Fix occasional incorrect solution bound on maximization problems (#83)

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During the PDLP LP relaxation phase, the solution bound was incorrectly
converted to a user objective value twice, yielding an incorrect sign on
maximizations problems. This only occurs before B&B updates the bound
further, which explains why this bug only occurs in specific scenarios
(short runs, large problems).

This also fixes optimality not being reported on simple maximizations
problems.

closes #76

Author: rgsl888prabhu

cpp/src/mip/diversity/diversity_manager.cu

@@ -351,7 +351,7 @@ solution_t<i_t, f_t> diversity_manager_t<i_t, f_t>::run_solver()
   ls.lp_optimal_exists = true;
   if (lp_result.get_termination_status() == pdlp_termination_status_t::Optimal) {
     // get lp user objective and pass it to set_new_user_bound
-    set_new_user_bound(problem_ptr->get_user_obj_from_solver_obj(lp_result.get_objective_value()));
+    set_new_user_bound(lp_result.get_objective_value());
   } else if (lp_result.get_termination_status() == pdlp_termination_status_t::PrimalInfeasible) {
     // PDLP's infeasibility detection isn't an exact method and might be subject to false positives.
     // Issue a warning, and continue solving.

cpp/tests/mip/termination_test.cu

@@ -45,9 +45,8 @@
 
 namespace cuopt::linear_programming::test {
 
-static std::pair<mip_termination_status_t, double> test_mps_file(std::string test_instance,
-                                                                 bool heuristics_only = true,
-                                                                 double time_limit    = 10)
+static std::tuple<mip_termination_status_t, double, double> test_mps_file(
+  std::string test_instance, bool heuristics_only = true, double time_limit = 10)
 {
   const raft::handle_t handle_{};
 
@@ -59,58 +58,69 @@ static std::pair<mip_termination_status_t, double> test_mps_file(std::string tes
   settings.time_limit                  = time_limit;
   settings.heuristics_only             = heuristics_only;
   mip_solution_t<int, double> solution = solve_mip(&handle_, problem, settings);
-  return std::make_pair(solution.get_termination_status(), solution.get_objective_value());
+  return std::make_tuple(solution.get_termination_status(),
+                         solution.get_objective_value(),
+                         solution.get_solution_bound());
 }
 
 TEST(termination_status, trivial_presolve_optimality_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/trivial-presolve-optimality.mps");
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/trivial-presolve-optimality.mps");
   EXPECT_EQ(termination_status, mip_termination_status_t::Optimal);
   EXPECT_EQ(obj_val, -1);
 }
 
 TEST(termination_status, presolve_optimality_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/sudoku.mps");
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/sudoku.mps");
   EXPECT_EQ(termination_status, mip_termination_status_t::Optimal);
   EXPECT_EQ(obj_val, 0);
 }
 
 TEST(termination_status, presolve_infeasible_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/presolve-infeasible.mps");
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/presolve-infeasible.mps");
   EXPECT_EQ(termination_status, mip_termination_status_t::Infeasible);
 }
 
 TEST(termination_status, feasible_found_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/gen-ip054.mps");
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/gen-ip054.mps");
   EXPECT_EQ(termination_status, mip_termination_status_t::FeasibleFound);
 }
 
 TEST(termination_status, timeout_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/stein9inf.mps");
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/stein9inf.mps");
   EXPECT_EQ(termination_status, mip_termination_status_t::TimeLimit);
 }
 
 TEST(termination_status, optimality_test)
 {
-  auto [termination_status, obj_val] = test_mps_file("mip/bb_optimality.mps", false);
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/bb_optimality.mps", false);
   EXPECT_EQ(termination_status, mip_termination_status_t::Optimal);
   EXPECT_EQ(obj_val, 2);
 }
 
+// Ensure the lower bound on maximization problems when BB times out has the right sign
+TEST(termination_status, lower_bound_bb_timeout)
+{
+  auto [termination_status, obj_val, lb] = test_mps_file("mip/cod105_max.mps", false, 0.5);
+  EXPECT_EQ(termination_status, mip_termination_status_t::FeasibleFound);
+  EXPECT_EQ(obj_val, 12);
+  EXPECT_GE(lb, obj_val);
+}
+
 TEST(termination_status, bb_infeasible_test)
 {
   // First, check that presolve doesn't reduce the problem to infeasibility
   {
-    auto [termination_status, obj_val] = test_mps_file("mip/stein9inf.mps", true, 1);
+    auto [termination_status, obj_val, lb] = test_mps_file("mip/stein9inf.mps", true, 1);
     EXPECT_EQ(termination_status, mip_termination_status_t::TimeLimit);
   }
   // Ensure that B&B proves the MIP infeasible
   {
-    auto [termination_status, obj_val] = test_mps_file("mip/stein9inf.mps", false, 30);
+    auto [termination_status, obj_val, lb] = test_mps_file("mip/stein9inf.mps", false, 30);
     EXPECT_EQ(termination_status, mip_termination_status_t::Infeasible);
   }
 }

cpp/tests/mip/unit_test.cu

@@ -215,12 +215,11 @@ INSTANTIATE_TEST_SUITE_P(
   MILPTests,
   MILPTestParams,
   testing::Values(
-    std::make_tuple(
-      true, true, true, cuopt::linear_programming::mip_termination_status_t::FeasibleFound),
+    std::make_tuple(true, true, true, cuopt::linear_programming::mip_termination_status_t::Optimal),
     std::make_tuple(
       false, true, false, cuopt::linear_programming::mip_termination_status_t::Optimal),
     std::make_tuple(
-      true, false, true, cuopt::linear_programming::mip_termination_status_t::FeasibleFound),
+      true, false, true, cuopt::linear_programming::mip_termination_status_t::Optimal),
     std::make_tuple(
       false, false, false, cuopt::linear_programming::mip_termination_status_t::Optimal)));