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