Added Highs_getObjectiveBoundScaling (and Highs_getDualObjectiveValue) to C API

Author: jajhall

check/TestCAPI.c

@@ -214,7 +214,7 @@ HighsInt doubleArraysEqual(const double dim, const double* array0,
 
 void assertDoubleValuesEqual(const char* name, const double is,
                              const double should_be) {
-  const double dl = fabs(is - should_be);
+  const double dl = fabs(is - should_be)/(1e0 + fabs(should_be));
   if (dl > double_equal_tolerance) {
     printf("Value %s = %g differs from %g by %g but should be equal\n", name,
            is, should_be, dl);
@@ -2242,6 +2242,66 @@ void testIis() {
   Highs_destroy(highs);
 }
 
+void testUserObjectiveBoundScaling() {
+  void* highs = Highs_create();
+  Highs_setBoolOptionValue(highs, "output_flag", dev_run);
+  HighsInt ret;
+  double inf = Highs_getInfinity(highs);
+  const HighsInt num_col = 2;
+  const HighsInt num_row = 2;
+  const HighsInt num_nz = 4;
+  HighsInt a_format = kHighsMatrixFormatColwise;
+  HighsInt sense = kHighsObjSenseMinimize;
+  double offset = 1e-4;
+
+  // Define the column costs, lower bounds and upper bounds
+  double col_cost[2] = {-4e6, -7e6};
+  double col_lower[2] = {1e-8, 1e-8};
+  double col_upper[2] = {1e8, 1e8};
+  // Define the row lower bounds and upper bounds
+  double row_lower[3] = {-inf, -2e+8};
+  double row_upper[3] = {6e+8, inf};
+  // Define the constraint matrix column-wise
+  HighsInt a_start[2] = {0, 2};
+  HighsInt a_index[5] = {0, 1, 0, 1};
+  double a_value[5] = {1.0, 1.0, 1.0, -1.0};
+  
+  HighsInt return_status =
+    Highs_passLp(highs, num_col, num_row, num_nz,
+		 a_format, sense, offset,
+		 col_cost, col_lower, col_upper, row_lower, row_upper,
+		 a_start, a_index, a_value);
+  assert(return_status == kHighsStatusOk);
+
+  return_status = Highs_run(highs);
+  assert(return_status == kHighsStatusOk);
+  HighsInt model_status = Highs_getModelStatus(highs);
+  assert(model_status == kHighsModelStatusOptimal);
+
+  double unscaled_objective_value = Highs_getObjectiveValue(highs);
+  double dual_objective_value;
+  return_status = Highs_getDualObjectiveValue(highs, &dual_objective_value);
+  assert(return_status == kHighsStatusOk);
+
+  HighsInt suggested_objective_scale;
+  HighsInt suggested_bound_scale;
+  return_status = Highs_getObjectiveBoundScaling(highs,
+						 &suggested_objective_scale,
+						 &suggested_bound_scale);
+  assert(return_status == kHighsStatusOk);
+  
+  Highs_setIntOptionValue(highs, "user_cost_scale", suggested_objective_scale);
+  Highs_setIntOptionValue(highs, "user_bound_scale", suggested_bound_scale);
+  
+  Highs_clearSolver(highs);
+  return_status = Highs_run(highs);
+  assert(return_status == kHighsStatusOk);
+
+  double scaled_objective_value = Highs_getObjectiveValue(highs);
+  assertDoubleValuesEqual("objective_value", unscaled_objective_value, scaled_objective_value);
+  Highs_destroy(highs);
+}
+
 int main() {
     minimalApiIllegalLp();
     testCallback();
@@ -2265,7 +2325,8 @@ int main() {
     testQpIndefiniteFailure();
     testDualRayTwice();
     testDeleteRowResolveWithBasis();
-  testIis();
+    testIis();
+    testUserObjectiveBoundScaling();
   return 0;
 }
 //  testSetSolution();

check/TestUserScale.cpp

@@ -161,6 +161,7 @@ HighsLp lp1(const double cost, const double col_lower, const double bound) {
   // scenario
   lp.num_col_ = 2;
   lp.num_row_ = 2;
+  lp.offset_ = 1e-4;
   lp.col_cost_ = {-4 * cost, -7 * cost};
   lp.col_lower_ = {col_lower, col_lower};
   lp.col_upper_ = {10 * bound, 10 * bound};

highs/interfaces/highs_c_api.cpp

@@ -613,6 +613,10 @@ double Highs_getObjectiveValue(const void* highs) {
   return ((Highs*)highs)->getObjectiveValue();
 }
 
+HighsInt Highs_getDualObjectiveValue(const void* highs, double* dual_objective_value) {
+  return (HighsInt)((Highs*)highs)->getDualObjectiveValue(*dual_objective_value);
+}
+
 HighsInt Highs_getBasicVariables(const void* highs, HighsInt* basic_variables) {
   return (HighsInt)((Highs*)highs)->getBasicVariables(basic_variables);
 }
@@ -1354,6 +1358,14 @@ HighsInt Highs_getIis(void* highs, HighsInt* iis_num_col, HighsInt* iis_num_row,
   return status;
 }
 
+HighsInt Highs_getObjectiveBoundScaling(void* highs,
+					HighsInt* suggested_objective_scale,
+					HighsInt* suggested_bound_scale) {
+  return (HighsInt)((Highs*)highs)->
+    getObjectiveBoundScaling(*suggested_objective_scale,
+			     *suggested_bound_scale);
+}
+
 HighsInt Highs_getIisLp(const void* highs, const HighsInt a_format,
                         HighsInt* num_col, HighsInt* num_row, HighsInt* num_nz,
                         HighsInt* sense, double* offset, double* col_cost,

highs/interfaces/highs_c_api.h

@@ -1054,6 +1054,17 @@ HighsInt Highs_getPrimalRay(const void* highs, HighsInt* has_primal_ray,
  */
 double Highs_getObjectiveValue(const void* highs);
 
+/**
+ * Get the dual objective function value.
+ *
+ * @param highs                    A pointer to the Highs instance.
+ * @param dual_objective_value     The dual objective value
+ *
+ * @returns A `kHighsStatus` constant indicating whether the call succeeded.
+ */
+  HighsInt Highs_getDualObjectiveValue(const void* highs,
+				       double* dual_objective_value);
+
 /**
  * Get the indices of the rows and columns that make up the basis matrix ``B``
  * of a basic feasible solution.
@@ -2384,34 +2395,47 @@ HighsInt Highs_feasibilityRelaxation(void* highs,
  * an LP, QP, or the relaxation of a MIP. If no IIS is found, then the
  * number of IIS columns and rows will be zero.
  *
- * @param highs                      A pointer to the Highs instance.
- * @param const HighsInt iis_num_col Number of columns in the IIS.
- * @param const HighsInt iis_num_row Number of rows in the IIS.
- * @param const HighsInt* col_index  An array of length [iis_num_col], to be
- *                                   filled with the indices of original
- *                                   variables in the IIS.
- * @param const HighsInt* row_index  An array of length [iis_num_col], to be
- *                                   filled with the indices of original
- *                                   constraints in the IIS.
- * @param const HighsInt* col_bound  An array of length [iis_num_col], to be
- *                                   filled with the bound status of variables
- *                                   in the IIS.
- * @param const HighsInt* row_bound  An array of length [iis_num_col], to be
- *                                   filled with the bound status of constraints
- *                                   in the IIS.
- * @param const HighsInt* col_status An array of length [num_col], to be
- *                                   filled with the IIS status of all original
- *                                   variables.
- * @param const HighsInt* row_status n array of length [num_col], to be
- *                                   filled with the IIS status of all original
- *                                   constraints.
+ * @param highs                A pointer to the Highs instance.
+ * @param HighsInt iis_num_col Number of columns in the IIS.
+ * @param HighsInt iis_num_row Number of rows in the IIS.
+ * @param HighsInt* col_index  An array of length [iis_num_col], to be
+ *                             filled with the indices of original
+ *                             variables in the IIS.
+ * @param HighsInt* row_index  An array of length [iis_num_col], to be
+ *                             filled with the indices of original
+ *                             constraints in the IIS.
+ * @param HighsInt* col_bound  An array of length [iis_num_col], to be
+ *                             filled with the bound status of variables
+ *                             in the IIS.
+ * @param HighsInt* row_bound  An array of length [iis_num_col], to be
+ *                             filled with the bound status of constraints
+ *                             in the IIS.
+ * @param HighsInt* col_status An array of length [num_col], to be filled
+ *                             with the IIS status of all original variables.
+ * @param HighsInt* row_status An array of length [num_col], to be filled
+ *                             with the IIS status of all original constraints.
  *
  * @returns A `kHighsStatus` constant indicating whether the call succeeded.
  */
 HighsInt Highs_getIis(void* highs, HighsInt* iis_num_col, HighsInt* iis_num_row,
                       HighsInt* col_index, HighsInt* row_index,
                       HighsInt* col_bound, HighsInt* row_bound,
                       HighsInt* col_status, HighsInt* row_status);
+/**
+ * Identify suggested values of the options user_cost_scale and
+ * user_bound_scale to address extremely large or small objective
+ * coefficients and bound values
+ *
+ * @param highs                                A pointer to the Highs instance.
+ * @param HighsInt* suggested_objective_scale  The suggested value of user_cost_scale
+ * @param HighsInt* suggested_bound_scale      The suggested value of user_bound_scale
+ *
+ * @returns A `kHighsStatus` constant indicating whether the call succeeded.
+ */
+HighsInt Highs_getObjectiveBoundScaling(void* highs,
+					HighsInt* suggested_objective_scale,
+					HighsInt* suggested_bound_scale);
+
 /**
  * Releases all resources held by the global scheduler instance.
  *

highs/lp_data/HighsInterface.cpp

@@ -3030,7 +3030,12 @@ HighsStatus Highs::userScaleSolution(HighsUserScaleData& data,
     }
   }
   if (!update_kkt) return return_status;
-  info_.objective_function_value *= (bound_scale_value * objective_scale_value);
+  // In scaling the objective function value, have to consider the offset
+  double objective_function_value =
+    info_.objective_function_value - model_.lp_.offset_;
+  objective_function_value *= (bound_scale_value * objective_scale_value);
+  objective_function_value += model_.lp_.offset_;
+  info_.objective_function_value = objective_function_value;
   getKktFailures(options_, model_, solution_, basis_, info_);
   return reportKktFailures(model_.lp_, options_, info_,
                            "After removing user scaling")