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Add fix_integer and relax_integer options to miqps_master()
And move the implementations from mp.opt_model.solve() to miqps_master().
1 parent 9631de6 commit dfdf3de

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Lines changed: 84 additions & 24 deletions

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‎CHANGES.md‎

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@@ -5,6 +5,10 @@ Change history for MP-Opt-Model
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since version 5.0
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-----------------
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#### 10/28/25
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- Add `fix_integer` and `relax_integer` options to `miqps_master()` and move
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the implementations from `mp.opt_model.solve()` to `miqps_master()`.
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#### 10/21/25
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- Add `fix_integer` option for `mp.opt_model.solve()`. Set to true to fix
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any integer variables to their initial values, as specified in ``x0`` or

‎docs/src/MP-Opt-Model-manual/MP-Opt-Model-manual.tex‎

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@@ -6718,7 +6718,8 @@ \subsection{Version 5.1 -- released ??? ?, 202?}
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\subsubsection*{New Features}
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\begin{itemize}
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\item New \code{fix\_integer} option for \code{mp.opt\_model.solve()}. Set to true to fix any integer variables to their initial values, as specified in \code{x0} or \code{opt.x0}.
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\item New \code{fix\_integer} option for \code{miqps\_master()} and \code{mp.opt\_model.solve()}. Set to true to fix any integer variables to their initial values, as specified in \code{x0} or \code{opt.x0}.
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\item Add \code{relax\_integer} option to \code{miqps\_master()} and move the implementation from \code{mp.opt\_model.solve()}.
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\item New functions:
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\begin{itemize}
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\item \code{foobar()} does whizbang.

‎lib/+mp/opt_model.m‎

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@@ -659,16 +659,16 @@
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% nleqs_newton
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% - ``osqp_opt`` - options struct for OSQP
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% - ``quadprog_opt`` - options struct for :func:`quadprog`
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% - ``fix_integer`` (0) - fix integer variables at value in
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% ``x0``, if true
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% - ``relax_integer`` (0) - relax integer constraints, if true
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% - ``parse_soln`` (0) - flag that specifies whether or not
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% to call the parse_soln() method and place the return values
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% in ``mm.soln``.
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% - ``price_stage_warn_tol`` (1e-7) - tolerance on
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% objective fcn value and primal variable relative match
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% required to avoid mismatch warning message if mixed
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% integer price computation stage is not skipped
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% - ``relax_integer`` (0) - relax integer constraints, if true
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% - ``fix_integer`` (0) - fix integer variables at value in
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% ``x0``, if true
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% - ``skip_prices`` (0) - flag that specifies whether or not
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% to skip the price computation stage for mixed integer
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% problems, in which the problem is re-solved for only the
@@ -1126,13 +1126,13 @@ function display(mm, varargin)
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x0 = opt.x0;
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end
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1129-
if isfield(opt, 'fix_integer') && opt.fix_integer
1130-
%% fix integer variables
1131-
j = find(vtype == 'B' | vtype == 'I')';
1132-
xmin(j) = x0(j);
1133-
xmax(j) = x0(j);
1134-
mixed_integer = false;
1135-
end
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% if isfield(opt, 'fix_integer') && opt.fix_integer
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% %% fix integer variables
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% j = find(vtype == 'B' | vtype == 'I')';
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% xmin(j) = x0(j);
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% xmax(j) = x0(j);
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% mixed_integer = false;
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% end
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else
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%% optimization vars, bounds, types
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[x0, xmin, xmax] = mm.var.params();

‎lib/@opt_model/solve.m‎

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@@ -84,14 +84,14 @@
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% newton_opt - options struct for Newton method, NLEQS_NEWTON
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% osqp_opt - options struct for OSQP
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% quadprog_opt - options struct for QUADPROG
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% fix_integer (0) - fix integer variables at value in x0, if true
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% relax_integer (0) - relax integer constraints, if true
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% parse_soln (0) - flag that specifies whether or not to call
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% the PARSE_SOLN method and place the return values in OM.soln.
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% price_stage_warn_tol (1e-7) - tolerance on the objective fcn
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% value and primal variable relative match required to avoid
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% mis-match warning message if mixed integer price computation
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% stage is not skipped
93-
% relax_integer (0) - relax integer constraints, if true
94-
% fix_integer (0) - fix integer variables at value in x0, if true
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% skip_prices (0) - flag that specifies whether or not to skip the
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% price computation stage for mixed integer problems, in which
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% the problem is re-solved for only the continuous variables,
@@ -296,13 +296,13 @@
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x0 = opt.x0;
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end
298298

299-
if isfield(opt, 'fix_integer') && opt.fix_integer
300-
%% fix integer variables
301-
j = find(vtype == 'B' | vtype == 'I')';
302-
xmin(j) = x0(j);
303-
xmax(j) = x0(j);
304-
mixed_integer = false;
305-
end
299+
% if isfield(opt, 'fix_integer') && opt.fix_integer
300+
% %% fix integer variables
301+
% j = (vtype == 'B' | vtype == 'I')';
302+
% xmin(j) = x0(j);
303+
% xmax(j) = x0(j);
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% mixed_integer = false;
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% end
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else
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%% optimization vars, bounds, types
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[x0, xmin, xmax] = om.var.params();

‎lib/miqps_master.m‎

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@@ -52,6 +52,8 @@
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% 0 = no progress output
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% 1 = some progress output
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% 2 = verbose progress output
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% fix_integer (0) - fix integer variables at value in x0, if true
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% relax_integer (0) - relax integer constraints, if true
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% skip_prices (0) - flag that specifies whether or not to
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% skip the price computation stage, in which the problem
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% is re-solved for only the continuous variables, with all
@@ -109,7 +111,7 @@
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% [x, f, exitflag, output] = miqps_master(...)
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% [x, f, exitflag, output, lambda] = miqps_master(...)
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%
112-
% Example: (problem from %% from MOSEK 6.0 Guided Tour, section 7.13.1
114+
% Example: (problem from MOSEK 6.0 Guided Tour, section 7.13.1
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% https://docs.mosek.com/6.0/toolbox/node009.html)
114116
% c = [-2; -3];
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% A = sparse([195 273; 4 40]);
@@ -236,6 +238,35 @@
236238
end
237239
end
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241+
%% handle relax_integer and fix_integer options
242+
if ~isempty(vtype) && (isfield(opt, 'relax_integer') && opt.relax_integer || ...
243+
isfield(opt, 'fix_integer') && opt.fix_integer)
244+
nx = length(x0);
245+
if length(vtype) == 1 %% expand if necessary
246+
vtype = char(vtype * ones(1, nx));
247+
end
248+
j = (vtype == 'B' | vtype == 'I')';
249+
if isfield(opt, 'fix_integer') && opt.fix_integer
250+
%% fix integer variables
251+
if ~isempty(j)
252+
%% expand if necessary
253+
if length(xmin) == 1
254+
xmin = xmin * ones(nx, 1);
255+
elseif isempty(xmin)
256+
xmin = -Inf(nx, 1);
257+
end
258+
if length(xmax) == 1
259+
xmax = xmax * ones(nx, 1);
260+
elseif isempty(xmax)
261+
xmax = Inf(nx, 1);
262+
end
263+
xmin(j) = x0(j);
264+
xmax(j) = x0(j);
265+
end
266+
end
267+
vtype(j) = 'C';
268+
end
269+
239270
%%----- call the appropriate solver -----
240271
switch alg
241272
case 'CPLEX'

‎lib/mpomver.m‎

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@@ -26,7 +26,7 @@
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v = struct( 'Name', 'MP-Opt-Model', ...
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'Version', '5.1-dev', ...
2828
'Release', '', ...
29-
'Date', '21-Oct-2025' );
29+
'Date', '28-Oct-2025' );
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if nargout > 0
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if nargin > 0
3232
rv = v;

‎lib/t/t_miqps_master.m‎

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@@ -26,7 +26,7 @@ function t_miqps_master(quiet)
2626
does_miqp(1) = 1;
2727
end
2828

29-
n = 62;
29+
n = 83;
3030
nqp = 28;
3131
nmiqp = 11;
3232
t_begin(n*length(algs), quiet);
@@ -94,6 +94,10 @@ function t_miqps_master(quiet)
9494
end
9595
opt.mosek_opt = mosek_options([], mpopt);
9696
end
97+
opt_r = opt;
98+
opt_r.relax_integer = 1;
99+
opt_f = opt;
100+
opt_f.fix_integer = 1;
97101

98102
t = sprintf('%s - 3-d LP : ', names{k});
99103
%% based on example from 'doc linprog'
@@ -205,6 +209,13 @@ function t_miqps_master(quiet)
205209
t_is(x, [4; 2], 12, [t 'x']);
206210
t_is(f, -14, 12, [t 'f']);
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212+
t = sprintf('%s - 2-d ILP (integer relaxed) : ', names{k});
213+
p.opt = opt_r;
214+
[x, f, s, out, lam] = miqps_master(p);
215+
t_is(s, 1, 12, [t 'success']);
216+
t_is(x, [2.441860465; 3.255813953], 8, [t 'x']);
217+
t_is(f, -14.651162791, 8, [t 'f']);
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208219
t = sprintf('%s - 6-d ILP : ', names{k});
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%% from https://doi.org/10.1109/TASE.2020.2998048
210221
c = [1; 2; 3; 1; 2; 3];
@@ -287,9 +298,22 @@ function t_miqps_master(quiet)
287298
t_is(s, 1, 12, [t 'exitflag']);
288299
t_is(x, ex(:, Scenario), 12, [t 'x']);
289300
t_is(f, ef(Scenario, 1), 12, [t 'f']);
301+
302+
t = sprintf('%s - 14-d MILP Scenario %d (integer relaxed) : ', names{k}, Scenario);
303+
[x, f, s, out, lam] = miqps_master(HH, cc, A, l, u, xl, xu, x0, vt, opt_r);
304+
t_is(s, 1, 12, [t 'exitflag']);
305+
t_is(x, ex(:, 4), 12, [t 'x']);
306+
t_is(f, ef(Scenario, 2), 12, [t 'f']);
307+
308+
t = sprintf('%s - 14-d MILP Scenario %d (integer fixed) : ', names{k}, Scenario);
309+
x0 = ones(size(x));
310+
[x, f, s, out, lam] = miqps_master(HH, cc, A, l, u, xl, xu, x0, vt, opt_f);
311+
t_is(s, 1, 12, [t 'exitflag']);
312+
t_is(x, ex(:, 3), 12, [t 'x']);
313+
t_is(f, ef(Scenario, 3), 12, [t 'f']);
290314
end
291315
else
292-
t_skip(9, sprintf('%s : mp.opt_model not available', names{k}));
316+
t_skip(27, sprintf('%s : mp.opt_model not available', names{k}));
293317
end
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