Column generation MVP

.gitignore

@@ -0,0 +1 @@
+.claude

Project.toml

@@ -7,7 +7,13 @@ version = "0.1.0"
 Combinatorics = "861a8166-3701-5b0c-9a16-15d98fcdc6aa"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 GLPK = "60bf3e95-4087-53dc-ae20-288a0d20c6a6"
+HiGHS = "87dc4568-4c63-4d18-b0c0-bb2238e4078b"
 JuMP = "4076af6c-e467-56ae-b986-b466b2749572"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
+Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
+ReformulationKit = "ccf8701a-f1e2-43fb-9872-b69ec7886d0a"
 Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+
+[sources]
+ReformulationKit = {url = "https://github.com/nablarise/ReformulationKit.jl.git", rev = "main"}

src/ColGen/ColGen.jl

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+
+module ColGen
+
+using MathOptInterface, ReformulationKit, JuMP
+const MOI = MathOptInterface
+const MOIU = MathOptInterface.Utilities
+const RK = ReformulationKit
+
+include("helpers.jl")
+include("coluna.jl")
+include("moi_solutions.jl")
+include("dw_colgen.jl")
+include("master_optimization.jl")
+include("reduced_costs.jl")
+include("pricing_optimization.jl")
+include("dual_bounds.jl")
+include("column_insertion.jl")
+include("ip_management.jl")
+include("dw_colgen_iteration.jl")
+include("dw_stabilization.jl")
+
+# Export helper functions
+export add_variable!, add_constraint!
+
+
+#### reformulation API
+function get_master end
+function get_reform end
+function is_minimization end
+function get_pricing_subprobs end
+
+function run_column_generation(reformulation)
+    # Validate optimizer is attached before proceeding
+    master_moi = JuMP.backend(RK.master(reformulation))
+    if MOIU.state(master_moi) == MOIU.NO_OPTIMIZER
+        throw(ErrorException(
+            """
+            No optimizer attached to the master problem.
+            Please attach an optimizer to the master model before running column generation.
+            Example: JuMP.set_optimizer(ReformulationKit.master(reformulation), HiGHS.Optimizer)
+            """
+        ))
+    end
+
+    context = DantzigWolfeColGenImpl(reformulation)
+    ip_primal_sol = nothing
+    run!(context, ip_primal_sol)
+end
+
+end

src/ColGen/column_insertion.jl

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+# Copyright (c) 2025 Nablarise. All rights reserved.
+# Author: Guillaume Marques <guillaume@nablarise.com>
+# SPDX-License-Identifier: Proprietary
+
+function _compute_original_column_cost(column::PricingPrimalMoiSolution, original_cost_mapping::RK.OriginalCostMapping)
+    # Compute the original cost of the column using costs from the compact formulation
+    # This is ∑(c_i * x_i) where c_i are original variable costs and x_i are solution values
+    original_cost = 0.0
+    for (var_index, var_value) in column.solution.variable_values
+        if haskey(original_cost_mapping, var_index)
+            original_cost += original_cost_mapping[var_index] * var_value
+        end
+    end
+    return original_cost
+end
+
+function _compute_master_constraint_membership(
+    column::PricingPrimalMoiSolution, 
+    coupling_mapping::RK.CouplingConstraintMapping,
+    master::Master
+)
+    constraint_coeffs = Dict{MOI.ConstraintIndex, Float64}()
+    sp_id = column.subproblem_id
+
+    # Compute coupling constraint memberships (A * x for each constraint)
+    for (var_index, var_value) in column.solution.variable_values
+        coefficients = RK.get_variable_coefficients(coupling_mapping, var_index)
+        for (constraint_type, constraint_value, coeff) in coefficients
+            constraint_ref = constraint_type(constraint_value)
+            constraint_coeffs[constraint_ref] = get(constraint_coeffs, constraint_ref, 0.0) + coeff * var_value
+        end
+    end
+
+    # Add convexity constraint membership (coefficient = 1.0)
+    if haskey(master.convexity_constraints_ub, sp_id)
+        conv_constraint_ref = master.convexity_constraints_ub[sp_id]
+        constraint_coeffs[conv_constraint_ref] = 1.0
+    end
+    if haskey(master.convexity_constraints_lb, sp_id)
+        conv_constraint_ref = master.convexity_constraints_lb[sp_id]
+        constraint_coeffs[conv_constraint_ref] = 1.0
+    end
+
+    return constraint_coeffs
+end
+
+function insert_columns!(context::DantzigWolfeColGenImpl, ::MixedPhase1and2, columns_to_insert::PricingPrimalMoiSolutionToInsert)
+    master = get_master(context)
+    master_moi = moi_master(master)
+    pricing_subprobs = get_pricing_subprobs(context)
+
+    cols_inserted = 0
+
+    for column in columns_to_insert.collection
+        # Get subproblem information
+        sp_id = column.subproblem_id
+        pricing_sp = pricing_subprobs[sp_id]
+
+        # Compute original column cost (from compact formulation variable costs)
+        original_cost = _compute_original_column_cost(column, pricing_sp.original_cost_mapping)
+
+        # Compute master constraint membership (how much this solution contributes to each constraint)
+        constraint_memberships = _compute_master_constraint_membership(
+            column, 
+            pricing_sp.coupling_constr_mapping,
+            master
+        )
+
+        # Add the column variable to master
+        # - Lower bound 0.0: convex combination coefficients are non-negative
+        # - Constraint coeffs: membership values computed above
+        # - Objective coeff: original cost from compact formulation
+        column_var = add_variable!(
+            master_moi;
+            lower_bound = 0.0,
+            constraint_coeffs = constraint_memberships,
+            objective_coeff = original_cost
+        )
+
+        cols_inserted += 1
+    end
+
+    return cols_inserted
+end