stopping criterion in CVX Mosek based integer programs

[Nazmul Islam]

I am trying to solve a mixed integer convex programming using CVX Mosek. My program works for smaller number of integer variables but does not converge for a large number of integer variables. Since CVX Mosek shows improving feasible solutions in each step, I can see that the program is trying to go close to lowest feasible solution (it's a minimization problem) in each iteration. However, it can't reach since no. of variables are too high. I want to change CVX stopping criterion to the following:

STOP WHEN feasible solution <= A * global lower bound.

Here, A is a user-defined constant. If A is 2, i.e. user is satisfied with 50% gap from optimality. I know that Gurobi has a parameter named 'MIPGAP' to handle this http://www.gurobi.com/documentation/5.5/reference-manual/node846#parameter. Does Mosek have any setting option like this?

Thanks,

Nazmul

[Henrik Alsing Friberg]

Hi Nazmul.

You can read about the termination criteria for the mixed-integer optimizer here:
http://docs.mosek.com/7.0/capi/The_optimizers_for_mixed-integer_problem.html#sec-mip-term-cri

I believe setting MSK_DPAR_MIO_TOL_REL_GAP to a value higher than the default relative gap of 1e-4, is what you are looking for.

Kind regards,
Henrik.

[Nazmul Islam]

Hello Henrik,

 

Yes, that's what I am looking for. Thanks a lot for passing that information. Now, I will have to find how I can change that setting from CVX.

 

Best,

 

Nazmul

[hfalb...@gmail.com]

Did you find how ?

[Nazmul Islam]

Nope, I did not find it. I used GLPK + YALMIP to achieve my goal.

 

You can contact http://ask.cvxr.com/questions/ and check if such a solution exists for MOSEK + CVX.

 

Thanks,

 

Nazmul

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[Erling D. Andersen]

You should ask in CVX forum. I think you might even find a question in the CVX forum that deals with same topic.