Issue with lazy constraints on Xpress

Specific Domains Optimization (Mathematical)
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1

Dear community,

I am giving a try to Lazy Constraints and can make a very simple case run with Xpress, however, there is not an issue at all with GLPK.

Can you please have a look and let us know where the problem is?

Thanks

using JuMP
using Xpress, GLPK
using MathOptInterface

model = Model(()->Xpress.Optimizer(THREADS = 2))
#model = Model(GLPK.Optimizer)

@variable(model, x >= 0, Int)
@variable(model, y >= 0, Int)
@variable(model, FO >= 0)

@constraint(model, FO == x + y )
@constraint(model, x + y <= 220 )

@objective(model, Max, FO)

function lazy_flow_constraints(cb_data)
x_val = callback_value(cb_data,x)
y_val = callback_value(cb_data,y)
if x_val + y_val > 10
con = @build_constraint( x + y <= 10 )
MOI.submit(model, MOI.LazyConstraint(cb_data), con)
end
end

MOI.set(model, MOI.LazyConstraintCallback(), lazy_flow_constraints)

set_optimizer_attributes(model, “HEURSTRATEGY” => 0)

optimize!(model)

@info(" Execution is " * string(termination_status(model)))

println(“x=”,JuMP.value(x))
println(“y=”,JuMP.value(y))

2

I dont have an xpress license, so could you post what happens when you run the code?

3

julia> optimize!(model)
FICO Xpress v8.8.0, Hyper, solve started 10:28:18, Mar 3, 2023
Heap usage: 84KB (peak 84KB, 834KB system)
Maximizing MILP
Original problem has:
2 rows 3 cols 5 elements 2 globals
Presolved problem has:
0 rows 0 cols 0 elements 0 globals
LP relaxation tightened
Presolve finished in 0 seconds
Heap usage: 86KB (peak 105KB, 836KB system)
Will try to keep branch and bound tree memory usage below 21.7GB
Starting concurrent solve with dual

Concurrent-Solve, 0s
Dual
objective dual inf
D 220.00000 .0000000
------- optimal --------
Concurrent statistics:
Dual: 0 simplex iterations, 0.00s
Optimal solution found

Its Obj Value S Ninf Nneg Sum Dual Inf Time
0 220.000000 D 0 0 .000000 0
Dual solved problem
0 simplex iterations in 0s

Final objective : 2.200000000000000e+02
Max primal violation (abs/rel) : 0.0 / 0.0
Max dual violation (abs/rel) : 0.0 / 0.0
Max complementarity viol. (abs/rel) : 0.0 / 0.0
All values within tolerances

Starting root cutting & heuristics

Its Type BestSoln BestBound Sols Add Del Gap GInf Time
ERROR: XpressError(32): Subroutine not completed successfully, possibly due to invalid argument. Unable to call Xpress.storecuts:

405 Error: Invalid column number passed to XPRSstorecuts.
Column number 0 is invalid.

Stacktrace:
[1] macro expansion
@ ~/.julia/packages/Xpress/I3tPu/src/utils.jl:137 [inlined]
[2] storecuts(prob::Xpress.XpressProblem, ncuts::Int32, nodupl::Int32, mtype::Vector{Int32}, qrtype::Vector{Int8}, drhs::Vector{Float64}, mstart::Vector{Int32}, mindex::Vector{Ptr{Nothing}}, mcols::Vector{Int32}, dmatval::Vector{Float64})
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/api.jl:2638
[3] submit(model::Xpress.Optimizer, cb::MathOptInterface.LazyConstraint{CallbackData}, f::MathOptInterface.ScalarAffineFunction{Float64}, s::MathOptInterface.LessThan{Float64})
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/MOI/MOI_callbacks.jl:191
[4] submit
@ ~/.julia/packages/MathOptInterface/GIbN0/src/Bridges/bridge_optimizer.jl:1918 [inlined]
[5] submit(::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Bridges.LazyBridgeOptimizer{Xpress.Optimizer}, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}, ::MathOptInterface.LazyConstraint{CallbackData}, ::MathOptInterface.ScalarAffineFunction{Float64}, ::MathOptInterface.LessThan{Float64})
@ MathOptInterface.Utilities ~/.julia/packages/MathOptInterface/GIbN0/src/Utilities/cachingoptimizer.jl:1268
[6] submit(model::Model, cb::MathOptInterface.LazyConstraint{CallbackData}, con::ScalarConstraint{AffExpr, MathOptInterface.LessThan{Float64}})
@ JuMP ~/.julia/packages/JuMP/yYfHy/src/callbacks.jl:71
[7] lazy_flow_constraints(cb_data::CallbackData)
@ Main ./REPL[13]:7
[8] (::Xpress.var"#51#52"{Xpress.Optimizer})(cb_data::CallbackData)
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/MOI/MOI_callbacks.jl:100
[9] (::Xpress.var"#49#50"{Xpress.Optimizer, Xpress.var"#51#52"{Xpress.Optimizer}})(cb_data::CallbackData)
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/MOI/MOI_callbacks.jl:27
[10] setcboptnode_wrapper(ptr_model::Ptr{Nothing}, my_object::Ptr{Nothing}, feas::Ptr{Int32})
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/xprs_callbacks.jl:26
[11] XPRSmipoptimize(prob::Xpress.XpressProblem, _sflags::String)
@ Xpress.Lib ~/.julia/packages/Xpress/I3tPu/src/lib.jl:322
[12] macro expansion
@ ~/.julia/packages/Xpress/I3tPu/src/utils.jl:133 [inlined]
[13] mipoptimize
@ ~/.julia/packages/Xpress/I3tPu/src/api.jl:1019 [inlined]
[14] optimize!(model::Xpress.Optimizer)
@ Xpress ~/.julia/packages/Xpress/I3tPu/src/MOI/MOI_wrapper.jl:2622
[15] optimize!
@ ~/.julia/packages/MathOptInterface/GIbN0/src/Bridges/bridge_optimizer.jl:376 [inlined]
[16] optimize!(m::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Bridges.LazyBridgeOptimizer{Xpress.Optimizer}, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}})
@ MathOptInterface.Utilities ~/.julia/packages/MathOptInterface/GIbN0/src/Utilities/cachingoptimizer.jl:325
[17] optimize!(m::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Bridges.LazyBridgeOptimizer{Xpress.Optimizer}, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}})
@ MathOptInterface.Utilities ~/.julia/packages/MathOptInterface/GIbN0/src/Utilities/cachingoptimizer.jl:313
[18] optimize!(model::Model; ignore_optimize_hook::Bool, _differentiation_backend::MathOptInterface.Nonlinear.SparseReverseMode, kwargs::Base.Pairs{Symbol, Union{}, Tuple{}, NamedTuple{(), Tuple{}}})
@ JuMP ~/.julia/packages/JuMP/yYfHy/src/optimizer_interface.jl:480
[19] optimize!(model::Model)
@ JuMP ~/.julia/packages/JuMP/yYfHy/src/optimizer_interface.jl:450
[20] top-level scope
@ REPL[16]:1

4

That looks like a bug: Possible bug in lazy constraints · Issue #191 · jump-dev/Xpress.jl · GitHub. @joaquimg might be able to take a look

5

Thanks

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