Decision Optimization

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Cplex Error 5002, but problem should be solvable

  • 1.  Cplex Error 5002, but problem should be solvable

    Posted Wed January 13, 2021 11:46 AM
    Hi, I have run into an issue with a QCQP where CPLEX gives "CPLEX Error 5002: objective is not convex.". However, the matrices in the problem are PSD, and any of the following modifications will result in CPLEX solving the problem without throwing an error:

    • Reformulating the problem along of vein of replacing (a+b)^2 in the objective with c^2, and adding an "c = a + b" constraint
    • Scaling every term in the objective down by a factor of 0.1
    • Scaling every term in the objective up by a factor of 10

    I am running with default CPLEX Interactive Optimizer settings, and am curious if anyone could provide some insight into this behavior.  I've boiled the problem into a small example, and have attached the original, reformulated, scaled-up, and scaled-down versions of the problem. Thanks!

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    Michael
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    Attachment(s)

    lp
    example_scaled_down.lp   403 B 1 version
    lp
    example_error.lp   408 B 1 version
    lp
    example_reformulated.lp   440 B 1 version
    lp
    example_scaled_up.lp   417 B 1 version


  • 2.  RE: Cplex Error 5002, but problem should be solvable

    Posted Wed January 13, 2021 06:26 PM
    I suspect you are dealing with rounding error issues. In your example, the Q matrix in the objective has two positive eigenvalues and one eigenvalue that equals zero ... give or take. Thanks to rounding error, CPLEX may be seeing a negative eigenvalue sufficiently different from zero to make the matrix look non-PSD. The various transformations you did would all change the eigenvalues, and apparently both scaling up and scaling down results in a third eigenvalue sufficiently close to zero to get by. So in the rounding error lottery, you were unlucky in one case and lucky in the others.

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    Paul Rubin
    Professor Emeritus
    Michigan State University
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  • 3.  RE: Cplex Error 5002, but problem should be solvable

    Posted Thu January 14, 2021 12:48 PM
    Thanks for your thoughts and insights Paul! Sounds very plausible to me.

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    Michael Han
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