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Unverified Commit 1ae20f0d authored by Michiel Cottaar's avatar Michiel Cottaar
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Refactor out optimisation call with single cost function

parent b5eb24d0
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1 merge request!6Robust optimisation
This commit is part of merge request !6. Comments created here will be created in the context of that merge request.
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src/build_sequences.jl
+ 40
− 29
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......@@ -24,6 +24,10 @@ function iterate_cost()
end
end
function total_cost_func()
return sum([f for (_, f) in GLOBAL_MODEL[][2]]; init=0.)
end
"""
Wrapper to build a sequence.
......@@ -71,37 +75,13 @@ function build_sequence(f::Function, scanner::Union{Nothing, Scanner}, model::Tu
if optimise
jump_model = GLOBAL_MODEL[][1]
if !iszero(num_variables(jump_model))
prev_cost_func = nothing
for cost_func in iterate_cost()
@objective jump_model Min cost_func
min_objective = Inf
for attempt in 1:n_attempts
if attempt != 1
old_values = value.(all_variables(jump_model))
size_kick = 0.5 / attempt
new_values = old_values .* (2 .* size_kick .* rand(length(old_values)) .+ 1. .- size_kick)
for (var, v) in zip(all_variables(jump_model), new_values)
set_start_value(var, v)
end
end
optimize!(jump_model)
while termination_status(jump_model) == INVALID_MODEL
@variable(jump_model)
optimize!(jump_model)
end
if termination_status(jump_model) in (LOCALLY_SOLVED, OPTIMAL)
if objective_value(jump_model) < min_objective
min_objective = objective_value(jump_model)
elseif isapprox(min_objective, objective_value(jump_model), rtol=1e-6)
break
end
end
end
if !(termination_status(jump_model) in (LOCALLY_SOLVED, OPTIMAL))
println(solution_summary(jump_model))
error("Optimisation failed to converge.")
if !isnothing(prev_cost_func)
@constraint jump_model prev_cost_func == objective_value(jump_model)
end
@constraint jump_model cost_func == objective_value(jump_model)
jump_model.is_model_dirty = false
optimise_with_cost_func(jump_model, cost_func, n_attempts)
prev_cost_func = cost_func
end
end
return fixed(sequence)
......@@ -114,6 +94,37 @@ function build_sequence(f::Function, scanner::Union{Nothing, Scanner}, model::Tu
end
end
function optimise_with_cost_func(jump_model::Model, cost_func, n_attempts)
@objective jump_model Min cost_func
min_objective = Inf
for attempt in 1:n_attempts
if attempt != 1
old_values = value.(all_variables(jump_model))
size_kick = 0.5 / attempt
new_values = old_values .* (2 .* size_kick .* rand(length(old_values)) .+ 1. .- size_kick)
for (var, v) in zip(all_variables(jump_model), new_values)
set_start_value(var, v)
end
end
optimize!(jump_model)
while termination_status(jump_model) == INVALID_MODEL
@variable(jump_model)
optimize!(jump_model)
end
if termination_status(jump_model) in (LOCALLY_SOLVED, OPTIMAL)
if objective_value(jump_model) < min_objective
min_objective = objective_value(jump_model)
elseif isapprox(min_objective, objective_value(jump_model), rtol=1e-6)
break
end
end
end
if !(termination_status(jump_model) in (LOCALLY_SOLVED, OPTIMAL))
println(solution_summary(jump_model))
error("Optimisation failed to converge.")
end
end
function build_sequence(f::Function, scanner::Union{Nothing, Scanner}, optimiser_constructor; optimise=true, n_attempts=100, kwargs...)
if optimise || GLOBAL_MODEL[] == IGNORE_MODEL
model = (
......
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