How to reduce iterations when using MOSEK?
380 views
Skip to first unread message
Giuseppe Tommaso Costanzo
Feb 27, 2014, 8:59:49 AM2/27/14
to yal...@googlegroups.com
Hi All
I'm using MOSEK together with YALMIP to solve MIQP problems.
I see that the solver starts taking too much iterations and I would like to know if there is a way to limit the iterations and let the solver to choose the best feasible solution (if found).
Thank you in advance
G.
Johan Löfberg
Feb 27, 2014, 9:07:38 AM2/27/14
to yal...@googlegroups.com
I can only advice you to read the reference material from Mosek on their options. There are many of them
>> ops = sdpsettings;
>> ops.mosek
ans =
MSK_DPAR_ANA_SOL_INFEAS_TOL: 1.0000e-06
MSK_DPAR_BASIS_REL_TOL_S: 1.0000e-12
MSK_DPAR_BASIS_TOL_S: 1.0000e-06
MSK_DPAR_BASIS_TOL_X: 1.0000e-06
MSK_DPAR_CHECK_CONVEXITY_REL_TOL: 1.0000e-10
MSK_DPAR_DATA_TOL_AIJ: 1.0000e-12
MSK_DPAR_DATA_TOL_AIJ_HUGE: 1.0000e+20
MSK_DPAR_DATA_TOL_AIJ_LARGE: 1.0000e+10
MSK_DPAR_DATA_TOL_BOUND_INF: 1.0000e+16
MSK_DPAR_DATA_TOL_BOUND_WRN: 100000000
MSK_DPAR_DATA_TOL_C_HUGE: 1.0000e+16
MSK_DPAR_DATA_TOL_CJ_LARGE: 100000000
MSK_DPAR_DATA_TOL_QIJ: 1.0000e-16
MSK_DPAR_DATA_TOL_X: 1.0000e-08
MSK_DPAR_FEASREPAIR_TOL: 1.0000e-10
MSK_DPAR_INTPNT_CO_TOL_DFEAS: 1.0000e-08
MSK_DPAR_INTPNT_CO_TOL_INFEAS: 1.0000e-10
MSK_DPAR_INTPNT_CO_TOL_MU_RED: 1.0000e-08
MSK_DPAR_INTPNT_CO_TOL_NEAR_REL: 1000
MSK_DPAR_INTPNT_CO_TOL_PFEAS: 1.0000e-08
MSK_DPAR_INTPNT_CO_TOL_REL_GAP: 1.0000e-07
MSK_DPAR_INTPNT_NL_MERIT_BAL: 1.0000e-04
MSK_DPAR_INTPNT_NL_TOL_DFEAS: 1.0000e-08
MSK_DPAR_INTPNT_NL_TOL_MU_RED: 1.0000e-12
MSK_DPAR_INTPNT_NL_TOL_NEAR_REL: 1000
MSK_DPAR_INTPNT_NL_TOL_PFEAS: 1.0000e-08
MSK_DPAR_INTPNT_NL_TOL_REL_GAP: 1.0000e-06
MSK_DPAR_INTPNT_NL_TOL_REL_STEP: 0.9950
MSK_DPAR_INTPNT_TOL_DFEAS: 1.0000e-08
MSK_DPAR_INTPNT_TOL_DSAFE: 1
MSK_DPAR_INTPNT_TOL_INFEAS: 1.0000e-10
MSK_DPAR_INTPNT_TOL_MU_RED: 1.0000e-16
MSK_DPAR_INTPNT_TOL_PATH: 1.0000e-08
MSK_DPAR_INTPNT_TOL_PFEAS: 1.0000e-08
MSK_DPAR_INTPNT_TOL_PSAFE: 1
MSK_DPAR_INTPNT_TOL_REL_GAP: 1.0000e-08
MSK_DPAR_INTPNT_TOL_REL_STEP: 0.9999
MSK_DPAR_INTPNT_TOL_STEP_SIZE: 1.0000e-06
MSK_DPAR_LOWER_OBJ_CUT: [1x1 double]
MSK_DPAR_LOWER_OBJ_CUT_FINITE_TRH: [1x1 double]
MSK_DPAR_MIO_DISABLE_TERM_TIME: -1
MSK_DPAR_MIO_HEURISTIC_TIME: -1
MSK_DPAR_MIO_MAX_TIME: -1
MSK_DPAR_MIO_MAX_TIME_APRX_OPT: 60
MSK_DPAR_MIO_NEAR_TOL_ABS_GAP: 0
MSK_DPAR_MIO_NEAR_TOL_REL_GAP: 1.0000e-03
MSK_DPAR_MIO_REL_ADD_CUT_LIMITED: 0.7500
MSK_DPAR_MIO_REL_GAP_CONST: 1.0000e-10
MSK_DPAR_MIO_TOL_ABS_GAP: 0
MSK_DPAR_MIO_TOL_ABS_RELAX_INT: 1.0000e-05
MSK_DPAR_MIO_TOL_FEAS: 1.0000e-07
MSK_DPAR_MIO_TOL_REL_GAP: 1.0000e-04
MSK_DPAR_MIO_TOL_REL_RELAX_INT: 1.0000e-06
MSK_DPAR_MIO_TOL_X: 1.0000e-06
MSK_DPAR_NONCONVEX_TOL_FEAS: 1.0000e-06
MSK_DPAR_NONCONVEX_TOL_OPT: 1.0000e-07
MSK_DPAR_OPTIMIZER_MAX_TIME: -1
MSK_DPAR_PRESOLVE_TOL_ABS_LINDEP: 1.0000e-06
MSK_DPAR_PRESOLVE_TOL_AIJ: 1.0000e-12
MSK_DPAR_PRESOLVE_TOL_REL_LINDEP: 1.0000e-10
MSK_DPAR_PRESOLVE_TOL_S: 1.0000e-08
MSK_DPAR_PRESOLVE_TOL_X: 1.0000e-08
MSK_DPAR_QCQO_REFORMULATE_REL_DROP_TOL: 1.0000e-15
MSK_DPAR_SIM_LU_TOL_REL_PIV: 0.0100
MSK_DPAR_SIMPLEX_ABS_TOL_PIV: 1.0000e-07
MSK_DPAR_UPPER_OBJ_CUT: 1.0000e+30
MSK_DPAR_UPPER_OBJ_CUT_FINITE_TRH: 5.0000e+29
MSK_IPAR_ALLOC_ADD_QNZ: 5000
MSK_IPAR_ANA_SOL_BASIS: 'MSK_ON'
MSK_IPAR_ANA_SOL_PRINT_VIOLATED: 'MSK_OFF'
MSK_IPAR_AUTO_SORT_A_BEFORE_OPT: 'MSK_OFF'
MSK_IPAR_AUTO_UPDATE_SOL_INFO: 'MSK_OFF'
MSK_IPAR_BASIS_SOLVE_USE_PLUS_ONE: 'MSK_OFF'
MSK_IPAR_BI_CLEAN_OPTIMIZER: [1x18 char]
MSK_IPAR_BI_IGNORE_MAX_ITER: 'MSK_OFF'
MSK_IPAR_BI_IGNORE_NUM_ERROR: 'MSK_OFF'
MSK_IPAR_BI_MAX_ITERATIONS: 1000000
MSK_IPAR_CACHE_LICENSE: 'MSK_ON'
MSK_IPAR_CHECK_CONVEXITY: [1x24 char]
MSK_IPAR_COMPRESS_STATFILE: 'MSK_ON'
MSK_IPAR_CONCURRENT_NUM_OPTIMIZERS: 2
MSK_IPAR_CONCURRENT_PRIORITY_DUAL_SIMPLEX: 2
MSK_IPAR_CONCURRENT_PRIORITY_FREE_SIMPLEX: 3
MSK_IPAR_CONCURRENT_PRIORITY_INTPNT: 4
MSK_IPAR_CONCURRENT_PRIORITY_PRIMAL_SIMPLEX: 1
MSK_IPAR_FEASREPAIR_OPTIMIZE: [1x28 char]
MSK_IPAR_INFEAS_GENERIC_NAMES: 'MSK_OFF'
MSK_IPAR_INFEAS_PREFER_PRIMAL: 'MSK_ON'
MSK_IPAR_INFEAS_REPORT_AUTO: 'MSK_ON'
MSK_IPAR_INFEAS_REPORT_LEVEL: 0
MSK_IPAR_INTPNT_BASIS: [1x13 char]
MSK_IPAR_INTPNT_DIFF_STEP: 'MSK_ON'
MSK_IPAR_INTPNT_FACTOR_DEBUG_LVL: 0
MSK_IPAR_INTPNT_FACTOR_METHOD: 0
MSK_IPAR_INTPNT_HOTSTART: [1x24 char]
MSK_IPAR_INTPNT_MAX_ITERATIONS: 400
MSK_IPAR_INTPNT_MAX_NUM_COR: -1
MSK_IPAR_INTPNT_MAX_NUM_REFINEMENT_STEPS: -1
MSK_IPAR_INTPNT_OFF_COL_TRH: 40
MSK_IPAR_INTPNT_ORDER_METHOD: [1x21 char]
MSK_IPAR_INTPNT_REGULARIZATION_USE: 'MSK_ON'
MSK_IPAR_INTPNT_SCALING: [1x16 char]
MSK_IPAR_INTPNT_SOLVE_FORM: [1x14 char]
MSK_IPAR_INTPNT_STARTING_POINT: [1x23 char]
MSK_IPAR_LIC_TRH_EXPIRY_WRN: 7
MSK_IPAR_LICENSE_ALLOW_OVERUSE: 'MSK_ON'
MSK_IPAR_LICENSE_DEBUG: 'MSK_OFF'
MSK_IPAR_LICENSE_PAUSE_TIME: 100
MSK_IPAR_LICENSE_SUPPRESS_EXPIRE_WRNS: 'MSK_OFF'
MSK_IPAR_LICENSE_WAIT: 'MSK_OFF'
MSK_IPAR_LOG: 10
MSK_IPAR_LOG_BI: 4
MSK_IPAR_LOG_BI_FREQ: 2500
MSK_IPAR_LOG_CHECK_CONVEXITY: 0
MSK_IPAR_LOG_CONCURRENT: 1
MSK_IPAR_LOG_CUT_SECOND_OPT: 1
MSK_IPAR_LOG_EXPAND: 0
MSK_IPAR_LOG_FACTOR: 1
MSK_IPAR_LOG_FEAS_REPAIR: 1
MSK_IPAR_LOG_FILE: 1
MSK_IPAR_LOG_HEAD: 1
MSK_IPAR_LOG_INFEAS_ANA: 1
MSK_IPAR_LOG_INTPNT: 1
MSK_IPAR_LOG_MIO: 4
MSK_IPAR_LOG_MIO_FREQ: 1000
MSK_IPAR_LOG_NONCONVEX: 1
MSK_IPAR_LOG_OPTIMIZER: 1
MSK_IPAR_LOG_ORDER: 1
MSK_IPAR_LOG_PARAM: 0
MSK_IPAR_LOG_PRESOLVE: 1
MSK_IPAR_LOG_RESPONSE: 0
MSK_IPAR_LOG_SENSITIVITY: 1
MSK_IPAR_LOG_SENSITIVITY_OPT: 0
MSK_IPAR_LOG_SIM: 4
MSK_IPAR_LOG_SIM_FREQ: 1000
MSK_IPAR_LOG_SIM_MINOR: 1
MSK_IPAR_LOG_SIM_NETWORK_FREQ: 1000
MSK_IPAR_LOG_STORAGE: 0
MSK_IPAR_MAX_NUM_WARNINGS: 10
MSK_IPAR_MIO_BRANCH_DIR: [1x19 char]
MSK_IPAR_MIO_BRANCH_PRIORITIES_USE: 'MSK_ON'
MSK_IPAR_MIO_CONSTRUCT_SOL: 'MSK_OFF'
MSK_IPAR_MIO_CONT_SOL: [1x21 char]
MSK_IPAR_MIO_CUT_LEVEL_ROOT: -1
MSK_IPAR_MIO_CUT_LEVEL_TREE: -1
MSK_IPAR_MIO_FEASPUMP_LEVEL: -1
MSK_IPAR_MIO_HEURISTIC_LEVEL: -1
MSK_IPAR_MIO_HOTSTART: 'MSK_ON'
MSK_IPAR_MIO_KEEP_BASIS: 'MSK_ON'
MSK_IPAR_MIO_LOCAL_BRANCH_NUMBER: -1
MSK_IPAR_MIO_MAX_NUM_BRANCHES: -1
MSK_IPAR_MIO_MAX_NUM_RELAXS: -1
MSK_IPAR_MIO_MAX_NUM_SOLUTIONS: -1
MSK_IPAR_MIO_MODE: [1x22 char]
MSK_IPAR_MIO_MT_USER_CB: 'MSK_ON'
MSK_IPAR_MIO_NODE_OPTIMIZER: [1x18 char]
MSK_IPAR_MIO_NODE_SELECTION: [1x27 char]
MSK_IPAR_MIO_OPTIMIZER_MODE: 0
MSK_IPAR_MIO_PRESOLVE_AGGREGATE: 'MSK_ON'
MSK_IPAR_MIO_PRESOLVE_PROBING: 'MSK_ON'
MSK_IPAR_MIO_PRESOLVE_USE: 'MSK_ON'
MSK_IPAR_MIO_ROOT_OPTIMIZER: [1x18 char]
MSK_IPAR_MIO_STRONG_BRANCH: -1
MSK_IPAR_MIO_USE_MULTITHREADED_OPTIMIZER: 'MSK_OFF'
MSK_IPAR_MT_SPINCOUNT: 0
MSK_IPAR_NONCONVEX_MAX_ITERATIONS: 100000
MSK_IPAR_NUM_THREADS: 0
MSK_IPAR_OPF_MAX_TERMS_PER_LINE: 5
MSK_IPAR_OPF_WRITE_HEADER: 'MSK_ON'
MSK_IPAR_OPF_WRITE_HINTS: 'MSK_ON'
MSK_IPAR_OPF_WRITE_PARAMETERS: 'MSK_OFF'
MSK_IPAR_OPF_WRITE_PROBLEM: 'MSK_ON'
MSK_IPAR_OPF_WRITE_SOL_BAS: 'MSK_ON'
MSK_IPAR_OPF_WRITE_SOL_ITG: 'MSK_ON'
MSK_IPAR_OPF_WRITE_SOL_ITR: 'MSK_ON'
MSK_IPAR_OPF_WRITE_SOLUTIONS: 'MSK_OFF'
MSK_IPAR_OPTIMIZER: [1x18 char]
MSK_IPAR_PARAM_READ_CASE_NAME: 'MSK_ON'
MSK_IPAR_PARAM_READ_IGN_ERROR: 'MSK_OFF'
MSK_IPAR_PRESOLVE_ELIM_FILL: 1
MSK_IPAR_PRESOLVE_ELIMINATOR_MAX_NUM_TRIES: -1
MSK_IPAR_PRESOLVE_ELIMINATOR_USE: 'MSK_ON'
MSK_IPAR_PRESOLVE_LEVEL: -1
MSK_IPAR_PRESOLVE_LINDEP_ABS_WORK_TRH: 100
MSK_IPAR_PRESOLVE_LINDEP_REL_WORK_TRH: 100
MSK_IPAR_PRESOLVE_LINDEP_USE: 'MSK_ON'
MSK_IPAR_PRESOLVE_MAX_NUM_REDUCTIONS: -1
MSK_IPAR_PRESOLVE_USE: [1x22 char]
MSK_IPAR_PRIMAL_REPAIR_OPTIMIZER: [1x18 char]
MSK_IPAR_QO_SEPARABLE_REFORMULATION: 'MSK_OFF'
MSK_IPAR_READ_ANZ: 100000
MSK_IPAR_READ_CON: 10000
MSK_IPAR_READ_CONE: 2500
MSK_IPAR_READ_DATA_COMPRESSED: [1x17 char]
MSK_IPAR_READ_DATA_FORMAT: [1x25 char]
MSK_IPAR_READ_KEEP_FREE_CON: 'MSK_OFF'
MSK_IPAR_READ_LP_DROP_NEW_VARS_IN_BOU: 'MSK_OFF'
MSK_IPAR_READ_LP_QUOTED_NAMES: 'MSK_ON'
MSK_IPAR_READ_MPS_FORMAT: [1x22 char]
MSK_IPAR_READ_MPS_KEEP_INT: 'MSK_ON'
MSK_IPAR_READ_MPS_OBJ_SENSE: 'MSK_ON'
MSK_IPAR_READ_MPS_RELAX: 'MSK_ON'
MSK_IPAR_READ_MPS_WIDTH: 1024
MSK_IPAR_READ_QNZ: 20000
MSK_IPAR_READ_TASK_IGNORE_PARAM: 'MSK_OFF'
MSK_IPAR_READ_VAR: 10000
MSK_IPAR_SENSITIVITY_ALL: 'MSK_OFF'
MSK_IPAR_SENSITIVITY_OPTIMIZER: [1x26 char]
MSK_IPAR_SENSITIVITY_TYPE: [1x26 char]
MSK_IPAR_SIM_BASIS_FACTOR_USE: 'MSK_ON'
MSK_IPAR_SIM_DEGEN: [1x18 char]
MSK_IPAR_SIM_DUAL_CRASH: 90
MSK_IPAR_SIM_DUAL_PHASEONE_METHOD: 0
MSK_IPAR_SIM_DUAL_RESTRICT_SELECTION: 50
MSK_IPAR_SIM_DUAL_SELECTION: [1x22 char]
MSK_IPAR_SIM_EXPLOIT_DUPVEC: [1x26 char]
MSK_IPAR_SIM_HOTSTART: [1x21 char]
MSK_IPAR_SIM_HOTSTART_LU: 'MSK_ON'
MSK_IPAR_SIM_INTEGER: 0
MSK_IPAR_SIM_MAX_ITERATIONS: 10000000
MSK_IPAR_SIM_MAX_NUM_SETBACKS: 250
MSK_IPAR_SIM_NON_SINGULAR: 'MSK_ON'
MSK_IPAR_SIM_PRIMAL_CRASH: 90
MSK_IPAR_SIM_PRIMAL_PHASEONE_METHOD: 0
MSK_IPAR_SIM_PRIMAL_RESTRICT_SELECTION: 50
MSK_IPAR_SIM_PRIMAL_SELECTION: [1x22 char]
MSK_IPAR_SIM_REFACTOR_FREQ: 0
MSK_IPAR_SIM_REFORMULATION: [1x25 char]
MSK_IPAR_SIM_SAVE_LU: 'MSK_OFF'
MSK_IPAR_SIM_SCALING: [1x16 char]
MSK_IPAR_SIM_SCALING_METHOD: [1x23 char]
MSK_IPAR_SIM_SOLVE_FORM: [1x14 char]
MSK_IPAR_SIM_STABILITY_PRIORITY: 50
MSK_IPAR_SIM_SWITCH_OPTIMIZER: 'MSK_OFF'
MSK_IPAR_SOL_FILTER_KEEP_BASIC: 'MSK_OFF'
MSK_IPAR_SOL_FILTER_KEEP_RANGED: 'MSK_OFF'
MSK_IPAR_SOL_READ_NAME_WIDTH: -1
MSK_IPAR_SOL_READ_WIDTH: 1024
MSK_IPAR_SOLUTION_CALLBACK: 'MSK_OFF'
MSK_IPAR_TIMING_LEVEL: 1
MSK_IPAR_WARNING_LEVEL: 1
MSK_IPAR_WRITE_BAS_CONSTRAINTS: 'MSK_ON'
MSK_IPAR_WRITE_BAS_HEAD: 'MSK_ON'
MSK_IPAR_WRITE_BAS_VARIABLES: 'MSK_ON'
MSK_IPAR_WRITE_DATA_COMPRESSED: 0
MSK_IPAR_WRITE_DATA_FORMAT: [1x25 char]
MSK_IPAR_WRITE_DATA_PARAM: 'MSK_OFF'
MSK_IPAR_WRITE_FREE_CON: 'MSK_OFF'
MSK_IPAR_WRITE_GENERIC_NAMES: 'MSK_OFF'
MSK_IPAR_WRITE_GENERIC_NAMES_IO: 1
MSK_IPAR_WRITE_IGNORE_INCOMPATIBLE_CONIC_ITEMS: 'MSK_OFF'
MSK_IPAR_WRITE_IGNORE_INCOMPATIBLE_ITEMS: 'MSK_OFF'
MSK_IPAR_WRITE_IGNORE_INCOMPATIBLE_NL_ITEMS: 'MSK_OFF'
MSK_IPAR_WRITE_IGNORE_INCOMPATIBLE_PSD_ITEMS: 'MSK_OFF'
MSK_IPAR_WRITE_INT_CONSTRAINTS: 'MSK_ON'
MSK_IPAR_WRITE_INT_HEAD: 'MSK_ON'
MSK_IPAR_WRITE_INT_VARIABLES: 'MSK_ON'
MSK_IPAR_WRITE_LP_LINE_WIDTH: 80
MSK_IPAR_WRITE_LP_QUOTED_NAMES: 'MSK_ON'
MSK_IPAR_WRITE_LP_STRICT_FORMAT: 'MSK_OFF'
MSK_IPAR_WRITE_LP_TERMS_PER_LINE: 10
MSK_IPAR_WRITE_MPS_INT: 'MSK_ON'
MSK_IPAR_WRITE_PRECISION: 8
MSK_IPAR_WRITE_SOL_BARVARIABLES: 'MSK_ON'
MSK_IPAR_WRITE_SOL_CONSTRAINTS: 'MSK_ON'
MSK_IPAR_WRITE_SOL_HEAD: 'MSK_ON'
MSK_IPAR_WRITE_SOL_IGNORE_INVALID_NAMES: 'MSK_OFF'
MSK_IPAR_WRITE_SOL_VARIABLES: 'MSK_ON'
MSK_IPAR_WRITE_TASK_INC_SOL: 'MSK_ON'
MSK_IPAR_WRITE_XML_MODE: [1x22 char]
MSK_SPAR_BAS_SOL_FILE_NAME: ''
MSK_SPAR_DATA_FILE_NAME: ''
MSK_SPAR_DEBUG_FILE_NAME: ''
MSK_SPAR_FEASREPAIR_NAME_PREFIX: 'MSK-'
MSK_SPAR_FEASREPAIR_NAME_SEPARATOR: '-'
MSK_SPAR_FEASREPAIR_NAME_WSUMVIOL: 'WSUMVIOL'
MSK_SPAR_INT_SOL_FILE_NAME: ''
MSK_SPAR_ITR_SOL_FILE_NAME: ''
MSK_SPAR_MIO_DEBUG_STRING: ''
MSK_SPAR_PARAM_COMMENT_SIGN: '%%'
MSK_SPAR_PARAM_READ_FILE_NAME: ''
MSK_SPAR_PARAM_WRITE_FILE_NAME: ''
MSK_SPAR_READ_MPS_BOU_NAME: ''
MSK_SPAR_READ_MPS_OBJ_NAME: ''
MSK_SPAR_READ_MPS_RAN_NAME: ''
MSK_SPAR_READ_MPS_RHS_NAME: ''
MSK_SPAR_SENSITIVITY_FILE_NAME: ''
MSK_SPAR_SENSITIVITY_RES_FILE_NAME: ''
MSK_SPAR_SOL_FILTER_XC_LOW: ''
MSK_SPAR_SOL_FILTER_XC_UPR: ''
MSK_SPAR_SOL_FILTER_XX_LOW: ''
MSK_SPAR_SOL_FILTER_XX_UPR: ''
MSK_SPAR_STAT_FILE_NAME: ''
MSK_SPAR_STAT_KEY: ''
MSK_SPAR_STAT_NAME: ''
MSK_SPAR_WRITE_LP_GEN_VAR_NAME: 'XMSKGEN'
Giuseppe Tommaso Costanzo
Feb 27, 2014, 9:26:00 AM2/27/14
to yal...@googlegroups.com
Hi Johan
Thank you very much, I actually found the parameter I was looking for: options.mosek.MSK_DPAR_MIO_NEAR_TOL_REL_GAP
With this parameter the mixed-integer optimizer is terminated when this tolerance is satisfied.
BR.
Giuseppe
Reply all
Reply to author
Forward
0 new messages