crossover.jl inspired by PDHG

This repository contains experimental code of a randomized crossover approach for the linear programming (LP) in the general form

$$ \begin{aligned} \min\ & c^\top x \\ \text{s.t.}\ & lhs \leq Ax \leq rhs \\ & lb \leq x \leq ub. \end{aligned} $$

Setup

A one-time step is required to set up the necessary packages on the local machine:

julia --project -e 'import Pkg; Pkg.instantiate()'

We use cuPDLP-C (LpMethod=6) in COPT to obtain the initial optimal solution for crossover, and to solve auxiliary LPs in our crossover. Please apply for a free academic license via the hyperlink for reproducing the experiments.

Test

Test scripts are located in test/.

• test_general.jl for a single LP instance.
• test_general_netlib.jl for testing all the NETLIB LP instances.

Remember to change the path/netlib_path (and save_path) in the test scripts to load LPs in .mps format (and to save the results).

Parameters

name	default	description
max_time	600	Time limit for crossover.
tol_bound	1e-8	Tolerance to bound for non-basis identification.
tol_cross	1e-6	Relative tolerance for optimality after crossover.
tol_recover	1e-1	Tolerance to recover feasibility during crossover.
tol_pdlp	1e-8	Optimality tolerance of auxiliary LPs.
tol_feas	1e-8	Feasibility tolerance of auxiliary LPs.
epsilon_zero	1e-8	Tolerance to zero.
verbose	true	Whether to log.
verbose_level	1	Level to log.
seed	-1	Random seed. -1 means not set.
primal_push_method	P_HYBRID	Primal push method.
dual_push_method	D_HYBRID	Dual push method.
ols_method	OLS_QR	OLS method.
nrm_type	L_2	Norm type used to calculate the optimality.
pdlp_presolve	true	Whether to presolve in auxiliary LPs.
tol_ols	1e-16	Tolerance in iterative OLS solver.
lp_method	6	LP method for auxiliary LPs. 6 is PDLP; 2 is IPM.
max_iter_ols	1e8	Iteration limit in iterative OLS solver.
primal_push_general	true	Whether to use primal auxiliary LPs in the general form.
dual_push_general	true	Whether to use dual auxiliary LPs in the general form.
push_general	true	Whether to use auxiliary LPs in the general form.
delta	1.0	Weight of perturbation.
rhs_shift	0.0	Right-hand-side shift.
gamma	1.0	Ratio of primal variable to dual slack for non-basis identification.