An open-source stochastic programming solver. H.I. Gassmann, Dalhousie University J. Ma, JTechnologies R.K. Martin, The University of Chicago

Transcription

1 An open-source stochastic programming solver H.I. Gassmann, Dalhousie University J. Ma, JTechnologies R.K. Martin, The University of Chicago ICSP 2013

2 Overview Open source software COIN-OR Optimization Services Implementation details Further work Outline

3 Overview Many solvers for deterministic programming LP, IP, NLP, Commercial (Cplex, Gurobi, ) and open-source (Glpk, Cbc, Ipopt, ) Few solvers for stochastic programming Large problems benefit from special treatment OS-SP built on COIN-OR projects

4 Open Source Software Source code is made available under a license, e.g. GNU Public License Eclipse Public License License covers rights such as Redistributing derived products Distribution of binaries Business model for the author Contracts for services, consulting, maintenance Faster distribution and market penetration Advantages for educational institutions The price is right Modifications and enhancements aid research

5 Where to get More than 50,000 packages Focussed on operating systems and utilities Specializing in operations research software

6 COIN-OR COmputational INfrastructure for Operations Research Launched by IBM in 2000 Now a non-profit educational foundation A collection of inter-operable tools and libraries for building optimization software Close to 50 separate projects Most written in C++ Most distributed under the EPL

7 Some COIN-OR projects Linear programming (Clp, DyLP) Integer programming (Cbc, SYMPHONY) Nonlinear (convex) programming (Ipopt) Nonlinear integer programming (Bonmin) Nonconvex programming (Couenne) Optimization Services (OS) Modelling support (CMPL, FlopC++, SMI, PuLP) Utilities (CoinUtils, OSI, CppAD, SMI)

8 Availability Most COIN-OR projects are available as standalone executables Source and executables can be downloaded from Supported on Linux, Windows, MacOS

9 The Optimization Services (OS) project Web-aware framework that connects algebraic modelling languages and optimization solvers XML-based standards for representing optimization instances (OSiL), optimization results (OSrL), optimization solver options (OSoL), etc. COIN-OR project that implements the standards A robust API for both solver algorithms and modeling systems A command line executable OSSolverService OSAmplClient, an executable to work with the AMPL modeling language Utilities that convert MPS files and AMPL nl files into OSiL Server software that works with Apache Tomcat and Apache Axis

10 Solvers User interface AML Data interchange Corporate databases

11 Why Optimization Services? Optimization services is needed because there is/are: Numerous modeling languages each with their own format for storing the underlying model. Numerous solvers each with its own application program interface (API). Numerous operating system, hardware, and programming language combinations. No standard for representing problem instances, especially nonlinear optimization instances. No standard for representing solver options and results.

12 Why XML? Existing parsers to check syntax Easy to generate automatically Tree structure naturally mirrors expression trees for nonlinear functions Automatic attribute checking (e.g., nonnegativity) Easy and natural transcription into in-memory objects Encryption standards being developed Easy integration into broader IT infrastructure Extensible as needed Schema guards against proliferation of dialects

13 Solver support All versions of OS download with COIN-OR solvers Clp Cbc DyLP Ipopt Bonmin Couenne Symphony Additional support Cplex GLPK Lindo Matlab

14 AML support OS can handle instances formulated in AMPL GAMS MPS CMPL (M. Steglich COIN-OR project)

15 OS-SP overview Built on COIN-OR architecture Clp, Cbc, Ipopt, SMI, OS, Input formats supported SMPS (using COIN-OR project SMI) OSiL Algorithms Deterministic equivalent Nested Benders decomposition Sampling algorithms Problem or components can be solved remotely (using OS)

16 The OSiL format..

17 The OSiL format (cont d)

18 Download Binaries How to get OS OS win32-msvc9.zip OS linux-x86_64-gcc4.3.2.tgz Stable source OS tgz OS zip Development version (using svn) svn co svn co

19 QUESTIONS?