Support Sequential Backwards Pass (#30)

* Added sequential backwards pass

* Added sequential backwards pass option

* Removed duplicate Export

Co-authored-by: Copilot <[email protected]>

---------

Co-authored-by: Copilot <[email protected]>

Author: dlcole3

lib/PlasmoBenders/Project.toml

@@ -1,7 +1,7 @@
 name = "PlasmoBenders"
 uuid = "491f1417-53b2-48aa-b9da-44cdd6c031b7"
 authors = ["David Cole"]
-version = "0.1.4"
+version = "0.2.0"
 
 [deps]
 Plasmo = "d3f7391f-f14a-50cc-bbe4-76a32d1bad3c"

lib/PlasmoBenders/examples/Benders_MILP.jl

@@ -1,5 +1,5 @@
 using Revise
-using Plasmo, JuMP, HiGHS, Plots, PlasmoBenders
+using Plasmo, JuMP, HiGHS, PlasmoBenders
 
 g = OptiGraph()
 set_optimizer(g, HiGHS.Optimizer)
@@ -32,7 +32,7 @@ for i in 1:length(subgraphs)
     set_optimizer(subgraphs[i], optimizer_with_attributes(HiGHS.Optimizer, "output_flag" => false))
 end
 
-BendersOpt = BendersAlgorithm(g, subgraphs[1]; max_iters = 30, add_slacks = true, fix_slacks = true, strengthened = true)
+BendersOpt = BendersAlgorithm(g, subgraphs[1]; max_iters = 30, add_slacks = true, sequential_backward_pass = true, strengthened = true)
 
 t2 = @elapsed begin
     run_algorithm!(BendersOpt)

lib/PlasmoBenders/examples/Benders_MILP_parallel.jl

@@ -1,6 +1,5 @@
 using Revise
-using Plasmo, JuMP, HiGHS, Plots, PlasmoBenders
-using Plasmo, HiGHS, JuMP
+using Plasmo, HiGHS, JuMP, PlasmoBenders
 
 g0 = OptiGraph()
 g1 = OptiGraph()
@@ -38,7 +37,7 @@ for i in gs
     set_optimizer(i, solver)
 end
 
-BendersOpt = BendersAlgorithm(g0, g1; max_iters = 20, parallelize_benders = true, regularize = false)
+BendersOpt = BendersAlgorithm(g0, g1; max_iters = 20, sequential_backward_pass = true, regularize = false, strengthened = true)
 
 t2 = @elapsed begin
     run_algorithm!(BendersOpt)

lib/PlasmoBenders/src/Benders.jl

@@ -36,6 +36,7 @@ mutable struct BendersOptions <: AbstractPBOptions
     multicut::Bool
     feasibility_cuts::Bool
     regularize::Bool
+    sequential_backward_pass::Bool
     parallelize_benders::Bool
     parallelize_forward::Bool
     parallelize_backward::Bool
@@ -54,6 +55,7 @@ mutable struct BendersOptions <: AbstractPBOptions
         options.multicut = false
         options.feasibility_cuts = false
         options.regularize = false
+        options.sequential_backward_pass = false
         options.parallelize_benders = false
         options.parallelize_forward = false
         options.parallelize_backward = false
@@ -329,6 +331,7 @@ function BendersAlgorithm(
     multicut::Bool = true,
     feasibility_cuts::Bool = false,
     regularize::Bool = false,
+    sequential_backward_pass::Bool = false,
     parallelize_benders::Bool = false,
     parallelize_forward::Bool = false,
     parallelize_backward::Bool = false,
@@ -357,6 +360,7 @@ function BendersAlgorithm(
         set_multicut!(optimizer, multicut)
         set_feasibility_cuts!(optimizer, feasibility_cuts)
         set_regularize!(optimizer, regularize)
+        set_sequential_backward_pass!(optimizer, sequential_backward_pass)
         set_parallelize_benders!(optimizer, parallelize_benders)
         set_parallelize_forward!(optimizer, parallelize_forward)
         set_parallelize_backward!(optimizer, parallelize_backward)
@@ -371,6 +375,22 @@ function BendersAlgorithm(
         if parallelize_forward
             @warn("`parallelize_forward` is not yet supported. Benders will run, but the forward pass will not be parallelized")
         end
+        if sequential_backward_pass && parallelize_backward
+            @warn(
+                "`sequential_backward_pass` and `parallelize_backward` cannot both be set to true. " *
+                "`parallelize_backward` is being set to `false`"
+            )
+            parallelize_backward = false
+            set_parallelize_backward!(optimizer, false)
+        end
+        if sequential_backward_pass && parallelize_benders
+            @warn(
+                "`sequential_backward_pass` and `parallelize_benders` cannot both be set to true. " *
+                "`sequential_backward_pass` is being set to `false`"
+            )
+            sequential_backward_pass = false
+            set_sequential_backward_pass!(optimizer, false)
+        end
         if feasibility_cuts
             @warn(
                 "`feasibility_cuts` have been implemented but are still under development. " *
@@ -497,6 +517,8 @@ function BendersAlgorithm(
         # Construct regularization abilities if needed
         if get_regularize(optimizer)
             _construct_regularize!(optimizer)
+            @info("You have set regularize to `true`, so the algorithm will perform an extra optimization step with a zero objective. " * 
+            "Current Plasmo versions throw a warning if the objective is zero. These warnings during `run_algorithm!` can be ignored.")
         end
     end
 
@@ -720,22 +742,23 @@ function _backward_pass!(optimizer::BendersAlgorithm; strengthened::Bool = false
     len_solve_order = length(optimizer.solve_order)
 
     # Perform backward pass in parallel
-    #Threads.@threads for i in 1:len_solve_order
     if get_parallelize_backward(optimizer) || get_parallelize_benders(optimizer)
-        Threads.@threads for i in 1:len_solve_order
+        Threads.@threads for i in len_solve_order:-1:1
             _optimize_in_backward_pass(optimizer, i)
         end
     else
-        for i in 1:len_solve_order
+        for i in len_solve_order:-1:1
             _optimize_in_backward_pass(optimizer, i)
         end
     end
 
     # Add constraint on the cost-to-go to last node Bender's cut
-    if get_strengthened(optimizer)
-        _add_strengthened_cuts!(optimizer)
-    else
-        _add_Benders_cuts!(optimizer)
+    if !(get_sequential_backward_pass(optimizer))
+        if get_strengthened(optimizer)
+            _add_strengthened_cuts!(optimizer)
+        else
+            _add_Benders_cuts!(optimizer)
+        end
     end
 
     return nothing