#!/usr/bin/env python3 """ Gurobi MILP implementation of the benchmark's LP-relaxed recourse variant of the Two-Stage Robust Knapsack Problem. Based on: Arslan & Detienne (2022), "Decomposition-based approaches for a class of two-stage robust binary optimization problems", INFORMS Journal on Computing 34(2). Implements formulation (42) / deterministic equivalent (10)-(14) applied to the knapsack application (Section 4.1, Equation 43). Problem (43): min_{x in {0,1}^I} sum_i (f_i - p_bar_i) x_i + max_{xi in Xi} min_{(y,r) in Y(x)} sum_i [(p_hat_i xi_i - f_i) y_i - p_hat_i xi_i r_i] where: Y_LP(x) = {(y,r) in [0,1]^{2I} | sum c_i y_i + t_i r_i <= C, y_i <= x_i, r_i <= y_i} Xi = {xi in R^I_+ | sum xi_i <= Gamma, 0 <= xi_i <= 1} Deterministic equivalent approach: By Proposition 2.1, the inner min over Y(x) = min over conv(Y(x)). By Proposition 2.4, since linking is y_i <= x_i (H=I, T=-I, d=0), conv(Y(x)) = Y_bar(x) = conv(Y) intersect {y <= x}. By minimax theorem: max_xi min_y = min_y max_xi (both sets compact convex, bilinear). Dualizing max_xi gives the MILP below. Benchmark convention: the second-stage binary set is replaced by its elementary LP relaxation. This is an approximation of the paper's Eq. (43), not a claim that the elementary relaxation equals the binary knapsack polytope's convex hull. """ import json import argparse import gurobipy as gp from gurobipy import GRB import os as _os, sys as _sys import time # Walk up from this file's directory to find repo root (containing scripts/). _GUROBI_CODE_START_TIME = time.time() _repo = _os.path.dirname(_os.path.abspath(__file__)) while _repo != _os.path.dirname(_repo) and not _os.path.isdir(_os.path.join(_repo, 'scripts', 'utils')): _repo = _os.path.dirname(_repo) if _os.path.isdir(_os.path.join(_repo, 'scripts', 'utils')): _sys.path.insert(0, _repo) try: from scripts.utils.gurobi_log_helper import install_gurobi_logger except ImportError: def install_gurobi_logger(log_path): # no-op fallback when scripts/ unavailable pass def load_instance(path): """Load the knapsack instance from JSON.""" with open(path) as f: return json.load(f) def build_and_solve(data, time_limit): """ Build and solve the deterministic equivalent MILP. The formulation dualizes the inner max over the uncertainty set Xi: max_{xi >= 0, sum xi <= Gamma, xi <= 1} sum_i p_hat_i (y_i - r_i) xi_i Dual: min u0 * Gamma + sum v_i s.t. u0 + v_i >= p_hat_i (y_i - r_i), u0, v_i >= 0 Full MILP: min sum_i (f_i - p_bar_i) x_i - sum_i f_i y_i + Gamma u0 + sum_i v_i s.t. u0 + v_i >= p_hat_i (y_i - r_i) for all i [dual feasibility] sum_i c_i y_i + t_i r_i <= C [knapsack capacity] r_i <= y_i for all i [repair requires production] y_i <= x_i for all i [linking first/second stage] x_i in {0,1} for all i 0 <= y_i <= 1, 0 <= r_i <= 1 for all i [LP relaxation of conv(Y)] u0 >= 0, v_i >= 0 for all i """ items = data['items'] I = len(items) C = data['problem_parameters']['knapsack_capacity'] Gamma = data['problem_parameters']['uncertainty_budget'] # Extract parameters weight = [item['weight'] for item in items] p_bar = [item['nominal_profit'] for item in items] p_hat = [item['max_degradation'] for item in items] f_out = [item['outsource_penalty'] for item in items] t_rep = [item['repair_capacity'] for item in items] model = gp.Model("TwoStageRobustKnapsack") model.setParam("Threads", 1) model.setParam("TimeLimit", time_limit) # --- Decision variables --- # First-stage: x_i = 1 if item i is selected for production x = model.addVars(I, vtype=GRB.BINARY, name="x") # Second-stage (LP relaxation of conv(Y)): # y_i: fraction of item i produced as-is # r_i: fraction of item i repaired y = model.addVars(I, lb=0.0, ub=1.0, vtype=GRB.CONTINUOUS, name="y") r = model.addVars(I, lb=0.0, ub=1.0, vtype=GRB.CONTINUOUS, name="r") # Dual variables for uncertainty set # u0: dual for sum_i xi_i <= Gamma # v_i: dual for xi_i <= 1 u0 = model.addVar(lb=0.0, vtype=GRB.CONTINUOUS, name="u0") v = model.addVars(I, lb=0.0, vtype=GRB.CONTINUOUS, name="v") # --- Objective --- # min sum_i (f_i - p_bar_i) x_i [first-stage cost] # + sum_i (-f_i) y_i [nominal second-stage cost] # + Gamma * u0 + sum_i v_i [worst-case uncertainty premium via LP duality] model.setObjective( gp.quicksum((f_out[i] - p_bar[i]) * x[i] for i in range(I)) + gp.quicksum(-f_out[i] * y[i] for i in range(I)) + Gamma * u0 + gp.quicksum(v[i] for i in range(I)), GRB.MINIMIZE ) # --- Constraints --- # Dual feasibility: u0 + v_i >= p_hat_i (y_i - r_i) for all i # From LP duality of: max_{xi in Xi} sum_i p_hat_i xi_i (y_i - r_i) for i in range(I): model.addConstr(u0 + v[i] >= p_hat[i] * (y[i] - r[i]), name=f"dual_feas_{i}") # Knapsack capacity constraint (from Y): # sum_i c_i y_i + t_i r_i <= C model.addConstr( gp.quicksum(weight[i] * y[i] + t_rep[i] * r[i] for i in range(I)) <= C, name="knapsack_cap" ) # Repair requires production: r_i <= y_i for all i (from Y) for i in range(I): model.addConstr(r[i] <= y[i], name=f"repair_req_{i}") # Linking constraint: y_i <= x_i for all i (from Y(x)) # This couples first-stage selection with second-stage production for i in range(I): model.addConstr(y[i] <= x[i], name=f"linking_{i}") # --- Solve --- model.optimize() # --- Extract solution --- solution = {"solver_status": model.Status} if model.SolCount > 0: solution["objective_value"] = model.ObjVal # Original formulation (Eq. 43) has first-stage binary x only; the # second-stage (y, r) and dual variables (u0, v) are artifacts of the # deterministic-equivalent single-level reformulation with LP duality. # They are NOT part of the original problem's decision space, so they # are not exported. solution["x"] = {str(i): int(round(x[i].X)) for i in range(I)} if model.Status == GRB.OPTIMAL: solution["optimality_gap"] = 0.0 else: solution["optimality_gap"] = model.MIPGap # Interpret solution selected_items = [i for i in range(I) if round(x[i].X) == 1] solution["selected_items"] = selected_items else: solution["objective_value"] = None return solution def main(): parser = argparse.ArgumentParser( description="Two-Stage Robust Knapsack - Gurobi deterministic equivalent MILP" ) parser.add_argument("--instance_path", type=str, required=True, help="Path to JSON instance file") parser.add_argument("--solution_path", type=str, required=True, help="Path for output solution JSON") parser.add_argument("--time_limit", type=int, required=True, help="Maximum solver runtime in seconds") parser.add_argument("--log_path", type=str, default=None, help="Path to log incumbent solutions") args = parser.parse_args() install_gurobi_logger(args.log_path) data = load_instance(args.instance_path) solution = build_and_solve(data, args.time_limit) with open(args.solution_path, 'w') as f: solution["runtime"] = time.time() - _GUROBI_CODE_START_TIME json.dump(solution, f, indent=2) if solution["objective_value"] is not None: print(f"Objective value: {solution['objective_value']:.6f}") print(f"Status: {solution['solver_status']}") else: print("No feasible solution found.") if __name__ == "__main__": main()