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Can't get the result of optimization problem in an acceptable time(more than 10 hours).

Ongoing
songtao wang
Gurobi-versary
First Comment
First Question

The above message is provided by matlab2022a with gurobi10.0. Now I have some questions. Firstly, I think that I don't set any quadratic constraint but the log shows that there is a quadratic constraint. I want to konw why dose this happen. Secondly, My problem is big in the number of constaints, but at the last time, It takes me 10 hours and still doesn't get the result. The nodes that are not searched are more and more, and I can't get the Gap. I sincerely hope that you can help me and tell me the reason. If you need more details about the program or the code, I will sent it as soon as possible.

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Comments

2 comments

Date Votes
  • Riley Clement
    Gurobi Staff Gurobi Staff

    Hi Songtao,

    Thanks for the log output, but it will be hard to help without seeing the code, or math formulation, you used to produce your model.

    If you send it through, then someone may be able to provide you advice.

    - Riley

    0
  • songtao wang
    Gurobi-versary
    First Comment
    First Question

    My code is consist of three fuctions, and most of them have more than 100 rows. So I want to send the constraints and objective firstly. Hoping to get your instruction.

    u=sdpvar(T*dim_input,1,'full');



    constr=[Pu_bar*u<=pu_bar];



    for q=1:num_model

    pi{q}=sdpvar(size(K(:,:,q),1),size(M(:,:,q),1),'full');

    delta{q}=sdpvar(1,1,'full');

    z{q}=sdpvar(2*dim_state+2*T*dim_mu+2*(T+1)*dim_eta,1,'full');

    omega1{q}=sdpvar(2*(T+1)*dim_output,1,'full');

    omega2{q}=sdpvar(size(M(:,:,q),1),1,'full');

    g1{q}=sdpvar(2*(T+1)*dim_output,1,'full');

    g2{q}=sdpvar(size(M(:,:,q),1),1,'full');






    constr=[constr;pi{q}*m(:,:,q)<=k(:,:,q)-Px_title(:,:,q)*Gammaxu_title(:,:,q)*u];

    constr=[constr;pi{q}*M(:,:,q)==K(:,:,q)];

    constr=[constr;pi{q}>=0];



    constr=[constr;delta{q}>=xi];



    %KKT condition

    %primal

    constr=[constr;H(:,:,q)*z{q}+C_title(:,:,q)*Gammaxu_title(:,:,q)*u+C_title(:,:,q)*Gammax_title(:,:,q)-delta{q}*ones(size(H(:,:,q),1),1)<=0];

    constr=[constr;M(:,:,q)*z{q}-m(:,:,q)<=0];



    %dual

    constr=[constr;omega1{q}>=0];

    constr=[constr;omega2{q}>=0];



    %slackness

    for l=1:2*(T+1)*dim_output

    constr=[constr;g1{q}(l)==H(l,:,q)*z{q}+C_title(l,:,q)*Gammaxu_title(:,:,q)*u+C_title(l,:,q)*Gammax_title(:,:,q)-delta{q};sos1([g1{q}(l),omega1{q}(l)],[1,10])];




    end

    for l=1:size(M(:,:,q),1)




    constr=[constr;g2{q}(l)==M(l,:,q)*z{q}-m(l,:,q);sos1([g2{q}(l),omega2{q}(l)],[1,10])];

    end



    %stationary

    constr=[constr;sum(omega1{q})==1];



    for l=1:2*dim_state+2*T*dim_mu+2*(T+1)*dim_eta

    constr=[constr;omega1{q}'*H(:,l,q)+omega2{q}'*M(:,l,q)==0];



    end

    end



    obj=norm(u,2);



    options=sdpsettings('verbose',1,'debug',1,'solver','gurobi');

    sol=optimize(constr,obj,options);
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