IntegralityFocus affects solution of non-convex, continuous models
Answered
Hi,
when solving a continuous, non-convex model with Gurobi, I noticed that setting the IntegralityFocus parameter to 1 affects the returned solution (the parameter was set due to the calling context of Gurobi). Besides what seems to be the true solution, Gurobi finds a second solution with much higher objective value and returns this one instead (despite the true solution also being in the pool). This issue occured both on Windows using Gurobi 11.0.3 and on Linux using Gurobi 11.0.0.
I found a workaround by setting Presolve to 0. Nonetheless, I am somewhat surprised that the issue appears at all - after presolving, the Gurobi log says that the presolved model contains 0 integer variables, so even though the non-convex continuous model is solved as a MIP (according to the log), I would not expect the IntegralityFocus parameter to have any affect. I also tried setting the FuncNonlinear parameter to 1, which did not affect behavior.
The corresponding MPS file and the Gurobi log are available here: https://rwth-aachen.sciebo.de/s/D5pebWNfxkINh4I.
Best,
Adrian
-
Hi Adrian,
Thanks for reporting this, we will take a look!
Cheers,
David0 -
Hi Adrian,
The discrepancy is coming from very small numerical differences in the solutions.
If you compare both solutions you will see very small differences in the solution values for the variables (excluding obj).
2,4c2,4
< # Objective value = -1.5249256397257258e-01
< obj -1.5249256397257257e-05
< x_1 2.99989063055512
---
> # Objective value = 1.8712166123804330e+01
> obj 1.8712166123804330e-03
> x_1 3.0028068249185704e+00
11,23c11,23
< x_8 3.0214170969828036e-01
< x_9 2.7881664954941110e+00
< x_10 2.1198793677005212e+00
< x_11 5.5569324893363046e+00
< x_12 -6.2862564895454005e+00
< x_13 -8.1923562656380866e-01
< x_14 -3.0203884020758043e-01
< x_15 -2.7880643684417872e+00
< x_16 -2.0308116954655322e+00
< x_17 -5.2875021184162678e+00
< x_18 6.2863558347676873e+00
< x_19 8.1934310258078347e-01
< x_20 -1.9980250743381978e-01
---
> x_8 3.0215205070246576e-01
> x_9 2.7881860892141073e+00
> x_10 2.1199221427932464e+00
> x_11 5.5569804780205594e+00
> x_12 -6.2862373470427961e+00
> x_13 -0.819235626563807
> x_14 -3.0201924648758371e-01
> x_15 -2.7880488138414066e+00
> x_16 -2.0308116954655286e+00
> x_17 -5.2874210080408766e+00
> x_18 6.2863729106085966e+00
> x_19 0.819361576093609
> x_20 -1.9951085868738966e-01We will aim to fix this for the next release.
Cheers,
David0 -
Hi David,
thanks for looking into this, good to hear that it will hopefully be fixed.
More out of interest than practical necessity at this point: did you query the two solutions from the same run, or did you take them from different runs (i.e. with and without IntegralityFocus)? When I try to query them from the same run (with IntegralityFocus=1), Gurobi only gives me the worse solution. I used the Python interface; regardless of whether the SolutionNumber parameter is set to 0 or 1, querying the Xn attribute of e.g. obj gives me the value in the worse solution. I guess this might be related to the fact that the worse solution is returned despite the better one also being found? Or am I missing something in how I query different solutions? (See also excerpted Python code below.)
gurobi> m = read("model.mps")
...
gurobi> m.Params.IntegralityFocus=1
Set parameter IntegralityFocus to value 1
gurobi> m.optimize()
...
Solution count 2: -0.152492 36.7862
Optimal solution found (tolerance 1.00e-04)
Best objective 3.678619043605e+01, best bound 3.678619043605e+01, gap 0.0000%
gurobi> m.getVars()[0].Xn # this is obj
0.0036786190436051136
gurobi> m.Params.SolutionNumber=1
gurobi> m.getVars()[0].Xn # this is obj
0.0036786190436051136
gurobi> m.SolCount
2 # 2 solutions found, but only 1 is queryable?Cheers,
Adrian0 -
This was from two different solutions obtained with and without IntegralityFocus.
I guess since one of the solutions is deemed to be better the other one cannot be retrieved. I guess this is part of the bug and will also be fixed.
Cheers,
David0 -
Hi Adrian,
Gurobi version 12.0 has been released. This includes a fix for the difference in the solutions when using IntegralityFocus=1.
I have just tested again, there are some numerical differences, but the discrepancy in the objective function has disappeared.
Cheers,
David0
Please sign in to leave a comment.
Comments
5 comments