Decision Optimization

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Numerical error in quadratic model

  • 1.  Numerical error in quadratic model

    Posted Sun January 08, 2023 10:25 AM
    Edited by System Fri January 20, 2023 04:34 PM
    I am solving the linear relaxation of mixed integer convex quadratic problems with CPLEX v12.10 in Julia. Even if all the problems are feasibles I sometime get no solution and the termination status returned in julia is just: "numerical error". 

    To give you more details, I am implementing a cutting plane algorithm. Consequently, all these problems correspond to the linear relaxation of the same initial problem to which I stochastically add valid inequalities. Sometimes, everything works fine and sometime I get the numerical error.

    To investigate this further I wanted to print one of the models which lead to an error in an lp file but this is not possible since it has quadratic constraints.

    I do not have a lot of experience with the resolution of quadratic problems with CPLEX so I do not know if this is to be sometime expected, if there are ways to avoid that kind of errors or if I do something wrong. Any help is welcome!

    EDIT: the numerical error occurs when the solution obtained by CPLEX has the status: "CPX_STAT_NUM_BEST" which means that "Solution is available, but not proved optimal, due to numeric difficulties during optimization."

    Zacharie ALES