General information on HOPDM code
This is a short information on the HOPDM library of routines for
solving large-scale linear programs with interior point methods.
HOPDM stands for Higher Order Primal-Dual Method.
The code implements a primal-dual logarithmic barrier (interior point)
method with multiple correctors of centrality, i.e. the algorithm proposed
in the following paper of Jacek Gondzio: "Multiple centrality corrections
in a primal-dual method for linear programming", Computational Optimization
and Applications 6 (1996) pp. 137-156.
Additionally, the code offers several useful options, like e.g.
a sophisticated presolve routine, a fast sparsity-exploiting Cholesky
decomposition, etc., that are all carefully documented in the references.
USE OF HOPDM
The simplest usage of the library is to apply it as a stand-alone
LP solver that reads LP data (in a widely accepted MPS format),
solves the problem and prints the output (in an MPS-like format).
This, in fact, reflects the structure of the main (HMAIN2.F) routine.
This routine calls the following subroutines of the library:
RDSPEC read the problem specifications (several example SPECS
files are included eg, for the smallest Netlib problems:
AFIRO, ADLITTLE, ...)
RDMPS1 read the MPS-formatted LP data. This routine only reads
the problem but it does nothing else to it. You can
replace it with any other (presumably faster) routine to
read different disc file or to directly generate LP data
structures in internal format of HOPDM. This internal
format is simplified (at this point) just to a collection
of sparse columns of matrix A, explicit LOWER and UPPER
bounds, explicit indication of the OBJECTIVE row and
the RHS vector).
RDMPS2 transforms the LP data of the above mentioned format
to internal data structures used by the HOPDM library.
(Differently to the simplex method, interior point codes
require comfortable access to both rows and columns of A.)
Here slacks, surplus and artificials are added, FREE
variables are split, etc.
PRESOL performs an advanced pre_solve analysis of the problem.
In particular, it
cleans the LP matrix:
- determines (and later tightens) bounds on shadow prices,
- eliminates dominated (and weakly dominated) variables,
- eliminates singleton rows,
- eliminates singleton columns (implied FREE variables),
- finds identical columns and aggregates them,
- finds hidden split FREE variables,
- eliminates redundant (dominated or forcing) constraints,
- tightens bounds on variables,
makes the LP matrix sparser:
- pivots out some nonzero entries of A,
makes the LP matrix better suited for Cholesky fact.:
- splits dense columns into shorter pieces.
You may comment out the call of PRESOL routine, but it
usually causes some loss (10-30%) of the HOPDM efficiency.
PREPRO performs preprocessing for the Cholesky decomposition.
In particular, it:
- builds an adjacency structure of A*Atranspose matrix,
- finds an ordering that minimizes the number of nonzero
entries in a Cholesky factor,
- reorders rows of A (and all data associated to rows,
such as RANGES, RHS etc.) according to the permutation
resulting from the minimum degree ordering,
- prepares data structures for sparse Cholesky decomposition
(i.e. it does the symbolic factorization).
You MUST call this routine prior to calling PCPDM solver.
SCALEA scales the LP constraint matrix. Simple geometric scaling
is repeated twice on the matrix A. RSCALE and CSCALE
vectors handle the resulting row and column scaling factors,
You DO NOT HAVE TO call this routine. What is necessary,
however, is to initialize scaling factors (to ones).
Scaling in 95% of cases improves the numerical properties
of the problem to be solved so it is justified to call it.
PCPDM (Higher Order Primal-Dual Method) solves the LP problem.
This routine implements a primal-dual algorithm with multiple
unscales the LP problem. You HAVE TO call this routine
even if you have earlier disabled scaling.
POSTSL performs post-solve analysis, i.e., it undoes all the
problem modifications that have been done in a PRESOL
routine. You HAVE TO call this routine if you earlier
called PRESOL. (Otherwise, the solution is printed in
a modified form, with e.g. bounds pushed and may not
be really readable).
WRTSOL writes an MPS-like formatted solution.
Generally speaking, all routines of the HOPDM library are well
documented source files. To deeply understand some functions,
however, you may find it necessary to consult the appropriate
publications (their list is almost always supplied in a source
code of each routine).
COMPILING THE PROGRAM
To compile and link the program you have to place all the source
routines (*.f files) in the current directory and run make command.
An example 'makefile' for SUN SPARC workstations is included.
However, you may have to modify it appropriately for your computer.
In particular, you may have to change the name of FORTRAN
In principle, HOPDM should be easy to port to any platform.
However, you may have some problems with the routines that
measure the elapsed time. If this is the case, please change
the call in MYTIME routine to the one that is appropriate for
your system (or add two C routines written by David Gay and
supplied in FTIME.c source file).
RUNNING THE PROGRAM
To run the program you need at least two files to be present
in a current directory:
MPS-formatted file with the LP problem data (default name 'mps')
SPECS file with basic information on a problem to be solved
(default name 'spc'). You are supplied with two smallest
LP problems from the Netlib collection: AFIRO and ADLITTLE
and the specs files for them.
The program ALWAYS reads specifications from the 'spc' file.
To run it on AFIRO problem you thus have to
- copy afiro.spc onto spc
- start the hopdm solver.
The minimum 'spc' file has to contain at least the following
mps file afiro.mps
log file afiro.log
solut file afiro.res
It may additionally contain the limits of rows, columns and
nonzero entries, the direction of optimization: minimize or
maximize, names of sections in the MPS file if there are more
sections of the same type, the required precision of the optimal
solution and the level of presolve analysis desired. Our specs
file for AFIRO looks like:
MPS FILE afiro.mps
log file afiro.log
SOLUT FILE afiro.res
rhs name B
opt tol 1.0d-8
although it would suffice to leave only:
mps file afiro.mps
log file afiro.log
solut file afiro.res
as minimization (to 8 digits exact) and level 6 presolve are
default settings of HOPDM.
FILES CREATED BY HOPDM
HOPDM creates two files associated to a given problem solved.
In the above example, these files will be:
'afiro.log' which contains all log information on the process
of solving the problem.
'afiro.res' solution of the problem in MPS-like format.
You may change their names by appropriate specifications
in 'spc' file.
Current version of the code writes relatively large output
to a '*.log' file as this output usually helps to understand
eventual difficulties if such occur in the optimization process.
You can skip some of it if you find it superfluous.
HANDLING LARGE SCALE PROBLEMS
There are no particular limits on the size of problems that can
be solved with HOPDM. The user is only expected to adjust parameters
appropriately to the amount of virtual memory available on his computer.
A few PARAMETER lines at the beginning of HMAIN.F routine offer hints
of how this could be done for 32-, 64- and 128-MB computers. Distributed
version of the library uses INTEGER*2 arrays to store rows/columns
indices. This imposes constraints on the size of problems that can
be solved with the program. Their sizes cannot exceed 32767 rows/cols.
If you want to solve larger problems, then you should run 'Two2four'
script to replace all INTEGER*2 declarations with INTEGER*4 ones,
change INTSZ parameter in HMAIN2.F routine accordingly (it should
write INTSZ=4), increase appropriate PARAMETERs, and recompile
the whole program.
Finally, note that MSPLIT array (in COMMON) is used to port some
information that is essential for the stability of LDL^T decomposition.
COMMON blocks require the arrays have fixed size, hence MSPLIT is
everywhere declared as INTEGER*2 MSPLIT(100000). It is an implicit
bound on the size of the solvable problems. Their size cannot exceed
100,000 rows. If you want to go further, you have to change carefully
the declaration of MSPLIT in all places where it appears.
The code benefits the presence of the following two routines:
- MMD routine is Joseph Liu's implementation of the Multiple Minimum
Degree ordering. See: "The evolution of the minimum degree ordering
algorithm", SIAM Review 33 (1989), 1, pp. 1-19.
NOTE: This routine can be used EXCLUSIVELY for research purposes.
- GENQMD routine is an implementation of the Quotient tree Minimum
Degree ordering available from SPARSPAK (via Netlib). This routine
is based on the book "Computer Solution of Large Sparse Positive
Definite Systems" by George and Liu, Prentice Hall 1981.