
- [0, 0, 0, 1, 1, 1],
- [1, 0, 0, 1, 0, 0],
- [0, 1, 0, 0, 1, 0],
- [0, 0, 1, 0, 0, 1]]
- b_eq = [-0.5, 0.4, 0.3, 0.3, 0.3]
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-1.77,
- desired_x=[0.3, 0.2, 0.0, 0.0, 0.1, 0.3])
- def test_enzo_example_c_with_degeneracy(self):
- # rescued from https://github.com/scipy/scipy/pull/218
- m = 20
- c = -np.ones(m)
- tmp = 2 * np.pi * np.arange(1, m + 1) / (m + 1)
- A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp)))
- b_eq = [0, 0]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=0, desired_x=np.zeros(m))
- def test_enzo_example_c_with_unboundedness(self):
- # rescued from https://github.com/scipy/scipy/pull/218
- m = 50
- c = -np.ones(m)
- tmp = 2 * np.pi * np.arange(m) / (m + 1)
- A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp)))
- b_eq = [0, 0]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_unbounded(res)
- def test_enzo_example_c_with_infeasibility(self):
- # rescued from https://github.com/scipy/scipy/pull/218
- m = 50
- c = -np.ones(m)
- tmp = 2 * np.pi * np.arange(m) / (m + 1)
- A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp)))
- b_eq = [1, 1]
- o = {key: self.options[key] for key in self.options}
- o["presolve"] = False
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- _assert_infeasible(res)
- def test_basic_artificial_vars(self):
- # Problem is chosen to test two phase simplex methods when at the end
- # of phase 1 some artificial variables remain in the basis.
- # Also, for `method='simplex'`, the row in the tableau corresponding
- # with the artificial variables is not all zero.
- c = np.array([-0.1, -0.07, 0.004, 0.004, 0.004, 0.004])
- A_ub = np.array([[1.0, 0, 0, 0, 0, 0], [-1.0, 0, 0, 0, 0, 0],
- [0, -1.0, 0, 0, 0, 0], [0, 1.0, 0, 0, 0, 0],
- [1.0, 1.0, 0, 0, 0, 0]])
- b_ub = np.array([3.0, 3.0, 3.0, 3.0, 20.0])
- A_eq = np.array([[1.0, 0, -1, 1, -1, 1], [0, -1.0, -1, 1, -1, 1]])
- b_eq = np.array([0, 0])
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=0, desired_x=np.zeros_like(c),
- atol=2e-6)
- def test_optimize_result(self):
- # check all fields in OptimizeResult
- c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(0)
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method, options=self.options)
- assert_(res.success)
- assert_(res.nit)
- assert_(not res.status)
- if 'highs' not in self.method:
- # HiGHS status/message tested separately
- assert_(res.message == "Optimization terminated successfully.")
- assert_allclose(c @ res.x, res.fun)
- assert_allclose(b_eq - A_eq @ res.x, res.con, atol=1e-11)
- assert_allclose(b_ub - A_ub @ res.x, res.slack, atol=1e-11)
- for key in ['eqlin', 'ineqlin', 'lower', 'upper']:
- if key in res.keys():
- assert isinstance(res[key]['marginals'], np.ndarray)
- assert isinstance(res[key]['residual'], np.ndarray)
- #################
- # Bug Fix Tests #
- #################
- def test_bug_5400(self):
- # https://github.com/scipy/scipy/issues/5400
- bounds = [
- (0, None),
- (0, 100), (0, 100), (0, 100), (0, 100), (0, 100), (0, 100),
- (0, 900), (0, 900), (0, 900), (0, 900), (0, 900), (0, 900),
- (0, None), (0, None), (0, None), (0, None), (0, None), (0, None)]
- f = 1 / 9
- g = -1e4
- h = -3.1
- A_ub = np.array([
- [1, -2.99, 0, 0, -3, 0, 0, 0, -1, -1, 0, -1, -1, 1, 1, 0, 0, 0, 0],
- [1, 0, -2.9, h, 0, -3, 0, -1, 0, 0, -1, 0, -1, 0, 0, 1, 1, 0, 0],
- [1, 0, 0, h, 0, 0, -3, -1, -1, 0, -1, -1, 0, 0, 0, 0, 0, 1, 1],
- [0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1],
- [0, 1.99, -1, -1, 0, 0, 0, -1, f, f, 0, 0, 0, g, 0, 0, 0, 0, 0],
- [0, 0, 0, 0, 2, -1, -1, 0, 0, 0, -1, f, f, 0, g, 0, 0, 0, 0],
- [0, -1, 1.9, 2.1, 0, 0, 0, f, -1, -1, 0, 0, 0, 0, 0, g, 0, 0, 0],
- [0, 0, 0, 0, -1, 2, -1, 0, 0, 0, f, -1, f, 0, 0, 0, g, 0, 0],
- [0, -1, -1, 2.1, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, 0, 0, g, 0],
- [0, 0, 0, 0, -1, -1, 2, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, g]])
- b_ub = np.array([
- 0.0, 0, 0, 100, 100, 100, 100, 100, 100, 900, 900, 900, 900, 900,
- 900, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
- c = np.array([-1.0, 1, 1, 1, 1, 1, 1, 1, 1,
- 1, 1, 1, 1, 0, 0, 0, 0, 0, 0])
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning,
- "Solving system with option 'sym_pos'")
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=-106.63507541835018)
- def test_bug_6139(self):
- # linprog(method='simplex') fails to find a basic feasible solution
- # if phase 1 pseudo-objective function is outside the provided tol.
- # https://github.com/scipy/scipy/issues/6139
- # Note: This is not strictly a bug as the default tolerance determines
- # if a result is "close enough" to zero and should not be expected
- # to work for all cases.
- c = np.array([1, 1, 1])
- A_eq = np.array([[1., 0., 0.], [-1000., 0., - 1000.]])
- b_eq = np.array([5.00000000e+00, -1.00000000e+04])
- A_ub = -np.array([[0., 1000000., 1010000.]])
- b_ub = -np.array([10000000.])
- bounds = (None, None)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=14.95,
- desired_x=np.array([5, 4.95, 5]))
- def test_bug_6690(self):
- # linprog simplex used to violate bound constraint despite reporting
- # success.
- # https://github.com/scipy/scipy/issues/6690
- A_eq = np.array([[0, 0, 0, 0.93, 0, 0.65, 0, 0, 0.83, 0]])
- b_eq = np.array([0.9626])
- A_ub = np.array([
- [0, 0, 0, 1.18, 0, 0, 0, -0.2, 0, -0.22],
- [0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
- [0, 0, 0, 0.43, 0, 0, 0, 0, 0, 0],
- [0, -1.22, -0.25, 0, 0, 0, -2.06, 0, 0, 1.37],
- [0, 0, 0, 0, 0, 0, 0, -0.25, 0, 0]
- ])
- b_ub = np.array([0.615, 0, 0.172, -0.869, -0.022])
- bounds = np.array([
- [-0.84, -0.97, 0.34, 0.4, -0.33, -0.74, 0.47, 0.09, -1.45, -0.73],
- [0.37, 0.02, 2.86, 0.86, 1.18, 0.5, 1.76, 0.17, 0.32, -0.15]
- ]).T
- c = np.array([
- -1.64, 0.7, 1.8, -1.06, -1.16, 0.26, 2.13, 1.53, 0.66, 0.28
- ])
- with suppress_warnings() as sup:
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(OptimizeWarning,
- "Solving system with option 'cholesky'")
- sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'")
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- desired_fun = -1.19099999999
- desired_x = np.array([0.3700, -0.9700, 0.3400, 0.4000, 1.1800,
- 0.5000, 0.4700, 0.0900, 0.3200, -0.7300])
- _assert_success(res, desired_fun=desired_fun, desired_x=desired_x)
- # Add small tol value to ensure arrays are less than or equal.
- atol = 1e-6
- assert_array_less(bounds[:, 0] - atol, res.x)
- assert_array_less(res.x, bounds[:, 1] + atol)
- def test_bug_7044(self):
- # linprog simplex failed to "identify correct constraints" (?)
- # leading to a non-optimal solution if A is rank-deficient.
- # https://github.com/scipy/scipy/issues/7044
- A_eq, b_eq, c, _, _ = magic_square(3)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- desired_fun = 1.730550597
- _assert_success(res, desired_fun=desired_fun)
- assert_allclose(A_eq.dot(res.x), b_eq)
- assert_array_less(np.zeros(res.x.size) - 1e-5, res.x)
- def test_bug_7237(self):
- # https://github.com/scipy/scipy/issues/7237
- # linprog simplex "explodes" when the pivot value is very
- # close to zero.
- c = np.array([-1, 0, 0, 0, 0, 0, 0, 0, 0])
- A_ub = np.array([
- [1., -724., 911., -551., -555., -896., 478., -80., -293.],
- [1., 566., 42., 937., 233., 883., 392., -909., 57.],
- [1., -208., -894., 539., 321., 532., -924., 942., 55.],
- [1., 857., -859., 83., 462., -265., -971., 826., 482.],
- [1., 314., -424., 245., -424., 194., -443., -104., -429.],
- [1., 540., 679., 361., 149., -827., 876., 633., 302.],
- [0., -1., -0., -0., -0., -0., -0., -0., -0.],
- [0., -0., -1., -0., -0., -0., -0., -0., -0.],
- [0., -0., -0., -1., -0., -0., -0., -0., -0.],
- [0., -0., -0., -0., -1., -0., -0., -0., -0.],
- [0., -0., -0., -0., -0., -1., -0., -0., -0.],
- [0., -0., -0., -0., -0., -0., -1., -0., -0.],
- [0., -0., -0., -0., -0., -0., -0., -1., -0.],
- [0., -0., -0., -0., -0., -0., -0., -0., -1.],
- [0., 1., 0., 0., 0., 0., 0., 0., 0.],
- [0., 0., 1., 0., 0., 0., 0., 0., 0.],
- [0., 0., 0., 1., 0., 0., 0., 0., 0.],
- [0., 0., 0., 0., 1., 0., 0., 0., 0.],
- [0., 0., 0., 0., 0., 1., 0., 0., 0.],
- [0., 0., 0., 0., 0., 0., 1., 0., 0.],
- [0., 0., 0., 0., 0., 0., 0., 1., 0.],
- [0., 0., 0., 0., 0., 0., 0., 0., 1.]
- ])
- b_ub = np.array([
- 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
- 0., 0., 0., 1., 1., 1., 1., 1., 1., 1., 1.])
- A_eq = np.array([[0., 1., 1., 1., 1., 1., 1., 1., 1.]])
- b_eq = np.array([[1.]])
- bounds = [(None, None)] * 9
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=108.568535, atol=1e-6)
- def test_bug_8174(self):
- # https://github.com/scipy/scipy/issues/8174
- # The simplex method sometimes "explodes" if the pivot value is very
- # close to zero.
- A_ub = np.array([
- [22714, 1008, 13380, -2713.5, -1116],
- [-4986, -1092, -31220, 17386.5, 684],
- [-4986, 0, 0, -2713.5, 0],
- [22714, 0, 0, 17386.5, 0]])
- b_ub = np.zeros(A_ub.shape[0])
- c = -np.ones(A_ub.shape[1])
- bounds = [(0, 1)] * A_ub.shape[1]
- with suppress_warnings() as sup:
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- if self.options.get('tol', 1e-9) < 1e-10 and self.method == 'simplex':
- _assert_unable_to_find_basic_feasible_sol(res)
- else:
- _assert_success(res, desired_fun=-2.0080717488789235, atol=1e-6)
- def test_bug_8174_2(self):
- # Test supplementary example from issue 8174.
- # https://github.com/scipy/scipy/issues/8174
- # https://stackoverflow.com/questions/47717012/linprog-in-scipy-optimize-checking-solution
- c = np.array([1, 0, 0, 0, 0, 0, 0])
- A_ub = -np.identity(7)
- b_ub = np.array([[-2], [-2], [-2], [-2], [-2], [-2], [-2]])
- A_eq = np.array([
- [1, 1, 1, 1, 1, 1, 0],
- [0.3, 1.3, 0.9, 0, 0, 0, -1],
- [0.3, 0, 0, 0, 0, 0, -2/3],
- [0, 0.65, 0, 0, 0, 0, -1/15],
- [0, 0, 0.3, 0, 0, 0, -1/15]
- ])
- b_eq = np.array([[100], [0], [0], [0], [0]])
- with suppress_warnings() as sup:
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_fun=43.3333333331385)
- def test_bug_8561(self):
- # Test that pivot row is chosen correctly when using Bland's rule
- # This was originally written for the simplex method with
- # Bland's rule only, but it doesn't hurt to test all methods/options
- # https://github.com/scipy/scipy/issues/8561
- c = np.array([7, 0, -4, 1.5, 1.5])
- A_ub = np.array([
- [4, 5.5, 1.5, 1.0, -3.5],
- [1, -2.5, -2, 2.5, 0.5],
- [3, -0.5, 4, -12.5, -7],
- [-1, 4.5, 2, -3.5, -2],
- [5.5, 2, -4.5, -1, 9.5]])
- b_ub = np.array([0, 0, 0, 0, 1])
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, options=self.options,
- method=self.method)
- _assert_success(res, desired_x=[0, 0, 19, 16/3, 29/3])
- def test_bug_8662(self):
- # linprog simplex used to report incorrect optimal results
- # https://github.com/scipy/scipy/issues/8662
- c = [-10, 10, 6, 3]
- A_ub = [[8, -8, -4, 6],
- [-8, 8, 4, -6],
- [-4, 4, 8, -4],
- [3, -3, -3, -10]]
- b_ub = [9, -9, -9, -4]
- bounds = [(0, None), (0, None), (0, None), (0, None)]
- desired_fun = 36.0000000000
- with suppress_warnings() as sup:
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res1 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- # Set boundary condition as a constraint
- A_ub.append([0, 0, -1, 0])
- b_ub.append(0)
- bounds[2] = (None, None)
- with suppress_warnings() as sup:
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res2 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- rtol = 1e-5
- _assert_success(res1, desired_fun=desired_fun, rtol=rtol)
- _assert_success(res2, desired_fun=desired_fun, rtol=rtol)
- def test_bug_8663(self):
- # exposed a bug in presolve
- # https://github.com/scipy/scipy/issues/8663
- c = [1, 5]
- A_eq = [[0, -7]]
- b_eq = [-6]
- bounds = [(0, None), (None, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[0, 6./7], desired_fun=5*6./7)
- def test_bug_8664(self):
- # interior-point has trouble with this when presolve is off
- # tested for interior-point with presolve off in TestLinprogIPSpecific
- # https://github.com/scipy/scipy/issues/8664
- c = [4]
- A_ub = [[2], [5]]
- b_ub = [4, 4]
- A_eq = [[0], [-8], [9]]
- b_eq = [3, 2, 10]
- with suppress_warnings() as sup:
- sup.filter(RuntimeWarning)
- sup.filter(OptimizeWarning, "Solving system with option...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_infeasible(res)
- def test_bug_8973(self):
- """
- Test whether bug described at:
- https://github.com/scipy/scipy/issues/8973
- was fixed.
- """
- c = np.array([0, 0, 0, 1, -1])
- A_ub = np.array([[1, 0, 0, 0, 0], [0, 1, 0, 0, 0]])
- b_ub = np.array([2, -2])
- bounds = [(None, None), (None, None), (None, None), (-1, 1), (-1, 1)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- # solution vector x is not unique
- _assert_success(res, desired_fun=-2)
- # HiGHS IPM had an issue where the following wasn't true!
- assert_equal(c @ res.x, res.fun)
- def test_bug_8973_2(self):
- """
- Additional test for:
- https://github.com/scipy/scipy/issues/8973
- suggested in
- https://github.com/scipy/scipy/pull/8985
- review by @antonior92
- """
- c = np.zeros(1)
- A_ub = np.array([[1]])
- b_ub = np.array([-2])
- bounds = (None, None)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[-2], desired_fun=0)
- def test_bug_10124(self):
- """
- Test for linprog docstring problem
- 'disp'=True caused revised simplex failure
- """
- c = np.zeros(1)
- A_ub = np.array([[1]])
- b_ub = np.array([-2])
- bounds = (None, None)
- c = [-1, 4]
- A_ub = [[-3, 1], [1, 2]]
- b_ub = [6, 4]
- bounds = [(None, None), (-3, None)]
- o = {"disp": True}
- o.update(self.options)
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- _assert_success(res, desired_x=[10, -3], desired_fun=-22)
- def test_bug_10349(self):
- """
- Test for redundancy removal tolerance issue
- https://github.com/scipy/scipy/issues/10349
- """
- A_eq = np.array([[1, 1, 0, 0, 0, 0],
- [0, 0, 1, 1, 0, 0],
- [0, 0, 0, 0, 1, 1],
- [1, 0, 1, 0, 0, 0],
- [0, 0, 0, 1, 1, 0],
- [0, 1, 0, 0, 0, 1]])
- b_eq = np.array([221, 210, 10, 141, 198, 102])
- c = np.concatenate((0, 1, np.zeros(4)), axis=None)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options)
- _assert_success(res, desired_x=[129, 92, 12, 198, 0, 10], desired_fun=92)
- @pytest.mark.skipif(sys.platform == 'darwin',
- reason=("Failing on some local macOS builds, "
- "see gh-13846"))
- def test_bug_10466(self):
- """
- Test that autoscale fixes poorly-scaled problem
- """
- c = [-8., -0., -8., -0., -8., -0., -0., -0., -0., -0., -0., -0., -0.]
- A_eq = [[1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.],
- [0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0.],
- [0., 0., 0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0.],
- [1., 0., 1., 0., 1., 0., -1., 0., 0., 0., 0., 0., 0.],
- [1., 0., 1., 0., 1., 0., 0., 1., 0., 0., 0., 0., 0.],
- [1., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0., 0.],
- [1., 0., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0.],
- [1., 0., 1., 0., 1., 0., 0., 0., 0., 0., 1., 0., 0.],
- [0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 1., 0.],
- [0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 0., 1.]]
- b_eq = [3.14572800e+08, 4.19430400e+08, 5.24288000e+08,
- 1.00663296e+09, 1.07374182e+09, 1.07374182e+09,
- 1.07374182e+09, 1.07374182e+09, 1.07374182e+09,
- 1.07374182e+09]
- o = {}
- # HiGHS methods don't use autoscale option
- if not self.method.startswith("highs"):
- o = {"autoscale": True}
- o.update(self.options)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "Solving system with option...")
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
- sup.filter(RuntimeWarning, "divide by zero encountered...")
- sup.filter(RuntimeWarning, "overflow encountered...")
- sup.filter(RuntimeWarning, "invalid value encountered...")
- sup.filter(LinAlgWarning, "Ill-conditioned matrix...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- assert_allclose(res.fun, -8589934560)
- #########################
- # Method-specific Tests #
- #########################
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class LinprogSimplexTests(LinprogCommonTests):
- method = "simplex"
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class LinprogIPTests(LinprogCommonTests):
- method = "interior-point"
- def test_bug_10466(self):
- pytest.skip("Test is failing, but solver is deprecated.")
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class LinprogRSTests(LinprogCommonTests):
- method = "revised simplex"
- # Revised simplex does not reliably solve these problems.
- # Failure is intermittent due to the random choice of elements to complete
- # the basis after phase 1 terminates. In any case, linprog exists
- # gracefully, reporting numerical difficulties. I do not think this should
- # prevent revised simplex from being merged, as it solves the problems
- # most of the time and solves a broader range of problems than the existing
- # simplex implementation.
- # I believe that the root cause is the same for all three and that this
- # same issue prevents revised simplex from solving many other problems
- # reliably. Somehow the pivoting rule allows the algorithm to pivot into
- # a singular basis. I haven't been able to find a reference that
- # acknowledges this possibility, suggesting that there is a bug. On the
- # other hand, the pivoting rule is quite simple, and I can't find a
- # mistake, which suggests that this is a possibility with the pivoting
- # rule. Hopefully, a better pivoting rule will fix the issue.
- def test_bug_5400(self):
- pytest.skip("Intermittent failure acceptable.")
- def test_bug_8662(self):
- pytest.skip("Intermittent failure acceptable.")
- def test_network_flow(self):
- pytest.skip("Intermittent failure acceptable.")
- class LinprogHiGHSTests(LinprogCommonTests):
- def test_callback(self):
- # this is the problem from test_callback
- cb = lambda res: None
- c = np.array([-3, -2])
- A_ub = [[2, 1], [1, 1], [1, 0]]
- b_ub = [10, 8, 4]
- assert_raises(NotImplementedError, linprog, c, A_ub=A_ub, b_ub=b_ub,
- callback=cb, method=self.method)
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, method=self.method)
- _assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
- @pytest.mark.parametrize("options",
- [{"maxiter": -1},
- {"disp": -1},
- {"presolve": -1},
- {"time_limit": -1},
- {"dual_feasibility_tolerance": -1},
- {"primal_feasibility_tolerance": -1},
- {"ipm_optimality_tolerance": -1},
- {"simplex_dual_edge_weight_strategy": "ekki"},
- ])
- def test_invalid_option_values(self, options):
- def f(options):
- linprog(1, method=self.method, options=options)
- options.update(self.options)
- assert_warns(OptimizeWarning, f, options=options)
- def test_crossover(self):
- A_eq, b_eq, c, _, _ = magic_square(4)
- bounds = (0, 1)
- res = linprog(c, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method, options=self.options)
- # there should be nonzero crossover iterations for IPM (only)
- assert_equal(res.crossover_nit == 0, self.method != "highs-ipm")
- def test_marginals(self):
- # Ensure lagrange multipliers are correct by comparing the derivative
- # w.r.t. b_ub/b_eq/ub/lb to the reported duals.
- c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=0)
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method, options=self.options)
- lb, ub = bounds.T
- # sensitivity w.r.t. b_ub
- def f_bub(x):
- return linprog(c, A_ub, x, A_eq, b_eq, bounds,
- method=self.method).fun
- dfdbub = approx_derivative(f_bub, b_ub, method='3-point', f0=res.fun)
- assert_allclose(res.ineqlin.marginals, dfdbub)
- # sensitivity w.r.t. b_eq
- def f_beq(x):
- return linprog(c, A_ub, b_ub, A_eq, x, bounds,
- method=self.method).fun
- dfdbeq = approx_derivative(f_beq, b_eq, method='3-point', f0=res.fun)
- assert_allclose(res.eqlin.marginals, dfdbeq)
- # sensitivity w.r.t. lb
- def f_lb(x):
- bounds = np.array([x, ub]).T
- return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method).fun
- with np.errstate(invalid='ignore'):
- # approx_derivative has trouble where lb is infinite
- dfdlb = approx_derivative(f_lb, lb, method='3-point', f0=res.fun)
- dfdlb[~np.isfinite(lb)] = 0
- assert_allclose(res.lower.marginals, dfdlb)
- # sensitivity w.r.t. ub
- def f_ub(x):
- bounds = np.array([lb, x]).T
- return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method).fun
- with np.errstate(invalid='ignore'):
- dfdub = approx_derivative(f_ub, ub, method='3-point', f0=res.fun)
- dfdub[~np.isfinite(ub)] = 0
- assert_allclose(res.upper.marginals, dfdub)
- def test_dual_feasibility(self):
- # Ensure solution is dual feasible using marginals
- c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42)
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method, options=self.options)
- # KKT dual feasibility equation from Theorem 1 from
- # http://www.personal.psu.edu/cxg286/LPKKT.pdf
- resid = (-c + A_ub.T @ res.ineqlin.marginals +
- A_eq.T @ res.eqlin.marginals +
- res.upper.marginals +
- res.lower.marginals)
- assert_allclose(resid, 0, atol=1e-12)
- def test_complementary_slackness(self):
- # Ensure that the complementary slackness condition is satisfied.
- c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42)
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method, options=self.options)
- # KKT complementary slackness equation from Theorem 1 from
- # http://www.personal.psu.edu/cxg286/LPKKT.pdf modified for
- # non-zero RHS
- assert np.allclose(res.ineqlin.marginals @ (b_ub - A_ub @ res.x), 0)
- ################################
- # Simplex Option-Specific Tests#
- ################################
- class TestLinprogSimplexDefault(LinprogSimplexTests):
- def setup_method(self):
- self.options = {}
- def test_bug_5400(self):
- pytest.skip("Simplex fails on this problem.")
- def test_bug_7237_low_tol(self):
- # Fails if the tolerance is too strict. Here, we test that
- # even if the solution is wrong, the appropriate error is raised.
- pytest.skip("Simplex fails on this problem.")
- def test_bug_8174_low_tol(self):
- # Fails if the tolerance is too strict. Here, we test that
- # even if the solution is wrong, the appropriate warning is issued.
- self.options.update({'tol': 1e-12})
- with pytest.warns(OptimizeWarning):
- super().test_bug_8174()
- class TestLinprogSimplexBland(LinprogSimplexTests):
- def setup_method(self):
- self.options = {'bland': True}
- def test_bug_5400(self):
- pytest.skip("Simplex fails on this problem.")
- def test_bug_8174_low_tol(self):
- # Fails if the tolerance is too strict. Here, we test that
- # even if the solution is wrong, the appropriate error is raised.
- self.options.update({'tol': 1e-12})
- with pytest.raises(AssertionError):
- with pytest.warns(OptimizeWarning):
- super().test_bug_8174()
- class TestLinprogSimplexNoPresolve(LinprogSimplexTests):
- def setup_method(self):
- self.options = {'presolve': False}
- is_32_bit = np.intp(0).itemsize < 8
- is_linux = sys.platform.startswith('linux')
- @pytest.mark.xfail(
- condition=is_32_bit and is_linux,
- reason='Fails with warning on 32-bit linux')
- def test_bug_5400(self):
- super().test_bug_5400()
- def test_bug_6139_low_tol(self):
- # Linprog(method='simplex') fails to find a basic feasible solution
- # if phase 1 pseudo-objective function is outside the provided tol.
- # https://github.com/scipy/scipy/issues/6139
- # Without ``presolve`` eliminating such rows the result is incorrect.
- self.options.update({'tol': 1e-12})
- with pytest.raises(AssertionError, match='linprog status 4'):
- return super().test_bug_6139()
- def test_bug_7237_low_tol(self):
- pytest.skip("Simplex fails on this problem.")
- def test_bug_8174_low_tol(self):
- # Fails if the tolerance is too strict. Here, we test that
- # even if the solution is wrong, the appropriate warning is issued.
- self.options.update({'tol': 1e-12})
- with pytest.warns(OptimizeWarning):
- super().test_bug_8174()
- def test_unbounded_no_nontrivial_constraints_1(self):
- pytest.skip("Tests behavior specific to presolve")
- def test_unbounded_no_nontrivial_constraints_2(self):
- pytest.skip("Tests behavior specific to presolve")
- #######################################
- # Interior-Point Option-Specific Tests#
- #######################################
- class TestLinprogIPDense(LinprogIPTests):
- options = {"sparse": False}
- if has_cholmod:
- class TestLinprogIPSparseCholmod(LinprogIPTests):
- options = {"sparse": True, "cholesky": True}
- if has_umfpack:
- class TestLinprogIPSparseUmfpack(LinprogIPTests):
- options = {"sparse": True, "cholesky": False}
- def test_network_flow_limited_capacity(self):
- pytest.skip("Failing due to numerical issues on some platforms.")
- class TestLinprogIPSparse(LinprogIPTests):
- options = {"sparse": True, "cholesky": False, "sym_pos": False}
- @pytest.mark.xfail_on_32bit("This test is sensitive to machine epsilon level "
- "perturbations in linear system solution in "
- "_linprog_ip._sym_solve.")
- def test_bug_6139(self):
- super().test_bug_6139()
- @pytest.mark.xfail(reason='Fails with ATLAS, see gh-7877')
- def test_bug_6690(self):
- # Test defined in base class, but can't mark as xfail there
- super().test_bug_6690()
- def test_magic_square_sparse_no_presolve(self):
- # test linprog with a problem with a rank-deficient A_eq matrix
- A_eq, b_eq, c, _, _ = magic_square(3)
- bounds = (0, 1)
- with suppress_warnings() as sup:
- if has_umfpack:
- sup.filter(UmfpackWarning)
- sup.filter(MatrixRankWarning, "Matrix is exactly singular")
- sup.filter(OptimizeWarning, "Solving system with option...")
- o = {key: self.options[key] for key in self.options}
- o["presolve"] = False
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- _assert_success(res, desired_fun=1.730550597)
- def test_sparse_solve_options(self):
- # checking that problem is solved with all column permutation options
- A_eq, b_eq, c, _, _ = magic_square(3)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- sup.filter(OptimizeWarning, "Invalid permc_spec option")
- o = {key: self.options[key] for key in self.options}
- permc_specs = ('NATURAL', 'MMD_ATA', 'MMD_AT_PLUS_A',
- 'COLAMD', 'ekki-ekki-ekki')
- # 'ekki-ekki-ekki' raises warning about invalid permc_spec option
- # and uses default
- for permc_spec in permc_specs:
- o["permc_spec"] = permc_spec
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=o)
- _assert_success(res, desired_fun=1.730550597)
- class TestLinprogIPSparsePresolve(LinprogIPTests):
- options = {"sparse": True, "_sparse_presolve": True}
- @pytest.mark.xfail_on_32bit("This test is sensitive to machine epsilon level "
- "perturbations in linear system solution in "
- "_linprog_ip._sym_solve.")
- def test_bug_6139(self):
- super().test_bug_6139()
- def test_enzo_example_c_with_infeasibility(self):
- pytest.skip('_sparse_presolve=True incompatible with presolve=False')
- @pytest.mark.xfail(reason='Fails with ATLAS, see gh-7877')
- def test_bug_6690(self):
- # Test defined in base class, but can't mark as xfail there
- super().test_bug_6690()
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class TestLinprogIPSpecific:
- method = "interior-point"
- # the following tests don't need to be performed separately for
- # sparse presolve, sparse after presolve, and dense
- def test_solver_select(self):
- # check that default solver is selected as expected
- if has_cholmod:
- options = {'sparse': True, 'cholesky': True}
- elif has_umfpack:
- options = {'sparse': True, 'cholesky': False}
- else:
- options = {'sparse': True, 'cholesky': False, 'sym_pos': False}
- A, b, c = lpgen_2d(20, 20)
- res1 = linprog(c, A_ub=A, b_ub=b, method=self.method, options=options)
- res2 = linprog(c, A_ub=A, b_ub=b, method=self.method) # default solver
- assert_allclose(res1.fun, res2.fun,
- err_msg="linprog default solver unexpected result",
- rtol=2e-15, atol=1e-15)
- def test_unbounded_below_no_presolve_original(self):
- # formerly caused segfault in TravisCI w/ "cholesky":True
- c = [-1]
- bounds = [(None, 1)]
- res = linprog(c=c, bounds=bounds,
- method=self.method,
- options={"presolve": False, "cholesky": True})
- _assert_success(res, desired_fun=-1)
- def test_cholesky(self):
- # use cholesky factorization and triangular solves
- A, b, c = lpgen_2d(20, 20)
- res = linprog(c, A_ub=A, b_ub=b, method=self.method,
- options={"cholesky": True}) # only for dense
- _assert_success(res, desired_fun=-64.049494229)
- def test_alternate_initial_point(self):
- # use "improved" initial point
- A, b, c = lpgen_2d(20, 20)
- with suppress_warnings() as sup:
- sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
- sup.filter(OptimizeWarning, "Solving system with option...")
- sup.filter(LinAlgWarning, "Ill-conditioned matrix...")
- res = linprog(c, A_ub=A, b_ub=b, method=self.method,
- options={"ip": True, "disp": True})
- # ip code is independent of sparse/dense
- _assert_success(res, desired_fun=-64.049494229)
- def test_bug_8664(self):
- # interior-point has trouble with this when presolve is off
- c = [4]
- A_ub = [[2], [5]]
- b_ub = [4, 4]
- A_eq = [[0], [-8], [9]]
- b_eq = [3, 2, 10]
- with suppress_warnings() as sup:
- sup.filter(RuntimeWarning)
- sup.filter(OptimizeWarning, "Solving system with option...")
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options={"presolve": False})
- assert_(not res.success, "Incorrectly reported success")
- ########################################
- # Revised Simplex Option-Specific Tests#
- ########################################
- class TestLinprogRSCommon(LinprogRSTests):
- options = {}
- def test_cyclic_bland(self):
- pytest.skip("Intermittent failure acceptable.")
- def test_nontrivial_problem_with_guess(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=x_star)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- assert_equal(res.nit, 0)
- def test_nontrivial_problem_with_unbounded_variables(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- bounds = [(None, None), (None, None), (0, None), (None, None)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=x_star)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- assert_equal(res.nit, 0)
- def test_nontrivial_problem_with_bounded_variables(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- bounds = [(None, 1), (1, None), (0, None), (.4, .6)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=x_star)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- assert_equal(res.nit, 0)
- def test_nontrivial_problem_with_negative_unbounded_variable(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- b_eq = [4]
- x_star = np.array([-219/385, 582/385, 0, 4/10])
- f_star = 3951/385
- bounds = [(None, None), (1, None), (0, None), (.4, .6)]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=x_star)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- assert_equal(res.nit, 0)
- def test_nontrivial_problem_with_bad_guess(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- bad_guess = [1, 2, 3, .5]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=bad_guess)
- assert_equal(res.status, 6)
- def test_redundant_constraints_with_guess(self):
- A, b, c, _, _ = magic_square(3)
- p = np.random.rand(*c.shape)
- with suppress_warnings() as sup:
- sup.filter(OptimizeWarning, "A_eq does not appear...")
- sup.filter(RuntimeWarning, "invalid value encountered")
- sup.filter(LinAlgWarning)
- res = linprog(c, A_eq=A, b_eq=b, method=self.method)
- res2 = linprog(c, A_eq=A, b_eq=b, method=self.method, x0=res.x)
- res3 = linprog(c + p, A_eq=A, b_eq=b, method=self.method, x0=res.x)
- _assert_success(res2, desired_fun=1.730550597)
- assert_equal(res2.nit, 0)
- _assert_success(res3)
- assert_(res3.nit < res.nit) # hot start reduces iterations
- class TestLinprogRSBland(LinprogRSTests):
- options = {"pivot": "bland"}
- ############################################
- # HiGHS-Simplex-Dual Option-Specific Tests #
- ############################################
- class TestLinprogHiGHSSimplexDual(LinprogHiGHSTests):
- method = "highs-ds"
- options = {}
- def test_lad_regression(self):
- '''
- The scaled model should be optimal, i.e. not produce unscaled model
- infeasible. See https://github.com/ERGO-Code/HiGHS/issues/494.
- '''
- # Test to ensure gh-13610 is resolved (mismatch between HiGHS scaled
- # and unscaled model statuses)
- c, A_ub, b_ub, bnds = l1_regression_prob()
- res = linprog(c, A_ub=A_ub, b_ub=b_ub, bounds=bnds,
- method=self.method, options=self.options)
- assert_equal(res.status, 0)
- assert_(res.x is not None)
- assert_(np.all(res.slack > -1e-6))
- assert_(np.all(res.x <= [np.inf if ub is None else ub
- for lb, ub in bnds]))
- assert_(np.all(res.x >= [-np.inf if lb is None else lb - 1e-7
- for lb, ub in bnds]))
- ###################################
- # HiGHS-IPM Option-Specific Tests #
- ###################################
- class TestLinprogHiGHSIPM(LinprogHiGHSTests):
- method = "highs-ipm"
- options = {}
- ###################################
- # HiGHS-MIP Option-Specific Tests #
- ###################################
- class TestLinprogHiGHSMIP():
- method = "highs"
- options = {}
- @pytest.mark.xfail(condition=(sys.maxsize < 2 ** 32 and
- platform.system() == "Linux"),
- run=False,
- reason="gh-16347")
- def test_mip1(self):
- # solve non-relaxed magic square problem (finally!)
- # also check that values are all integers - they don't always
- # come out of HiGHS that way
- n = 4
- A, b, c, numbers, M = magic_square(n)
- bounds = [(0, 1)] * len(c)
- integrality = [1] * len(c)
- res = linprog(c=c*0, A_eq=A, b_eq=b, bounds=bounds,
- method=self.method, integrality=integrality)
- s = (numbers.flatten() * res.x).reshape(n**2, n, n)
- square = np.sum(s, axis=0)
- np.testing.assert_allclose(square.sum(axis=0), M)
- np.testing.assert_allclose(square.sum(axis=1), M)
- np.testing.assert_allclose(np.diag(square).sum(), M)
- np.testing.assert_allclose(np.diag(square[:, ::-1]).sum(), M)
- np.testing.assert_allclose(res.x, np.round(res.x), atol=1e-12)
- def test_mip2(self):
- # solve MIP with inequality constraints and all integer constraints
- # source: slide 5,
- # https://www.cs.upc.edu/~erodri/webpage/cps/theory/lp/milp/slides.pdf
- # use all array inputs to test gh-16681 (integrality couldn't be array)
- A_ub = np.array([[2, -2], [-8, 10]])
- b_ub = np.array([-1, 13])
- c = -np.array([1, 1])
- bounds = np.array([(0, np.inf)] * len(c))
- integrality = np.ones_like(c)
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
- method=self.method, integrality=integrality)
- np.testing.assert_allclose(res.x, [1, 2])
- np.testing.assert_allclose(res.fun, -3)
- def test_mip3(self):
- # solve MIP with inequality constraints and all integer constraints
- # source: https://en.wikipedia.org/wiki/Integer_programming#Example
- A_ub = np.array([[-1, 1], [3, 2], [2, 3]])
- b_ub = np.array([1, 12, 12])
- c = -np.array([0, 1])
- bounds = [(0, np.inf)] * len(c)
- integrality = [1] * len(c)
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
- method=self.method, integrality=integrality)
- np.testing.assert_allclose(res.fun, -2)
- # two optimal solutions possible, just need one of them
- assert np.allclose(res.x, [1, 2]) or np.allclose(res.x, [2, 2])
- def test_mip4(self):
- # solve MIP with inequality constraints and only one integer constraint
- # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
- A_ub = np.array([[-1, -2], [-4, -1], [2, 1]])
- b_ub = np.array([14, -33, 20])
- c = np.array([8, 1])
- bounds = [(0, np.inf)] * len(c)
- integrality = [0, 1]
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
- method=self.method, integrality=integrality)
- np.testing.assert_allclose(res.x, [6.5, 7])
- np.testing.assert_allclose(res.fun, 59)
- def test_mip5(self):
- # solve MIP with inequality and inequality constraints
- # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
- A_ub = np.array([[1, 1, 1]])
- b_ub = np.array([7])
- A_eq = np.array([[4, 2, 1]])
- b_eq = np.array([12])
- c = np.array([-3, -2, -1])
- bounds = [(0, np.inf), (0, np.inf), (0, 1)]
- integrality = [0, 1, 0]
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method,
- integrality=integrality)
- np.testing.assert_allclose(res.x, [0, 6, 0])
- np.testing.assert_allclose(res.fun, -12)
- # gh-16897: these fields were not present, ensure that they are now
- assert res.get("mip_node_count", None) is not None
- assert res.get("mip_dual_bound", None) is not None
- assert res.get("mip_gap", None) is not None
- @pytest.mark.slow
- @pytest.mark.timeout(120) # prerelease_deps_coverage_64bit_blas job
- def test_mip6(self):
- # solve a larger MIP with only equality constraints
- # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
- A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
- [39, 16, 22, 28, 26, 30, 23, 24],
- [18, 14, 29, 27, 30, 38, 26, 26],
- [41, 26, 28, 36, 18, 38, 16, 26]])
- b_eq = np.array([7872, 10466, 11322, 12058])
- c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
- bounds = [(0, np.inf)]*8
- integrality = [1]*8
- res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
- method=self.method, integrality=integrality)
- np.testing.assert_allclose(res.fun, 1854)
- @pytest.mark.xslow
- def test_mip_rel_gap_passdown(self):
- # MIP taken from test_mip6, solved with different values of mip_rel_gap
- # solve a larger MIP with only equality constraints
- # source: https://www.mathworks.com/help/optim/ug/intlinprog.html
- A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
- [39, 16, 22, 28, 26, 30, 23, 24],
- [18, 14, 29, 27, 30, 38, 26, 26],
- [41, 26, 28, 36, 18, 38, 16, 26]])
- b_eq = np.array([7872, 10466, 11322, 12058])
- c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
- bounds = [(0, np.inf)]*8
- integrality = [1]*8
- mip_rel_gaps = [0.5, 0.25, 0.01, 0.001]
- sol_mip_gaps = []
- for mip_rel_gap in mip_rel_gaps:
- res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
- bounds=bounds, method=self.method,
- integrality=integrality,
- options={"mip_rel_gap": mip_rel_gap})
- final_mip_gap = res["mip_gap"]
- # assert that the solution actually has mip_gap lower than the
- # required mip_rel_gap supplied
- assert final_mip_gap <= mip_rel_gap
- sol_mip_gaps.append(final_mip_gap)
- # make sure that the mip_rel_gap parameter is actually doing something
- # check that differences between solution gaps are declining
- # monotonically with the mip_rel_gap parameter. np.diff does
- # x[i+1] - x[i], so flip the array before differencing to get
- # what should be a positive, monotone decreasing series of solution
- # gaps
- gap_diffs = np.diff(np.flip(sol_mip_gaps))
- assert np.all(gap_diffs >= 0)
- assert not np.all(gap_diffs == 0)
- ###########################
- # Autoscale-Specific Tests#
- ###########################
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class AutoscaleTests:
- options = {"autoscale": True}
- test_bug_6139 = LinprogCommonTests.test_bug_6139
- test_bug_6690 = LinprogCommonTests.test_bug_6690
- test_bug_7237 = LinprogCommonTests.test_bug_7237
- class TestAutoscaleIP(AutoscaleTests):
- method = "interior-point"
- def test_bug_6139(self):
- self.options['tol'] = 1e-10
- return AutoscaleTests.test_bug_6139(self)
- class TestAutoscaleSimplex(AutoscaleTests):
- method = "simplex"
- class TestAutoscaleRS(AutoscaleTests):
- method = "revised simplex"
- def test_nontrivial_problem_with_guess(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=x_star)
- _assert_success(res, desired_fun=f_star, desired_x=x_star)
- assert_equal(res.nit, 0)
- def test_nontrivial_problem_with_bad_guess(self):
- c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
- bad_guess = [1, 2, 3, .5]
- res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
- method=self.method, options=self.options, x0=bad_guess)
- assert_equal(res.status, 6)
- ###########################
- # Redundancy Removal Tests#
- ###########################
- @pytest.mark.filterwarnings("ignore::DeprecationWarning")
- class RRTests:
- method = "interior-point"
- LCT = LinprogCommonTests
- # these are a few of the existing tests that have redundancy
- test_RR_infeasibility = LCT.test_remove_redundancy_infeasibility
- test_bug_10349 = LCT.test_bug_10349
- test_bug_7044 = LCT.test_bug_7044
- test_NFLC = LCT.test_network_flow_limited_capacity
- test_enzo_example_b = LCT.test_enzo_example_b
- class TestRRSVD(RRTests):
- options = {"rr_method": "SVD"}
- class TestRRPivot(RRTests):
- options = {"rr_method": "pivot"}
- class TestRRID(RRTests):
- options = {"rr_method": "ID"}
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