File size: 102,678 Bytes
7885a28 |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995 996 997 998 999 1000 1001 1002 1003 1004 1005 1006 1007 1008 1009 1010 1011 1012 1013 1014 1015 1016 1017 1018 1019 1020 1021 1022 1023 1024 1025 1026 1027 1028 1029 1030 1031 1032 1033 1034 1035 1036 1037 1038 1039 1040 1041 1042 1043 1044 1045 1046 1047 1048 1049 1050 1051 1052 1053 1054 1055 1056 1057 1058 1059 1060 1061 1062 1063 1064 1065 1066 1067 1068 1069 1070 1071 1072 1073 1074 1075 1076 1077 1078 1079 1080 1081 1082 1083 1084 1085 1086 1087 1088 1089 1090 1091 1092 1093 1094 1095 1096 1097 1098 1099 1100 1101 1102 1103 1104 1105 1106 1107 1108 1109 1110 1111 1112 1113 1114 1115 1116 1117 1118 1119 1120 1121 1122 1123 1124 1125 1126 1127 1128 1129 1130 1131 1132 1133 1134 1135 1136 1137 1138 1139 1140 1141 1142 1143 1144 1145 1146 1147 1148 1149 1150 1151 1152 1153 1154 1155 1156 1157 1158 1159 1160 1161 1162 1163 1164 1165 1166 1167 1168 1169 1170 1171 1172 1173 1174 1175 1176 1177 1178 1179 1180 1181 1182 1183 1184 1185 1186 1187 1188 1189 1190 1191 1192 1193 1194 1195 1196 1197 1198 1199 1200 1201 1202 1203 1204 1205 1206 1207 1208 1209 1210 1211 1212 1213 1214 1215 1216 1217 1218 1219 1220 1221 1222 1223 1224 1225 1226 1227 1228 1229 1230 1231 1232 1233 1234 1235 1236 1237 1238 1239 1240 1241 1242 1243 1244 1245 1246 1247 1248 1249 1250 1251 1252 1253 1254 1255 1256 1257 1258 1259 1260 1261 1262 1263 1264 1265 1266 1267 1268 1269 1270 1271 1272 1273 1274 1275 1276 1277 1278 1279 1280 1281 1282 1283 1284 1285 1286 1287 1288 1289 1290 1291 1292 1293 1294 1295 1296 1297 1298 1299 1300 1301 1302 1303 1304 1305 1306 1307 1308 1309 1310 1311 1312 1313 1314 1315 1316 1317 1318 1319 1320 1321 1322 1323 1324 1325 1326 1327 1328 1329 1330 1331 1332 1333 1334 1335 1336 1337 1338 1339 1340 1341 1342 1343 1344 1345 1346 1347 1348 1349 1350 1351 1352 1353 1354 1355 1356 1357 1358 1359 1360 1361 1362 1363 1364 1365 1366 1367 1368 1369 1370 1371 1372 1373 1374 1375 1376 1377 1378 1379 1380 1381 1382 1383 1384 1385 1386 1387 1388 1389 1390 1391 1392 1393 1394 1395 1396 1397 1398 1399 1400 1401 1402 1403 1404 1405 1406 1407 1408 1409 1410 1411 1412 1413 1414 1415 1416 1417 1418 1419 1420 1421 1422 1423 1424 1425 1426 1427 1428 1429 1430 1431 1432 1433 1434 1435 1436 1437 1438 1439 1440 1441 1442 1443 1444 1445 1446 1447 1448 1449 1450 1451 1452 1453 1454 1455 1456 1457 1458 1459 1460 1461 1462 1463 1464 1465 1466 1467 1468 1469 1470 1471 1472 1473 1474 1475 1476 1477 1478 1479 1480 1481 1482 1483 1484 1485 1486 1487 1488 1489 1490 1491 1492 1493 1494 1495 1496 1497 1498 1499 1500 1501 1502 1503 1504 1505 1506 1507 1508 1509 1510 1511 1512 1513 1514 1515 1516 1517 1518 1519 1520 1521 1522 1523 1524 1525 1526 1527 1528 1529 1530 1531 1532 1533 1534 1535 1536 1537 1538 1539 1540 1541 1542 1543 1544 1545 1546 1547 1548 1549 1550 1551 1552 1553 1554 1555 1556 1557 1558 1559 1560 1561 1562 1563 1564 1565 1566 1567 1568 1569 1570 1571 1572 1573 1574 1575 1576 1577 1578 1579 1580 1581 1582 1583 1584 1585 1586 1587 1588 1589 1590 1591 1592 1593 1594 1595 1596 1597 1598 1599 1600 1601 1602 1603 1604 1605 1606 1607 1608 1609 1610 1611 1612 1613 1614 1615 1616 1617 1618 1619 1620 1621 1622 1623 1624 1625 1626 1627 1628 1629 1630 1631 1632 1633 1634 1635 1636 1637 1638 1639 1640 1641 1642 1643 1644 1645 1646 1647 1648 1649 1650 1651 1652 1653 1654 1655 1656 1657 1658 1659 1660 1661 1662 1663 1664 1665 1666 1667 1668 1669 1670 1671 1672 1673 1674 1675 1676 1677 1678 1679 1680 1681 1682 1683 1684 1685 1686 1687 1688 1689 1690 1691 1692 1693 1694 1695 1696 1697 1698 1699 1700 1701 1702 1703 1704 1705 1706 1707 1708 1709 1710 1711 1712 1713 1714 1715 1716 1717 1718 1719 1720 1721 1722 1723 1724 1725 1726 1727 1728 1729 1730 1731 1732 1733 1734 1735 1736 1737 1738 1739 1740 1741 1742 1743 1744 1745 1746 1747 1748 1749 1750 1751 1752 1753 1754 1755 1756 1757 1758 1759 1760 1761 1762 1763 1764 1765 1766 1767 1768 1769 1770 1771 1772 1773 1774 1775 1776 1777 1778 1779 1780 1781 1782 1783 1784 1785 1786 1787 1788 1789 1790 1791 1792 1793 1794 1795 1796 1797 1798 1799 1800 1801 1802 1803 1804 1805 1806 1807 1808 1809 1810 1811 1812 1813 1814 1815 1816 1817 1818 1819 1820 1821 1822 1823 1824 1825 1826 1827 1828 1829 1830 1831 1832 1833 1834 1835 1836 1837 1838 1839 1840 1841 1842 1843 1844 1845 1846 1847 1848 1849 1850 1851 1852 1853 1854 1855 1856 1857 1858 1859 1860 1861 1862 1863 1864 1865 1866 1867 1868 1869 1870 1871 1872 1873 1874 1875 1876 1877 1878 1879 1880 1881 1882 1883 1884 1885 1886 1887 1888 1889 1890 1891 1892 1893 1894 1895 1896 1897 1898 1899 1900 1901 1902 1903 1904 1905 1906 1907 1908 1909 1910 1911 1912 1913 1914 1915 1916 1917 1918 1919 1920 1921 1922 1923 1924 1925 1926 1927 1928 1929 1930 1931 1932 1933 1934 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1955 1956 1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 2053 2054 2055 2056 2057 2058 2059 2060 2061 2062 2063 2064 2065 2066 2067 2068 2069 2070 2071 2072 2073 2074 2075 2076 2077 2078 2079 2080 2081 2082 2083 2084 2085 2086 2087 2088 2089 2090 2091 2092 2093 2094 2095 2096 2097 2098 2099 2100 2101 2102 2103 2104 2105 2106 2107 2108 2109 2110 2111 2112 2113 2114 2115 2116 2117 2118 2119 2120 2121 2122 2123 2124 2125 2126 2127 2128 2129 2130 2131 2132 2133 2134 2135 2136 2137 2138 2139 2140 2141 2142 2143 2144 2145 2146 2147 2148 2149 2150 2151 2152 2153 2154 2155 2156 2157 2158 2159 2160 2161 2162 2163 2164 2165 2166 2167 2168 2169 2170 2171 2172 2173 2174 2175 2176 2177 2178 2179 2180 2181 2182 2183 2184 2185 2186 2187 2188 2189 2190 2191 2192 2193 2194 2195 2196 2197 2198 2199 2200 2201 2202 2203 2204 2205 2206 2207 2208 2209 2210 2211 2212 2213 2214 2215 2216 2217 2218 2219 2220 2221 2222 2223 2224 2225 2226 2227 2228 2229 2230 2231 2232 2233 2234 2235 2236 2237 2238 2239 2240 2241 2242 2243 2244 2245 2246 2247 2248 2249 2250 2251 2252 2253 2254 2255 2256 2257 2258 2259 2260 2261 2262 2263 2264 2265 2266 2267 2268 2269 2270 2271 2272 2273 2274 2275 2276 2277 2278 2279 2280 2281 2282 2283 2284 2285 2286 2287 2288 2289 2290 2291 2292 2293 2294 2295 2296 2297 2298 2299 2300 2301 2302 2303 2304 2305 2306 2307 2308 2309 2310 2311 2312 2313 2314 2315 2316 2317 2318 2319 2320 2321 2322 2323 2324 2325 2326 2327 2328 2329 2330 2331 2332 2333 2334 2335 2336 2337 2338 2339 2340 2341 2342 2343 2344 2345 2346 2347 2348 2349 2350 2351 2352 2353 2354 2355 2356 2357 2358 2359 2360 2361 2362 2363 2364 2365 2366 2367 2368 2369 2370 2371 2372 2373 2374 2375 2376 2377 2378 2379 2380 2381 2382 2383 2384 2385 2386 2387 2388 2389 2390 2391 2392 2393 2394 2395 2396 2397 2398 2399 2400 2401 2402 2403 2404 2405 2406 2407 2408 2409 2410 2411 2412 2413 2414 2415 2416 2417 2418 2419 2420 2421 2422 2423 2424 2425 2426 2427 2428 2429 2430 2431 2432 2433 2434 2435 2436 2437 2438 2439 2440 2441 2442 2443 2444 2445 2446 2447 2448 2449 2450 2451 2452 2453 2454 2455 2456 2457 2458 2459 2460 2461 2462 2463 2464 2465 2466 2467 2468 2469 2470 2471 2472 2473 2474 2475 2476 2477 2478 2479 2480 2481 2482 2483 2484 2485 2486 2487 2488 2489 2490 2491 2492 2493 2494 2495 2496 2497 2498 2499 2500 2501 2502 2503 2504 2505 2506 2507 2508 2509 2510 2511 2512 2513 2514 2515 2516 2517 2518 2519 2520 2521 2522 2523 2524 2525 2526 2527 2528 2529 2530 2531 2532 2533 2534 2535 2536 2537 2538 2539 2540 2541 2542 2543 2544 2545 2546 2547 2548 2549 2550 2551 2552 2553 2554 2555 2556 2557 2558 2559 2560 2561 2562 2563 2564 2565 2566 2567 2568 2569 2570 2571 2572 2573 2574 2575 2576 2577 2578 |
"""
Unit test for Linear Programming
"""
import sys
import platform
import numpy as np
from numpy.testing import (assert_, assert_allclose, assert_equal,
assert_array_less, assert_warns, suppress_warnings)
from pytest import raises as assert_raises
from scipy.optimize import linprog, OptimizeWarning
from scipy.optimize._numdiff import approx_derivative
from scipy.sparse.linalg import MatrixRankWarning
from scipy.linalg import LinAlgWarning
from scipy._lib._util import VisibleDeprecationWarning
import scipy.sparse
import pytest
has_umfpack = True
try:
from scikits.umfpack import UmfpackWarning
except ImportError:
has_umfpack = False
has_cholmod = True
try:
import sksparse # noqa: F401
from sksparse.cholmod import cholesky as cholmod # noqa: F401
except ImportError:
has_cholmod = False
def _assert_iteration_limit_reached(res, maxiter):
assert_(not res.success, "Incorrectly reported success")
assert_(res.success < maxiter, "Incorrectly reported number of iterations")
assert_equal(res.status, 1, "Failed to report iteration limit reached")
def _assert_infeasible(res):
# res: linprog result object
assert_(not res.success, "incorrectly reported success")
assert_equal(res.status, 2, "failed to report infeasible status")
def _assert_unbounded(res):
# res: linprog result object
assert_(not res.success, "incorrectly reported success")
assert_equal(res.status, 3, "failed to report unbounded status")
def _assert_unable_to_find_basic_feasible_sol(res):
# res: linprog result object
# The status may be either 2 or 4 depending on why the feasible solution
# could not be found. If the underlying problem is expected to not have a
# feasible solution, _assert_infeasible should be used.
assert_(not res.success, "incorrectly reported success")
assert_(res.status in (2, 4), "failed to report optimization failure")
def _assert_success(res, desired_fun=None, desired_x=None,
rtol=1e-8, atol=1e-8):
# res: linprog result object
# desired_fun: desired objective function value or None
# desired_x: desired solution or None
if not res.success:
msg = f"linprog status {res.status}, message: {res.message}"
raise AssertionError(msg)
assert_equal(res.status, 0)
if desired_fun is not None:
assert_allclose(res.fun, desired_fun,
err_msg="converged to an unexpected objective value",
rtol=rtol, atol=atol)
if desired_x is not None:
assert_allclose(res.x, desired_x,
err_msg="converged to an unexpected solution",
rtol=rtol, atol=atol)
def magic_square(n):
"""
Generates a linear program for which integer solutions represent an
n x n magic square; binary decision variables represent the presence
(or absence) of an integer 1 to n^2 in each position of the square.
"""
rng = np.random.RandomState(0)
M = n * (n**2 + 1) / 2
numbers = np.arange(n**4) // n**2 + 1
numbers = numbers.reshape(n**2, n, n)
zeros = np.zeros((n**2, n, n))
A_list = []
b_list = []
# Rule 1: use every number exactly once
for i in range(n**2):
A_row = zeros.copy()
A_row[i, :, :] = 1
A_list.append(A_row.flatten())
b_list.append(1)
# Rule 2: Only one number per square
for i in range(n):
for j in range(n):
A_row = zeros.copy()
A_row[:, i, j] = 1
A_list.append(A_row.flatten())
b_list.append(1)
# Rule 3: sum of rows is M
for i in range(n):
A_row = zeros.copy()
A_row[:, i, :] = numbers[:, i, :]
A_list.append(A_row.flatten())
b_list.append(M)
# Rule 4: sum of columns is M
for i in range(n):
A_row = zeros.copy()
A_row[:, :, i] = numbers[:, :, i]
A_list.append(A_row.flatten())
b_list.append(M)
# Rule 5: sum of diagonals is M
A_row = zeros.copy()
A_row[:, range(n), range(n)] = numbers[:, range(n), range(n)]
A_list.append(A_row.flatten())
b_list.append(M)
A_row = zeros.copy()
A_row[:, range(n), range(-1, -n - 1, -1)] = \
numbers[:, range(n), range(-1, -n - 1, -1)]
A_list.append(A_row.flatten())
b_list.append(M)
A = np.array(np.vstack(A_list), dtype=float)
b = np.array(b_list, dtype=float)
c = rng.rand(A.shape[1])
return A, b, c, numbers, M
def lpgen_2d(m, n):
""" -> A b c LP test: m*n vars, m+n constraints
row sums == n/m, col sums == 1
https://gist.github.com/denis-bz/8647461
"""
rng = np.random.RandomState(0)
c = - rng.exponential(size=(m, n))
Arow = np.zeros((m, m * n))
brow = np.zeros(m)
for j in range(m):
j1 = j + 1
Arow[j, j * n:j1 * n] = 1
brow[j] = n / m
Acol = np.zeros((n, m * n))
bcol = np.zeros(n)
for j in range(n):
j1 = j + 1
Acol[j, j::n] = 1
bcol[j] = 1
A = np.vstack((Arow, Acol))
b = np.hstack((brow, bcol))
return A, b, c.ravel()
def very_random_gen(seed=0):
rng = np.random.RandomState(seed)
m_eq, m_ub, n = 10, 20, 50
c = rng.rand(n)-0.5
A_ub = rng.rand(m_ub, n)-0.5
b_ub = rng.rand(m_ub)-0.5
A_eq = rng.rand(m_eq, n)-0.5
b_eq = rng.rand(m_eq)-0.5
lb = -rng.rand(n)
ub = rng.rand(n)
lb[lb < -rng.rand()] = -np.inf
ub[ub > rng.rand()] = np.inf
bounds = np.vstack((lb, ub)).T
return c, A_ub, b_ub, A_eq, b_eq, bounds
def nontrivial_problem():
c = [-1, 8, 4, -6]
A_ub = [[-7, -7, 6, 9],
[1, -1, -3, 0],
[10, -10, -7, 7],
[6, -1, 3, 4]]
b_ub = [-3, 6, -6, 6]
A_eq = [[-10, 1, 1, -8]]
b_eq = [-4]
x_star = [101 / 1391, 1462 / 1391, 0, 752 / 1391]
f_star = 7083 / 1391
return c, A_ub, b_ub, A_eq, b_eq, x_star, f_star
def l1_regression_prob(seed=0, m=8, d=9, n=100):
'''
Training data is {(x0, y0), (x1, y2), ..., (xn-1, yn-1)}
x in R^d
y in R
n: number of training samples
d: dimension of x, i.e. x in R^d
phi: feature map R^d -> R^m
m: dimension of feature space
'''
rng = np.random.RandomState(seed)
phi = rng.normal(0, 1, size=(m, d)) # random feature mapping
w_true = rng.randn(m)
x = rng.normal(0, 1, size=(d, n)) # features
y = w_true @ (phi @ x) + rng.normal(0, 1e-5, size=n) # measurements
# construct the problem
c = np.ones(m+n)
c[:m] = 0
A_ub = scipy.sparse.lil_matrix((2*n, n+m))
idx = 0
for ii in range(n):
A_ub[idx, :m] = phi @ x[:, ii]
A_ub[idx, m+ii] = -1
A_ub[idx+1, :m] = -1*phi @ x[:, ii]
A_ub[idx+1, m+ii] = -1
idx += 2
A_ub = A_ub.tocsc()
b_ub = np.zeros(2*n)
b_ub[0::2] = y
b_ub[1::2] = -y
bnds = [(None, None)]*m + [(0, None)]*n
return c, A_ub, b_ub, bnds
def generic_callback_test(self):
# Check that callback is as advertised
last_cb = {}
def cb(res):
message = res.pop('message')
complete = res.pop('complete')
assert_(res.pop('phase') in (1, 2))
assert_(res.pop('status') in range(4))
assert_(isinstance(res.pop('nit'), int))
assert_(isinstance(complete, bool))
assert_(isinstance(message, str))
last_cb['x'] = res['x']
last_cb['fun'] = res['fun']
last_cb['slack'] = res['slack']
last_cb['con'] = res['con']
c = np.array([-3, -2])
A_ub = [[2, 1], [1, 1], [1, 0]]
b_ub = [10, 8, 4]
res = linprog(c, A_ub=A_ub, b_ub=b_ub, callback=cb, method=self.method)
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
assert_allclose(last_cb['fun'], res['fun'])
assert_allclose(last_cb['x'], res['x'])
assert_allclose(last_cb['con'], res['con'])
assert_allclose(last_cb['slack'], res['slack'])
@pytest.mark.thread_unsafe
def test_unknown_solvers_and_options():
c = np.array([-3, -2])
A_ub = [[2, 1], [1, 1], [1, 0]]
b_ub = [10, 8, 4]
assert_raises(ValueError, linprog,
c, A_ub=A_ub, b_ub=b_ub, method='ekki-ekki-ekki')
assert_raises(ValueError, linprog,
c, A_ub=A_ub, b_ub=b_ub, method='highs-ekki')
message = "Unrecognized options detected: {'rr_method': 'ekki-ekki-ekki'}"
with pytest.warns(OptimizeWarning, match=message):
linprog(c, A_ub=A_ub, b_ub=b_ub,
options={"rr_method": 'ekki-ekki-ekki'})
def test_choose_solver():
# 'highs' chooses 'dual'
c = np.array([-3, -2])
A_ub = [[2, 1], [1, 1], [1, 0]]
b_ub = [10, 8, 4]
res = linprog(c, A_ub, b_ub, method='highs')
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
@pytest.mark.thread_unsafe
def test_deprecation():
with pytest.warns(DeprecationWarning):
linprog(1, method='interior-point')
with pytest.warns(DeprecationWarning):
linprog(1, method='revised simplex')
with pytest.warns(DeprecationWarning):
linprog(1, method='simplex')
def test_highs_status_message():
res = linprog(1, method='highs')
msg = "Optimization terminated successfully. (HiGHS Status 7:"
assert res.status == 0
assert res.message.startswith(msg)
A, b, c, numbers, M = magic_square(6)
bounds = [(0, 1)] * len(c)
integrality = [1] * len(c)
options = {"time_limit": 0.1}
res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs',
options=options, integrality=integrality)
msg = "Time limit reached. (HiGHS Status 13:"
assert res.status == 1
assert res.message.startswith(msg)
options = {"maxiter": 10}
res = linprog(c=c, A_eq=A, b_eq=b, bounds=bounds, method='highs-ds',
options=options)
msg = "Iteration limit reached. (HiGHS Status 14:"
assert res.status == 1
assert res.message.startswith(msg)
res = linprog(1, bounds=(1, -1), method='highs')
msg = "The problem is infeasible. (HiGHS Status 8:"
assert res.status == 2
assert res.message.startswith(msg)
res = linprog(-1, method='highs')
msg = "The problem is unbounded. (HiGHS Status 10:"
assert res.status == 3
assert res.message.startswith(msg)
from scipy.optimize._linprog_highs import _highs_to_scipy_status_message
status, message = _highs_to_scipy_status_message(58, "Hello!")
msg = "The HiGHS status code was not recognized. (HiGHS Status 58:"
assert status == 4
assert message.startswith(msg)
status, message = _highs_to_scipy_status_message(None, None)
msg = "HiGHS did not provide a status code. (HiGHS Status None: None)"
assert status == 4
assert message.startswith(msg)
def test_bug_17380():
linprog([1, 1], A_ub=[[-1, 0]], b_ub=[-2.5], integrality=[1, 1])
A_ub = None
b_ub = None
A_eq = None
b_eq = None
bounds = None
################
# Common Tests #
################
class LinprogCommonTests:
"""
Base class for `linprog` tests. Generally, each test will be performed
once for every derived class of LinprogCommonTests, each of which will
typically change self.options and/or self.method. Effectively, these tests
are run for many combination of method (simplex, revised simplex, and
interior point) and options (such as pivoting rule or sparse treatment).
"""
##################
# Targeted Tests #
##################
def test_callback(self):
generic_callback_test(self)
def test_disp(self):
# test that display option does not break anything.
A, b, c = lpgen_2d(20, 20)
res = linprog(c, A_ub=A, b_ub=b, method=self.method,
options={"disp": True})
_assert_success(res, desired_fun=-64.049494229)
def test_docstring_example(self):
# Example from linprog docstring.
c = [-1, 4]
A = [[-3, 1], [1, 2]]
b = [6, 4]
x0_bounds = (None, None)
x1_bounds = (-3, None)
res = linprog(c, A_ub=A, b_ub=b, bounds=(x0_bounds, x1_bounds),
options=self.options, method=self.method)
_assert_success(res, desired_fun=-22)
def test_type_error(self):
# (presumably) checks that linprog recognizes type errors
# This is tested more carefully in test__linprog_clean_inputs.py
c = [1]
A_eq = [[1]]
b_eq = "hello"
assert_raises(TypeError, linprog,
c, A_eq=A_eq, b_eq=b_eq,
method=self.method, options=self.options)
def test_aliasing_b_ub(self):
# (presumably) checks that linprog does not modify b_ub
# This is tested more carefully in test__linprog_clean_inputs.py
c = np.array([1.0])
A_ub = np.array([[1.0]])
b_ub_orig = np.array([3.0])
b_ub = b_ub_orig.copy()
bounds = (-4.0, np.inf)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-4, desired_x=[-4])
assert_allclose(b_ub_orig, b_ub)
def test_aliasing_b_eq(self):
# (presumably) checks that linprog does not modify b_eq
# This is tested more carefully in test__linprog_clean_inputs.py
c = np.array([1.0])
A_eq = np.array([[1.0]])
b_eq_orig = np.array([3.0])
b_eq = b_eq_orig.copy()
bounds = (-4.0, np.inf)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=3, desired_x=[3])
assert_allclose(b_eq_orig, b_eq)
def test_non_ndarray_args(self):
# (presumably) checks that linprog accepts list in place of arrays
# This is tested more carefully in test__linprog_clean_inputs.py
c = [1.0]
A_ub = [[1.0]]
b_ub = [3.0]
A_eq = [[1.0]]
b_eq = [2.0]
bounds = (-1.0, 10.0)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=2, desired_x=[2])
@pytest.mark.thread_unsafe
def test_unknown_options(self):
c = np.array([-3, -2])
A_ub = [[2, 1], [1, 1], [1, 0]]
b_ub = [10, 8, 4]
def f(c, A_ub=None, b_ub=None, A_eq=None,
b_eq=None, bounds=None, options=None):
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=options)
o = {key: self.options[key] for key in self.options}
o['spam'] = 42
assert_warns(OptimizeWarning, f,
c, A_ub=A_ub, b_ub=b_ub, options=o)
@pytest.mark.thread_unsafe
def test_integrality_without_highs(self):
# ensure that using `integrality` parameter without `method='highs'`
# raises warning and produces correct solution to relaxed problem
# source: https://en.wikipedia.org/wiki/Integer_programming#Example
A_ub = np.array([[-1, 1], [3, 2], [2, 3]])
b_ub = np.array([1, 12, 12])
c = -np.array([0, 1])
bounds = [(0, np.inf)] * len(c)
integrality = [1] * len(c)
with np.testing.assert_warns(OptimizeWarning):
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
method=self.method, integrality=integrality)
np.testing.assert_allclose(res.x, [1.8, 2.8])
np.testing.assert_allclose(res.fun, -2.8)
def test_invalid_inputs(self):
def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None):
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
# Test ill-formatted bounds
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4)])
with np.testing.suppress_warnings() as sup:
sup.filter(VisibleDeprecationWarning, "Creating an ndarray from ragged")
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, 2), (3, 4), (3, 4, 5)])
assert_raises(ValueError, f, [1, 2, 3], bounds=[(1, -2), (1, 2)])
# Test other invalid inputs
assert_raises(ValueError, f, [1, 2], A_ub=[[1, 2]], b_ub=[1, 2])
assert_raises(ValueError, f, [1, 2], A_ub=[[1]], b_ub=[1])
assert_raises(ValueError, f, [1, 2], A_eq=[[1, 2]], b_eq=[1, 2])
assert_raises(ValueError, f, [1, 2], A_eq=[[1]], b_eq=[1])
assert_raises(ValueError, f, [1, 2], A_eq=[1], b_eq=1)
# this last check doesn't make sense for sparse presolve
if ("_sparse_presolve" in self.options and
self.options["_sparse_presolve"]):
return
# there aren't 3-D sparse matrices
assert_raises(ValueError, f, [1, 2], A_ub=np.zeros((1, 1, 3)), b_eq=1)
def test_sparse_constraints(self):
# gh-13559: improve error message for sparse inputs when unsupported
def f(c, A_ub=None, b_ub=None, A_eq=None, b_eq=None, bounds=None):
linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
rng = np.random.RandomState(0)
m = 100
n = 150
A_eq = scipy.sparse.rand(m, n, 0.5)
x_valid = rng.randn(n)
c = rng.randn(n)
ub = x_valid + rng.rand(n)
lb = x_valid - rng.rand(n)
bounds = np.column_stack((lb, ub))
b_eq = A_eq @ x_valid
if self.method in {'simplex', 'revised simplex'}:
# simplex and revised simplex should raise error
with assert_raises(ValueError, match=f"Method '{self.method}' "
"does not support sparse constraint matrices."):
linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
method=self.method, options=self.options)
else:
# other methods should succeed
options = {**self.options}
if self.method in {'interior-point'}:
options['sparse'] = True
res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
method=self.method, options=options)
assert res.success
def test_maxiter(self):
# test iteration limit w/ Enzo example
c = [4, 8, 3, 0, 0, 0]
A = [
[2, 5, 3, -1, 0, 0],
[3, 2.5, 8, 0, -1, 0],
[8, 10, 4, 0, 0, -1]]
b = [185, 155, 600]
np.random.seed(0)
maxiter = 3
res = linprog(c, A_eq=A, b_eq=b, method=self.method,
options={"maxiter": maxiter})
_assert_iteration_limit_reached(res, maxiter)
assert_equal(res.nit, maxiter)
def test_bounds_fixed(self):
# Test fixed bounds (upper equal to lower)
# If presolve option True, test if solution found in presolve (i.e.
# number of iterations is 0).
do_presolve = self.options.get('presolve', True)
res = linprog([1], bounds=(1, 1),
method=self.method, options=self.options)
_assert_success(res, 1, 1)
if do_presolve:
assert_equal(res.nit, 0)
res = linprog([1, 2, 3], bounds=[(5, 5), (-1, -1), (3, 3)],
method=self.method, options=self.options)
_assert_success(res, 12, [5, -1, 3])
if do_presolve:
assert_equal(res.nit, 0)
res = linprog([1, 1], bounds=[(1, 1), (1, 3)],
method=self.method, options=self.options)
_assert_success(res, 2, [1, 1])
if do_presolve:
assert_equal(res.nit, 0)
res = linprog([1, 1, 2], A_eq=[[1, 0, 0], [0, 1, 0]], b_eq=[1, 7],
bounds=[(-5, 5), (0, 10), (3.5, 3.5)],
method=self.method, options=self.options)
_assert_success(res, 15, [1, 7, 3.5])
if do_presolve:
assert_equal(res.nit, 0)
def test_bounds_infeasible(self):
# Test ill-valued bounds (upper less than lower)
# If presolve option True, test if solution found in presolve (i.e.
# number of iterations is 0).
do_presolve = self.options.get('presolve', True)
res = linprog([1], bounds=(1, -2), method=self.method, options=self.options)
_assert_infeasible(res)
if do_presolve:
assert_equal(res.nit, 0)
res = linprog([1], bounds=[(1, -2)], method=self.method, options=self.options)
_assert_infeasible(res)
if do_presolve:
assert_equal(res.nit, 0)
res = linprog([1, 2, 3], bounds=[(5, 0), (1, 2), (3, 4)],
method=self.method, options=self.options)
_assert_infeasible(res)
if do_presolve:
assert_equal(res.nit, 0)
@pytest.mark.thread_unsafe
def test_bounds_infeasible_2(self):
# Test ill-valued bounds (lower inf, upper -inf)
# If presolve option True, test if solution found in presolve (i.e.
# number of iterations is 0).
# For the simplex method, the cases do not result in an
# infeasible status, but in a RuntimeWarning. This is a
# consequence of having _presolve() take care of feasibility
# checks. See issue gh-11618.
do_presolve = self.options.get('presolve', True)
simplex_without_presolve = not do_presolve and self.method == 'simplex'
c = [1, 2, 3]
bounds_1 = [(1, 2), (np.inf, np.inf), (3, 4)]
bounds_2 = [(1, 2), (-np.inf, -np.inf), (3, 4)]
if simplex_without_presolve:
def g(c, bounds):
res = linprog(c, bounds=bounds,
method=self.method, options=self.options)
return res
with pytest.warns(RuntimeWarning):
with pytest.raises(IndexError):
g(c, bounds=bounds_1)
with pytest.warns(RuntimeWarning):
with pytest.raises(IndexError):
g(c, bounds=bounds_2)
else:
res = linprog(c=c, bounds=bounds_1,
method=self.method, options=self.options)
_assert_infeasible(res)
if do_presolve:
assert_equal(res.nit, 0)
res = linprog(c=c, bounds=bounds_2,
method=self.method, options=self.options)
_assert_infeasible(res)
if do_presolve:
assert_equal(res.nit, 0)
def test_empty_constraint_1(self):
c = [-1, -2]
res = linprog(c, method=self.method, options=self.options)
_assert_unbounded(res)
def test_empty_constraint_2(self):
c = [-1, 1, -1, 1]
bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)]
res = linprog(c, bounds=bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
# Unboundedness detected in presolve requires no iterations
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_empty_constraint_3(self):
c = [1, -1, 1, -1]
bounds = [(0, np.inf), (-np.inf, 0), (-1, 1), (-1, 1)]
res = linprog(c, bounds=bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[0, 0, -1, 1], desired_fun=-2)
def test_inequality_constraints(self):
# Minimize linear function subject to linear inequality constraints.
# http://www.dam.brown.edu/people/huiwang/classes/am121/Archive/simplex_121_c.pdf
c = np.array([3, 2]) * -1 # maximize
A_ub = [[2, 1],
[1, 1],
[1, 0]]
b_ub = [10, 8, 4]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-18, desired_x=[2, 6])
def test_inequality_constraints2(self):
# Minimize linear function subject to linear inequality constraints.
# http://www.statslab.cam.ac.uk/~ff271/teaching/opt/notes/notes8.pdf
# (dead link)
c = [6, 3]
A_ub = [[0, 3],
[-1, -1],
[-2, 1]]
b_ub = [2, -1, -1]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=5, desired_x=[2 / 3, 1 / 3])
def test_bounds_simple(self):
c = [1, 2]
bounds = (1, 2)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[1, 1])
bounds = [(1, 2), (1, 2)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[1, 1])
def test_bounded_below_only_1(self):
c = np.array([1.0])
A_eq = np.array([[1.0]])
b_eq = np.array([3.0])
bounds = (1.0, None)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=3, desired_x=[3])
def test_bounded_below_only_2(self):
c = np.ones(3)
A_eq = np.eye(3)
b_eq = np.array([1, 2, 3])
bounds = (0.5, np.inf)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
def test_bounded_above_only_1(self):
c = np.array([1.0])
A_eq = np.array([[1.0]])
b_eq = np.array([3.0])
bounds = (None, 10.0)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=3, desired_x=[3])
def test_bounded_above_only_2(self):
c = np.ones(3)
A_eq = np.eye(3)
b_eq = np.array([1, 2, 3])
bounds = (-np.inf, 4)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
def test_bounds_infinity(self):
c = np.ones(3)
A_eq = np.eye(3)
b_eq = np.array([1, 2, 3])
bounds = (-np.inf, np.inf)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=b_eq, desired_fun=np.sum(b_eq))
def test_bounds_mixed(self):
# Problem has one unbounded variable and
# another with a negative lower bound.
c = np.array([-1, 4]) * -1 # maximize
A_ub = np.array([[-3, 1],
[1, 2]], dtype=np.float64)
b_ub = [6, 4]
x0_bounds = (-np.inf, np.inf)
x1_bounds = (-3, np.inf)
bounds = (x0_bounds, x1_bounds)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-80 / 7, desired_x=[-8 / 7, 18 / 7])
def test_bounds_equal_but_infeasible(self):
c = [-4, 1]
A_ub = [[7, -2], [0, 1], [2, -2]]
b_ub = [14, 0, 3]
bounds = [(2, 2), (0, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
def test_bounds_equal_but_infeasible2(self):
c = [-4, 1]
A_eq = [[7, -2], [0, 1], [2, -2]]
b_eq = [14, 0, 3]
bounds = [(2, 2), (0, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
def test_bounds_equal_no_presolve(self):
# There was a bug when a lower and upper bound were equal but
# presolve was not on to eliminate the variable. The bound
# was being converted to an equality constraint, but the bound
# was not eliminated, leading to issues in postprocessing.
c = [1, 2]
A_ub = [[1, 2], [1.1, 2.2]]
b_ub = [4, 8]
bounds = [(1, 2), (2, 2)]
o = {key: self.options[key] for key in self.options}
o["presolve"] = False
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
_assert_infeasible(res)
def test_zero_column_1(self):
m, n = 3, 4
rng = np.random.RandomState(0)
c = rng.rand(n)
c[1] = 1
A_eq = rng.rand(m, n)
A_eq[:, 1] = 0
b_eq = rng.rand(m)
A_ub = [[1, 0, 1, 1]]
b_ub = 3
bounds = [(-10, 10), (-10, 10), (-10, None), (None, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-9.7087836730413404)
def test_zero_column_2(self):
if self.method in {'highs-ds', 'highs-ipm'}:
# See upstream issue https://github.com/ERGO-Code/HiGHS/issues/648
pytest.xfail()
rng = np.random.RandomState(0)
m, n = 2, 4
c = rng.rand(n)
c[1] = -1
A_eq = rng.rand(m, n)
A_eq[:, 1] = 0
b_eq = rng.rand(m)
A_ub = rng.rand(m, n)
A_ub[:, 1] = 0
b_ub = rng.rand(m)
bounds = (None, None)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
# Unboundedness detected in presolve
if self.options.get('presolve', True) and "highs" not in self.method:
# HiGHS detects unboundedness or infeasibility in presolve
# It needs an iteration of simplex to be sure of unboundedness
# Other solvers report that the problem is unbounded if feasible
assert_equal(res.nit, 0)
def test_zero_row_1(self):
c = [1, 2, 3]
A_eq = [[0, 0, 0], [1, 1, 1], [0, 0, 0]]
b_eq = [0, 3, 0]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=3)
def test_zero_row_2(self):
A_ub = [[0, 0, 0], [1, 1, 1], [0, 0, 0]]
b_ub = [0, 3, 0]
c = [1, 2, 3]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=0)
def test_zero_row_3(self):
m, n = 2, 4
rng = np.random.RandomState(1234)
c = rng.rand(n)
A_eq = rng.rand(m, n)
A_eq[0, :] = 0
b_eq = rng.rand(m)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
# Infeasibility detected in presolve
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_zero_row_4(self):
m, n = 2, 4
rng = np.random.RandomState(1234)
c = rng.rand(n)
A_ub = rng.rand(m, n)
A_ub[0, :] = 0
b_ub = -rng.rand(m)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
# Infeasibility detected in presolve
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_singleton_row_eq_1(self):
c = [1, 1, 1, 2]
A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]]
b_eq = [1, 2, 2, 4]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
# Infeasibility detected in presolve
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_singleton_row_eq_2(self):
c = [1, 1, 1, 2]
A_eq = [[1, 0, 0, 0], [0, 2, 0, 0], [1, 0, 0, 0], [1, 1, 1, 1]]
b_eq = [1, 2, 1, 4]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=4)
def test_singleton_row_ub_1(self):
c = [1, 1, 1, 2]
A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]]
b_ub = [1, 2, -2, 4]
bounds = [(None, None), (0, None), (0, None), (0, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
# Infeasibility detected in presolve
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_singleton_row_ub_2(self):
c = [1, 1, 1, 2]
A_ub = [[1, 0, 0, 0], [0, 2, 0, 0], [-1, 0, 0, 0], [1, 1, 1, 1]]
b_ub = [1, 2, -0.5, 4]
bounds = [(None, None), (0, None), (0, None), (0, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=0.5)
def test_infeasible(self):
# Test linprog response to an infeasible problem
c = [-1, -1]
A_ub = [[1, 0],
[0, 1],
[-1, -1]]
b_ub = [2, 2, -5]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
def test_infeasible_inequality_bounds(self):
c = [1]
A_ub = [[2]]
b_ub = 4
bounds = (5, 6)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
# Infeasibility detected in presolve
if self.options.get('presolve', True):
assert_equal(res.nit, 0)
def test_unbounded(self):
# Test linprog response to an unbounded problem
c = np.array([1, 1]) * -1 # maximize
A_ub = [[-1, 1],
[-1, -1]]
b_ub = [-1, -2]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
def test_unbounded_below_no_presolve_corrected(self):
c = [1]
bounds = [(None, 1)]
o = {key: self.options[key] for key in self.options}
o["presolve"] = False
res = linprog(c=c, bounds=bounds,
method=self.method,
options=o)
if self.method == "revised simplex":
# Revised simplex has a special pathway for no constraints.
assert_equal(res.status, 5)
else:
_assert_unbounded(res)
def test_unbounded_no_nontrivial_constraints_1(self):
"""
Test whether presolve pathway for detecting unboundedness after
constraint elimination is working.
"""
c = np.array([0, 0, 0, 1, -1, -1])
A_ub = np.array([[1, 0, 0, 0, 0, 0],
[0, 1, 0, 0, 0, 0],
[0, 0, 0, 0, 0, -1]])
b_ub = np.array([2, -2, 0])
bounds = [(None, None), (None, None), (None, None),
(-1, 1), (-1, 1), (0, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
if not self.method.lower().startswith("highs"):
assert_equal(res.x[-1], np.inf)
assert_equal(res.message[:36],
"The problem is (trivially) unbounded")
def test_unbounded_no_nontrivial_constraints_2(self):
"""
Test whether presolve pathway for detecting unboundedness after
constraint elimination is working.
"""
c = np.array([0, 0, 0, 1, -1, 1])
A_ub = np.array([[1, 0, 0, 0, 0, 0],
[0, 1, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 1]])
b_ub = np.array([2, -2, 0])
bounds = [(None, None), (None, None), (None, None),
(-1, 1), (-1, 1), (None, 0)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
if not self.method.lower().startswith("highs"):
assert_equal(res.x[-1], -np.inf)
assert_equal(res.message[:36],
"The problem is (trivially) unbounded")
def test_cyclic_recovery(self):
# Test linprogs recovery from cycling using the Klee-Minty problem
# Klee-Minty https://www.math.ubc.ca/~israel/m340/kleemin3.pdf
c = np.array([100, 10, 1]) * -1 # maximize
A_ub = [[1, 0, 0],
[20, 1, 0],
[200, 20, 1]]
b_ub = [1, 100, 10000]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[0, 0, 10000], atol=5e-6, rtol=1e-7)
def test_cyclic_bland(self):
# Test the effect of Bland's rule on a cycling problem
c = np.array([-10, 57, 9, 24.])
A_ub = np.array([[0.5, -5.5, -2.5, 9],
[0.5, -1.5, -0.5, 1],
[1, 0, 0, 0]])
b_ub = [0, 0, 1]
# copy the existing options dictionary but change maxiter
maxiter = 100
o = {key: val for key, val in self.options.items()}
o['maxiter'] = maxiter
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
if self.method == 'simplex' and not self.options.get('bland'):
# simplex cycles without Bland's rule
_assert_iteration_limit_reached(res, o['maxiter'])
else:
# other methods, including simplex with Bland's rule, succeed
_assert_success(res, desired_x=[1, 0, 1, 0])
# note that revised simplex skips this test because it may or may not
# cycle depending on the initial basis
def test_remove_redundancy_infeasibility(self):
# mostly a test of redundancy removal, which is carefully tested in
# test__remove_redundancy.py
m, n = 10, 10
rng = np.random.RandomState(0)
c = rng.rand(n)
A_eq = rng.rand(m, n)
b_eq = rng.rand(m)
A_eq[-1, :] = 2 * A_eq[-2, :]
b_eq[-1] *= -1
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
#################
# General Tests #
#################
def test_nontrivial_problem(self):
# Problem involves all constraint types,
# negative resource limits, and rounding issues.
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
def test_lpgen_problem(self):
# Test linprog with a rather large problem (400 variables,
# 40 constraints) generated by https://gist.github.com/denis-bz/8647461
A_ub, b_ub, c = lpgen_2d(20, 20)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'")
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-64.049494229)
def test_network_flow(self):
# A network flow problem with supply and demand at nodes
# and with costs along directed edges.
# https://www.princeton.edu/~rvdb/542/lectures/lec10.pdf
c = [2, 4, 9, 11, 4, 3, 8, 7, 0, 15, 16, 18]
n, p = -1, 1
A_eq = [
[n, n, p, 0, p, 0, 0, 0, 0, p, 0, 0],
[p, 0, 0, p, 0, p, 0, 0, 0, 0, 0, 0],
[0, 0, n, n, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, p, p, 0, 0, p, 0],
[0, 0, 0, 0, n, n, n, 0, p, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, n, n, 0, 0, p],
[0, 0, 0, 0, 0, 0, 0, 0, 0, n, n, n]]
b_eq = [0, 19, -16, 33, 0, 0, -36]
with suppress_warnings() as sup:
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=755, atol=1e-6, rtol=1e-7)
def test_network_flow_limited_capacity(self):
# A network flow problem with supply and demand at nodes
# and with costs and capacities along directed edges.
# http://blog.sommer-forst.de/2013/04/10/
c = [2, 2, 1, 3, 1]
bounds = [
[0, 4],
[0, 2],
[0, 2],
[0, 3],
[0, 5]]
n, p = -1, 1
A_eq = [
[n, n, 0, 0, 0],
[p, 0, n, n, 0],
[0, p, p, 0, n],
[0, 0, 0, p, p]]
b_eq = [-4, 0, 0, 4]
with suppress_warnings() as sup:
# this is an UmfpackWarning but I had trouble importing it
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
sup.filter(OptimizeWarning, "A_eq does not appear...")
sup.filter(OptimizeWarning, "Solving system with option...")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=14)
def test_simplex_algorithm_wikipedia_example(self):
# https://en.wikipedia.org/wiki/Simplex_algorithm#Example
c = [-2, -3, -4]
A_ub = [
[3, 2, 1],
[2, 5, 3]]
b_ub = [10, 15]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-20)
def test_enzo_example(self):
# https://github.com/scipy/scipy/issues/1779 lp2.py
#
# Translated from Octave code at:
# http://www.ecs.shimane-u.ac.jp/~kyoshida/lpeng.htm
# and placed under MIT licence by Enzo Michelangeli
# with permission explicitly granted by the original author,
# Prof. Kazunobu Yoshida
c = [4, 8, 3, 0, 0, 0]
A_eq = [
[2, 5, 3, -1, 0, 0],
[3, 2.5, 8, 0, -1, 0],
[8, 10, 4, 0, 0, -1]]
b_eq = [185, 155, 600]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=317.5,
desired_x=[66.25, 0, 17.5, 0, 183.75, 0],
atol=6e-6, rtol=1e-7)
def test_enzo_example_b(self):
# rescued from https://github.com/scipy/scipy/pull/218
c = [2.8, 6.3, 10.8, -2.8, -6.3, -10.8]
A_eq = [[-1, -1, -1, 0, 0, 0],
[0, 0, 0, 1, 1, 1],
[1, 0, 0, 1, 0, 0],
[0, 1, 0, 0, 1, 0],
[0, 0, 1, 0, 0, 1]]
b_eq = [-0.5, 0.4, 0.3, 0.3, 0.3]
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-1.77,
desired_x=[0.3, 0.2, 0.0, 0.0, 0.1, 0.3])
def test_enzo_example_c_with_degeneracy(self):
# rescued from https://github.com/scipy/scipy/pull/218
m = 20
c = -np.ones(m)
tmp = 2 * np.pi * np.arange(1, m + 1) / (m + 1)
A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp)))
b_eq = [0, 0]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=0, desired_x=np.zeros(m))
def test_enzo_example_c_with_unboundedness(self):
# rescued from https://github.com/scipy/scipy/pull/218
m = 50
c = -np.ones(m)
tmp = 2 * np.pi * np.arange(m) / (m + 1)
# This test relies on `cos(0) -1 == sin(0)`, so ensure that's true
# (SIMD code or -ffast-math may cause spurious failures otherwise)
row0 = np.cos(tmp) - 1
row0[0] = 0.0
row1 = np.sin(tmp)
row1[0] = 0.0
A_eq = np.vstack((row0, row1))
b_eq = [0, 0]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_unbounded(res)
def test_enzo_example_c_with_infeasibility(self):
# rescued from https://github.com/scipy/scipy/pull/218
m = 50
c = -np.ones(m)
tmp = 2 * np.pi * np.arange(m) / (m + 1)
A_eq = np.vstack((np.cos(tmp) - 1, np.sin(tmp)))
b_eq = [1, 1]
o = {key: self.options[key] for key in self.options}
o["presolve"] = False
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
_assert_infeasible(res)
def test_basic_artificial_vars(self):
# Problem is chosen to test two phase simplex methods when at the end
# of phase 1 some artificial variables remain in the basis.
# Also, for `method='simplex'`, the row in the tableau corresponding
# with the artificial variables is not all zero.
c = np.array([-0.1, -0.07, 0.004, 0.004, 0.004, 0.004])
A_ub = np.array([[1.0, 0, 0, 0, 0, 0], [-1.0, 0, 0, 0, 0, 0],
[0, -1.0, 0, 0, 0, 0], [0, 1.0, 0, 0, 0, 0],
[1.0, 1.0, 0, 0, 0, 0]])
b_ub = np.array([3.0, 3.0, 3.0, 3.0, 20.0])
A_eq = np.array([[1.0, 0, -1, 1, -1, 1], [0, -1.0, -1, 1, -1, 1]])
b_eq = np.array([0, 0])
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=0, desired_x=np.zeros_like(c),
atol=2e-6)
def test_optimize_result(self):
# check all fields in OptimizeResult
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(0)
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method, options=self.options)
assert_(res.success)
assert_(res.nit)
assert_(not res.status)
if 'highs' not in self.method:
# HiGHS status/message tested separately
assert_(res.message == "Optimization terminated successfully.")
assert_allclose(c @ res.x, res.fun)
assert_allclose(b_eq - A_eq @ res.x, res.con, atol=1e-11)
assert_allclose(b_ub - A_ub @ res.x, res.slack, atol=1e-11)
for key in ['eqlin', 'ineqlin', 'lower', 'upper']:
if key in res.keys():
assert isinstance(res[key]['marginals'], np.ndarray)
assert isinstance(res[key]['residual'], np.ndarray)
#################
# Bug Fix Tests #
#################
def test_bug_5400(self):
# https://github.com/scipy/scipy/issues/5400
bounds = [
(0, None),
(0, 100), (0, 100), (0, 100), (0, 100), (0, 100), (0, 100),
(0, 900), (0, 900), (0, 900), (0, 900), (0, 900), (0, 900),
(0, None), (0, None), (0, None), (0, None), (0, None), (0, None)]
f = 1 / 9
g = -1e4
h = -3.1
A_ub = np.array([
[1, -2.99, 0, 0, -3, 0, 0, 0, -1, -1, 0, -1, -1, 1, 1, 0, 0, 0, 0],
[1, 0, -2.9, h, 0, -3, 0, -1, 0, 0, -1, 0, -1, 0, 0, 1, 1, 0, 0],
[1, 0, 0, h, 0, 0, -3, -1, -1, 0, -1, -1, 0, 0, 0, 0, 0, 1, 1],
[0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1],
[0, 1.99, -1, -1, 0, 0, 0, -1, f, f, 0, 0, 0, g, 0, 0, 0, 0, 0],
[0, 0, 0, 0, 2, -1, -1, 0, 0, 0, -1, f, f, 0, g, 0, 0, 0, 0],
[0, -1, 1.9, 2.1, 0, 0, 0, f, -1, -1, 0, 0, 0, 0, 0, g, 0, 0, 0],
[0, 0, 0, 0, -1, 2, -1, 0, 0, 0, f, -1, f, 0, 0, 0, g, 0, 0],
[0, -1, -1, 2.1, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, 0, 0, g, 0],
[0, 0, 0, 0, -1, -1, 2, 0, 0, 0, f, f, -1, 0, 0, 0, 0, 0, g]])
b_ub = np.array([
0.0, 0, 0, 100, 100, 100, 100, 100, 100, 900, 900, 900, 900, 900,
900, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
c = np.array([-1.0, 1, 1, 1, 1, 1, 1, 1, 1,
1, 1, 1, 1, 0, 0, 0, 0, 0, 0])
with suppress_warnings() as sup:
sup.filter(OptimizeWarning,
"Solving system with option 'sym_pos'")
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=-106.63507541835018)
def test_bug_6139(self):
# linprog(method='simplex') fails to find a basic feasible solution
# if phase 1 pseudo-objective function is outside the provided tol.
# https://github.com/scipy/scipy/issues/6139
# Note: This is not strictly a bug as the default tolerance determines
# if a result is "close enough" to zero and should not be expected
# to work for all cases.
c = np.array([1, 1, 1])
A_eq = np.array([[1., 0., 0.], [-1000., 0., - 1000.]])
b_eq = np.array([5.00000000e+00, -1.00000000e+04])
A_ub = -np.array([[0., 1000000., 1010000.]])
b_ub = -np.array([10000000.])
bounds = (None, None)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=14.95,
desired_x=np.array([5, 4.95, 5]))
def test_bug_6690(self):
# linprog simplex used to violate bound constraint despite reporting
# success.
# https://github.com/scipy/scipy/issues/6690
A_eq = np.array([[0, 0, 0, 0.93, 0, 0.65, 0, 0, 0.83, 0]])
b_eq = np.array([0.9626])
A_ub = np.array([
[0, 0, 0, 1.18, 0, 0, 0, -0.2, 0, -0.22],
[0, 0, 0, 0, 0, 0, 0, 0, 0, 0],
[0, 0, 0, 0.43, 0, 0, 0, 0, 0, 0],
[0, -1.22, -0.25, 0, 0, 0, -2.06, 0, 0, 1.37],
[0, 0, 0, 0, 0, 0, 0, -0.25, 0, 0]
])
b_ub = np.array([0.615, 0, 0.172, -0.869, -0.022])
bounds = np.array([
[-0.84, -0.97, 0.34, 0.4, -0.33, -0.74, 0.47, 0.09, -1.45, -0.73],
[0.37, 0.02, 2.86, 0.86, 1.18, 0.5, 1.76, 0.17, 0.32, -0.15]
]).T
c = np.array([
-1.64, 0.7, 1.8, -1.06, -1.16, 0.26, 2.13, 1.53, 0.66, 0.28
])
with suppress_warnings() as sup:
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(OptimizeWarning,
"Solving system with option 'cholesky'")
sup.filter(OptimizeWarning, "Solving system with option 'sym_pos'")
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
desired_fun = -1.19099999999
desired_x = np.array([0.3700, -0.9700, 0.3400, 0.4000, 1.1800,
0.5000, 0.4700, 0.0900, 0.3200, -0.7300])
_assert_success(res, desired_fun=desired_fun, desired_x=desired_x)
# Add small tol value to ensure arrays are less than or equal.
atol = 1e-6
assert_array_less(bounds[:, 0] - atol, res.x)
assert_array_less(res.x, bounds[:, 1] + atol)
def test_bug_7044(self):
# linprog simplex failed to "identify correct constraints" (?)
# leading to a non-optimal solution if A is rank-deficient.
# https://github.com/scipy/scipy/issues/7044
A_eq, b_eq, c, _, _ = magic_square(3)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
desired_fun = 1.730550597
_assert_success(res, desired_fun=desired_fun)
assert_allclose(A_eq.dot(res.x), b_eq)
assert_array_less(np.zeros(res.x.size) - 1e-5, res.x)
def test_bug_7237(self):
# https://github.com/scipy/scipy/issues/7237
# linprog simplex "explodes" when the pivot value is very
# close to zero.
c = np.array([-1, 0, 0, 0, 0, 0, 0, 0, 0])
A_ub = np.array([
[1., -724., 911., -551., -555., -896., 478., -80., -293.],
[1., 566., 42., 937., 233., 883., 392., -909., 57.],
[1., -208., -894., 539., 321., 532., -924., 942., 55.],
[1., 857., -859., 83., 462., -265., -971., 826., 482.],
[1., 314., -424., 245., -424., 194., -443., -104., -429.],
[1., 540., 679., 361., 149., -827., 876., 633., 302.],
[0., -1., -0., -0., -0., -0., -0., -0., -0.],
[0., -0., -1., -0., -0., -0., -0., -0., -0.],
[0., -0., -0., -1., -0., -0., -0., -0., -0.],
[0., -0., -0., -0., -1., -0., -0., -0., -0.],
[0., -0., -0., -0., -0., -1., -0., -0., -0.],
[0., -0., -0., -0., -0., -0., -1., -0., -0.],
[0., -0., -0., -0., -0., -0., -0., -1., -0.],
[0., -0., -0., -0., -0., -0., -0., -0., -1.],
[0., 1., 0., 0., 0., 0., 0., 0., 0.],
[0., 0., 1., 0., 0., 0., 0., 0., 0.],
[0., 0., 0., 1., 0., 0., 0., 0., 0.],
[0., 0., 0., 0., 1., 0., 0., 0., 0.],
[0., 0., 0., 0., 0., 1., 0., 0., 0.],
[0., 0., 0., 0., 0., 0., 1., 0., 0.],
[0., 0., 0., 0., 0., 0., 0., 1., 0.],
[0., 0., 0., 0., 0., 0., 0., 0., 1.]
])
b_ub = np.array([
0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.,
0., 0., 0., 1., 1., 1., 1., 1., 1., 1., 1.])
A_eq = np.array([[0., 1., 1., 1., 1., 1., 1., 1., 1.]])
b_eq = np.array([[1.]])
bounds = [(None, None)] * 9
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=108.568535, atol=1e-6)
def test_bug_8174(self):
# https://github.com/scipy/scipy/issues/8174
# The simplex method sometimes "explodes" if the pivot value is very
# close to zero.
A_ub = np.array([
[22714, 1008, 13380, -2713.5, -1116],
[-4986, -1092, -31220, 17386.5, 684],
[-4986, 0, 0, -2713.5, 0],
[22714, 0, 0, 17386.5, 0]])
b_ub = np.zeros(A_ub.shape[0])
c = -np.ones(A_ub.shape[1])
bounds = [(0, 1)] * A_ub.shape[1]
with suppress_warnings() as sup:
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
if self.options.get('tol', 1e-9) < 1e-10 and self.method == 'simplex':
_assert_unable_to_find_basic_feasible_sol(res)
else:
_assert_success(res, desired_fun=-2.0080717488789235, atol=1e-6)
def test_bug_8174_2(self):
# Test supplementary example from issue 8174.
# https://github.com/scipy/scipy/issues/8174
# https://stackoverflow.com/questions/47717012/linprog-in-scipy-optimize-checking-solution
c = np.array([1, 0, 0, 0, 0, 0, 0])
A_ub = -np.identity(7)
b_ub = np.array([[-2], [-2], [-2], [-2], [-2], [-2], [-2]])
A_eq = np.array([
[1, 1, 1, 1, 1, 1, 0],
[0.3, 1.3, 0.9, 0, 0, 0, -1],
[0.3, 0, 0, 0, 0, 0, -2/3],
[0, 0.65, 0, 0, 0, 0, -1/15],
[0, 0, 0.3, 0, 0, 0, -1/15]
])
b_eq = np.array([[100], [0], [0], [0], [0]])
with suppress_warnings() as sup:
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(OptimizeWarning, "A_eq does not appear...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_fun=43.3333333331385)
def test_bug_8561(self):
# Test that pivot row is chosen correctly when using Bland's rule
# This was originally written for the simplex method with
# Bland's rule only, but it doesn't hurt to test all methods/options
# https://github.com/scipy/scipy/issues/8561
c = np.array([7, 0, -4, 1.5, 1.5])
A_ub = np.array([
[4, 5.5, 1.5, 1.0, -3.5],
[1, -2.5, -2, 2.5, 0.5],
[3, -0.5, 4, -12.5, -7],
[-1, 4.5, 2, -3.5, -2],
[5.5, 2, -4.5, -1, 9.5]])
b_ub = np.array([0, 0, 0, 0, 1])
res = linprog(c, A_ub=A_ub, b_ub=b_ub, options=self.options,
method=self.method)
_assert_success(res, desired_x=[0, 0, 19, 16/3, 29/3])
def test_bug_8662(self):
# linprog simplex used to report incorrect optimal results
# https://github.com/scipy/scipy/issues/8662
c = [-10, 10, 6, 3]
A_ub = [[8, -8, -4, 6],
[-8, 8, 4, -6],
[-4, 4, 8, -4],
[3, -3, -3, -10]]
b_ub = [9, -9, -9, -4]
bounds = [(0, None), (0, None), (0, None), (0, None)]
desired_fun = 36.0000000000
with suppress_warnings() as sup:
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res1 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
# Set boundary condition as a constraint
A_ub.append([0, 0, -1, 0])
b_ub.append(0)
bounds[2] = (None, None)
with suppress_warnings() as sup:
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res2 = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
rtol = 1e-5
_assert_success(res1, desired_fun=desired_fun, rtol=rtol)
_assert_success(res2, desired_fun=desired_fun, rtol=rtol)
def test_bug_8663(self):
# exposed a bug in presolve
# https://github.com/scipy/scipy/issues/8663
c = [1, 5]
A_eq = [[0, -7]]
b_eq = [-6]
bounds = [(0, None), (None, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[0, 6./7], desired_fun=5*6./7)
def test_bug_8664(self):
# interior-point has trouble with this when presolve is off
# tested for interior-point with presolve off in TestLinprogIPSpecific
# https://github.com/scipy/scipy/issues/8664
c = [4]
A_ub = [[2], [5]]
b_ub = [4, 4]
A_eq = [[0], [-8], [9]]
b_eq = [3, 2, 10]
with suppress_warnings() as sup:
sup.filter(RuntimeWarning)
sup.filter(OptimizeWarning, "Solving system with option...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_infeasible(res)
def test_bug_8973(self):
"""
Test whether bug described at:
https://github.com/scipy/scipy/issues/8973
was fixed.
"""
c = np.array([0, 0, 0, 1, -1])
A_ub = np.array([[1, 0, 0, 0, 0], [0, 1, 0, 0, 0]])
b_ub = np.array([2, -2])
bounds = [(None, None), (None, None), (None, None), (-1, 1), (-1, 1)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
# solution vector x is not unique
_assert_success(res, desired_fun=-2)
# HiGHS IPM had an issue where the following wasn't true!
assert_equal(c @ res.x, res.fun)
def test_bug_8973_2(self):
"""
Additional test for:
https://github.com/scipy/scipy/issues/8973
suggested in
https://github.com/scipy/scipy/pull/8985
review by @antonior92
"""
c = np.zeros(1)
A_ub = np.array([[1]])
b_ub = np.array([-2])
bounds = (None, None)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[-2], desired_fun=0)
def test_bug_10124(self):
"""
Test for linprog docstring problem
'disp'=True caused revised simplex failure
"""
c = np.zeros(1)
A_ub = np.array([[1]])
b_ub = np.array([-2])
bounds = (None, None)
c = [-1, 4]
A_ub = [[-3, 1], [1, 2]]
b_ub = [6, 4]
bounds = [(None, None), (-3, None)]
o = {"disp": True}
o.update(self.options)
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
_assert_success(res, desired_x=[10, -3], desired_fun=-22)
def test_bug_10349(self):
"""
Test for redundancy removal tolerance issue
https://github.com/scipy/scipy/issues/10349
"""
A_eq = np.array([[1, 1, 0, 0, 0, 0],
[0, 0, 1, 1, 0, 0],
[0, 0, 0, 0, 1, 1],
[1, 0, 1, 0, 0, 0],
[0, 0, 0, 1, 1, 0],
[0, 1, 0, 0, 0, 1]])
b_eq = np.array([221, 210, 10, 141, 198, 102])
c = np.concatenate((0, 1, np.zeros(4)), axis=None)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options)
_assert_success(res, desired_x=[129, 92, 12, 198, 0, 10], desired_fun=92)
@pytest.mark.skipif(sys.platform == 'darwin',
reason=("Failing on some local macOS builds, "
"see gh-13846"))
def test_bug_10466(self):
"""
Test that autoscale fixes poorly-scaled problem
"""
c = [-8., -0., -8., -0., -8., -0., -0., -0., -0., -0., -0., -0., -0.]
A_eq = [[1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0., 0.],
[0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0., 0., 0.],
[0., 0., 0., 0., 1., 1., 0., 0., 0., 0., 0., 0., 0.],
[1., 0., 1., 0., 1., 0., -1., 0., 0., 0., 0., 0., 0.],
[1., 0., 1., 0., 1., 0., 0., 1., 0., 0., 0., 0., 0.],
[1., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0., 0.],
[1., 0., 0., 0., 0., 0., 0., 0., 0., 1., 0., 0., 0.],
[1., 0., 1., 0., 1., 0., 0., 0., 0., 0., 1., 0., 0.],
[0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 1., 0.],
[0., 0., 1., 0., 1., 0., 0., 0., 0., 0., 0., 0., 1.]]
b_eq = [3.14572800e+08, 4.19430400e+08, 5.24288000e+08,
1.00663296e+09, 1.07374182e+09, 1.07374182e+09,
1.07374182e+09, 1.07374182e+09, 1.07374182e+09,
1.07374182e+09]
o = {}
# HiGHS methods don't use autoscale option
if not self.method.startswith("highs"):
o = {"autoscale": True}
o.update(self.options)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "Solving system with option...")
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
sup.filter(RuntimeWarning, "divide by zero encountered...")
sup.filter(RuntimeWarning, "overflow encountered...")
sup.filter(RuntimeWarning, "invalid value encountered...")
sup.filter(LinAlgWarning, "Ill-conditioned matrix...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
assert_allclose(res.fun, -8589934560)
#########################
# Method-specific Tests #
#########################
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class LinprogSimplexTests(LinprogCommonTests):
method = "simplex"
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class LinprogIPTests(LinprogCommonTests):
method = "interior-point"
def test_bug_10466(self):
pytest.skip("Test is failing, but solver is deprecated.")
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class LinprogRSTests(LinprogCommonTests):
method = "revised simplex"
# Revised simplex does not reliably solve these problems.
# Failure is intermittent due to the random choice of elements to complete
# the basis after phase 1 terminates. In any case, linprog exists
# gracefully, reporting numerical difficulties. I do not think this should
# prevent revised simplex from being merged, as it solves the problems
# most of the time and solves a broader range of problems than the existing
# simplex implementation.
# I believe that the root cause is the same for all three and that this
# same issue prevents revised simplex from solving many other problems
# reliably. Somehow the pivoting rule allows the algorithm to pivot into
# a singular basis. I haven't been able to find a reference that
# acknowledges this possibility, suggesting that there is a bug. On the
# other hand, the pivoting rule is quite simple, and I can't find a
# mistake, which suggests that this is a possibility with the pivoting
# rule. Hopefully, a better pivoting rule will fix the issue.
def test_bug_5400(self):
pytest.skip("Intermittent failure acceptable.")
def test_bug_8662(self):
pytest.skip("Intermittent failure acceptable.")
def test_network_flow(self):
pytest.skip("Intermittent failure acceptable.")
class LinprogHiGHSTests(LinprogCommonTests):
def test_callback(self):
# this is the problem from test_callback
def cb(res):
return None
c = np.array([-3, -2])
A_ub = [[2, 1], [1, 1], [1, 0]]
b_ub = [10, 8, 4]
assert_raises(NotImplementedError, linprog, c, A_ub=A_ub, b_ub=b_ub,
callback=cb, method=self.method)
res = linprog(c, A_ub=A_ub, b_ub=b_ub, method=self.method)
_assert_success(res, desired_fun=-18.0, desired_x=[2, 6])
@pytest.mark.thread_unsafe
@pytest.mark.parametrize("options",
[{"maxiter": -1},
{"disp": -1},
{"presolve": -1},
{"time_limit": -1},
{"dual_feasibility_tolerance": -1},
{"primal_feasibility_tolerance": -1},
{"ipm_optimality_tolerance": -1},
{"simplex_dual_edge_weight_strategy": "ekki"},
])
def test_invalid_option_values(self, options):
def f(options):
linprog(1, method=self.method, options=options)
options.update(self.options)
assert_warns(OptimizeWarning, f, options=options)
def test_crossover(self):
A_eq, b_eq, c, _, _ = magic_square(4)
bounds = (0, 1)
res = linprog(c, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method, options=self.options)
# there should be nonzero crossover iterations for IPM (only)
assert_equal(res.crossover_nit == 0, self.method != "highs-ipm")
@pytest.mark.fail_slow(10)
def test_marginals(self):
# Ensure lagrange multipliers are correct by comparing the derivative
# w.r.t. b_ub/b_eq/ub/lb to the reported duals.
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=0)
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method, options=self.options)
lb, ub = bounds.T
# sensitivity w.r.t. b_ub
def f_bub(x):
return linprog(c, A_ub, x, A_eq, b_eq, bounds,
method=self.method).fun
dfdbub = approx_derivative(f_bub, b_ub, method='3-point', f0=res.fun)
assert_allclose(res.ineqlin.marginals, dfdbub)
# sensitivity w.r.t. b_eq
def f_beq(x):
return linprog(c, A_ub, b_ub, A_eq, x, bounds,
method=self.method).fun
dfdbeq = approx_derivative(f_beq, b_eq, method='3-point', f0=res.fun)
assert_allclose(res.eqlin.marginals, dfdbeq)
# sensitivity w.r.t. lb
def f_lb(x):
bounds = np.array([x, ub]).T
return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method).fun
with np.errstate(invalid='ignore'):
# approx_derivative has trouble where lb is infinite
dfdlb = approx_derivative(f_lb, lb, method='3-point', f0=res.fun)
dfdlb[~np.isfinite(lb)] = 0
assert_allclose(res.lower.marginals, dfdlb)
# sensitivity w.r.t. ub
def f_ub(x):
bounds = np.array([lb, x]).T
return linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method).fun
with np.errstate(invalid='ignore'):
dfdub = approx_derivative(f_ub, ub, method='3-point', f0=res.fun)
dfdub[~np.isfinite(ub)] = 0
assert_allclose(res.upper.marginals, dfdub)
def test_dual_feasibility(self):
# Ensure solution is dual feasible using marginals
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42)
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method, options=self.options)
# KKT dual feasibility equation from Theorem 1 from
# http://www.personal.psu.edu/cxg286/LPKKT.pdf
resid = (-c + A_ub.T @ res.ineqlin.marginals +
A_eq.T @ res.eqlin.marginals +
res.upper.marginals +
res.lower.marginals)
assert_allclose(resid, 0, atol=1e-12)
def test_complementary_slackness(self):
# Ensure that the complementary slackness condition is satisfied.
c, A_ub, b_ub, A_eq, b_eq, bounds = very_random_gen(seed=42)
res = linprog(c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method, options=self.options)
# KKT complementary slackness equation from Theorem 1 from
# http://www.personal.psu.edu/cxg286/LPKKT.pdf modified for
# non-zero RHS
assert np.allclose(res.ineqlin.marginals @ (b_ub - A_ub @ res.x), 0)
@pytest.mark.xfail(reason='Upstream / Wrapper issue, see gh-20589')
def test_bug_20336(self):
"""
Test that `linprog` now solves a poorly-scaled problem
"""
boundaries = [(10000.0, 9010000.0), (0.0, None), (10000.0, None),
(0.0, 84.62623413258109), (10000.0, None), (10000.0, None),
(10000.0, None), (10000.0, None), (10000.0, None),
(10000.0, None), (10000.0, None), (10000.0, None),
(10000.0, None), (None, None), (None, None), (None, None),
(None, None), (None, None), (None, None), (None, None),
(None, None), (None, None), (None, None), (None, None),
(None, None), (None, None), (None, None), (None, None),
(None, None), (None, None), (None, None), (None, None),
(None, None)]
eq_entries = [-1.0, 1.0, -1.0, 1.0, -1.0, 1.0, -1.0, 1.0, -1.0, 1.0, -1.0, 1.0,
-1.0, 1.0, -1.0, 1.0, -1.0, 1.0, -1.0, 1.0, 1.0, 1.0, -1.0, 0.001,
-0.001, 3.7337777768059636e-10, 3.7337777768059636e-10, 1.0, -1.0,
0.001, -0.001, 3.7337777768059636e-10, 3.7337777768059636e-10,
1.0, -1.0, 0.001, -0.001, 3.7337777768059636e-10,
3.7337777768059636e-10, 1.0, -1.0, 0.001, -0.001,
3.7337777768059636e-10, 3.7337777768059636e-10, 1.0, -1.0, 0.001,
-0.001, 3.7337777768059636e-10, 3.7337777768059636e-10, 1.0, -1.0,
0.001, -0.001, 3.7337777768059636e-10, 3.7337777768059636e-10,
1.0, -1.0, 0.001, -0.001, 3.7337777768059636e-10,
3.7337777768059636e-10, 1.0, -1.0, 0.001, -0.001,
3.7337777768059636e-10, 3.7337777768059636e-10, 1.0, -1.0, 0.001,
-0.001, 3.7337777768059636e-10, 3.7337777768059636e-10, 1.0,
-1.0, 0.001, -0.001, 3.7337777768059636e-10,
3.7337777768059636e-10, 1.0, -1.0]
eq_indizes = [0, 0, 1, 1, 2, 2, 3, 3, 4, 4, 5, 5, 6, 6, 7, 7, 8, 8, 9, 9, 10,
11, 11, 12, 12, 12, 12, 13, 13, 14, 14, 14, 14, 15, 15, 16, 16,
16, 16, 17, 17, 18, 18, 18, 18, 19, 19, 20, 20, 20, 20, 21, 21,
22, 22, 22, 22, 23, 23, 24, 24, 24, 24, 25, 25, 26, 26, 26, 26,
27, 27, 28, 28, 28, 28, 29, 29, 30, 30, 30, 30, 31, 31]
eq_vars = [15, 14, 17, 16, 19, 18, 21, 20, 23, 22, 25, 24, 27, 26, 29, 28, 31,
30, 13, 1, 0, 32, 3, 14, 13, 4, 0, 4, 0, 32, 31, 2, 12, 2, 12, 16,
15, 5, 4, 5, 4, 18, 17, 6, 5, 6, 5, 20, 19, 7, 6, 7, 6, 22, 21, 8,
7, 8, 7, 24, 23, 9, 8, 9, 8, 26, 25, 10, 9, 10, 9, 28, 27, 11, 10,
11, 10, 30, 29, 12, 11, 12, 11]
eq_values = [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 9000000.0, 0.0,
0.006587392118285457, -5032.197406716549, 0.0041860502789104696,
-7918.93439542944, 0.0063205763583549035, -5244.625751707402,
0.006053760598424349, -5475.7793929428, 0.005786944838493795,
-5728.248403917573, 0.0055201290785632405, -6005.123623538355,
0.005253313318632687, -6310.123825488683, 0.004986497558702133,
-6647.763714796453, 0.004719681798771578, -7023.578908071522,
0.004452866038841024, -7444.431798646482]
coefficients = [0.0, 0.0, 0.0, -0.011816666666666668, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0,
0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0]
np_eq_entries = np.asarray(eq_entries, dtype=np.float64)
np_eq_indizes = np.asarray(eq_indizes, dtype=np.int32)
np_eq_vars = np.asarray(eq_vars, dtype=np.int32)
a_eq= scipy.sparse.csr_array((np_eq_entries,(np_eq_indizes, np_eq_vars)),
shape=(32, 33))
b_eq = np.asarray(eq_values, dtype=np.float64)
c = np.asarray(coefficients, dtype=np.float64)
result = scipy.optimize.linprog(c, A_ub=None, b_ub=None, A_eq=a_eq, b_eq=b_eq,
bounds=boundaries)
assert result.status==0
x = result.x
n_r_x = np.linalg.norm(a_eq @ x - b_eq)
n_r = np.linalg.norm(result.eqlin.residual)
assert_allclose(n_r, n_r_x)
################################
# Simplex Option-Specific Tests#
################################
class TestLinprogSimplexDefault(LinprogSimplexTests):
def setup_method(self):
self.options = {}
def test_bug_5400(self):
pytest.skip("Simplex fails on this problem.")
def test_bug_7237_low_tol(self):
# Fails if the tolerance is too strict. Here, we test that
# even if the solution is wrong, the appropriate error is raised.
pytest.skip("Simplex fails on this problem.")
@pytest.mark.thread_unsafe
def test_bug_8174_low_tol(self):
# Fails if the tolerance is too strict. Here, we test that
# even if the solution is wrong, the appropriate warning is issued.
self.options.update({'tol': 1e-12})
with pytest.warns(OptimizeWarning):
super().test_bug_8174()
class TestLinprogSimplexBland(LinprogSimplexTests):
def setup_method(self):
self.options = {'bland': True}
def test_bug_5400(self):
pytest.skip("Simplex fails on this problem.")
@pytest.mark.thread_unsafe
def test_bug_8174_low_tol(self):
# Fails if the tolerance is too strict. Here, we test that
# even if the solution is wrong, the appropriate error is raised.
self.options.update({'tol': 1e-12})
with pytest.raises(AssertionError):
with pytest.warns(OptimizeWarning):
super().test_bug_8174()
class TestLinprogSimplexNoPresolve(LinprogSimplexTests):
def setup_method(self):
self.options = {'presolve': False}
is_32_bit = np.intp(0).itemsize < 8
is_linux = sys.platform.startswith('linux')
@pytest.mark.xfail(
condition=is_32_bit and is_linux,
reason='Fails with warning on 32-bit linux')
def test_bug_5400(self):
super().test_bug_5400()
def test_bug_6139_low_tol(self):
# Linprog(method='simplex') fails to find a basic feasible solution
# if phase 1 pseudo-objective function is outside the provided tol.
# https://github.com/scipy/scipy/issues/6139
# Without ``presolve`` eliminating such rows the result is incorrect.
self.options.update({'tol': 1e-12})
with pytest.raises(AssertionError, match='linprog status 4'):
return super().test_bug_6139()
def test_bug_7237_low_tol(self):
pytest.skip("Simplex fails on this problem.")
@pytest.mark.thread_unsafe
def test_bug_8174_low_tol(self):
# Fails if the tolerance is too strict. Here, we test that
# even if the solution is wrong, the appropriate warning is issued.
self.options.update({'tol': 1e-12})
with pytest.warns(OptimizeWarning):
super().test_bug_8174()
def test_unbounded_no_nontrivial_constraints_1(self):
pytest.skip("Tests behavior specific to presolve")
def test_unbounded_no_nontrivial_constraints_2(self):
pytest.skip("Tests behavior specific to presolve")
#######################################
# Interior-Point Option-Specific Tests#
#######################################
class TestLinprogIPDense(LinprogIPTests):
options = {"sparse": False}
# see https://github.com/scipy/scipy/issues/20216 for skip reason
@pytest.mark.skipif(
sys.platform == 'darwin',
reason="Fails on some macOS builds for reason not relevant to test"
)
def test_bug_6139(self):
super().test_bug_6139()
if has_cholmod:
class TestLinprogIPSparseCholmod(LinprogIPTests):
options = {"sparse": True, "cholesky": True}
if has_umfpack:
class TestLinprogIPSparseUmfpack(LinprogIPTests):
options = {"sparse": True, "cholesky": False}
def test_network_flow_limited_capacity(self):
pytest.skip("Failing due to numerical issues on some platforms.")
class TestLinprogIPSparse(LinprogIPTests):
options = {"sparse": True, "cholesky": False, "sym_pos": False}
@pytest.mark.skipif(
sys.platform == 'darwin',
reason="Fails on macOS x86 Accelerate builds (gh-20510)"
)
@pytest.mark.xfail_on_32bit("This test is sensitive to machine epsilon level "
"perturbations in linear system solution in "
"_linprog_ip._sym_solve.")
def test_bug_6139(self):
super().test_bug_6139()
@pytest.mark.xfail(reason='Fails with ATLAS, see gh-7877')
def test_bug_6690(self):
# Test defined in base class, but can't mark as xfail there
super().test_bug_6690()
def test_magic_square_sparse_no_presolve(self):
# test linprog with a problem with a rank-deficient A_eq matrix
A_eq, b_eq, c, _, _ = magic_square(3)
bounds = (0, 1)
with suppress_warnings() as sup:
if has_umfpack:
sup.filter(UmfpackWarning)
sup.filter(MatrixRankWarning, "Matrix is exactly singular")
sup.filter(OptimizeWarning, "Solving system with option...")
o = {key: self.options[key] for key in self.options}
o["presolve"] = False
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
_assert_success(res, desired_fun=1.730550597)
def test_sparse_solve_options(self):
# checking that problem is solved with all column permutation options
A_eq, b_eq, c, _, _ = magic_square(3)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
sup.filter(OptimizeWarning, "Invalid permc_spec option")
o = {key: self.options[key] for key in self.options}
permc_specs = ('NATURAL', 'MMD_ATA', 'MMD_AT_PLUS_A',
'COLAMD', 'ekki-ekki-ekki')
# 'ekki-ekki-ekki' raises warning about invalid permc_spec option
# and uses default
for permc_spec in permc_specs:
o["permc_spec"] = permc_spec
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=o)
_assert_success(res, desired_fun=1.730550597)
class TestLinprogIPSparsePresolve(LinprogIPTests):
options = {"sparse": True, "_sparse_presolve": True}
@pytest.mark.skipif(
sys.platform == 'darwin',
reason="Fails on macOS x86 Accelerate builds (gh-20510)"
)
@pytest.mark.xfail_on_32bit("This test is sensitive to machine epsilon level "
"perturbations in linear system solution in "
"_linprog_ip._sym_solve.")
def test_bug_6139(self):
super().test_bug_6139()
def test_enzo_example_c_with_infeasibility(self):
pytest.skip('_sparse_presolve=True incompatible with presolve=False')
@pytest.mark.xfail(reason='Fails with ATLAS, see gh-7877')
def test_bug_6690(self):
# Test defined in base class, but can't mark as xfail there
super().test_bug_6690()
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class TestLinprogIPSpecific:
method = "interior-point"
# the following tests don't need to be performed separately for
# sparse presolve, sparse after presolve, and dense
def test_solver_select(self):
# check that default solver is selected as expected
if has_cholmod:
options = {'sparse': True, 'cholesky': True}
elif has_umfpack:
options = {'sparse': True, 'cholesky': False}
else:
options = {'sparse': True, 'cholesky': False, 'sym_pos': False}
A, b, c = lpgen_2d(20, 20)
res1 = linprog(c, A_ub=A, b_ub=b, method=self.method, options=options)
res2 = linprog(c, A_ub=A, b_ub=b, method=self.method) # default solver
assert_allclose(res1.fun, res2.fun,
err_msg="linprog default solver unexpected result",
rtol=2e-15, atol=1e-15)
def test_unbounded_below_no_presolve_original(self):
# formerly caused segfault in TravisCI w/ "cholesky":True
c = [-1]
bounds = [(None, 1)]
res = linprog(c=c, bounds=bounds,
method=self.method,
options={"presolve": False, "cholesky": True})
_assert_success(res, desired_fun=-1)
def test_cholesky(self):
# use cholesky factorization and triangular solves
A, b, c = lpgen_2d(20, 20)
res = linprog(c, A_ub=A, b_ub=b, method=self.method,
options={"cholesky": True}) # only for dense
_assert_success(res, desired_fun=-64.049494229)
def test_alternate_initial_point(self):
# use "improved" initial point
A, b, c = lpgen_2d(20, 20)
with suppress_warnings() as sup:
sup.filter(RuntimeWarning, "scipy.linalg.solve\nIll...")
sup.filter(OptimizeWarning, "Solving system with option...")
sup.filter(LinAlgWarning, "Ill-conditioned matrix...")
res = linprog(c, A_ub=A, b_ub=b, method=self.method,
options={"ip": True, "disp": True})
# ip code is independent of sparse/dense
_assert_success(res, desired_fun=-64.049494229)
def test_bug_8664(self):
# interior-point has trouble with this when presolve is off
c = [4]
A_ub = [[2], [5]]
b_ub = [4, 4]
A_eq = [[0], [-8], [9]]
b_eq = [3, 2, 10]
with suppress_warnings() as sup:
sup.filter(RuntimeWarning)
sup.filter(OptimizeWarning, "Solving system with option...")
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options={"presolve": False})
assert_(not res.success, "Incorrectly reported success")
########################################
# Revised Simplex Option-Specific Tests#
########################################
class TestLinprogRSCommon(LinprogRSTests):
options = {}
def test_cyclic_bland(self):
pytest.skip("Intermittent failure acceptable.")
def test_nontrivial_problem_with_guess(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=x_star)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
assert_equal(res.nit, 0)
def test_nontrivial_problem_with_unbounded_variables(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
bounds = [(None, None), (None, None), (0, None), (None, None)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=x_star)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
assert_equal(res.nit, 0)
def test_nontrivial_problem_with_bounded_variables(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
bounds = [(None, 1), (1, None), (0, None), (.4, .6)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=x_star)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
assert_equal(res.nit, 0)
def test_nontrivial_problem_with_negative_unbounded_variable(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
b_eq = [4]
x_star = np.array([-219/385, 582/385, 0, 4/10])
f_star = 3951/385
bounds = [(None, None), (1, None), (0, None), (.4, .6)]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=x_star)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
assert_equal(res.nit, 0)
def test_nontrivial_problem_with_bad_guess(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
bad_guess = [1, 2, 3, .5]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=bad_guess)
assert_equal(res.status, 6)
def test_redundant_constraints_with_guess(self):
A, b, c, _, _ = magic_square(3)
p = np.random.rand(*c.shape)
with suppress_warnings() as sup:
sup.filter(OptimizeWarning, "A_eq does not appear...")
sup.filter(RuntimeWarning, "invalid value encountered")
sup.filter(LinAlgWarning)
res = linprog(c, A_eq=A, b_eq=b, method=self.method)
res2 = linprog(c, A_eq=A, b_eq=b, method=self.method, x0=res.x)
res3 = linprog(c + p, A_eq=A, b_eq=b, method=self.method, x0=res.x)
_assert_success(res2, desired_fun=1.730550597)
assert_equal(res2.nit, 0)
_assert_success(res3)
assert_(res3.nit < res.nit) # hot start reduces iterations
class TestLinprogRSBland(LinprogRSTests):
options = {"pivot": "bland"}
############################################
# HiGHS-Simplex-Dual Option-Specific Tests #
############################################
class TestLinprogHiGHSSimplexDual(LinprogHiGHSTests):
method = "highs-ds"
options = {}
def test_lad_regression(self):
'''
The scaled model should be optimal, i.e. not produce unscaled model
infeasible. See https://github.com/ERGO-Code/HiGHS/issues/494.
'''
# Test to ensure gh-13610 is resolved (mismatch between HiGHS scaled
# and unscaled model statuses)
c, A_ub, b_ub, bnds = l1_regression_prob()
res = linprog(c, A_ub=A_ub, b_ub=b_ub, bounds=bnds,
method=self.method, options=self.options)
assert_equal(res.status, 0)
assert_(res.x is not None)
assert_(np.all(res.slack > -1e-6))
assert_(np.all(res.x <= [np.inf if ub is None else ub
for lb, ub in bnds]))
assert_(np.all(res.x >= [-np.inf if lb is None else lb - 1e-7
for lb, ub in bnds]))
###################################
# HiGHS-IPM Option-Specific Tests #
###################################
class TestLinprogHiGHSIPM(LinprogHiGHSTests):
method = "highs-ipm"
options = {}
###################################
# HiGHS-MIP Option-Specific Tests #
###################################
class TestLinprogHiGHSMIP:
method = "highs"
options = {}
@pytest.mark.fail_slow(10)
@pytest.mark.xfail(condition=(sys.maxsize < 2 ** 32 and
platform.system() == "Linux"),
run=False,
reason="gh-16347")
def test_mip1(self):
# solve non-relaxed magic square problem (finally!)
# also check that values are all integers - they don't always
# come out of HiGHS that way
n = 4
A, b, c, numbers, M = magic_square(n)
bounds = [(0, 1)] * len(c)
integrality = [1] * len(c)
res = linprog(c=c*0, A_eq=A, b_eq=b, bounds=bounds,
method=self.method, integrality=integrality)
s = (numbers.flatten() * res.x).reshape(n**2, n, n)
square = np.sum(s, axis=0)
np.testing.assert_allclose(square.sum(axis=0), M)
np.testing.assert_allclose(square.sum(axis=1), M)
np.testing.assert_allclose(np.diag(square).sum(), M)
np.testing.assert_allclose(np.diag(square[:, ::-1]).sum(), M)
np.testing.assert_allclose(res.x, np.round(res.x), atol=1e-12)
def test_mip2(self):
# solve MIP with inequality constraints and all integer constraints
# source: slide 5,
# https://www.cs.upc.edu/~erodri/webpage/cps/theory/lp/milp/slides.pdf
# use all array inputs to test gh-16681 (integrality couldn't be array)
A_ub = np.array([[2, -2], [-8, 10]])
b_ub = np.array([-1, 13])
c = -np.array([1, 1])
bounds = np.array([(0, np.inf)] * len(c))
integrality = np.ones_like(c)
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
method=self.method, integrality=integrality)
np.testing.assert_allclose(res.x, [1, 2])
np.testing.assert_allclose(res.fun, -3)
def test_mip3(self):
# solve MIP with inequality constraints and all integer constraints
# source: https://en.wikipedia.org/wiki/Integer_programming#Example
A_ub = np.array([[-1, 1], [3, 2], [2, 3]])
b_ub = np.array([1, 12, 12])
c = -np.array([0, 1])
bounds = [(0, np.inf)] * len(c)
integrality = [1] * len(c)
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
method=self.method, integrality=integrality)
np.testing.assert_allclose(res.fun, -2)
# two optimal solutions possible, just need one of them
assert np.allclose(res.x, [1, 2]) or np.allclose(res.x, [2, 2])
def test_mip4(self):
# solve MIP with inequality constraints and only one integer constraint
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html
A_ub = np.array([[-1, -2], [-4, -1], [2, 1]])
b_ub = np.array([14, -33, 20])
c = np.array([8, 1])
bounds = [(0, np.inf)] * len(c)
integrality = [0, 1]
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, bounds=bounds,
method=self.method, integrality=integrality)
np.testing.assert_allclose(res.x, [6.5, 7])
np.testing.assert_allclose(res.fun, 59)
def test_mip5(self):
# solve MIP with inequality and inequality constraints
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html
A_ub = np.array([[1, 1, 1]])
b_ub = np.array([7])
A_eq = np.array([[4, 2, 1]])
b_eq = np.array([12])
c = np.array([-3, -2, -1])
bounds = [(0, np.inf), (0, np.inf), (0, 1)]
integrality = [0, 1, 0]
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method,
integrality=integrality)
np.testing.assert_allclose(res.x, [0, 6, 0])
np.testing.assert_allclose(res.fun, -12)
# gh-16897: these fields were not present, ensure that they are now
assert res.get("mip_node_count", None) is not None
assert res.get("mip_dual_bound", None) is not None
assert res.get("mip_gap", None) is not None
@pytest.mark.xslow
def test_mip6(self):
# solve a larger MIP with only equality constraints
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html
A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
[39, 16, 22, 28, 26, 30, 23, 24],
[18, 14, 29, 27, 30, 38, 26, 26],
[41, 26, 28, 36, 18, 38, 16, 26]])
b_eq = np.array([7872, 10466, 11322, 12058])
c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
bounds = [(0, np.inf)]*8
integrality = [1]*8
res = linprog(c=c, A_eq=A_eq, b_eq=b_eq, bounds=bounds,
method=self.method, integrality=integrality)
np.testing.assert_allclose(res.fun, 1854)
@pytest.mark.xslow
def test_mip_rel_gap_passdown(self):
# MIP taken from test_mip6, solved with different values of mip_rel_gap
# solve a larger MIP with only equality constraints
# source: https://www.mathworks.com/help/optim/ug/intlinprog.html
A_eq = np.array([[22, 13, 26, 33, 21, 3, 14, 26],
[39, 16, 22, 28, 26, 30, 23, 24],
[18, 14, 29, 27, 30, 38, 26, 26],
[41, 26, 28, 36, 18, 38, 16, 26]])
b_eq = np.array([7872, 10466, 11322, 12058])
c = np.array([2, 10, 13, 17, 7, 5, 7, 3])
bounds = [(0, np.inf)]*8
integrality = [1]*8
mip_rel_gaps = [0.5, 0.25, 0.01, 0.001]
sol_mip_gaps = []
for mip_rel_gap in mip_rel_gaps:
res = linprog(c=c, A_ub=A_ub, b_ub=b_ub, A_eq=A_eq, b_eq=b_eq,
bounds=bounds, method=self.method,
integrality=integrality,
options={"mip_rel_gap": mip_rel_gap})
final_mip_gap = res["mip_gap"]
# assert that the solution actually has mip_gap lower than the
# required mip_rel_gap supplied
assert final_mip_gap <= mip_rel_gap
sol_mip_gaps.append(final_mip_gap)
# make sure that the mip_rel_gap parameter is actually doing something
# check that differences between solution gaps are declining
# monotonically with the mip_rel_gap parameter. np.diff does
# x[i+1] - x[i], so flip the array before differencing to get
# what should be a positive, monotone decreasing series of solution
# gaps
gap_diffs = np.diff(np.flip(sol_mip_gaps))
assert np.all(gap_diffs >= 0)
assert not np.all(gap_diffs == 0)
def test_semi_continuous(self):
# See issue #18106. This tests whether the solution is being
# checked correctly (status is 0) when integrality > 1:
# values are allowed to be 0 even if 0 is out of bounds.
c = np.array([1., 1., -1, -1])
bounds = np.array([[0.5, 1.5], [0.5, 1.5], [0.5, 1.5], [0.5, 1.5]])
integrality = np.array([2, 3, 2, 3])
res = linprog(c, bounds=bounds,
integrality=integrality, method='highs')
np.testing.assert_allclose(res.x, [0, 0, 1.5, 1])
assert res.status == 0
def test_bug_20584(self):
"""
Test that when integrality is a list of all zeros, linprog gives the
same result as when it is an array of all zeros / integrality=None
"""
c = [1, 1]
A_ub = [[-1, 0]]
b_ub = [-2.5]
res1 = linprog(c, A_ub=A_ub, b_ub=b_ub, integrality=[0, 0])
res2 = linprog(c, A_ub=A_ub, b_ub=b_ub, integrality=np.asarray([0, 0]))
res3 = linprog(c, A_ub=A_ub, b_ub=b_ub, integrality=None)
assert_equal(res1.x, res2.x)
assert_equal(res1.x, res3.x)
###########################
# Autoscale-Specific Tests#
###########################
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class AutoscaleTests:
options = {"autoscale": True}
test_bug_6139 = LinprogCommonTests.test_bug_6139
test_bug_6690 = LinprogCommonTests.test_bug_6690
test_bug_7237 = LinprogCommonTests.test_bug_7237
class TestAutoscaleIP(AutoscaleTests):
method = "interior-point"
def test_bug_6139(self):
self.options['tol'] = 1e-10
return AutoscaleTests.test_bug_6139(self)
class TestAutoscaleSimplex(AutoscaleTests):
method = "simplex"
class TestAutoscaleRS(AutoscaleTests):
method = "revised simplex"
def test_nontrivial_problem_with_guess(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=x_star)
_assert_success(res, desired_fun=f_star, desired_x=x_star)
assert_equal(res.nit, 0)
def test_nontrivial_problem_with_bad_guess(self):
c, A_ub, b_ub, A_eq, b_eq, x_star, f_star = nontrivial_problem()
bad_guess = [1, 2, 3, .5]
res = linprog(c, A_ub, b_ub, A_eq, b_eq, bounds,
method=self.method, options=self.options, x0=bad_guess)
assert_equal(res.status, 6)
###########################
# Redundancy Removal Tests#
###########################
@pytest.mark.filterwarnings("ignore::DeprecationWarning")
class RRTests:
method = "interior-point"
LCT = LinprogCommonTests
# these are a few of the existing tests that have redundancy
test_RR_infeasibility = LCT.test_remove_redundancy_infeasibility
test_bug_10349 = LCT.test_bug_10349
test_bug_7044 = LCT.test_bug_7044
test_NFLC = LCT.test_network_flow_limited_capacity
test_enzo_example_b = LCT.test_enzo_example_b
class TestRRSVD(RRTests):
options = {"rr_method": "SVD"}
class TestRRPivot(RRTests):
options = {"rr_method": "pivot"}
class TestRRID(RRTests):
options = {"rr_method": "ID"}
|