线性规划求解器

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2025-05-16 13:51:41 +08:00
commit 6d3594c9ba
6 changed files with 692 additions and 0 deletions

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.gitignore vendored Normal file
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build

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CMakeLists.txt Normal file
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cmake_minimum_required(VERSION 3.16.0)
project(Solver)
set(CMAKE_CXX_STANDARD 17)
set(CMAKE_CXX_STANDARD_REQUIRED ON)
# include(./FindGUROBI.cmake)
# include_directories(${GUROBI_INCLUDE_DIRS})
# include_directories(${CMAKE_CURRENT_SOURCE_DIR}/inc)
set(SOURCE_DIR "${PROJECT_SOURCE_DIR}/src")
set(INCLUDE_DIR "${PROJECT_SOURCE_DIR}/inc")
file(GLOB SOURCES "${SOURCE_DIR}/*.cpp$")
file(GLOB HEADERS "${SOURCE_INCLUDE}/*.hpp$")
#include_directories(
# ${GUROBI_INCLUDE_DIRS}
#)
message(${SOURCE_DIR})
aux_source_directory(${SOURCE_DIR} src)
aux_source_directory(${INCLUDE_DIR} inc)
add_executable(Solver
src/main.cpp src/solver.cpp inc/solver.hpp
)
#target_link_libraries(Solver
# ${GUROBI_LIBRARIES}
#)
target_include_directories(Solver PRIVATE ${SOURCE_DIR} ${INCLUDE_DIR})

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FindGUROBI.cmake Normal file
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# ------------------------------------------------------------------------------
# This file sets up Gurobi for CMake. Once done this will define
#
# GUROBI_FOUND - system has GUROBI
# GUROBI_INCLUDE_DIRS - the GUROBI include directories
# GUROBI_LIBRARIES - Link these to use GUROBI
#
# In your CMakeLists file, you need to add, e.g. (modify it if necessary):
# if (GUROBI_FOUND)
# message(STATUS "Gurobi include dir: " ${GUROBI_INCLUDE_DIRS})
# message(STATUS "Gurobi libraries: " ${GUROBI_LIBRARIES})
# target_compile_definitions(${PROJECT_NAME} PUBLIC HAS_GUROBI)
# target_include_directories(${PROJECT_NAME} PRIVATE ${GUROBI_INCLUDE_DIRS})
# target_link_libraries(${PROJECT_NAME} PRIVATE ${GUROBI_LIBRARIES})
# endif()
# ------------------------------------------------------------------------------
# Is it already configured?
if (NOT GUROBI_FOUND)
# Hardcoded search paths
set(SEARCH_PATHS_FOR_HEADERS
"$ENV{GUROBI_HOME}/include"
"/Library/gurobi1001/mac64/include"
"C:\\gurobi1001\\win64\\include"
)
set(SEARCH_PATHS_FOR_LIBRARIES
"$ENV{GUROBI_HOME}/lib"
"/Library/gurobi1001/mac64/lib"
"C:\\gurobi1001\\win64\\lib"
)
find_path(GUROBI_INCLUDE_DIR gurobi_c++.h
PATHS ${SEARCH_PATHS_FOR_HEADERS}
)
find_library( GUROBI_C_LIBRARY
NAMES gurobi100 gurobi105 libgurobi
PATHS ${SEARCH_PATHS_FOR_LIBRARIES}
)
find_library( GUROBI_CXX_LIBRARY_DEBUG
NAMES gurobi_c++ gurobi_c++mdd2017
PATHS ${SEARCH_PATHS_FOR_LIBRARIES}
)
find_library( GUROBI_CXX_LIBRARY_RELEASE
NAMES gurobi_c++ gurobi_c++md2017
PATHS ${SEARCH_PATHS_FOR_LIBRARIES}
)
# setup header file directories
set(GUROBI_INCLUDE_DIRS ${GUROBI_INCLUDE_DIR})
# setup libraries files
set(GUROBI_LIBRARIES
debug ${GUROBI_CXX_LIBRARY_DEBUG}
optimized ${GUROBI_CXX_LIBRARY_RELEASE}
${GUROBI_C_LIBRARY}
)
endif()
# Check that Gurobi was successfully found
include(FindPackageHandleStandardArgs)
find_package_handle_standard_args(GUROBI DEFAULT_MSG GUROBI_INCLUDE_DIRS)
find_package_handle_standard_args(GUROBI DEFAULT_MSG GUROBI_LIBRARIES)
# Hide variables from CMake-Gui options
mark_as_advanced(GUROBI_LIBRARIES GUROBI_INCLUDE_DIRS GUROBI_INCLUDE_DIR)

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inc/solver.hpp Normal file
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#pragma once
#include <vector>
using std::vector;
class Expr;
class Var;
Expr operator+(const Expr& x, const Expr& y);
Expr operator-(const Expr& x, const Expr& y);
Expr operator+(const Expr& x);
Expr operator+(Var x, Var y);
Expr operator+(Var x, double a);
Expr operator+(double a, Var x);
Expr operator-(const Expr& x);
Expr operator-(Var x);
Expr operator-(Var x, Var y);
Expr operator-(Var x, double a);
Expr operator-(double a, Var x);
Expr operator*(double a, Var x);
Expr operator*(Var x, double a);
Expr operator*(const Expr& x, double a);
Expr operator*(double a, const Expr& x);
Expr operator/(Var x, double a);
Expr operator/(const Expr& x, double a);
typedef vector<vector<double>> Matrix;
enum class Rtn {
LOADED,
OPTIMAL,
INFEASIBLE,
INF_OR_UNBD,
UNBOUNDED,
CUTOFF,
ITERATION_LIMIT,
NODE_LIMIT,
TIME_LIMIT,
SOLUTION_LIMIT,
INTERRUPTED,
NUMERIC,
SUBOPTIMAL,
INPROGRESS,
USER_OBJ_LIMIT,
WORK_LIMIT,
MEM_LIMIT,
PIVOT,
};
class Var {
public:
Var(double coef = 1) :col(0), coeffs(coef) {};
double coeffs;
int col;
};
class Expr
{
private:
double constant;
std::vector<double> coeffs;
std::vector<Var> vars;
public:
Expr(const Expr& expr) = default;
Expr(double constant = 0.0);
Expr(Var var, double coeff = 1.0);
friend class Model;
friend Expr operator+(const Expr& x, const Expr& y);
friend Expr operator+(const Expr& x);
friend Expr operator+(Var x, Var y);
friend Expr operator+(Var x, double a);
friend Expr operator+(double a, Var x);
friend Expr operator-(const Expr& x, const Expr& y);
friend Expr operator-(const Expr& x);
friend Expr operator-(Var x);
friend Expr operator-(Var x, Var y);
friend Expr operator-(Var x, double a);
friend Expr operator-(double a, Var x);
friend Expr operator*(double a, Var x);
friend Expr operator*(Var x, double a);
friend Expr operator*(const Expr& x, double a);
friend Expr operator*(double a, const Expr& x);
friend Expr operator/(Var x, double a);
friend Expr operator/(const Expr& x, double a);
Expr operator=(const Expr& rhs);
void operator+=(const Expr& expr);
void operator-=(const Expr& expr);
void operator*=(double mult);
void operator/=(double a);
Expr operator+(const Expr& rhs);
Expr operator-(const Expr& rhs);
};
class Model
{
public:
Model();
Var* addVars(int col);
void addConstr(const Expr& expr, char sense, double rhs);
void setObjective(Expr obje, int sense = 0);
void print();
Rtn optimize(bool isMax = true);
double get();
private:
double _simplex();
Rtn _pivot(std::pair<size_t, size_t>& p);
void _gaussian(std::pair<size_t, size_t> p);
Var* vars;
Matrix matrix;
size_t cn, bn;
vector<int> basic;
Rtn rtn;
double res;
};

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src/main.cpp Normal file
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#include <iostream>
#include <cassert>
#include "solver.hpp"
using namespace std;
int main(int argc, char* argv[])
{
Model mdl;
Var* vars = mdl.addVars(3);
mdl.addConstr(vars[0] + vars[1] + vars[2], '<', 4);
mdl.addConstr(vars[0], '<', 2);
mdl.addConstr(vars[2], '<', 3);
mdl.addConstr(3 * vars[1] + vars[2], '<', 6);
mdl.setObjective(vars[0] + 14 * vars[1] + 6 * vars[2]);
switch(mdl.optimize(false)) {
case Rtn::OPTIMAL:
cout << "find solution: " << mdl.get() << endl;
break;
case Rtn::INFEASIBLE:
cout << "no solution" << endl;
break;
case Rtn::UNBOUNDED:
cout << "unbounded solution" << endl;
break;
default:
assert(false);
}
return 0;
}

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src/solver.cpp Normal file
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#include "solver.hpp"
#include <iostream>
#include <cassert>
#include <algorithm>
using std::make_pair;
using std::pair;
using std::cout;
using std::endl;
Expr operator+(const Expr& x, const Expr& y)
{
Expr exp;
exp.coeffs.resize(std::max(x.coeffs.size(), y.coeffs.size()), 0);
for (int c = 0; c < exp.coeffs.size(); c++) {
if (c < x.coeffs.size() && c < y.coeffs.size()) {
exp.coeffs[c] = x.coeffs[c] + y.coeffs[c];
}
else {
exp.coeffs[c]= c < x.coeffs.size()? x.coeffs[c] : y.coeffs[c];
}
}
exp.constant = x.constant + y.constant;
return exp;
}
Expr operator+(const Expr& x)
{
return x;
}
Expr operator+(Var x, Var y)
{
Expr exp;
exp.coeffs.resize(std::max(x.col + 1, y.col + 1), 0);
exp.coeffs[x.col] = x.coeffs;
exp.coeffs[y.col] = y.coeffs;
return exp;
}
Expr operator+(Var x, double a)
{
Expr exp;
exp.coeffs.resize(x.col + 1);
exp.constant = a;
return exp;
}
Expr operator+(double a, Var x)
{
return x + a;
}
Expr operator-(const Expr& x, const Expr& y)
{
Expr exp;
exp.coeffs.resize(std::max(x.coeffs.size(), y.coeffs.size()), 0);
for (int c = 0; c < exp.coeffs.size(); c++) {
if (c < x.coeffs.size() && c < y.coeffs.size()) {
exp.coeffs[c] = x.coeffs[c] - y.coeffs[c];
}
else {
exp.coeffs[c] = c < x.coeffs.size() ? x.coeffs[c] : y.coeffs[c];
}
}
exp.constant = x.constant + y.constant;
return exp;
}
Expr operator-(const Expr& x)
{
Expr expr(x);
for (int c = 0; c < expr.coeffs.size(); c++) {
expr.coeffs[c] = -expr.coeffs[c];
}
expr.constant = -expr.constant;
return expr;
}
Expr operator-(Var x)
{
return -Expr(x);
}
Expr operator-(Var x, Var y)
{
Expr exp;
exp.coeffs.resize(std::max(x.col + 1, y.col + 1), 0);
exp.coeffs[x.col] = x.coeffs;
exp.coeffs[y.col] = -y.coeffs;
return exp;
}
Expr operator-(Var x, double a)
{
return x - Var(a);
}
Expr operator-(double a, Var x)
{
return x - a;
}
Expr operator*(double a, Var x)
{
Expr exp;
exp.coeffs.resize(x.col + 1, 0);
exp.coeffs[x.col] = a * x.coeffs;
return exp;
}
Expr operator*(Var x, double a)
{
return a * x;
}
Expr operator*(const Expr& x, double a)
{
Expr exp = x;
for (int c = 0; c < exp.coeffs.size(); c++) {
exp.coeffs[c] *= a;
}
exp.constant *= a;
return exp;
}
Expr operator*(double a, const Expr& x)
{
return x * a;
}
Expr operator/(Var x, double a)
{
return Expr(x) / a;
}
Expr operator/(const Expr& x, double a)
{
Expr exp = x;
for (int c = 0; c < exp.coeffs.size(); c++) {
exp.coeffs[c] /= a;
}
exp.constant /= a;
return exp;
}
Model::Model():
cn(0),
bn(0),
vars(nullptr)
{
}
Var* Model::addVars(int num)
{
Var* old = vars;
vars = new Var[cn + num];
for (int c = cn; c < cn + num; c++) {
vars[c].col = c;
}
memcpy(vars, old, sizeof(Var) * cn);
delete[] old;
cn += num;
return vars;
}
void Model::addConstr(const Expr& expr, char sense, double rhs)
{
matrix.push_back(vector<double>(1, rhs)); // TODO<44><4F>û<EFBFBD>ȴ<EFBFBD>С<EFBFBD><D0A1>û<EFBFBD><C3BB><EFBFBD>dz<EFBFBD><C7B3><EFBFBD>
matrix.back().insert(matrix.back().end(), expr.coeffs.begin(), expr.coeffs.end());
for (int c = matrix.back().size(); c <= cn; c++) {
matrix.back().push_back(0);
}
}
void Model::setObjective(Expr obje, int sense)
{
matrix.insert(matrix.begin(), obje.coeffs);
matrix.front().insert(matrix.front().begin(), obje.constant); // TODO<44><4F>д<EFBFBD>IJ<EFBFBD><C4B2><EFBFBD><EFBFBD><EFBFBD>
for (int c = matrix.front().size(); c <= cn; c++) {
matrix.front().push_back(0);
}
}
void Model::print()
{
for (size_t i = 0; i < matrix.size(); i++) {
for (size_t j = 0; j < matrix[0].size(); j++) {
cout << matrix[i][j] << "\t";
}
cout << endl;
}
}
Rtn Model::optimize(bool isMax)
{
bn = matrix.size();
for (int row = 1; row < bn; row++) {
matrix.front().push_back(0);
for (int col = 1; col < bn; col++) {
matrix[row].push_back(col == row ? 1 : 0);
}
}
cn = matrix.front().size();
if (!isMax) {
for (int i = 0; i < cn; i++) {
matrix.front()[i] = -matrix.front()[i];
}
}
for (size_t i = 1; i < bn; i++) {
basic.push_back(cn - bn + i);
}
// === <20>жϳ<D0B6>ʼ<EFBFBD><CABC><EFBFBD>Ƿ<EFBFBD>Ϊ<EFBFBD><CEAA><EFBFBD>н<EFBFBD> ===
bool initial_feasible = true;
for (int row = 1; row < bn; row++) {
if (matrix[row].front() < 0) {
initial_feasible = false;
break;
}
}
// === <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʼ<EFBFBD><CABC><EFBFBD>н<EFBFBD> ===
if (!initial_feasible) {
vector<double> coeff = matrix.front();
matrix.front() = vector<double>(cn, .0);
matrix.front().push_back(1);
pair<size_t, size_t> t = { -1 ,cn };
for (int row = 1; row < bn; row++) {
matrix[row].push_back(-1);
if (t.first == -1 || matrix[row].front() < matrix[t.first].front()) {
t.first = row;
}
}
_gaussian(t);
if (fabs(_simplex()) > 1e-10) {
rtn = Rtn::INFEASIBLE;
return rtn;
}
// if the x0 in B, we should pivot it.
auto iter = find(basic.begin(), basic.end(), cn);
if (iter != basic.end()) {
for (int col = 1; col < matrix.front().size(); col++) {
if (matrix.front()[col] != 1) {
t = make_pair(iter - basic.begin(), col);
_pivot(t);
break;
}
}
}
for (int row = 0; row < bn; row++) {
matrix[row].pop_back();
}
// recover the coefficient line
for (int col = 0; col < cn; col++) {
matrix.front()[col] = coeff[col];
}
for (int row = 1; row <= basic.size(); row++) {
int norm = matrix.front()[basic[row - 1]];
for (int col = 0; col < cn; col++) {
matrix.front()[col] -= norm * matrix[row][col];
}
}
}
res = isMax ? _simplex() : _simplex();
return rtn;
}
double Model::get()
{
return res;
}
double Model::_simplex()
{
pair<size_t, size_t> t;
while (1) {
rtn = _pivot(t);
if (rtn == Rtn::OPTIMAL || rtn == Rtn::UNBOUNDED) {
break;
}
_gaussian(t);
}
return matrix.front().front();
}
Rtn Model::_pivot(pair<size_t, size_t>& p)
{
p = make_pair(0, 0);
double cmin = INT_MAX;
vector<double> coef = matrix.front();
// === <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ԫ<EFBFBD><D4AA><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Сֵ ===
for (size_t i = 1; i < coef.size(); i++) {
if (cmin > coef[i] && find(basic.begin(), basic.end(), i) == basic.end()) {
cmin = coef[i];
p.second = i;
}
}
if (cmin >= 0) {
return Rtn::OPTIMAL;
}
double bmin = INT_MAX;
for (size_t row = 1; row < bn; row++) {
double tmp = matrix[row].front() / matrix[row][p.second];
if (matrix[row][p.second] > 0 && bmin > tmp) {
bmin = tmp;
p.first = row;
}
}
if (abs(bmin - INT_MAX) < 1e-10) {
return Rtn::UNBOUNDED;
}
for (auto iter = basic.begin(); iter != basic.end(); iter++) {
if (matrix[p.first][*iter] != 0) {
*iter = p.second;
break;
}
}
assert(basic[p.first - 1] == p.second);
return Rtn::PIVOT;
}
void Model::_gaussian(pair<size_t, size_t> p)
{
size_t x = p.first, y = p.second;
// === <20><><EFBFBD>й<EFBFBD>һ<EFBFBD><D2BB> ===
double norm = matrix[x][y];
for (size_t col = 0; col < matrix[x].size(); col++) {
matrix[x][col] /= norm;
}
// === <20><><EFBFBD><EFBFBD><EFBFBD>б任 ===
for (size_t row = 0; row < bn; row++) {
if (row == x) {
continue;
}
if (matrix[row][y] != 0) {
double norm = matrix[row][y];
for (size_t col = 0; col < matrix[x].size(); col++) {
matrix[row][col] = matrix[row][col] - norm * matrix[x][col];
}
}
}
basic[x - 1] = y; // <20><>Ԫ
}
Expr::Expr(double constant)
:constant(constant)
{
}
Expr::Expr(Var var, double coeff)
{
this->coeffs.resize(var.col + 1);
this->coeffs[var.col] = coeff;
this->constant = 0;
}
Expr Expr::operator=(const Expr& rhs)
{
return *this;
}
void Expr::operator+=(const Expr& expr)
{
coeffs.resize(std::max(coeffs.size(), expr.coeffs.size()));
for (int c = 0; c < expr.coeffs.size(); c++) {
coeffs[c] += expr.coeffs[c];
}
}
void Expr::operator-=(const Expr& expr)
{
coeffs.resize(std::max(coeffs.size(), expr.coeffs.size()));
for (int c = 0; c < expr.coeffs.size(); c++) {
coeffs[c] -= expr.coeffs[c];
}
}
void Expr::operator*=(double mult)
{
for (int c = 0; c < coeffs.size(); c++) {
coeffs[c] *= mult;
}
}
void Expr::operator/=(double a)
{
for (int c = 0; c < coeffs.size(); c++) {
coeffs[c] /= a;
}
}
Expr Expr::operator+(const Expr& rhs)
{
coeffs.resize(std::max(coeffs.size(), rhs.coeffs.size()));
for (int c = 0; c < rhs.coeffs.size(); c++) {
coeffs[c] += rhs.coeffs[c];
}
return *this;
}
Expr Expr::operator-(const Expr& rhs)
{
coeffs.resize(std::max(coeffs.size(), rhs.coeffs.size()));
for (int c = 0; c < rhs.coeffs.size(); c++) {
coeffs[c] -= rhs.coeffs[c];
}
return *this;
}