JUMP - Get MIP Gap during optimization

Specific Domains Optimization (Mathematical)
1

Hello,

I was wondering if it was possible to obtain the value of the MIP Gap at each step of the optimization process.

Thank you in advance,
KR

2

In general, no. Although some solvers (e.g., Gurobi or CPLEX) offer callbacks that you can access this information.

For example, here is an example setting a Gurobi-specific callback:
https://github.com/jump-dev/Gurobi.jl/blob/183a1c5916ff6253193e7242eba48a172ea7365f/test/MOI/MOI_callbacks.jl#L315-L344

Implementing this will require you to understand Gurobi’s C API for callbacks.

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3

Another option is to parse the text output log of the solver and extract the gap-overtime information from there. This is also a solver-specific solution.

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4

Using CPLEX 12.9, I do this within solver-specific callbacks via function CPXcallbackgetinfodbl. For convenience define:

const CPXCALLBACKINFO_THREADID  = convert(Cint,0)
const CPXCALLBACKINFO_NODECOUNT = convert(Cint,1)
const CPXCALLBACKINFO_ITCOUNT   = convert(Cint,2)
const CPXCALLBACKINFO_BEST_SOL  = convert(Cint,3)
const CPXCALLBACKINFO_BEST_BND  = convert(Cint,4)
const CPXCALLBACKINFO_THREADS   = convert(Cint,5)
const CPXCALLBACKINFO_FEASIBLE  = convert(Cint,6)
const CPXCALLBACKINFO_TIME      = convert(Cint,7)
const CPXCALLBACKINFO_DETTIME   = convert(Cint,8)

and functions:

#current current best bound
function cpx_get_best_bnd( cb_data::CPLEX.CallbackContext )
    data_p = Ref{Cdouble}()
    return_status = CPLEX.@cpx_ccall(callbackgetinfodbl,
                                        Cint,
                                        (Ptr{Cvoid}, Cint, Ref{Cdouble}),
                                        cb_data.context, CPXCALLBACKINFO_BEST_BND, data_p)
    best_bnd = data_p[]

    if return_status != 0
        @warn "error retrieving best_bound"
    end
    return best_bnd::Float64
end

#current current best sol
function cpx_get_best_sol( cb_data::CPLEX.CallbackContext )
    data_p = Ref{Cdouble}()
    return_status = CPLEX.@cpx_ccall(callbackgetinfodbl,
                                        Cint,
                                        (Ptr{Cvoid}, Cint, Ref{Cdouble}),
                                        cb_data.context, CPXCALLBACKINFO_BEST_SOL, data_p)
    best_sol = data_p[]

    if return_status != 0
        @warn "error retrieving best_sol"
    end
    return best_sol::Float64
end

and then compute the current gap according to the CPLEX documentation as:

#compute current mip gap [%]
function cpx_get_mip_gap( cb_data::CPLEX.CallbackContext )
    mip_gap::Float64 = 0.0
    best_bnd = cpx_get_best_bnd( cb_data )
    best_sol = cpx_get_best_sol( cb_data )
    mip_gap  = ((best_bnd - best_sol) / (0.0000000001 + best_sol)) * 100
    return mip_gap::Float64
end

Then simply call, e.g., mygap = cpx_get_mip_gap( cb_data ) within a callback.

2 Likes
5

Thank you very much for your answers.

I am currently using Xpress. I see here Callbacks · JuMP that callbacks are possible for CPLEX, GUROBI and GLPK. Are you aware if callbacks are possible for Xpress?

Thank you very much!

6

Not yet: https://github.com/jump-dev/Xpress.jl/pull/85

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