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dicegrid.gms : MIP Decomposition and Parallel Grid Submission - DICE Example

Retrieve the model '%mipmodel%' from the GAMS Model library and include the model source

Set some model spefic parameters for the generic decompostion and
solution procedure.  This requires knowledge about naming in the
dice model:

Configuration parameters for Decomposition

Some macro definition to keep the remain source readable

File and container names
 GAMS Sub-Programs
   writeincb.gms  GAMS program called by GAMS/Cplex whenever a new incumbent
                  is found by the Cplex workers
   checkincb.gms  GAMS program frequently called by the master to see if a
                  better overall incumbent has been found by the Cplex workers.
                  In case of a new incumbent, this program communicates the
                  incumbent value as a cutoff to all Cplex workers.

 GAMS/Cplex Option files
   cplex.opt      Includes 'dumptree' option to produce decomposition
   cplex.op2      worker option file in case of sequential submit
   cplex.op3      incumbent as cutoff option (written by checkincb.gms, read by workers)
   cplex.XXX      XXX=100+userjobid (UJI) option file for worker with userjobid

 Text files
   t%UJI%.trg     trigger names that instruct the GAMS/Cplex work to read cplex.op3
   incb%UJD%.txt  current worker incumbent values
   allincb.txt    temp file to collect work incumbent values used by checkincb.gms

 GDX files
   bnd%UJI%.gdx   decomposition bound files created by 'dumptree' option
   incb.gdx       container name for incumbent value and solution values
   bchout_i%UJI%.gdx  worker incumbent solution processed by writeincb.gms

  Remove files so we start clean
References:
Large Model of Type: MIP
$title MIP Decomposition and Parallel Grid Submission - DICE Example (DICEGRID,SEQ=330) $Ontext $Offtext $eolcom ! $if not set mipmodel $set mipmodel dice * Retrieve the model '%mipmodel%' from the GAMS Model library and include the model source $call gamslib -q %mipmodel% $set nosolve yes ! Instruct the dice model source to skip the solve statement $include %mipmodel% * Set some model spefic parameters for the generic decompostion and * solution procedure. This requires knowledge about naming in the * dice model: $if not set objvar $set objvar wnx $if not set model $set model xdice $if not set minmax $set minmax max $if not set gdxvar $set gdxvar comp $if not set solvar $set solvar fval.l,%objvar%.l,%gdxvar%.l * Configuration parameters for Decomposition $if not set nsub $set nsub 4 ! 2 to 3 times the number of machines available $if not set submit $set submit parsubmit * Some macro definition to keep the remain source readable $set solve solve %model% using mip %minmax% %objvar% $set test '>' $set cutoff 'cutlo' $set incumbent -INF $ifi %minmax% == min $set test '<' $set cutoff 'cutup' $set incumbent +INF $ontext File and container names GAMS Sub-Programs writeincb.gms GAMS program called by GAMS/Cplex whenever a new incumbent is found by the Cplex workers checkincb.gms GAMS program frequently called by the master to see if a better overall incumbent has been found by the Cplex workers. In case of a new incumbent, this program communicates the incumbent value as a cutoff to all Cplex workers. GAMS/Cplex Option files cplex.opt Includes 'dumptree' option to produce decomposition cplex.op2 worker option file in case of sequential submit cplex.op3 incumbent as cutoff option (written by checkincb.gms, read by workers) cplex.XXX XXX=100+userjobid (UJI) option file for worker with userjobid Text files t%UJI%.trg trigger names that instruct the GAMS/Cplex work to read cplex.op3 incb%UJD%.txt current worker incumbent values allincb.txt temp file to collect work incumbent values used by checkincb.gms GDX files bnd%UJI%.gdx decomposition bound files created by 'dumptree' option incb.gdx container name for incumbent value and solution values bchout_i%UJI%.gdx worker incumbent solution processed by writeincb.gms $offtext * Remove files so we start clean $call rm -f bnd*.gdx bch*.gdx t*.trg incb.gdx incb*.txt allincb.txt GMSbch*.* $onecho > cplex.opt dumptree %nsub% ! stop after having nsub open nodes and export these mipinterval 1 ! just for display * All remaining options focus on improving the bound to generate * subproblems of equal but reduced level of difficulty nodesel 1 ! best bound selection preslvnd 2 ! node presolve repeatpresolve 3 ! second presolve after cut generation mipemphasis 3 ! focus on improving the best bound varsel 3 ! strong branching $offecho Parameter rep report of times and solution incumbent best solution so far / %incumbent% / Set s_grid 'subproblems from GAMS/Cplex dumpopt' / 1*%nsub% / File fx file handle for various file activities; * Create decomposition with up to nsub GDX containers with bounds on discrete variables Option optcr=0, optca=0, reslim=1e9, iterlim=1e9, solprint=off, mip=cplex, limrow=0, limcol=0; %model%.optfile = 1; %solve%; execute_unload 'incb.gdx', incumbent; ! Create GDX container for incumbent * Save possible integer feasible solution of this run, it could be the optimum if (%model%.modelstat=1 or %model%.modelstat=8, incumbent = %objvar%.l; execute_unload 'incb.gdx', incumbent, %solvar% ); $goto %submit% $label seqsubmit $stitle Sequential Submit and Solve of the subproblems $echo mipemphasis 3 > cplex.op2 loop(s_grid, * Load the bounds corresponding to the subproblem and solve the subproblem put_utility fx 'gdxin' / 'bnd' s_grid.tl; execute_load %gdxvar%; if (not execerror, %model%.cutoff = incumbent; %model%.optfile = 2; %solve%; rep(s_grid,'elapsed') = timeelapsed; rep(s_grid,'time') = %model%.resusd; rep(s_grid,'mstat' ) = %model%.modelstat; rep(s_grid,'sstat') = %model%.solvestat; if (%model%.modelstat=1 or %model%.modelstat=8, rep(s_grid,'obj') = %model%.objval; if(%objvar%.l %test% incumbent, incumbent = %model%.objval; execute_unload 'incb.gdx', incumbent, %solvar% ) else rep(s_grid,'obj') = na ) else rep(s_grid,'mstat') = 99; rep(s_grid,'sstat') = 99; execerror = 0 ) ); put_utility fx 'ren' / ''; if (not mapval(incumbent), ! not INF or -INF execute_load 'incb.gdx', %solvar%; display %solvar%; put fx '*** Optimal solution found: ' incumbent /; else put fx '*** Problem infeasible' / ); display rep; $exit $label parsubmit $stitle Parallel submit and solve in parallel $eval nsubp1 %nsub%+1 $ontext Create a Cplex option file for each job. This option file instructs the GAMS/Cplex worker to call out to the GAMS program writeincb.gms (userincbicall) to save the incumbents found by the workers. It also tells the GAMS/Cplex jobs to look for a trigger file (iatriggerfile). If the file exists, GAMS/Cplex will remove the trigger file and read an option file (iafile). The time GAMS/Cplex looks for a trigger file (iatriggertime) is set to 1 second, which is quiet small and should be significantly increased for more difficult problems. Because of name conflicts every communication file is postfixed with the userjobid and postfixed with the GAMS working directory. This is necessary if this run on a real grid system with shared file system. The nsub problems created by the 'dumptree' decomposition are solved with an emphasis on moving the best bound. The nsub+1 job will run on the original problem and focus on finding good feasible solutions. $offtext scalar cnt; for (cnt=1 to %nsubp1%, put_utility fx 'ren' / 'cplex.' (100+cnt):0:0; * put 'userincbicall ""%gams.workdir%writeincb.gms"" lo=0' put 'userincbicall writeincb.gms lo=0' / 'userjobid ' cnt:0:0 / 'usergdxprefix %gams.workdir%' / 'interactive 1' / 'iafile "%gams.workdir%cplex.op3"' / 'iatriggertime 1' / 'iatriggerfile "%gams.workdir%t' cnt:0:0 '.trg"' / 'mipemphasis 3'; put$(cnt=%nsubp1%) / 'mipemphasis 1'); putclose fx; * Save the overall incumbent in file incb0.txt. This file gets updated * by checkincb.gms if we find an imporved incumbent put_utility fx 'ren' / 'incb0.txt'; putclose fx '0 ' incumbent:18:8; %model%.solvelink=3; ! use the GAMS grid submission Parameter h(s_grid) job handle jobssubmitted actual number of submitted jobs; * s_grid is a superset for the decomposition bound sets, execerror will signal the end loop(s_grid$(not execerror), * Load the bounds on the discrete variables put_utility fx 'gdxin' / 'bnd' s_grid.tl:0; execute_load %gdxvar%; if (not execerror, %model%.optfile = 100+ord(s_grid); %solve%; h(s_grid) = %model%.handle) ); execerror=0; jobssubmitted = card(h); * Submit job with emphasis on finding good feasible solutions. We do * not wait for this job to be complete, we just use its incumbent to * have good cutoff values early. After GAMS is completed we should * kill the job. Unfortunately, killing a job is extremely system * dependent (especially if this runs on a real grid. %model%.optfile = 100+%nsubp1%; %solve%; * Collect rep(s_grid,'mstat')$h(s_grid) = na; rep(s_grid,'sstat')$h(s_grid) = na; scalar bestcompleted the best solution of all completed jobs; bestcompleted = incumbent; repeat loop(s_grid$handlecollect(h(s_grid)), ! collect if job is completed rep(s_grid,'time') = %model%.resusd; rep(s_grid,'mstat') = %model%.modelstat; rep(s_grid,'sstat') = %model%.solvestat; rep(s_grid,'obj') = %model%.objval; if((%model%.modelstat=1 or %model%.modelstat=8) and %objvar%.l %test% bestcompleted, bestcompleted = %model%.objval; execute_unload 'incb.gdx', bestcompleted, %solvar% ); display$handledelete(h(s_grid)) 'trouble deleting handles'; h(s_grid) = 0 ); * see if any of the completed and outstanding jobs has an improved incumbent execute$card(h) 'gams checkincb lo=2 --jobs=%nsubp1%'; display$sleep(card(h)*0.2) 'was sleeping for some time'; until card(h) = 0 or timeelapsed > 150; scalar optimal optimality indicator; optimal = sum(s_grid$(rep(s_grid,'sstat')=1),1)=jobssubmitted; * Load incumbent of job with emphasis on feasibility which might be the optimal solution execute_load 'bchout_i%nsubp1%.gdx', %solvar%; if (not execerror and %objvar%.l %test% bestcompleted, bestcompleted = %model%.objval; execute_unload 'incb.gdx', bestcompleted, %solvar% ); execerror=0; put_utility fx 'ren' / ''; put$(card(h)>0) '*** We have ' card(h):0:0 ' outstanding jobs.' /; put$(not optimal) '*** Some jobs returned with solver status <> 1. Optimality not guaranteed' /; if (not mapval(bestcompleted), ! not INF or -INF execute_load 'incb.gdx', %solvar%; display optimal, %solvar%; put$optimal '*** Optimal solution found: ' bestcompleted /; put$(not optimal) '*** Best collected solution: ' bestcompleted /; else put$optimal '*** Problem infeasible' /; put$(not optimal) '*** No solution found' /; ); display rep; $escape = $onecho > writeincb.gms $Title code for worker %userjobid% to update/publish its incumbent $ontext This uses the existing BCH facility. GAMS/Cplex exports the complete incumbent in a GDX container called bchout_i%=userjobid%=.gdx. We only need the objective variable. We create a text file with the userjobid and the incumbent value. This will be merged with the incumbents from other workers by the checkincb.gms call. The BCH facility adds the --ncalls parameter with a sequence number to the call. We do not use this in this program, but need to list it in the setDDlist. $offtext * Checks for unreferenced double dashes parameters $setDDlist userjobid ncalls $set gdxincb %gams.workdir%bchout_i%=userjobid%=.gdx $set txtincb %gams.workdir%incb%=userjobid%=.txt Variable %objvar%; $gdxin '%gdxincb%' $load %objvar% File fx / '%txtincb%' /; PutClose fx '%=userjobid%= ' %objvar%.l:18:8; $offecho $escape % $escape = $onecho > checkincb.gms $Title Collect incumbents of all worker jobs. $ontext In case of an improved incumbent update GAMS/Cplex option file cplex.op3 with a new cutoff value and create the trigger files for the workers to read the new cutoff value. This program is frequently executed by the master process. $offtext * Checks for unreferenced double dashes parameters $setDDlist jobs * Collect all incumbents from active worker jobs $call cat incb*.txt > allincb.txt 2> %system.nullfile% $if NOT exist allincb.txt $exit file fx filehandle for text files set s jobs submitted /0*%=jobs%=/ parameters incumbent previously found newincb new incumbent incb(s) incumbent values reported / $ onempty oneps $ include allincb.txt /; incumbent = incb('0'); newincb = s%minmax%(s$incb(s), incb(s)); if(newincb %test% incumbent, put_utility fx 'ren' / 'cplex.op3'; put '%cutoff% ' newincb:18:8; put_utility fx 'ren' / 'incb0.txt'; put '0 ' newincb:18:8; * tell everyone that we have a new incumbent by posting the trigger file loop(s, put_utility fx 'ren' / 't' s.tl:0 '.trg'; put 'trigger')); $offecho $escape %