Issue in Gurobi 9.0: Feasibility relaxations of multi-objective models

When a model is infeasible, you can use Model.feasRelax() or Model.feasRelaxS() to create a feasibility relaxation of the model. This works as expected for optimization problems with a single objective function. However, feasibility relaxations may not work as expected on models with multiple objectives in Gurobi 9.0.

Constructing a feasibility relaxation adds slack variables to the constraints and bounds. Additionally, the objective function is modified to minimize either the L ₀, L ₁, or L ₂ norm of the constraint violations. Unfortunately, in the case of multi-objective problems, the objective function is not properly modified.

Note that we support only minrelax=0 for feasibility relaxations of multi-objective problems.

This issue is fixed in Gurobi 9.1. For earlier versions, a workaround is to delete the multiple objectives before calling Model.feasRelax(). This can be done by setting the NumObj model attribute to zero.

Further information

• How does Gurobi compute the IIS for infeasible models?
• How do I determine why my model is infeasible?
• How do I return to single-objective mode from multi-objective optimization?