17 may
2019

Why does Cplex provide a solution with slack on constraints?

I developed a linear mathematical programming model in Visual Studio (C++) and solved the problem using Cplex (12.7.1). However I noticed some strange behavior of Cplex. For some problem instances, Cplex provides a feasible (non-optimal solution), that could be easily improved by removing slack on certain constraints. A simplified example of the mathematical model is as follows:

Minimize A

Subject to

cX – dY <= A

dY – cX <= A

X, Y binary, A continuous, c,d parameters

Given the values of X and Y in the provided feasible (non-optimal) solution, there is slack on both constraints. The continuous A variable could be easily reduced given the values of decision variables X and Y (i.e., by removing the slack of at least on of the two constraints). I understand that Cplex provides a solution that is feasible given the constraints of the problem. However when branching and solving the simplex in a branch to create a feasible solution, why does this simplex' calculation result in these two non-binding constraints? What can I do to ensure Cplex always provides at least a solution in which one of these two constraints is binding?

  • I tried to include the solution without slack in order to test if the expected solution is recognised as a feasible solution by Cplex (i.e., in order to test if the mathematical model programmed in C++ is error-free);
  • I tried to increase the Cplex' tolerances (IloCplex::Param::MIP::Tolerances::MIPGap);
  • I tried to switch of the dynamic search of Cplex (IloCplex::Param::MIP::Strategy::Search).

None of these tries solved the problem.

int nozones = 2;
int notrucks = 100;
int notimeslots = 24;
IloEnv env; 
IloModel model(env);
IloExpr objective(env);
IloExpr constraint(env);

NumVar3Matrix X(env, notimeslots);
for (i = 0; i < notimeslots; i++)
{
    X[i] = NumVarMatrix(env, notrucks);
    for (l = 0; l < notrucks; l++)
    {
        X[i][l] = IloNumVarArray(env, nozones);
        for (k = 0; k < nozones; k++)
        {
            X[i][l][k] = IloNumVar(env, 0, 1, ILOINT);
        }
    }
}

NumVar3Matrix A(env, nozones);
for (k = 0; k < nozones; k++)
{
    A[k] = NumVarMatrix(env, notimeslots);
    for (int i0 = 0; i0 < notimeslots; i0++)
    {
        A[k][i0] = IloNumVarArray(env, notimeslots);
        for (int i1 = 0; i1 < notimeslots; i1++)
        {
            A[k][i0][i1] = IloNumVar(env, 0, 9999, ILOFLOAT); 
        }
    }
}

//objective function
for (int k0 = 0; k0 < nozones; k0++)
{
    for (int i0 = 0; i0 < notimeslots; i0++)
    {
        for (int i1 = 0; i1 < notimeslots; i1++)
        {
            if (i0 > i1)
            {
                double denominator = (PP.mean[k0] * (double)(notimeslots*notimeslots)); //parameter
                objective += A[k0][i0][i1] / denominator;
            }
        }
    }
}

model.add(IloMinimize(env, objective)); 

//Constraints
for (int k0 = 0; k0 < nozones; k0++)
{
    for (int i0 = 0; i0 < notimeslots; i0++)
    {
        for (int i1 = 0; i1 < notimeslots; i1++)
        {
            if (i0 > i1)
            {
                for (int l0 = 0; l0 < notrucks; l0++)
                {
                    constraint += c[k0][l0] * X[i0][l0][k0];
                    constraint -= d[k0][l0] * X[i1][l0][k0];    
                }

                constraint -= A[k0][i0][i1];
                model.add(constraint <= 0);
                constraint.clear();

                for (int l0 = 0; l0 < notrucks; l0++)
                {
                    constraint -= c[k0][l0] * X[i0][l0][k0];
                    constraint += d[k0][l0] * X[i1][l0][k0];                
                }
                constraint -= A[k0][i0][i1];
                model.add(constraint <= 0);
                constraint.clear();
            }
        }
    }
}

Please find the log below:

CPXPARAM_TimeLimit                               10
CPXPARAM_Threads                                 3
CPXPARAM_MIP_Tolerances_MIPGap                   9.9999999999999995e-08
CPXPARAM_MIP_Strategy_CallbackReducedLP          0
Tried aggregator 2 times.
MIP Presolve eliminated 412 rows and 384 columns.
MIP Presolve modified 537 coefficients.
Aggregator did 21 substitutions.
Reduced MIP has 595 rows, 475 columns, and 10901 nonzeros.
Reduced MIP has 203 binaries, 0 generals, 0 SOSs, and 0 indicators.
Presolve time = 0.09 sec. (8.97 ticks)
Found incumbent of value 1254245.248934 after 0.11 sec. (10.55 ticks)
Probing time = 0.00 sec. (0.39 ticks)
Tried aggregator 1 time.
Reduced MIP has 595 rows, 475 columns, and 10901 nonzeros.
Reduced MIP has 203 binaries, 272 generals, 0 SOSs, and 0 indicators.
Presolve time = 0.03 sec. (4.47 ticks)
Probing time = 0.00 sec. (0.55 ticks)
Clique table members: 51.
MIP emphasis: balance optimality and feasibility.
MIP search method: dynamic search.
Parallel mode: deterministic, using up to 3 threads.
Root relaxation solution time = 0.05 sec. (15.41 ticks)

    Nodes                                         Cuts/
   Node  Left     Objective  IInf  Best Integer    Best Bound    ItCnt     Gap

*     0+    0                      1254245.2489    13879.8564            98.89%
*     0+    0                      1225612.3997    13879.8564            98.87%
*     0+    0                      1217588.5782    13879.8564            98.86%
*     0+    0                      1209564.7566    13879.8564            98.85%
*     0+    0                      1201540.9350    13879.8564            98.84%
*     0+    0                      1193517.1135    13879.8564            98.84%
*     0+    0                      1185493.2919    13879.8564            98.83%
*     0+    0                      1177589.9029    13879.8564            98.82%
      0     0   334862.8273   139  1177589.9029   334862.8273      387   71.56%
*     0+    0                       920044.8009   334862.8273            63.60%
      0     0   335605.5047   162   920044.8009     Cuts: 248      516   63.52%
*     0+    0                       732802.2256   335605.5047            54.20%
*     0+    0                       669710.6005   335605.5047            49.89%
      0     0   336504.5144   153   669710.6005     Cuts: 248      617   49.75%
      0     0   338357.1160   172   669710.6005     Cuts: 248      705   49.48%
      0     0   338950.0580   178   669710.6005     Cuts: 248      796   49.39%
      0     0   339315.6848   189   669710.6005     Cuts: 248      900   49.33%
      0     0   339447.9616   193   669710.6005     Cuts: 248      977   49.31%
      0     0   339663.6342   203   669710.6005     Cuts: 228     1091   49.28%
      0     0   339870.9021   205   669710.6005     Cuts: 210     1154   49.25%
*     0+    0                       531348.6042   339870.9021            36.04%
      0     0   340009.1008   207   531348.6042     Cuts: 241     1225   35.87%
      0     0   340855.1873   202   531348.6042     Cuts: 231     1318   35.85%
      0     0   341229.8328   202   531348.6042     Cuts: 248     1424   35.78%
      0     0   341409.5769   200   531348.6042     Cuts: 248     1502   35.75%
      0     0   341615.2848   286   531348.6042     Cuts: 248     1568   35.71%
      0     0   341704.8400   300   531348.6042     Cuts: 225     1626   35.69%
      0     0   341805.5681   222   531348.6042     Cuts: 191     1687   35.67%
*     0+    0                       489513.3319   341805.5681            30.17%
      0     0   341834.6048   218   489513.3319     Cuts: 169     1739   30.17%
      0     0   341900.1390   228   489513.3319     Cuts: 205     1788   30.16%
      0     0   341945.8278   211   489513.3319     Cuts: 197     1855   30.15%
*     0+    0                       489468.1697   341945.8278            30.14%
      0     2   341945.8278   202   489468.1697   341945.8278     1855   30.14%
Elapsed time = 5.53 sec. (446.68 ticks, tree = 0.01 MB, solutions = 14)
*   199+  154                       484741.1904   341968.3817            29.45%
    263   222   342462.1403   198   484741.1904   341968.3817    12287   29.45%
*   550+  420                       461678.3486   341993.1725            25.92%
    555   403   411858.3790   117   461678.3486   341993.1725    21480   25.92%
*   566+  319                       439985.4277   341993.1725            22.27%
    660   321   350009.7742   289   439985.4277   341993.1725    16141   22.27%
*   670+  427                       438464.9662   342020.7550            22.00%

Flow cuts applied:  15
Mixed integer rounding cuts applied:  65
Zero-half cuts applied:  6
Gomory fractional cuts applied:  15

Root node processing (before b&c):
  Real time             =    5.53 sec. (446.21 ticks)
Parallel b&c, 3 threads:
  Real time             =    4.50 sec. (1093.39 ticks)
  Sync time (average)   =    0.59 sec.
  Wait time (average)   =    0.04 sec.
                         ------------
Total (root+branch&cut) =   10.03 sec. (1539.61 ticks)

The expected result is that in all feasible solutions that Cplex provides, for all pairs of constraints that at least on of them is binding (without slack).

COMENTARIOS

Erwin Kalvelagen

I think I know the answer to that.

Cplex's heuristics will sometimes find integer solutions that are LP non-optimal. Here is an example of this behavior. This can really generate incoherent solutions. Many MIP modeling constructs (absolute values, min/max formulations, etc) assume all integer solutions are LP optimal. Preferably, Cplex would clean up these solutions.

A workaround I use for this problem is the following. After Cplex stops with a MIP solution, always fix all discrete variables and resolve as an LP. This will clean up integer solutions that are LP non-optimal. One possible exception: if the problem is proven globally optimal, then this may not be needed (I have become somewhat paranoid about this, so I always add the final LP). I have not seen this behavior (yet) with other solvers.

Bo Jensen

I assume CPLEX aborted due to hitting your time limit, hence the solution was not proven to be an optimum. Is this correct ?

This is not a bug. CPLEX does not make such guarantees for a user terminated run. CPLEX stops as soon as possible, when a solution satisfying the user requests/settings is found.

To get the behavior your are looking for, then in the C API you can use :

https://www.ibm.com/support/knowledgecenter/en/SSSA5P_12.9.0/ilog.odms.cplex.help/CPLEX/UsrMan/topics/discr_optim/mip/para/51_soln_fixed.html

to solve the fixed problem. Since the resulting problem is a pure LP, you can now call :

  • CPXlpopt() which solves this fixed LP
  • query duals etc. from the LP solve.

And as mentioned in the link you can use solveFixed() for higher level API's.

Daniel also answered your cross-post here :

https://developer.ibm.com/answers/questions/499882/why-does-cplex-provide-feasible-solutions-with-con/

https://developer.ibm.com/answers/questions/499879/why-does-cplex-provide-slack-on-constraints-when-p/

Please reply at the IBM developer forum if anything is not clear, thank you.

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