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Benders2Stage.java
1package com.gams.examples.benders;
2
3import java.io.File;
4
5import com.gams.api.GAMSCheckpoint;
6import com.gams.api.GAMSException;
7import com.gams.api.GAMSGlobals;
8import com.gams.api.GAMSJob;
9import com.gams.api.GAMSModelInstance;
10import com.gams.api.GAMSModifier;
11import com.gams.api.GAMSOptions;
12import com.gams.api.GAMSParameter;
13import com.gams.api.GAMSParameterRecord;
14import com.gams.api.GAMSSetRecord;
15import com.gams.api.GAMSVariable;
16import com.gams.api.GAMSVariableRecord;
17import com.gams.api.GAMSWorkspace;
18import com.gams.api.GAMSWorkspaceInfo;
19
35public class Benders2Stage {
36
37 public static void main(String[] args) {
38 GAMSWorkspaceInfo wsInfo = new GAMSWorkspaceInfo();
39 if (args.length > 0)
40 wsInfo.setSystemDirectory( args[0] );
41
42 File workingDirectory = new File(System.getProperty("user.dir"), "Benders2Stage");
43 workingDirectory.mkdir();
44 wsInfo.setWorkingDirectory(workingDirectory.getAbsolutePath());
45
46 GAMSWorkspace ws = new GAMSWorkspace( wsInfo );
47
48 GAMSJob dataJob = ws.addJobFromString(data);
49
50 GAMSOptions optData = ws.addOptions();
51 optData.defines("useBig", "1");
52 optData.defines("nrScen", "100");
53
54 dataJob.run(optData);
55
56 optData.dispose();
57
58 GAMSParameter scenarioData = dataJob.OutDB().getParameter("ScenarioData");
59
60 GAMSOptions opt = ws.addOptions();
61 opt.defines("datain", dataJob.OutDB().getName());
62 int maxiter = 40;
63 opt.defines("maxiter", Integer.toString(maxiter));
64 opt.setAllModelTypes( "cplex" );
65
66 GAMSCheckpoint cpMaster = ws.addCheckpoint();
67 GAMSCheckpoint cpSub = ws.addCheckpoint();
68
69 ws.addJobFromString(masterModel).run(opt, cpMaster, dataJob.OutDB());
70
71 GAMSModelInstance masteri = cpMaster.addModelInstance();
72 GAMSParameter cutconst = masteri.SyncDB().addParameter("cutconst", 1, "Benders optimality cut constant");
73 GAMSParameter cutcoeff = masteri.SyncDB().addParameter("cutcoeff", 2, "Benders optimality coefficients");
74 GAMSVariable theta = masteri.SyncDB().addVariable("theta", 0, GAMSGlobals.VarType.FREE, "Future profit function variable");
75 GAMSParameter thetaFix = masteri.SyncDB().addParameter("thetaFix", 0, "");
76 masteri.instantiate("masterproblem max zmaster using lp", opt,
77 new GAMSModifier[] { new GAMSModifier(cutconst), new GAMSModifier(cutcoeff), new GAMSModifier(theta,GAMSGlobals.UpdateAction.FIXED,thetaFix) }
78 );
79
80 ws.addJobFromString(subModel).run(opt, cpSub, dataJob.OutDB());
81
82 GAMSModelInstance subi = cpSub.addModelInstance();
83 GAMSParameter received = subi.SyncDB().addParameter("received", 1, "units received from master");
84 GAMSParameter demand = subi.SyncDB().addParameter("demand", 1, "stochastic demand");
85 subi.instantiate("subproblem max zsub using lp", opt,
86 new GAMSModifier[] { new GAMSModifier(received), new GAMSModifier(demand) }
87 );
88
89 opt.dispose();
90
91 double lowerbound = Double.NEGATIVE_INFINITY, upperbound = Double.POSITIVE_INFINITY, objmaster = Double.POSITIVE_INFINITY;
92 int iter = 1;
93 do {
94 System.out.println("Iteration: " + iter);
95 // Solve master
96 if (1 == iter) // fix theta for first iteration
97 thetaFix.addRecord().setValue( 0 );
98 else
99 thetaFix.clear();
100
101 masteri.solve(GAMSModelInstance.SymbolUpdateType.BASECASE);
102
103 System.out.println(" Master " + masteri.getModelStatus() + " : obj=" + masteri.SyncDB().getVariable("zmaster").getFirstRecord().getLevel());
104 if (1 < iter)
105 upperbound = masteri.SyncDB().getVariable("zmaster").getFirstRecord().getLevel();
106 objmaster = masteri.SyncDB().getVariable("zmaster").getFirstRecord().getLevel() - theta.getFirstRecord().getLevel();
107
108 // Set received from master
109 received.clear();
110 for (GAMSVariableRecord r : masteri.SyncDB().getVariable("received")) {
111 received.addRecord( r.getKeys()).setValue( r.getLevel() );
112 cutcoeff.addRecord(new String[] { Integer.toString(iter), r.getKey(0) });
113 }
114
115 cutconst.addRecord(Integer.toString(iter));
116 double objsub = 0.0;
117 for(GAMSSetRecord s : dataJob.OutDB().getSet("s")) {
118 demand.clear();
119 for(GAMSSetRecord j : dataJob.OutDB().getSet("j")) {
120 demand.addRecord(j.getKeys()).setValue( scenarioData.findRecord(new String[] {s.getKey(0), j.getKey(0)}).getValue() );
121 }
122
123 subi.solve(GAMSModelInstance.SymbolUpdateType.BASECASE);
124 System.out.println(" Sub " + subi.getModelStatus() + " : obj=" + subi.SyncDB().getVariable("zsub").getFirstRecord().getLevel());
125
126 double probability = scenarioData.findRecord(new String[] {s.getKey(0), "prob"}).getValue();
127 objsub += probability * subi.SyncDB().getVariable("zsub").getFirstRecord().getLevel();
128 for (GAMSSetRecord j : dataJob.OutDB().getSet("j")) {
129 GAMSParameterRecord record = cutconst.findRecord(Integer.toString(iter));
130 double newValue = record.getValue() + probability * subi.SyncDB().getEquation("market").findRecord(j.getKeys()).getMarginal() * demand.findRecord(j.getKeys()).getValue();
131 record.setValue( newValue );
132 record = cutcoeff.findRecord(new String[] {Integer.toString(iter), j.getKey(0)});
133 newValue = record.getValue() + probability * subi.SyncDB().getEquation("selling").findRecord(j.getKeys()).getMarginal();
134 record.setValue( newValue );
135 }
136 }
137
138 lowerbound = Math.max(lowerbound, objmaster + objsub);
139
140 iter++;
141 if (iter == maxiter + 1)
142 throw new GAMSException("Benders out of iterations");
143
144 System.out.println(" lowerbound: " + lowerbound + " upperbound: " + upperbound + " objmaster: " + objmaster);
145 } while ((upperbound - lowerbound) >= 0.001 * (1 + Math.abs(upperbound)));
146
147 masteri.dispose();
148 subi.dispose();
149 }
150
151 static String data = "Sets \n"+
152 "i factories /f1*f3/ \n"+
153 "j distribution centers /d1*d5/ \n"+
154 " \n"+
155 "Parameter \n"+
156 "capacity(i) unit capacity at factories \n"+
157 " /f1 500, f2 450, f3 650/ \n"+
158 "demand(j) unit demand at distribution centers \n"+
159 " /d1 160, d2 120, d3 270, d4 325, d5 700 / \n"+
160 "prodcost unit production cost /14/ \n"+
161 "price sales price /24/ \n"+
162 "wastecost cost of removal of overstocked products /4/ \n"+
163 " \n"+
164 "Table transcost(i,j) unit transportation cost \n"+
165 " d1 d2 d3 d4 d5 \n"+
166 " f1 2.49 5.21 3.76 4.85 2.07 \n"+
167 " f2 1.46 2.54 1.83 1.86 4.76 \n"+
168 " f3 3.26 3.08 2.60 3.76 4.45; \n"+
169 " \n"+
170 "$ifthen not set useBig \n"+
171 "Set \n"+
172 " s scenarios /lo,mid,hi/ \n"+
173 " \n"+
174 "Table ScenarioData(s,*) possible outcomes for demand plus probabilities \n"+
175 " d1 d2 d3 d4 d5 prob \n"+
176 " lo 150 100 250 300 600 0.25 \n"+
177 " mid 160 120 270 325 700 0.50 \n"+
178 " hi 170 135 300 350 800 0.25; \n"+
179 "$else \n"+
180 "$if not set nrScen $set nrScen 10 \n"+
181 "Set s scenarios /s1*s%nrScen%/;\n"+
182 "parameter ScenarioData(s,*) possible outcomes for demand plus probabilities;\n"+
183 "option seed=1234; \n"+
184 "ScenarioData(s,'prob') = 1/card(s); \n"+
185 "ScenarioData(s,j) = demand(j)*uniform(0.6,1.4); \n"+
186 "$endif \n"+
187 " \n";
188
189 static String masterModel = "Sets \n"+
190 "i factories \n"+
191 "j distribution centers \n"+
192 " \n"+
193 "Parameter \n"+
194 " capacity(i) unit capacity at factories \n"+
195 " prodcost unit production cost \n"+
196 " transcost(i,j) unit transportation cost \n"+
197 " \n"+
198 "$if not set datain $abort 'datain not set' \n"+
199 "$gdxin %datain% \n"+
200 "$load i j capacity prodcost transcost \n"+
201 " \n"+
202 "* Benders master problem \n"+
203 "$if not set maxiter $set maxiter 25 \n"+
204 "Set \n"+
205 " iter max Benders iterations /1*%maxiter%/ \n"+
206 " \n"+
207 "Parameter \n"+
208 " cutconst(iter) constants in optimality cuts \n"+
209 " cutcoeff(iter,j) coefficients in optimality cuts \n"+
210 " \n"+
211 "Variables \n"+
212 " ship(i,j) shipments \n"+
213 " product(i) production \n"+
214 " received(j) quantity sent to market \n"+
215 " zmaster objective variable of master problem \n"+
216 " theta future profit \n"+
217 "Positive Variables ship; \n"+
218 " \n"+
219 "Equations \n"+
220 " masterobj master objective function \n"+
221 " production(i) calculate production in each factory \n"+
222 " receive(j) calculate quantity to be send to markets \n"+
223 " optcut(iter) Benders optimality cuts; \n"+
224 " \n"+
225 "masterobj.. \n"+
226 " zmaster =e= theta -sum((i,j), transcost(i,j)*ship(i,j)) \n"+
227 " - sum(i,prodcost*product(i)); \n"+
228 " \n"+
229 "receive(j).. received(j) =e= sum(i, ship(i,j)); \n"+
230 " \n"+
231 "production(i).. product(i) =e= sum(j, ship(i,j)); \n"+
232 "product.up(i) = capacity(i); \n"+
233 " \n"+
234 "optcut(iter).. theta =l= cutconst(iter) + \n"+
235 " sum(j, cutcoeff(iter,j)*received(j)); \n"+
236 " \n"+
237 "model masterproblem /all/; \n"+
238 " \n"+
239 "* Initialize cut to be non-binding \n"+
240 "cutconst(iter) = 1e15; \n"+
241 "cutcoeff(iter,j) = eps; \n"+
242 " \n";
243
244 static String subModel = "Sets \n"+
245 " i factories \n"+
246 " j distribution centers \n"+
247 " \n"+
248 "Parameter \n"+
249 " demand(j) unit demand at distribution centers \n"+
250 " price sales price \n"+
251 " wastecost cost of removal of overstocked products \n"+
252 " received(j) first stage decision units received \n"+
253 " \n"+
254 "$if not set datain $abort 'datain not set' \n"+
255 "$gdxin %datain% \n"+
256 "$load i j demand price wastecost \n"+
257 " \n"+
258 "* Benders' subproblem \n"+
259 " \n"+
260 "Variables \n"+
261 " sales(j) sales (actually sold) \n"+
262 " waste(j) overstocked products \n"+
263 " zsub objective variable of sub problem \n"+
264 "Positive variables sales, waste \n"+
265 " \n"+
266 "Equations \n"+
267 " subobj subproblem objective function \n"+
268 " selling(j) part of received is sold \n"+
269 " market(j) upperbound on sales \n"+
270 "; \n"+
271 " \n"+
272 "subobj.. \n"+
273 " zsub =e= sum(j, price*sales(j)) - sum(j, wastecost*waste(j)); \n"+
274 " \n"+
275 "selling(j).. sales(j) + waste(j) =e= received(j); \n"+
276 " \n"+
277 "market(j).. sales(j) =l= demand(j); \n"+
278 " \n"+
279 "model subproblem /subobj,selling,market/; \n"+
280 " \n"+
281 "* Initialize received \n"+
282 "received(j) = demand(j); \n"+
283 " \n";
284}
com::gams::api::GAMSCheckpoint::addModelInstance
GAMSModelInstance addModelInstance()
com::gams::api::GAMSDatabase::addVariable
GAMSVariable addVariable(String identifier, int dimension, GAMSGlobals.VarType varType)
com::gams::api::GAMSDatabase::getParameter
GAMSParameter getParameter(String identifier)
com::gams::api::GAMSDatabase::getEquation
GAMSEquation getEquation(String identifier)
com::gams::api::GAMSDatabase::addParameter
GAMSParameter addParameter(String identifier, int dimension)
com::gams::api::GAMSDatabase::getVariable
GAMSVariable getVariable(String identifier)
com::gams::api::GAMSDatabase::getSet
GAMSSet getSet(String identifier)
com::gams::api::GAMSJob::OutDB
GAMSDatabase OutDB()
com::gams::api::GAMSModelInstance::getModelStatus
GAMSGlobals.ModelStat getModelStatus()
com::gams::api::GAMSModelInstance::instantiate
void instantiate(String modelDefinition, GAMSModifier ... modifiers)
com::gams::api::GAMSOptions::defines
void defines(String defStr, String asStr)
com::gams::api::GAMSWorkspaceInfo::setSystemDirectory
void setSystemDirectory(String directory)
com::gams::api::GAMSWorkspaceInfo::setWorkingDirectory
void setWorkingDirectory(String directory)
com::gams::api::GAMSWorkspace::addJobFromString
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com::gams::api::GAMSWorkspace::addCheckpoint
GAMSCheckpoint addCheckpoint()
com::gams.examples.benders.Benders2Stage
This example demonstrates a sequential implementation of a simple Benders decomposition method for a ...
Definition Benders2Stage.java:35
com::gams
Provides package namespace for Java interface and examples to General Algebraic Model System (GAMS).