65 lines
2.3 KiB
Mathematica
65 lines
2.3 KiB
Mathematica
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function model = mpt_de_mpmilp(Matrices,options,model)
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% Since we are recursively fixing binaries, big-M
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% constraints will get active/inactive
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[equalities,redundant] = mpt_detect_fixed_rows(Matrices);
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if ~isempty(equalities)
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Matrices.Aeq = [Matrices.Aeq;Matrices.G(equalities,:)];
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Matrices.Beq = [Matrices.Beq;-Matrices.E(equalities,:)];
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Matrices.beq = [Matrices.beq;Matrices.W(equalities,:)];
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redundant = [redundant;equalities];
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end
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if ~isempty(redundant)
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Matrices.G(redundant,:) = [];
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Matrices.W(redundant,:) = [];
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Matrices.E(redundant,:) = [];
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end
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if all(Matrices.lb(Matrices.binary_var_index) == Matrices.ub(Matrices.binary_var_index))
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% Ok, we reached a node
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model = mpt_solvenode(Matrices,Matrices.lb,Matrices.ub,Matrices,model,options);
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else
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% Find a non-fixed binary variable
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j = find(Matrices.lb(Matrices.binary_var_index) < Matrices.ub(Matrices.binary_var_index));
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j = Matrices.binary_var_index(j(1));
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% Solve up
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M = Matrices;
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M.lb(j) = 1;
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M.ub(j) = 1;
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if ~isempty(Matrices.SOSVariables)
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for i = 1:length(Matrices.SOS)
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if ismember(j, Matrices.binary_var_index(Matrices.SOS{i}))
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other = setdiff(Matrices.binary_var_index(Matrices.SOS{i}),j);
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M.lb(other) = 0;
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M.ub(other) = 0;
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end
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end
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end
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% Simple bound tightening
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A = [Matrices.G -Matrices.E;Matrices.Aeq Matrices.Beq;-Matrices.Aeq -Matrices.Beq];
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b = [Matrices.W;Matrices.beq;Matrices.beq];
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[M.lb,M.ub,redundant,psstruct,infeasible] = tightenbounds(A,b,M.lb,M.ub,[],Matrices.binary_var_index,1:length(Matrices.lb));
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if any(M.lb(end-M.nx+1:end) >= M.ub(end-M.nx+1:end))
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infeasible = 1;
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end
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if ~infeasible
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model = mpt_de_mpmilp(M,options,model);
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end
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% Solve down
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M = Matrices;
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M.lb(j) = 0;
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M.ub(j) = 0;
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% [Matrices.lb(Matrices.binary_var_index) Matrices.ub(Matrices.binary_var_index)]
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[M.lb,M.ub,redundant,psstruct,infeasible] = tightenbounds(A,b,M.lb,M.ub,[],Matrices.binary_var_index,1:length(Matrices.lb));
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if any(M.lb(end-M.nx+1:end) >= M.ub(end-M.nx+1:end))
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infeasible = 1;
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end
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if ~infeasible
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model = mpt_de_mpmilp(M,options,model);
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end
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end
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