[Bonmin] Bonmin failing to deliver solution to GAMS (or failing to calculate solution?) in convex MINLP

[Juan Jose Galvez]

> Hi,
>
> I think I can reproduce your problem with Bonmin 1.4 (gams 23.7)
> Bonmin claims to have found improving solutions
>  OA0003I New best feasible of -8.9867 found after 10.3964 sec.
>  OA0003I New best feasible of -9.40927 found after 15.4497 sec.
> and then stops because the gap is closed sufficiently.
>
> Unfortunately, when GAMS evaluates the objective function w.r.t. the  
> best solution reported by Bonmin, it has only a value of 18.60159.
> (here and above I report the negated objective function values,  
> since Bonmin can handle only minimization problems)
>
> However, with a current Bonmin 1.5, it seems to work correctly.
> So I guess this bug has been fixed in Bonmin. (Pierre?)
> It will also be available in the next GAMS release, which I hope  
> will be out soon.

Thanks for clarifying that issue! Hope this version is released soon.

Juan

>
> Stefan
>
>
>>
>> Hi,
>>
>> I'm sending you a slightly modified model. I'm solving it with the
>> following options:
>>
>> bonmin.milp_solver Cplex
>> bonmin.allowable_fraction_gap 0.1
>> bonmin.algorithm B-QG
>>
>> - This is the output I get:
>>
>> Bonmin finished. Found feasible point. Objective function value = -9.40927.
>> Resolve with fixed discrete variables to get dual values.
>> NLP0014I 4 OPT -9.4093 20 1.963
>> Warning: Optimal value of NLP subproblem differ from best MINLP value
>> reported b
>> y Bonmin.
>> Will not replace solution, dual values will not be available.
>> Best solution: -1.859887e+001 (41 nodes, 12.074 seconds)
>> Best possible: 9.409270e+000 (only reliable for convex models)
>>
>> Absolute gap: 2.800814e+001 (absolute tolerance optca: 0)
>> Relative gap: 297.665415% (relative tolerance optcr: 0.1%)
>>
>>
>> - If I solve with B-OA, I get the following:
>>
>> Bonmin finished. Found feasible point. Objective function value = -9.40927.
>> Resolve with fixed discrete variables to get dual values.
>> NLP0014I 3 OPT -9.4093 25 2.488
>>
>> Best solution: 9.409269e+000 (0 nodes, 16.239 seconds)
>> Best possible: 9.409268e+000 (only reliable for convex models)
>>
>> Absolute gap: 1.460884e-006 (absolute tolerance optca: 0)
>> Relative gap: 0.000016% (relative tolerance optcr: 0.1%)
>>
>>
>> Hope this helps,
>> Juan
>>
>>>
>>> Hi,
>>>
>>>> Hi,
>>>>
>>>>> This is an example output I'm getting from a model solved by bonmin:
>>>>>
>>>>> Bonmin finished. Found feasible point. Objective function value =
>>>>> -8.477.
>>>>> Resolve with fixed discrete variables to get dual values.
>>>>> NLP0014I 4 OPT -8.477 18 1.887
>>>>> Warning: Optimal value of NLP subproblem differ from best MINLP value
>>>>> reported by Bonmin.
>>>>> Will not replace solution, dual values will not be available.
>>>>>
>>>>>
>>>>> Best solution: -9.701475e+000 (36 nodes, 12.637 seconds)
>>>>> Best possible: 8.477002e+000 (only reliable for convex models)
>>>>>
>>>>> Absolute gap: 1.817848e+001 (absolute tolerance optca: 0)
>>>>> Relative gap: 214.444651% (relative tolerance optcr: 0.05%)
>>>>>
>>>>> However, the primal solution given to GAMS corresponds to objective
>>>>> value -9.701475, and not 8.477002.
>>>>
>>>> The best feasible solution that Bonmin found has value -9.701475.
>>>> The 8.477002 is only an upper bound that tells you that there exists
>>>> no solution with a value above 8.477002.
>>>
>>>
>>> I thought the output line:
>>> "Bonmin finished. Found feasible point. Objective function value =
>>> -8.477."
>>>
>>> meant that bonmin has found a feasible point with objective value
>>> 8.477. I don't understand why it subsequently says that the best
>>> solution is -9.701475, which is much worse. In fact, I thought bonmin
>>> is exact for convex models. The solution reported, however, is way
>>> outside the required tolerance levels, as you can see in the output.
>>> On the other hand, if I try with a different algorithm (OA), the best
>>> solution found *is* 8.477.
>>>
>>> I'll send you a model later to see if you can reproduce the problem.
>>>
>>> Juan
>>>
>>>>
>>>> Stefan
>>>>
>>>>>
>>>>> Juan
>>>>>
>>>>>> Hi,
>>>>>>
>>>>>>> Hello,
>>>>>>>
>>>>>>> I'm trying to solver a number of convex MINLP instances of a problem
>>>>>>> using Bonmin through GAMS and am frequently getting this error
>>>>>>> message
>>>>>>> when bonmin finishes:
>>>>>>>
>>>>>>> Warning: Optimal value of NLP subproblem differ from best MINLP value
>>>>>>> reported by Bonmin.
>>>>>>> Will not replace solution, dual values will not be available.
>>>>>>>
>>>>>>> When this happens, GAMS does not receive the last feasible point (and
>>>>>>> supposedly optimal solution) found by bonmin. So first of all I'm not
>>>>>>> sure if bonmin is correctly calculating the solution in these
>>>>>>> cases, and
>>>>>>> if it is, it's not sending the solution to GAMS. Is there any way to
>>>>>>> solve this or get around it?
>>>>>>
>>>>>> When Bonmin finishes and has found a feasible solution, then the
>>>>>> Gams/Bonmin link solves the NLP obtained from the MINLP by fixing the
>>>>>> discrete variables to the values in the solution. It's doing this to
>>>>>> compute dual values.
>>>>>> The warning says, that this final NLP solve ended with a solution that
>>>>>> has a worse objective function value than the solution value reported
>>>>>> by Bonmin.
>>>>>> However, in this case, you should still get the primal solution that
>>>>>> Bonmin reported, only a dual solution will be unavailable.
>>>>>>
>>>>>> If you don't get Bonmin's solution, it would be great if you could
>>>>>> send me a model to reproduce this behaviour.
>>>>>>
>>>>>> In the next GAMS release, there will be an option to disable the final
>>>>>> solve in the Gams/Bonmin link.
>>>>>>
>>>>>> Stefan
>>>>>>
>>>>>>
>>>>>>>
>>>>>>> Regards,
>>>>>>> Juan
>>>>>>>
>>>>>>>
>>>>>>> _______________________________________________
>>>>>>> Bonmin mailing list
>>>>>>> Bonmin at list.coin-or.org
>>>>>>> http://list.coin-or.org/mailman/listinfo/bonmin
>>>>>>>
>>>>>>
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>
>>>>
>>>
>>>
>>>
>>> --
>>> Juan José Gálvez García, Ph.D.
>>> Dept. Ingeniería de la Información y las Comunicaciones
>>> Facultad de Informática
>>> Universidad de Murcia
>>> Campus de Espinardo, 30100 E-mail: jjgalvez at um.es
>>> Murcia, SPAIN Phone: +34868887882
>>>
>>>
>>> _______________________________________________
>>> Bonmin mailing list
>>> Bonmin at list.coin-or.org
>>> http://list.coin-or.org/mailman/listinfo/bonmin
>>>
>>
>
>