Error using CLP in MATLAB: Maximum iterations or time limit exceeded (CLP)

[Sarmad Munir]

I am trying to solve an optimization problem using clp via Yalmip. I have opti_clp.m and clp.mex file added to the path but I get the error: Maximum iterations or time limit exceeded (CLP).

Can you tell me how to increase its maximum iterations? I am not able to find the documentation for this, I have tried quite a few names e.g. clp.maxiter etc but Yalmip gives an error: Unrecognized property name 'clp.maxiter'.

When I check clpset, I get following:

> ops = clpset

ops = 

  struct with fields:

            algorithm: 'automatic'

            primalTol: 1.0000e-07

              dualTol: 1.0000e-07

           doPresolve: 1

    numPresolvePasses: 5

           factorFreq: []

    numberRefinements: 0

         primalObjLim: Inf

           dualObjLim: Inf

           numThreads: 1

             abcState: []

I can access all these fields but I have no clue how to change maximum iterations or maximum time.

[Johan Löfberg]

Sarmad, simply do ops.maxiter = 1234 after you have created ops.

To clarify Sarmads question in an OPTI context

The command clp claims there is a maxiter option, and that it should be generated when running clpset (which yalmip uses to define options structure)

>> help clp

  clp  Solve a LP or QP using clp

 

  THIS IS A LOW LEVEL FUNCTION - USE opti_clp() INSTEAD!

 

  clp uses the Coin-Or Linear Programming library.

 

    [x,fval,exitflag,iter,lambda] = clp(H, f, A, rl, ru, lb, ub, opts)

 

    Input arguments:

        H - quadratic objective matrix (sparse, tril, optional)

        f - linear objective vector

        A - linear constraint matrix (sparse)

        rl - linear constraint lhs

        ru - linear constraint rhs

        lb - decision variable lower bounds (optional)

        ub - decision variable upper bounds (optional)

        opts - solver options (see below)      

 

    Return arguments:

        x - solution vector

        fval - objective value at the solution

        exitflag - exit status (see below)

        iter - number of iterations taken by the solver

        lambda - structure of dual information

 

    Option Fields (all optional - see clpset):

        algorithm       - Solver algorithm (DualSimplex 0, PrimalSimplex 1, PrimalSimplexOrSprint 2, Barrier 3, BarrierNoCross 4, Automatic {5})

        primalTol       - Primal Tolerance

        dualTol         - Dual Tolerance

        maxiter         - maximum solver iterations

        maxtime         - maximum execution time [s]

but clpset genrates this

>> ops = clpset

ops = 

  struct with fields:

            algorithm: 'automatic'

            primalTol: 1.0000e-07

              dualTol: 1.0000e-07

           doPresolve: 1

    numPresolvePasses: 5

           factorFreq: []

    numberRefinements: 0

         primalObjLim: Inf

           dualObjLim: Inf

           numThreads: 1

             abcState: []

[Sarmad Munir]

Hi Johan,

I tried ops.maxiter=1e75 and ops.maxtime=1e75, I still get same error: 'Maximum iterations or time limit exceeded (CLP)'.

[Johan Löfberg]

and you used the options structure in the call to optimize?

If so, I would assume there is a bug in clp and hopefully some developer of opti reads this post

[Jonathan Currie]

Hi, apologies for the delay in answering.

The reason clpset does not include maxiter is because it is included in optiset. If you look at opti_clp() you will see:

%Add in clpset settings

if(isfield(opts,'solverOpts') && ~isempty(opts.solverOpts))

    popts = clpset(opts.solverOpts);    

else

    popts = clpset;

end

%Add in options from optiset   

popts.maxiter = opts.maxiter;

popts.maxtime = opts.maxtime;

popts.primalTol = opts.tolrfun;

popts.dualTol = opts.tolrfun;

Where you can see how the option structures are combined. In OPTI the design choice was to keep common options in optiset, with solver specific options in the solverset structure. They would then be combined at the opti_solver() level, so the MEX interface would read them all from a common structure.

If you are having issues with maxiter in clp, can you please post a code example?

Jonathan

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[Johan Löfberg]

so when YALMIP sets up an options structure for clp, it should create both a clpset and an opti structure, and merge these? yalmip calls clp directly to minimize overhead

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[Jonathan Currie]

No, I would just do what is done above, and manually tag on the common options (maxiter, maxtime, etc) to the structure returned by clpset().

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