oppr (version 1.0.2)

add_gurobi_solver: Add a Gurobi solver

Description

Specify that the Gurobi software should be used to solve a project prioritization problem. This function can also be used to customize the behavior of the solver. In addition to the Gurobi software suite, it also requires the gurobi package to be installed.

Usage

add_gurobi_solver(
  x,
  gap = 0,
  number_solutions = 1,
  solution_pool_method = 2,
  time_limit = .Machine$integer.max,
  presolve = 2,
  threads = 1,
  first_feasible = 0,
  verbose = TRUE
)

Arguments

x

ProjectProblem-class object.

gap

numeric gap to optimality. This gap is relative when solving problems using gurobi, and will cause the optimizer to terminate when the difference between the upper and lower objective function bounds is less than the gap times the upper bound. For example, a value of 0.01 will result in the optimizer stopping when the difference between the bounds is 1 percent of the upper bound. For other solvers, this is the absolute gap, so if the optimal value for a maximization problem is 10, a gap of 0.01 means that a solution between 10 and 10.01 is required. Defaults to 0, so that optimal solutions will be returned.

number_solutions

integer number of solutions desired. Defaults to 1. Note that the number of returned solutions can sometimes be less than the argument to number_solutions depending on the argument to solution_pool_method, for example if 100 solutions are requested but only 10 unique solutions exist, then only 10 solutions will be returned.

solution_pool_method

numeric search method identifier that determines how multiple solutions should be generated. Available search modes for generating a portfolio of solutions include: 0 recording all solutions identified whilst trying to find a solution that is within the specified optimality gap, 1 finding one solution within the optimality gap and a number of additional solutions that are of any level of quality (such that the total number of solutions is equal to number_solutions), and 2 finding a specified number of solutions that are nearest to optimality. For more information, see the Gurobi manual (i.e. http://www.gurobi.com/documentation/8.0/refman/poolsearchmode.html#parameter:PoolSearchMode). Defaults to 2.

time_limit

numeric time limit in seconds to run the optimizer. The solver will return the current best solution when this time limit is exceeded.

presolve

integer number indicating how intensively the solver should try to simplify the problem before solving it. The default value of 2 indicates to that the solver should be very aggressive in trying to simplify the problem.

threads

integer number of threads to use for the optimization algorithm. The default value of 1 will result in only one thread being used.

first_feasible

logical should the first feasible solution be be returned? If first_feasible is set to TRUE, the solver will return the first solution it encounters that meets all the constraints, regardless of solution quality. Note that the first feasible solution is not an arbitrary solution, rather it is derived from the relaxed solution, and is therefore often reasonably close to optimality. Defaults to FALSE.

verbose

logical should information be printed while solving optimization problems?

Value

ProjectProblem-class object with the solver added to it.

Details

Gurobi is a state-of-the-art commercial optimization software with an R package interface. It is by far the fastest of the solvers supported by this package, however, it is also the only solver that is not freely available. That said, licenses are available to academics at no cost. The gurobi package is distributed with the Gurobi software suite. This solver uses the gurobi package to solve problems.

To install the gurobi package, the Gurobi optimization suite will first need to be installed (see instructions for Linux, Mac OSX, and Windows operating systems). Although Gurobi is a commercial software, academics can obtain a special license for no cost. After installing the Gurobi optimization suite, the gurobi package can then be installed (see instructions for Linux, Mac OSX, and Windows operating systems).

See Also

solvers.

Examples

# NOT RUN {
# load data
data(sim_projects, sim_features, sim_actions)

# build problem
p1 <- problem(sim_projects, sim_actions, sim_features,
             "name", "success", "name", "cost", "name") %>%
     add_max_richness_objective(budget = 200) %>%
     add_binary_decisions()

# build another problem, and specify the Gurobi solver
p2 <- p1 %>%
      add_gurobi_solver()

# print problem
print(p2)

# solve problem
s2 <- solve(p2)

# print solution
print(s2)

# plot solution
plot(p2, s2)

# build another problem and obtain multiple solutions
# note that this problem doesn't have 100 unique solutions so
# the solver won't return 100 solutions
p3 <- p1 %>%
      add_gurobi_solver(number_solutions = 100)

# print problem
print(p3)

# solve problem
s3 <- solve(p3)

# print solutions
print(s3)
# }