False positive for SOC feasibility problem with Gurobi/Julia

[leonardgoeke]

I'm solving a feasibility problem with a second-order cone constraint. With JuMP v1.24.0, Gurobi v1.7.0, and Gurobi_jll v12.0.1 (so also Gurobi v12.0.1), Gurobi reports sub-optimal termination for certain solver settings. However, checking the solution, it violates several constraints and bounds. If I solve the same problem directly with Gurobi using the command line, the problem is (presumably correctly) reported as infeasible.

Also, the reporting differs. In Julia, I get this:

Optimize a model with 18205 rows, 13729 columns and 1734972 nonzeros
Model fingerprint: 0x52136f67
Model has 1 quadratic constraint
Coefficient statistics:
Matrix range [4e-03, 1e+04]
QMatrix range [4e-01, 4e-01]
QLMatrix range [8e-03, 1e+01]
Objective range [0e+00, 0e+00]
Bounds range [3e+02, 3e+02]
RHS range [1e-02, 1e+02]
QRHS range [2e+03, 2e+03]

Running the same problem from the command line, give me:

Optimize a model with 18205 rows, 13729 columns and 1734972 nonzeros
Model fingerprint: 0x113f16fe
Model has 1 quadratic constraint
Coefficient statistics:
Matrix range [4e-03, 1e+04]
QMatrix range [8e-01, 8e-01]
QLMatrix range [8e-03, 1e+01]
Objective range [0e+00, 0e+00]
Bounds range [3e+02, 3e+02]
RHS range [1e-02, 1e+02]
QRHS range [2e+03, 2e+03]

As you can see, the fingerprint and QMatrix range differs between.

I've attached the code and .mps file to reproduce the error. mre.zip

[odow]

I can't reproduce:

julia> using JuMP

julia> using Gurobi

       # read-in model

julia> model = read_from_file("model.mps")
A JuMP Model
├ solver: none
├ objective_sense: MIN_SENSE
│ └ objective_function_type: AffExpr
├ num_variables: 13729
├ num_constraints: 30086
│ ├ AffExpr in MOI.EqualTo{Float64}: 6162
│ ├ AffExpr in MOI.GreaterThan{Float64}: 2954
│ ├ AffExpr in MOI.LessThan{Float64}: 9089
│ ├ QuadExpr in MOI.LessThan{Float64}: 1
│ ├ VariableRef in MOI.GreaterThan{Float64}: 10967
│ └ VariableRef in MOI.LessThan{Float64}: 913
└ Names registered in the model: none

julia> set_optimizer(model, Gurobi.Optimizer)

       # setu options and solve
Set parameter LicenseID to value 890341

julia> set_optimizer_attribute(model, "Method", 2)
Set parameter Method to value 2

julia> set_optimizer_attribute(model, "Crossover", 0)
Set parameter Crossover to value 0

julia> set_optimizer_attribute(model, "Threads", 10)
Set parameter Threads to value 10

julia> set_optimizer_attribute(model, "GURO_PAR_BARDENSETHRESH", 10000)
Set parameter GURO_PAR_BARDENSETHRESH to value 10000

julia> set_optimizer_attribute(model, "NumericFocus", 1)
Set parameter NumericFocus to value 1

julia> set_optimizer_attribute(model, "ResultFile", "model.sol")

julia> optimize!(model)
Set parameter GURO_PAR_BARDENSETHRESH to value 10000
Set parameter Method to value 2
Set parameter NumericFocus to value 1
Set parameter Crossover to value 0
Set parameter Threads to value 10
Gurobi Optimizer version 12.0.1 build v12.0.1rc0 (mac64[x86] - Darwin 24.1.0 24B83)

CPU model: Intel(R) Core(TM) i5-8259U CPU @ 2.30GHz
Thread count: 4 physical cores, 8 logical processors, using up to 10 threads

Warning: Thread count (10) is larger than processor count (8)
         Reduce the value of the Threads parameter to improve performance


Non-default parameters:
Method  2
Crossover  0
NumericFocus  1
Threads  10
GURO_PAR_BARDENSETHRESH  10000

Optimize a model with 18205 rows, 13729 columns and 1734972 nonzeros
Model fingerprint: 0xdd6beab3
Model has 1 quadratic constraint
Coefficient statistics:
  Matrix range     [4e-03, 1e+04]
  QMatrix range    [8e-01, 8e-01]
  QLMatrix range   [8e-03, 1e+01]
  Objective range  [0e+00, 0e+00]
  Bounds range     [3e+02, 3e+02]
  RHS range        [1e-02, 1e+02]
  QRHS range       [2e+03, 2e+03]
Presolve removed 5450 rows and 4316 columns
Presolve time: 0.68s
Presolved: 13508 rows, 9970 columns, 1708390 nonzeros
Presolved model has 1 second-order cone constraint
Ordering time: 0.53s

Barrier statistics:
 Dense cols : 1
 AA' NZ     : 5.725e+06
 Factor NZ  : 1.192e+07 (roughly 100 MB of memory)
 Factor Ops : 1.388e+10 (less than 1 second per iteration)
 Threads    : 10

                  Objective                Residual
Iter       Primal          Dual         Primal    Dual     Compl     Time
   0   0.00000000e+00 -4.02693281e+01  3.88e+04 1.00e-01  6.69e+00     3s
   1   0.00000000e+00 -4.95609964e+01  2.77e+04 8.52e-02  5.08e+00     3s
   2   0.00000000e+00 -7.64870038e+01  1.86e+04 6.00e-02  3.51e+00     4s
   3   0.00000000e+00 -5.84696977e+01  1.09e+04 3.74e-02  2.09e+00     4s
   4   0.00000000e+00 -7.27786248e+01  7.90e+03 1.91e-02  1.40e+00     5s
   5   0.00000000e+00 -2.47751405e+01  2.54e+03 6.26e-03  4.80e-01     6s
   6   0.00000000e+00  1.73536980e+02  9.49e+02 3.27e-03  1.93e-01     6s
   7   0.00000000e+00  1.24213494e+03  7.91e+02 2.13e-03  1.50e-01     7s
   8   0.00000000e+00  1.29746657e+04  7.67e+02 1.98e-03  1.43e-01     8s
   9   0.00000000e+00  3.42423830e+04  7.65e+02 1.97e-03  1.42e-01     9s
  10   0.00000000e+00  1.51345807e+05  7.63e+02 1.97e-03  1.41e-01    10s
  11   0.00000000e+00  9.33999588e+05  7.63e+02 1.97e-03  1.52e-01    10s
  12   0.00000000e+00  3.21504808e+06  7.63e+02 1.97e-03  1.76e-01    11s
  13   0.00000000e+00  7.17945392e+06  7.63e+02 1.97e-03  2.15e-01    12s
  14   0.00000000e+00  2.76199017e+07  7.63e+02 1.97e-03  3.90e-01    13s
  15   0.00000000e+00  6.57922912e+07  7.63e+02 1.97e-03  6.60e-01    14s
  16   0.00000000e+00 -4.02693281e+01  3.88e+04 1.00e-01  7.45e+00    16s
  17   0.00000000e+00 -1.32900109e+01  6.25e+03 2.94e-02  4.00e-01    17s
  18   0.00000000e+00 -7.96011234e+00  1.65e+03 1.69e-02  7.06e-02    18s
  19   0.00000000e+00 -5.34867486e+00  1.91e+03 1.14e-02  7.25e-02    18s
  20   0.00000000e+00 -1.48031323e+00  1.15e+03 4.43e-03  3.74e-02    19s
  21   0.00000000e+00  9.12129140e-01  1.13e+03 4.57e-03  7.06e-02    20s
  22   0.00000000e+00  5.55314196e+01  1.60e+03 1.20e-02  7.34e-01    21s
  23   0.00000000e+00  1.07579891e+02  9.69e+02 1.06e-02  1.24e+00    22s
  24   0.00000000e+00  3.42610703e+02  1.79e+03 1.22e-02  7.29e+00    23s
  25   0.00000000e+00  1.79618002e+03  2.01e+03 1.47e-02  2.74e+01    23s
  26*  0.00000000e+00  2.11388775e+05  1.04e+01 3.40e-02  1.86e-02    24s
  27*  0.00000000e+00  4.04944120e+04  1.20e+00 3.23e-04  1.04e-03    25s
  28*  0.00000000e+00  6.74833685e+07  1.40e-02 6.21e-06  1.10e-04    26s
  29*  0.00000000e+00  2.59833221e+08  1.85e-05 5.73e-09  5.95e-09    26s

Barrier performed 29 iterations in 26.38 seconds (19.75 work units)
Infeasible model


User-callback calls 3341, time in user-callback 0.02 sec

Warning: unable to write requested result file 'model.sol'


shell> gurobi_cl Crossover=0 GURO_PAR_BARDENSETHRESH=10000 Method=2 NumericFocus=1 Threads=10 logfile=gurobi_cl.log ResultFile=gurobi_cl.sol model.mps
Set parameter LicenseID to value 890341
Set parameter Method to value 2
Set parameter Crossover to value 0
Set parameter LogFile to value "gurobi_cl.log"
Set parameter NumericFocus to value 1
Set parameter Threads to value 10
Set parameter GURO_PAR_BARDENSETHRESH to value 10000
Using license file /Users/oscar/gurobi.lic

Gurobi Optimizer version 11.0.1 build v11.0.1rc0 (mac64[x86] - Darwin 24.1.0 24B83)
Copyright (c) 2024, Gurobi Optimization, LLC

Read MPS format model from file model.mps
Reading time = 0.49 seconds
: 18205 rows, 13729 columns, 1734972 nonzeros

CPU model: Intel(R) Core(TM) i5-8259U CPU @ 2.30GHz
Thread count: 4 physical cores, 8 logical processors, using up to 10 threads

Warning: Thread count (10) is larger than processor count (8)
         Reduce the value of the Threads parameter to improve performance


Optimize a model with 18205 rows, 13729 columns and 1734972 nonzeros
Model fingerprint: 0x113f16fe
Model has 1 quadratic constraint
Coefficient statistics:
  Matrix range     [4e-03, 1e+04]
  QMatrix range    [8e-01, 8e-01]
  QLMatrix range   [8e-03, 1e+01]
  Objective range  [0e+00, 0e+00]
  Bounds range     [3e+02, 3e+02]
  RHS range        [1e-02, 1e+02]
  QRHS range       [2e+03, 2e+03]
Presolve removed 4000 rows and 2866 columns
Presolve time: 0.86s
Presolved: 17768 rows, 10865 columns, 1716572 nonzeros
Presolved model has 1 second-order cone constraint
Ordering time: 0.59s

Barrier statistics:
 Dense cols : 1
 AA' NZ     : 5.286e+06
 Factor NZ  : 1.312e+07 (roughly 120 MB of memory)
 Factor Ops : 1.362e+10 (less than 1 second per iteration)
 Threads    : 10

                  Objective                Residual
Iter       Primal          Dual         Primal    Dual     Compl     Time
   0   0.00000000e+00 -3.05246631e+01  6.91e+04 1.00e-01  6.34e+00     3s
   1   0.00000000e+00 -4.40018611e+01  3.60e+04 8.25e-02  3.89e+00     4s
   2   0.00000000e+00 -6.34264634e+01  2.26e+04 5.29e-02  2.49e+00     4s
   3   0.00000000e+00 -3.56617184e+01  1.28e+04 3.42e-02  1.52e+00     5s
   4   0.00000000e+00 -4.35834134e+01  4.36e+03 1.14e-02  5.44e-01     6s
   5   0.00000000e+00 -5.86031553e+00  1.64e+03 3.77e-03  2.06e-01     7s
   6   0.00000000e+00  1.59735850e+02  8.44e+02 1.69e-03  1.03e-01     8s
   7   0.00000000e+00  1.17345876e+03  7.40e+02 1.10e-03  8.32e-02     9s
   8   0.00000000e+00  5.97861131e+03  7.27e+02 1.02e-03  8.14e-02    10s
   9   0.00000000e+00  2.17806077e+04  7.24e+02 1.01e-03  7.93e-02    11s
  10   0.00000000e+00  8.64249166e+04  7.23e+02 1.01e-03  7.86e-02    12s
  11   0.00000000e+00  3.81861383e+05  7.23e+02 1.01e-03  8.52e-02    13s
  12   0.00000000e+00  2.91345841e+06  7.23e+02 1.01e-03  1.42e-01    14s
  13   0.00000000e+00  7.88461362e+06  7.23e+02 1.01e-03  2.18e-01    15s
  14   0.00000000e+00  1.53684599e+07  7.22e+02 1.01e-03  3.13e-01    16s
  15   0.00000000e+00  3.67620540e+07  7.22e+02 1.01e-03  5.96e-01    17s
  16   0.00000000e+00  7.83477262e+07  7.22e+02 1.01e-03  1.09e+00    18s
  17   0.00000000e+00 -3.05246631e+01  1.71e+04 1.00e-01  1.57e+00    20s
  18   0.00000000e+00 -2.90990301e+00  2.51e+03 2.43e-02  7.74e-02    20s
  19   0.00000000e+00 -1.22819794e+00  1.24e+03 8.81e-03  2.98e-02    21s
  20   0.00000000e+00  2.63611669e+00  2.03e+03 6.56e-03  1.31e-01    22s
  21   0.00000000e+00  2.47766896e+01  1.72e+03 6.11e-03  2.66e-01    23s
  22   0.00000000e+00  4.97765140e+01  1.57e+03 5.97e-03  5.35e-01    24s
  23   0.00000000e+00  1.35680878e+02  1.90e+03 5.76e-03  1.67e+00    26s
  24   0.00000000e+00  5.55612602e+02  2.62e+03 6.61e-03  7.85e+00    27s
  25   0.00000000e+00  3.58414305e+04  4.70e+03 4.15e-02  6.30e+02    29s
  26*  0.00000000e+00  2.10064225e+04  7.65e-01 1.98e-05  4.42e-05    30s
  27*  0.00000000e+00  4.84622949e+07  1.60e-03 7.16e-10  1.55e-07    32s
  28*  0.00000000e+00  4.34617895e+08  2.29e-06 4.14e-11  4.79e-12    34s

Barrier performed 28 iterations in 33.93 seconds (20.12 work units)
Infeasible model


Unable to retrieve attribute 'X'

julia> v = MOI.get(Gurobi.Optimizer(), MOI.SolverVersion())
Set parameter LicenseID to value 890341
"12.0.1"

(tmp) pkg> st
Status `/private/tmp/Project.toml`
  [2e9cd046] Gurobi v1.7.0
  [4076af6c] JuMP v1.24.0

[odow]

The fingerprints are different but that's probably due to a difference in row order with how we read in the MPS file and how Gurobi reads in the MPS file.

[torressa]

I also cannot reproduce this on Windows (the users OS):

julia> include("code.jl")
Gurobi version: 12.0.1
Set parameter Method to value 2
Set parameter Crossover to value 0
Set parameter Threads to value 10
Set parameter GURO_PAR_BARDENSETHRESH to value 10000
Set parameter NumericFocus to value 1
Set parameter GURO_PAR_BARDENSETHRESH to value 10000
Set parameter Method to value 2
Set parameter NumericFocus to value 1
Set parameter Crossover to value 0
Set parameter Threads to value 10
Gurobi Optimizer version 12.0.1 build v12.0.1rc0 (win64 - Windows 11.0 (22000.2))

CPU model: AMD EPYC 7402P 24-Core Processor, instruction set [SSE2|AVX|AVX2]
Thread count: 4 physical cores, 4 logical processors, using up to 10 threads

Warning: Thread count (10) is larger than processor count (4)
         Reduce the value of the Threads parameter to improve performance


Non-default parameters:
Method  2
Crossover  0
NumericFocus  1
Threads  10
GURO_PAR_BARDENSETHRESH  10000

Optimize a model with 18205 rows, 13729 columns and 1734972 nonzeros
Model fingerprint: 0xdd6beab3
Model has 1 quadratic constraint
Coefficient statistics:
  Matrix range     [4e-03, 1e+04]
  QMatrix range    [8e-01, 8e-01]
  QLMatrix range   [8e-03, 1e+01]
  Objective range  [0e+00, 0e+00]
  Bounds range     [3e+02, 3e+02]
  RHS range        [1e-02, 1e+02]
  QRHS range       [2e+03, 2e+03]
Presolve removed 5450 rows and 4316 columns
Presolve time: 1.02s
Presolved: 13508 rows, 9970 columns, 1708390 nonzeros
Presolved model has 1 second-order cone constraint
Ordering time: 0.70s

Barrier statistics:
 Dense cols : 1
 AA' NZ     : 5.725e+06
 Factor NZ  : 1.192e+07 (roughly 100 MB of memory)
 Factor Ops : 1.388e+10 (less than 1 second per iteration)
 Threads    : 10

                  Objective                Residual
Iter       Primal          Dual         Primal    Dual     Compl     Time
   0   0.00000000e+00 -4.02693281e+01  3.88e+04 1.00e-01  6.69e+00     4s
   1   0.00000000e+00 -4.97920941e+01  2.82e+04 8.56e-02  5.15e+00     4s
   2   0.00000000e+00 -7.79359792e+01  2.03e+04 5.97e-02  3.70e+00     5s
   3   0.00000000e+00 -5.63001751e+01  1.18e+04 3.85e-02  2.25e+00     6s
   4   0.00000000e+00 -7.50067786e+01  4.88e+03 2.06e-02  1.03e+00     6s
   5   0.00000000e+00 -4.48504945e+00  1.72e+03 6.84e-03  3.56e-01     7s
   6   0.00000000e+00  1.27978814e+03  1.00e+03 3.51e-03  2.07e-01     8s
   7   0.00000000e+00  1.00736854e+04  9.08e+02 3.06e-03  1.87e-01     8s
   8   0.00000000e+00  3.98375829e+04  8.97e+02 2.97e-03  1.86e-01     9s
   9   0.00000000e+00  2.11825843e+05  8.94e+02 2.96e-03  1.81e-01    10s
  10   0.00000000e+00  1.56201414e+06  8.94e+02 2.96e-03  2.07e-01    11s
  11   0.00000000e+00  7.26678968e+06  8.94e+02 2.95e-03  2.94e-01    11s
  12   0.00000000e+00  1.66131016e+07  8.94e+02 2.95e-03  3.99e-01    12s
  13   0.00000000e+00  2.54717163e+07  8.94e+02 2.95e-03  4.88e-01    13s
  14   0.00000000e+00  7.69189039e+07  8.94e+02 2.95e-03  1.04e+00    14s
  15   0.00000000e+00 -4.02693281e+01  3.88e+04 1.00e-01  7.58e+00    16s
  16   0.00000000e+00 -1.30800600e+01  3.34e+03 2.92e-02  2.22e-01    16s
  17   0.00000000e+00 -8.48249818e+00  1.09e+03 1.63e-02  5.48e-02    17s
  18   0.00000000e+00 -2.33548524e+00  6.17e+02 4.00e-03  1.82e-02    18s
  19   0.00000000e+00  7.68469576e+00  6.07e+02 4.16e-03  4.51e-02    18s
  20   0.00000000e+00  4.91864674e+01  6.87e+02 4.83e-03  1.90e-01    19s
  21   0.00000000e+00  2.00074614e+02  6.42e+02 5.23e-03  5.69e-01    20s
  22   0.00000000e+00  3.71064031e+02  8.82e+02 5.41e-03  1.72e+00    20s
  23   0.00000000e+00  2.33172549e+03  1.45e+03 5.58e-03  8.68e+00    21s
  24*  0.00000000e+00  1.41390375e+05  1.20e+01 1.30e-02  9.29e-03    22s
  25*  0.00000000e+00  3.22710453e+06  1.70e+00 1.84e-03  1.33e-03    22s
  26*  0.00000000e+00  9.11702116e+06  1.21e-01 6.29e-08  9.51e-05    23s
  27*  0.00000000e+00  8.52019017e+09  1.35e-04 9.68e-08  1.14e-07    24s

Barrier performed 27 iterations in 23.55 seconds (16.81 work units)
Infeasible model


User-callback calls 431, time in user-callback 0.00 sec

Warning: unable to write requested result file 'model.sol'