How to control duality gap in cplex

[Mojtaba Khanabadi]

Hi Johan.

I have a question. I am working on unit commitment problem. I just wanted to know whether there is any way to control the duality gap in MIQP problems. I need to speed up the solution process and I don not care about the accuracy in my case. I am using CPLEX 12.3. Personally, I used to use GAMS and it was very easy on this software to control the duality gap buy using the following command:

optCA: Absolute optimality criterion. This attribute specifies an absolute termination tolerance for use in solving all mixed-integer models. 

optCR: Relative optimality criterion. This attribute specifies a relative termination tolerance for use in solving all mixed-integer models. 

I used the following command, unfortunately none of them worked for me!

ops = sdpsettings;

ops.cplex.mip.tolerances.mipgap=0.5;

ops.cplex.mip.tolerances.absmipgap=0.5;

and even in this format:

ops = sdpsettings('cplex.mip.tolerances.mipgap','0.5');

Thanks alot Johan

[Johan Löfberg]

1. Are you actually using the ops variable in the call to optimize?

2. Why are you using such an old cplex version?

3. 12.5 and 12.6.0 had a bug which caused cplex to completely ignore any options in matlab. Could be that it was the same in 12.3

[Mojtaba Khanabadi]

Thanks Johan for your comments. 

1. Yes, I have included ops variable using the following command:

solvesdp(Constraints,Objective,ops).

However, I did not see any change in solution process.

2. My supervisor have provided me this version of the cplex. that's why I am using the old version.

[Johan Löfberg]

Tell your supervisor to install 12.6.1 which fixes this bug

[Mojtaba Khanabadi]

Hi Johan,

Finally, I got CPLEX 12.6.3. I would appreciate if you could let me know which command can control the Relative optimality criterion in YALMIP. 

thanks a lot.

[Johan Löfberg]

Depends on the model. Just browse the options, perhaps something here

>> ops = sdpsettings;

>> ops.cplex.mip.tolerances

ans = 

           absmipgap: 1.0000e-06

         integrality: 1.0000e-05

         lowercutoff: -1.0000e+75

              mipgap: 1.0000e-04

       objdifference: 0

    relobjdifference: 0

         uppercutoff: 1.0000e+75