---
title: "Linear programming with Clp"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{Linear programming with Clp}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r setup, include = FALSE}
knitr::opts_chunk$set(collapse = TRUE, comment = "#>")
library(coinclp)
```

Clp is the linear programming code of the COIN-OR project: a simplex
implementation with a barrier alternative, presolve, and warm starts. This
package binds its callable library.

```{r version}
clp_version()$version
```

## Solving a problem in one call

A small product mix problem. Two products, three resource constraints,
maximise the contribution.

```{r solve}
A <- rbind(material = c(120, 210),
           labour   = c(110,  30),
           capacity = c(  1,   1))
b <- c(15000, 4000, 75)

fit <- clp_solve(c(143, 60), A, "<=", b, max = TRUE,
                 col_names = c("x", "y"), row_names = rownames(A))
fit
```

The solution, the shadow prices and the reduced costs come back together.

```{r solution}
fit$solution
fit$duals
fit$reduced_costs
```

A zero dual marks a resource that is not binding: here the material
constraint has slack, while labour and capacity are tight.

```{r activity}
data.frame(row = rownames(A), activity = fit$row_activity, limit = b,
           dual = fit$duals)
```

### Ranged constraints and free variables

`dir` and `rhs` cover one-sided rows. For a row bounded on both sides, give
`row_lower` and `row_upper` instead. Variable bounds default to `[0, Inf)`
and are set with `lower` and `upper`; `-Inf` makes a variable free.

```{r ranged}
clp_solve(c(1, 1), rbind(c(1, 1)),
          row_lower = 2, row_upper = 5,
          lower = -Inf, upper = Inf)$objval
```

### Sparse input

Real models are sparse. Any of a `Matrix` sparse matrix, a
`slam::simple_triplet_matrix` or plain triplets can be passed straight in;
nothing is densified on the way to the solver.

```{r sparse, eval = requireNamespace("Matrix", quietly = TRUE)}
set.seed(1)
big <- Matrix::rsparsematrix(200, 500, density = 0.01)
res <- clp_solve(rep(1, 500), big, ">=", rep(-1, 200), lower = 0, upper = 10)
res$status_message
```

## Keeping a model

`clp_solve()` builds a model, solves it and throws it away. When a problem
is solved repeatedly with small changes -- a parametric study, a column
generation loop, a rolling horizon -- build the model once and re-solve it,
so Clp can start from the basis it already has.

```{r model}
model <- clp_model()
clp_set_log_level(model, 0)
clp_load_problem(model, ncols = 2, nrows = 3,
                 start = c(0L, 3L, 6L),
                 index = c(0L, 1L, 2L, 0L, 1L, 2L),
                 value = c(120, 110, 1, 210, 30, 1),
                 obj   = c(-143, -60),
                 rowub = b)
clp_initial_solve(model)
c(objective = clp_objective_value(model), iterations = clp_iterations(model))
```

The problem is loaded column by column in compressed sparse column form:
`start` says where each column begins, `index` holds 0-based row positions
and `value` the coefficients. Because the low level functions follow the C
API, positions are 0-based here, as in the Clp documentation. Maximisation
is expressed by negating the objective, or by
`clp_set_optimization_direction(model, -1)`.

### Warm starts

Keep the basis, change the model, hand the basis back:

```{r warmstart}
basis <- clp_status_array(model)

clp_set_row_upper(model, c(15000, 4000, 70))
clp_copyin_status(model, basis)
clp_dual_simplex(model)

c(objective = clp_objective_value(model), iterations = clp_iterations(model))
```

The re-solve takes no iterations at all: the old basis is still optimal for
the tightened problem.

### Choosing the algorithm

```{r algorithms}
for (alg in c("auto", "primal", "dual", "barrier")) {
    fit <- clp_solve(c(143, 60), A, "<=", b, max = TRUE,
                     control = clp_control(algorithm = alg))
    cat(sprintf("%-8s %.4f\n", alg, fit$objval))
}
```

`clp_control()` also carries the tolerances, the iteration and time limits,
the scaling mode and whether to presolve. For finer control over presolve
there is a `clp_options()` object with the individual transformations
(`clp_options_set_do_dupcol()` and friends), passed to
`clp_initial_solve_with_options()`.

## MPS files

```{r mps}
path <- system.file("extdata", "productmix.mps", package = "coinclp")
from_file <- clp_model()
clp_set_log_level(from_file, 0)
clp_read_mps(from_file, path)
clp_col_names(from_file)
clp_initial_solve(from_file)
clp_objective_value(from_file)
```

Writing works the other way with `clp_write_mps()`. Clp only gained an MPS
writer in its C API after the 1.17 series, so on a Clp without one -- the
version Rtools ships, for instance -- the package writes the file itself.
`clp_features()` says which entry points the current build has.

```{r features}
clp_features()
```

```{r cleanup, include = FALSE}
clp_free(model)
clp_free(from_file)
```

## Coming from clpAPI

The archived clpAPI package is reproduced function for function, so code
written against it runs here unchanged.

```{r compat}
lp <- initProbCLP()
setLogLevelCLP(lp, 0)
loadProblemCLP(lp, 2, 3, c(0, 3, 6), c(0, 1, 2, 0, 1, 2),
               c(120, 110, 1, 210, 30, 1),
               lb = c(0, 0), ub = c(1e30, 1e30), obj_coef = c(143, 60),
               rlb = rep(-1e30, 3), rub = b)
setObjDirCLP(lp, -1)
solveInitialCLP(lp)
status_codeCLP(getSolStatusCLP(lp))
getObjValCLP(lp)
delProbCLP(lp)
```

Note that clpAPI used 1e30 for an infinite bound, which is Clp's own
convention and what `clp_inf()` returns. The `clp_solve()` interface accepts
`Inf` and converts it.