R HIGHS Interface

Florian Schwendinger
Updated: 2023-01-21

This repository contains an R interface to the HiGHS solver. The HiGHS solver, is a high-performance open-source solver for solving linear programming (LP), mixed-integer programming (MIP) and quadratic programming (QP) optimization problems.

1 Installation

The package can be installed from CRAN

install.packages("highs")

or GitLab.

remotes::install_gitlab("roigrp/solver/highs")

1.0.1 Using a preinstalled HiGHS library

It is possible to use a precompile HiGHS library by providing the system variable R_HIGHS_LIB_DIR. For example I used

mkdir build
cd build
cmake .. -DCMAKE_INSTALL_PREFIX=/Z/bin/highslib -DCMAKE_POSITION_INDEPENDENT_CODE:bool=ON -DSHARED:bool=OFF -DBUILD_TESTING:bool=OFF
make install

to install the HiGHS library to /Z/bin/highslib

Sys.setenv(R_HIGHS_LIB_DIR = "/Z/bin/highslib")
install.packages("highs")
# or 
# remotes::install_gitlab("roigrp/solver/highs")

2 Basic usage

library("highs")

args(highs_solve)
#> function (Q = NULL, L, lower, upper, A, lhs, rhs, types, maximum = FALSE, 
#>     offset = 0, control = list(), dry_run = FALSE) 
#> NULL

2.1 LP

# Minimize
#  x_0 +  x_1 + 3
# Subject to
#                 x_1 <= 7
#  5 <=   x_0 + 2 x_1 <= 15
#  6 <= 3 x_0 + 2 x_1
#  0 <=   x_0         <= 4
#  1 <=           x_1
A <- rbind(c(0, 1), c(1, 2), c(3, 2))
s <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                 A = A, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                 offset = 3)
str(s)
#> List of 6
#>  $ primal_solution: num [1:2] 0.5 2.25
#>  $ objective_value: num 5.75
#>  $ status         : int 7
#>  $ status_message : chr "Optimal"
#>  $ solver_msg     :List of 6
#>   ..$ value_valid: logi TRUE
#>   ..$ dual_valid : logi TRUE
#>   ..$ col_value  : num [1:2] 0.5 2.25
#>   ..$ col_dual   : num [1:2] 0 0
#>   ..$ row_value  : num [1:3] 2.25 5 6
#>   ..$ row_dual   : num [1:3] 0 0.25 0.25
#>  $ info           :List of 18
#>   ..$ valid                     : logi TRUE
#>   ..$ mip_node_count            : num -1
#>   ..$ simplex_iteration_count   : int 2
#>   ..$ ipm_iteration_count       : int 0
#>   ..$ qp_iteration_count        : int 0
#>   ..$ crossover_iteration_count : int 0
#>   ..$ primal_solution_status    : chr "Feasible"
#>   ..$ dual_solution_status      : chr "Feasible"
#>   ..$ basis_validity            : int 1
#>   ..$ objective_function_value  : num 5.75
#>   ..$ mip_dual_bound            : num 0
#>   ..$ mip_gap                   : num Inf
#>   ..$ num_primal_infeasibilities: int 0
#>   ..$ max_primal_infeasibility  : num 0
#>   ..$ sum_primal_infeasibilities: num 0
#>   ..$ num_dual_infeasibilities  : int 0
#>   ..$ max_dual_infeasibility    : num 0
#>   ..$ sum_dual_infeasibilities  : num 0

2.2 QP

# Minimize
#  0.5 x^2 - 2 x + y
# Subject to
#  x <= 3
zero <- .Machine$double.eps * 100
Q <- rbind(c(1, 0), c(0, zero))
L <- c(-2, 1)
A <- t(c(1, 0))

cntrl <- list(log_dev_level = 0L)
s <- highs_solve(Q = Q, L = L, A = A, lhs = 0, rhs = 3, control = cntrl)
str(s)
#> List of 6
#>  $ primal_solution: num [1:2] 2e+00 -1e+07
#>  $ objective_value: num -1e+07
#>  $ status         : int 7
#>  $ status_message : chr "Optimal"
#>  $ solver_msg     :List of 6
#>   ..$ value_valid: logi TRUE
#>   ..$ dual_valid : logi TRUE
#>   ..$ col_value  : num [1:2] 2e+00 -1e+07
#>   ..$ col_dual   : num [1:2] 0 0
#>   ..$ row_value  : num 2
#>   ..$ row_dual   : num 0
#>  $ info           :List of 18
#>   ..$ valid                     : logi TRUE
#>   ..$ mip_node_count            : num -1
#>   ..$ simplex_iteration_count   : int 0
#>   ..$ ipm_iteration_count       : int 0
#>   ..$ qp_iteration_count        : int 5
#>   ..$ crossover_iteration_count : int 0
#>   ..$ primal_solution_status    : chr "Feasible"
#>   ..$ dual_solution_status      : chr "Feasible"
#>   ..$ basis_validity            : int 0
#>   ..$ objective_function_value  : num -1e+07
#>   ..$ mip_dual_bound            : num 0
#>   ..$ mip_gap                   : num Inf
#>   ..$ num_primal_infeasibilities: int 0
#>   ..$ max_primal_infeasibility  : num 0
#>   ..$ sum_primal_infeasibilities: num 0
#>   ..$ num_dual_infeasibilities  : int 0
#>   ..$ max_dual_infeasibility    : num 0
#>   ..$ sum_dual_infeasibilities  : num 0

3 Additional information

3.1 Sparse matrices

The HiGHs C++ library internally supports the matrix formats csc (compressed sparse column matrix) and csr (compressed Sparse Row array). The highs package currently supports the following matrix classes:

1. "matrix" dense matrices,
2. "dgCMatrix" compressed sparse column matrix from the Matrix package,
3. "dgRMatrix" compressed sparse row matrix from the Matrix package,
4. "matrix.csc" compressed sparse column matrix from the SparseM package,
5. "matrix.csr" compressed sparse row matrix from the SparseM package,
6. "simple_triplet_matrix" coordinate format from the slam package.

If the constraint matrix A is provided as dgCMatrix, dgRMatrix, matrix.csc or matrix.csr the underlying data is directly passed to HiGHs otherwise it is first transformed into the csc format an afterwards passed to HiGHs

library("Matrix")

A <- rbind(c(0, 1), c(1, 2), c(3, 2))
csc <- as(A, "CsparseMatrix")  # dgCMatrix
s0 <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                  A = csc, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                  offset = 3)

csr <- as(A, "RsparseMatrix")  # dgRMatrix
s1 <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                  A = csr, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                  offset = 3)

library("SparseM")

csc <- as.matrix.csc(A)
s2 <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                  A = csc, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                  offset = 3)

csr <- as.matrix.csr(A)
s3 <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                  A = csr, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                  offset = 3)

library("slam")
stm <- as.simple_triplet_matrix(A)
s4 <- highs_solve(L = c(1.0, 1), lower = c(0, 1), upper = c(4, Inf),
                  A = stm, lhs = c(-Inf, 5, 6), rhs = c(7, 15, Inf),
                  offset = 3)

4 Options

The function highs_available_solver_options lists the available solver options

d <- highs_available_solver_options()
d[["option"]] <- sprintf("`%s`", d[["option"]])
knitr::kable(d, row.names = FALSE)

for additional information see the HiGHS homepage.

5 Status codes

HiGHS currently has the following status codes defined in HConst.h".