I am trying to solve a quadratic optimization problem using CPLEX through JuMP. It is a continuous relaxation, hence all of my variables are continuous (with box constraints).
After dealing with convexity issues, I get the following error :
ERROR: CPLEX.CplexError(1017, "CPLEX Error 1017: Not available for mixed-integer problems.\n")
Since the error is thrown by CPLEX, I went through documentation and forums on the CPLEX side of things, until I found the following note (in the documentation for the Python API, granted).
Note : If types is specified, the problem type will be a MIP, even if all variables are specified to be continuous. (https://www.ibm.com/support/knowledgecenter/SSSA5P_12.8.0/ilog.odms.cplex.help/refpythoncplex/html/cplex._internal._subinterfaces.VariablesInterface-class.html#add)
Since the python user and I got the same error, this might be the same problem for both of us. How do I remedy this situation in JuMP ? I need the problem to be seen as a continuous optimization problem.
Thank you for reading.