# Gurobi not using barrier method

**URL:** <https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078>\
**Category:** Optimization (Mathematical)\
**Created:** [September 13, 2021, 8:09am UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078 "2021-09-13T08:09:16Z")\
**Posts on this page:** 10\
**Page:** 1

<div class="post-metadata">

**Author:** ![gleyland](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/gleyland/32/15339_2.png) [@gleyland](https://discourse.julialang.org/u/gleyland)\
**Post date:** [September 13, 2021, 8:09am UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/1 "2021-09-13T08:09:16Z")

</div>

Hi,

I have a model (the LP mentioned in my earlier post), that, when solved from Julia, logs indicate that Gurobi uses a primal simplex algorithm, but when I dump the MPS and solve it from the command-line, `gurobi_cl` uses a barrier algorithm (and solves about 3 times faster).

I’m not aware of setting any solver attributes that might influence its choice of method. (It’s just `M = Model(Gurobi.Optimizer)`), but I might be doing something else that causes this?

As far as I can tell from searching Gurobi.jl, there’s no code in there that sets `Method`, so I’m not sure where it’s happening. Is there an undocumented `get_solver_attribute` equivalent to `set_solver_attribute` that might allow me track `Model` and see if it’s getting changed?

Thanks again,  
Geoff

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 13, 2021, 8:20am UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/2 "2021-09-13T08:20:30Z")

</div>

We don’t change the default, so I guess Gurobi chooses a different method via the command line and via the C API.

I would just set the method manually if there’s that much of a difference.

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 13, 2021, 8:22am UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/3 "2021-09-13T08:22:33Z")

</div>

Here’s the attribute to set: [https://www.gurobi.com/documentation/9.1/refman/method.html](https://www.gurobi.com/documentation/9.1/refman/method.html)

---

<div class="post-metadata">

**Author:** ![gleyland](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/gleyland/32/15339_2.png) [@gleyland](https://discourse.julialang.org/u/gleyland)\
**Post date:** [September 13, 2021, 9:54am UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/4 "2021-09-13T09:54:38Z")

</div>

As far as I can tell, the problem is that I’m (sequential objectives) solving the same problem more than once:

- Setting `Method` to -1 (Gurobi chooses) before every call to `optimize!` uses barrier then dual on the first solve, but on subsequent calls to `optimize!`, the -1 makes no difference and it starts with the dual simplex.
- Setting `Method` to 2 (barrier) before every call to `optimize!` sort of gets what I want every time - the barrier method, but I’d really rather it chose from scratch each time.

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 13, 2021, 9:21pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/5 "2021-09-13T21:21:02Z")

</div>

Not sure I understand the problem.

- You’re solving a problem, modifying the objective, and then resolving?
- With default settings, Gurobi uses barrier on the first solve, and then dual simplex on the second?
- You’d prefer barrier-barrier?
- Is the second solution close to the first? If so, you might be better forcing barrier then primal simplex. That way, Gurobi will warm-start with a primal feasible basis for the second solve.

I think this is a case of “the defaults aren’t optimal,” so you’re stuck doing some manually poking of the method parameter. You might want to open a support ticket with Gurobi. I’m sure they’d be interested in this sort of thing.

---

<div class="post-metadata">

**Author:** ![gleyland](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/gleyland/32/15339_2.png) [@gleyland](https://discourse.julialang.org/u/gleyland)\
**Post date:** [September 13, 2021, 10:14pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/6 "2021-09-13T22:14:21Z")

</div>

That’s a pretty good summary 🙂 And yep, I’m talking to Gurobi about this (the question about “why is it not using barrier?” came from them).

So, at the moment:

- We’re doing a sequential-objective-type solve: what’s the most you can do of X and, then, what’s the most you can do of Y while maintaining that much of X?
- the best option I’ve found is forcing barrier for each solve
- I would expect the solutions are close enough that warm starts would help (keeping in mind this is an LP) but there’s hiccups with that I haven’t got my head around yet
- at the moment, I chuck in a constraint to maintain the objective found in the previous solve, but when I get some time, I’ll try reduced-cost fixing.

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 13, 2021, 10:41pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/7 "2021-09-13T22:41:07Z")

</div>

With a little bit of hacking, you can expose Gurobi’s multi-objective support directly:

```nohighlight
using JuMP, Gurobi
model = direct_model(Gurobi.Optimizer())
@variable(model, x[1:2] >= 0)
@constraint(model, sum(x) >= 1)
@constraint(model, x[1] + 2x[2] >= 1.5)
@constraint(model, x[2] >= 0.25)
@expression(model, f1, 2x[1] + x[2])
@expression(model, f2, x[1] + 3x[2])
@objective(model, Min, f1)
grb = backend(model)
MOI.set(
    grb, 
    Gurobi.MultiObjectiveFunction(2), 
    moi_function(f2),
)
MOI.set(grb, Gurobi.MultiObjectivePriority(1), 1)
MOI.set(grb, Gurobi.MultiObjectivePriority(2), 2)
optimize!(model)

```

The second barrier solve is likely more efficient because you’re adding in the objective constraint. Are you adding it exactly or with a small tolerance? You probably want to add `@constraint(model, c'x <= opt + 1e-4)` or similar.

As far as I know, Gurobi doesn’t warm-start the barrier, but it uses a basis warm-start for simplex. However adding a constraint and modifying the objective simultaneously will invalidate the primal and dual basis.

---

<div class="post-metadata">

**Author:** ![gleyland](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/gleyland/32/15339_2.png) [@gleyland](https://discourse.julialang.org/u/gleyland)\
**Post date:** [September 15, 2021, 10:25pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/8 "2021-09-15T22:25:48Z")

</div>

Thanks! I was thinking about asking you if there was support for that stuff in JuMP.

At the moment, though, I’m trying to stay away from being Gurobi-specific - between users, developers and CI, we’re don’t have many tokens, and so we need everything to run with GLPK as well.

We do add the constraint with a tolerance - and at the moment I’d like to learn how to (or if you can) do reduced-cost fixing with a tolerance.

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 15, 2021, 11:10pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/9 "2021-09-15T23:10:54Z")

</div>

I don’t think there is any explicit support for reduced-cost fixing in JuMP or Gurobi (may be wrong on the latter), but you can use `reduced_cost(x)` and `fix(x, value(x); force = true)` to do this (note the modify-query problem, so you’ll want to query all the information first, then do the fixing second):

[https://jump.dev/JuMP.jl/stable/reference/solutions/#JuMP.reduced\_cost](https://jump.dev/JuMP.jl/stable/reference/solutions/#JuMP.reduced_cost)  
[https://jump.dev/JuMP.jl/stable/reference/variables/#JuMP.fix](https://jump.dev/JuMP.jl/stable/reference/variables/#JuMP.fix)

---

<div class="post-metadata">

**Author:** ![odow](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/odow/32/28685_2.png) [@odow](https://discourse.julialang.org/u/odow)\
**Post date:** [September 15, 2021, 11:11pm UTC](https://discourse.julialang.org/t/gurobi-not-using-barrier-method/68078/10 "2021-09-15T23:11:16Z")

</div>

And adding support for multi-objective stuff in JuMP is on my TODO list post a JuMP 1.0 release.