Time limits are incorrect

[odow]

Bug setting time limits. We probably should set negative time limits?

julia> using JuMP, GLPK, ECOS, MOIPajarito, Test

julia> oa_solver = MOI.OptimizerWithAttributes(
           GLPK.Optimizer,
           MOI.Silent() => true,
           "tol_int" => 1e-9,
           "tol_bnd" => 1e-9,
           "mip_gap" => 1e-9,
       )
MathOptInterface.OptimizerWithAttributes(GLPK.Optimizer, Pair{MathOptInterface.AbstractOptimizerAttribute, Any}[MathOptInterface.Silent() => true, MathOptInterface.RawOptimizerAttribute("tol_int") => 1.0e-9, MathOptInterface.RawOptimizerAttribute("tol_bnd") => 1.0e-9, MathOptInterface.RawOptimizerAttribute("mip_gap") => 1.0e-9])

julia> conic_solver = MOI.OptimizerWithAttributes(ECOS.Optimizer, MOI.Silent() => true)
MathOptInterface.OptimizerWithAttributes(ECOS.Optimizer, Pair{MathOptInterface.AbstractOptimizerAttribute, Any}[MathOptInterface.Silent() => true])

julia> opt = JuMP.optimizer_with_attributes(
               MOIPajarito.Optimizer,
               "verbose" => false,
               "use_iterative_method" => false,
               "oa_solver" => oa_solver,
               "conic_solver" => conic_solver,
               "iteration_limit" => 100,
               "time_limit" => 5,
           )
MathOptInterface.OptimizerWithAttributes(MOIPajarito.Optimizer, Pair{MathOptInterface.AbstractOptimizerAttribute, Any}[MathOptInterface.RawOptimizerAttribute("verbose") => false, MathOptInterface.RawOptimizerAttribute("use_iterative_method") => false, MathOptInterface.RawOptimizerAttribute("oa_solver") => MathOptInterface.OptimizerWithAttributes(GLPK.Optimizer, Pair{MathOptInterface.AbstractOptimizerAttribute, Any}[MathOptInterface.Silent() => true, MathOptInterface.RawOptimizerAttribute("tol_int") => 1.0e-9, MathOptInterface.RawOptimizerAttribute("tol_bnd") => 1.0e-9, MathOptInterface.RawOptimizerAttribute("mip_gap") => 1.0e-9]), MathOptInterface.RawOptimizerAttribute("conic_solver") => MathOptInterface.OptimizerWithAttributes(ECOS.Optimizer, Pair{MathOptInterface.AbstractOptimizerAttribute, Any}[MathOptInterface.Silent() => true]), MathOptInterface.RawOptimizerAttribute("iteration_limit") => 100, MathOptInterface.RawOptimizerAttribute("time_limit") => 5])

julia> TOL = 1e-4
0.0001

julia> m = JuMP.Model(opt)
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: Pajarito

julia> JuMP.@variable(m, x)
x

julia> JuMP.@variable(m, y)
y

julia> JuMP.@variable(m, z, Int)
z

julia> JuMP.@constraint(m, z <= 2.5)
z ≤ 2.5

julia> JuMP.@objective(m, Min, x + 2y)
x + 2 y

julia> JuMP.@constraint(m, [z, x, y] in JuMP.SecondOrderCone())
[z, x, y] ∈ MathOptInterface.SecondOrderCone(3)

julia> JuMP.set_integer(x)

julia> JuMP.optimize!(m)
glp_simplex: tm_lim = -1230; invalid parameter
Error detected in file draft/glpapi06.c at line 414

signal (6): Abort trap: 6
in expression starting at REPL[150]:1
__pthread_kill at /usr/lib/system/libsystem_kernel.dylib (unknown line)
Allocations: 101175376 (Pool: 101149083; Big: 26293); GC: 83
zsh: abort      ~/julia --project=ecos

[chriscoey]

Thanks. So I did see this same error too, a few days ago. I assumed I was setting negative time limits, so I did what I thought would fix that just above this line:

MOIPajarito.jl/src/optimize.jl

Line 308 in 239e7f3

JuMP.set_time_limit_sec(opt.oa_model, time_left)

I don't quite follow what you mean by "We probably should set negative time limits?". What do you think is the fix here?

[odow]

glp_simplex: tm_lim = -1230; invalid parameter this suggests time_left is -1.23. So perhaps set_time_limit_sec(opt.oa_model, max(0.0, time_left))?

Alternatively, we could probably move this to GLPK.jl. I don't know what other solvers do if there is a negative time limit.

[chriscoey]

Given the scaryness of the error I think it would make sense to do a check in ecos wrapper. I will try your max fix

[odow]

Yeah I'll fix this in GLPK, but you should probably be defensive in Pajarito anyway: jump-dev/GLPK.jl#202.

[chriscoey]

because of

MOIPajarito.jl/src/optimize.jl

Line 301 in 239e7f3

if time_left < 1e-3

I think the time limit has to be either positive or possibly Inf. So I'm struggling a bit to see how a negative time limit could have been set. I wonder if something else is causing the error. Are we sure tm_lim is a time limit problem?

[odow]

I'm fairly confident:

julia> using GLPK; const MOI = GLPK.MOI
MathOptInterface

julia> model = GLPK.Optimizer()
A GLPK model

julia> MOI.set(model, MOI.TimeLimitSec(), -1.23)

julia> MOI.optimize!(model)
glp_simplex: tm_lim = -1230; invalid parameter
Error detected in file draft/glpapi06.c at line 414

signal (6): Abort trap: 6
in expression starting at REPL[4]:1
__pthread_kill at /usr/lib/system/libsystem_kernel.dylib (unknown line)
Allocations: 6841867 (Pool: 6838698; Big: 3169); GC: 7
zsh: abort      ~/julia --project=glpk

[odow]

But I don't know where it is coming from.

[chriscoey]

i think this can't happen on master anymore. because there is a check happening for time limit before each optimize call to the OA solver. I haven't seen the issue recently, so i'll close it, but reopen if you see it again