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support non-convex quadratic objectives/constraints in gurobi #28

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merged 3 commits into from
May 1, 2023
Merged

support non-convex quadratic objectives/constraints in gurobi #28

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bcacc37
prevent crash on non-convex quadratic objective
tlambert03 Apr 11, 2023
d6848df
Merge branch 'main' into quadratic-non-convex
tlambert03 Apr 11, 2023
e454738
fix test
tlambert03 Apr 11, 2023
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14 changes: 12 additions & 2 deletions ilpy/impl/solvers/GurobiBackend.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -218,21 +218,31 @@ GurobiBackend::solve(Solution& x, std::string& msg) {

GRB_CHECK(GRBupdatemodel(_model));

GRBenv* modelenv = GRBgetenv(_model);

if (_timeout > 0) {

GRBenv* modelenv = GRBgetenv(_model);
GRB_CHECK(GRBsetdblparam(modelenv, GRB_DBL_PAR_TIMELIMIT, _timeout));
}

if (_gap >= 0) {

GRBenv* modelenv = GRBgetenv(_model);
if (_absoluteGap)
GRB_CHECK(GRBsetdblparam(modelenv, GRB_DBL_PAR_MIPGAPABS, _gap));
else
GRB_CHECK(GRBsetdblparam(modelenv, GRB_DBL_PAR_MIPGAP, _gap));
}

// Sets the strategy for handling non-convex quadratic objectives
// or non-convex quadratic constraints.
// 0 = an error is reported if the original user model contains non-convex
// quadratic constructs.
// 1 = an error is reported if non-convex quadratic constructs could not be
// discarded or linearized during presolve.
// 2 = non-convex quadratic problems are solved by means of translating them
// into bilinear form and applying spatial branching.
GRB_CHECK(GRBsetintparam(modelenv, GRB_INT_PAR_NONCONVEX, 2));

GRB_CHECK(GRBoptimize(_model));

int status;
Expand Down
26 changes: 10 additions & 16 deletions tests/test_solvers.py
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Expand Up @@ -13,11 +13,11 @@
HAVE_GUROBI = False


PREFS = [ilpy.Preference.Scip, pytest.param(ilpy.Preference.Gurobi, marks=gu_marks)]


@pytest.mark.parametrize("as_expression", [True, False], ids=["as_expr", "as_constr"])
@pytest.mark.parametrize(
"preference",
[ilpy.Preference.Scip, pytest.param(ilpy.Preference.Gurobi, marks=gu_marks)],
)
@pytest.mark.parametrize("preference", PREFS)
def test_simple_solver(preference: ilpy.Preference, as_expression: bool) -> None:
num_vars = 10
special_var = 5
Expand Down Expand Up @@ -62,10 +62,7 @@ def test_simple_solver(preference: ilpy.Preference, as_expression: bool) -> None


@pytest.mark.parametrize("as_expression", [True, False], ids=["as_expr", "as_constr"])
@pytest.mark.parametrize(
"preference",
[ilpy.Preference.Scip, pytest.param(ilpy.Preference.Gurobi, marks=gu_marks)],
)
@pytest.mark.parametrize("preference", PREFS)
def test_quadratic_solver(preference: ilpy.Preference, as_expression: bool) -> None:
num_vars = 10
special_var = 5
Expand Down Expand Up @@ -105,22 +102,19 @@ def test_quadratic_solver(preference: ilpy.Preference, as_expression: bool) -> N
assert solution[5] == -2 # jan please check


@pytest.mark.skipif(not HAVE_GUROBI, reason="Gurobi not installed")
def test_non_convex_quadratic_gurobi() -> None:
@pytest.mark.parametrize("preference", PREFS)
def test_non_convex_quadratic(preference: ilpy.Preference) -> None:
# currently, just a smoke test to make sure we don't crash on solve.
obj = ilpy.Objective()
obj.set_quadratic_coefficient(0, 0, -1) # quadratic term (-x^2)

solver = ilpy.Solver(
1, ilpy.VariableType.Continuous, preference=ilpy.Preference.Gurobi
)
solver = ilpy.Solver(1, ilpy.VariableType.Continuous, preference=preference)
solver.set_objective(obj)

constraint = ilpy.Constraint()
constraint.set_coefficient(0, 1)
constraint.set_value(1)
solver.add_constraint(constraint)

# Gurobi will raise an exception at the moment... may be changed later:
with pytest.raises(RuntimeError, match="Q matrix is not positive semi-definite"):
solver.solve()
# Gurobi will give zeros and SCIP will give something like -9999999987
assert solver.solve() is not None