Problem with Mosek and JuMP after Update

Specific Domains Optimization (Mathematical)
1

Hi, I just installed Julia v1.8.2 and Mosek 10.0.25 and suddenly a code for an optimization function that I’ve always used stopped working.

I provide a MWE

using JuMP, Ipopt, LinearAlgebra, Random, Distributions, BenchmarkTools, Mosek, MosekTools, NLopt, Plots, FLoops

Threads.nthreads()

const Ι = 2
const J = 1

#Create vectors

Random.seed!(123)

β = 1. *ones(J)

τ = [1.05 1.05]

z = rand(Ι)


function func1(C,β,τ,z)
    (J,Ι) = size(τ)
    model = JuMP.Model(optimizer_with_attributes(Mosek.Optimizer, "QUIET" => false, "INTPNT_CO_TOL_DFEAS" => 1e-7))
    set_silent(model)
    ms = β
    @variable(model, ν[1:Ι] >= 0)
    @variable(model, μ[1:J]>= 0)
    @variable(model, t[1:J]>= 0)
    @objective(model, Min, ν'*C .+ ms'*t)

    @constraint(
        model,
        c[i = i=1:Ι, j=1:J],
        τ[j,i]*z[i] + τ[j,i]*ν[i] - μ[j] >= 0,
    )

    @inbounds for j = 1 : J
        @constraint(model, [t[j],μ[j],1] in MOI.PowerCone(1/2))
    end    

    JuMP.optimize!(model)

    return objective_value(model), value.(ν)[1:Ι], value.(μ)[1:J], dual.(c)

end 

func1([10,10],β,τ,z)

with error message

MathOptInterface.AddConstraintNotAllowed{MathOptInterface.VectorAffineFunction{Float64}, MathOptInterface.PowerCone{Float64}}: Adding `MathOptInterface.VectorAffineFunction{Float64}`-in-`MathOptInterface.PowerCone{Float64}` constraints cannot be performed. You may want to use a `CachingOptimizer` in `AUTOMATIC` mode or you may need to call `reset_optimizer` before doing this operation if the `CachingOptimizer` is in `MANUAL` mode.
Stacktrace:
  [1] correct_throw_add_constraint_error_fallback(model::MosekTools.Optimizer, func::MathOptInterface.VectorAffineFunction{Float64}, set::MathOptInterface.PowerCone{Float64}; error_if_supported::MathOptInterface.AddConstraintNotAllowed{MathOptInterface.VectorAffineFunction{Float64}, MathOptInterface.PowerCone{Float64}})
    @ MathOptInterface C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\constraints.jl:209
  [2] correct_throw_add_constraint_error_fallback(model::MosekTools.Optimizer, func::MathOptInterface.VectorAffineFunction{Float64}, set::MathOptInterface.PowerCone{Float64})
    @ MathOptInterface C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\constraints.jl:202
  [3] throw_add_constraint_error_fallback(model::MosekTools.Optimizer, func::MathOptInterface.VectorAffineFunction{Float64}, set::MathOptInterface.PowerCone{Float64}; kwargs::Base.Pairs{Symbol, Union{}, Tuple{}, NamedTuple{(), Tuple{}}})
    @ MathOptInterface C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\constraints.jl:173
  [4] throw_add_constraint_error_fallback(model::MosekTools.Optimizer, func::MathOptInterface.VectorAffineFunction{Float64}, set::MathOptInterface.PowerCone{Float64})
    @ MathOptInterface C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\constraints.jl:167
  [5] add_constraint(model::MosekTools.Optimizer, func::MathOptInterface.VectorAffineFunction{Float64}, set::MathOptInterface.PowerCone{Float64})
    @ MathOptInterface C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\constraints.jl:148
  [6] _copy_constraints(dest::MosekTools.Optimizer, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}, index_map::MathOptInterface.Utilities.IndexMap, index_map_FS::MathOptInterface.Utilities.DoubleDicts.IndexDoubleDictInner{MathOptInterface.VectorAffineFunction{Float64}, MathOptInterface.PowerCone{Float64}}, cis_src::Vector{MathOptInterface.ConstraintIndex{MathOptInterface.VectorAffineFunction{Float64}, MathOptInterface.PowerCone{Float64}}})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:252
  [7] _copy_constraints(dest::MosekTools.Optimizer, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}, index_map::MathOptInterface.Utilities.IndexMap, cis_src::Vector{MathOptInterface.ConstraintIndex{MathOptInterface.VectorAffineFunction{Float64}, MathOptInterface.PowerCone{Float64}}})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:264
  [8] pass_nonvariable_constraints_fallback(dest::MosekTools.Optimizer, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}, index_map::MathOptInterface.Utilities.IndexMap, constraint_types::Vector{Any})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:275
  [9] pass_nonvariable_constraints
    @ C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:301 [inlined]
 [10] pass_nonvariable_constraints(dest::MathOptInterface.Bridges.LazyBridgeOptimizer{MosekTools.Optimizer}, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}, idxmap::MathOptInterface.Utilities.IndexMap, constraint_types::Vector{Any})
    @ MathOptInterface.Bridges C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Bridges\bridge_optimizer.jl:435
 [11] _pass_constraints(dest::MathOptInterface.Bridges.LazyBridgeOptimizer{MosekTools.Optimizer}, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}, index_map::MathOptInterface.Utilities.IndexMap, variable_constraints_not_added::Vector{Any})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:323
 [12] default_copy_to(dest::MathOptInterface.Bridges.LazyBridgeOptimizer{MosekTools.Optimizer}, src::MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\copy.jl:498
 [13] copy_to
    @ C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Bridges\bridge_optimizer.jl:451 [inlined]
 [14] optimize!
    @ C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\MathOptInterface.jl:86 [inlined]
 [15] optimize!(m::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Bridges.LazyBridgeOptimizer{MosekTools.Optimizer}, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}})
    @ MathOptInterface.Utilities C:\Users\juan\.julia\packages\MathOptInterface\Ohzb2\src\Utilities\cachingoptimizer.jl:316
 [16] optimize!(model::Model; ignore_optimize_hook::Bool, _differentiation_backend::MathOptInterface.Nonlinear.SparseReverseMode, kwargs::Base.Pairs{Symbol, Union{}, Tuple{}, NamedTuple{(), Tuple{}}})
    @ JuMP C:\Users\juan\.julia\packages\JuMP\gVq7V\src\optimizer_interface.jl:185
 [17] optimize!
    @ C:\Users\juan\.julia\packages\JuMP\gVq7V\src\optimizer_interface.jl:155 [inlined]
 [18] func1(C::Vector{Int64}, β::Vector{Float64}, τ::Matrix{Float64}, z::Vector{Float64})
    @ Main c:\Users\juan\Dropbox\Projects\JMP\code_0122\mwe_crash.jl:39
 [19] top-level scope
    @ c:\Users\juan\Dropbox\Projects\JMP\code_0122\mwe_crash.jl:45
1 Like
2

MOSEK v10 changed quite a few things, so this might be a bug.

Does it still have the problem with:

using JuMP, MosekTools
model = Model(Mosek.Optimizer)
@variable(model, x[1:2])
@constraint(model, [x[1], x[2], 1] in MOI.PowerCone(0.5))
optimize!(model)

If so, can you please open an issue at Issues · jump-dev/MosekTools.jl · GitHub and include the full text of the error message.

3

Thanks. It still has a problem.

I’ve just opened the issue

2 Likes
4

Thanks. I don’t have an immediate work-around, so I suggest you go back to using Mosek 9 in the mean time.

5

Thanks so much. My only concern is that Mosek.jl was asking me for Mosek 10.

1 Like
6

Use ] add MosekTools@0.12.

(The latest release of MosekTools.jl, v0.13, supports only Mosek 10. The previous release, v0.12, supports Mosek 9.)

2 Likes
7

thanks!