Conic constraint in GAMS

Problems with syntax of GAMS
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GabrielYin
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Posts: 57
Joined: 1 year ago
Location: Dallas, TX, USA

Conic constraint in GAMS

Post by GabrielYin » 3 weeks ago

Hi experts!

I just ran into some problems for writing conic constraints in GAMS. I was trying to test the second-order cone programming (SOCP) duality by the following problem from the Stanford course:

min 2 * x1 + x2 + x3
s.t. x1 + x2 + x3 = 1
sqr(x1) =g= sqr(x2) + sqr(x3)

And the dual of this SOCP is

max y
s.t. y + s1 = 2
y + s2 = 1
y + s3 = 1
sqr(s1) =g= sqr(s2) + sqr(s3)

Seems simple right? Here is the code I wrote for the two programs, and I used Mosek as the solver.

Code: Select all

free variable
         x1, x2, x3;

free variable
         y, obj, obj2;

equations
         eq1
         eq2
         eq3
         eq10;

eq1..            obj =e= 2 * x1 + x2 + x3;
eq2..            x1 + x2 + x3 =e= 1;
eq3..            sqr(x1) =g= sqr(x2) + sqr(x3);

option qcp = mosek;

model test /eq1, eq2, eq3/;

solve test using qcp minimizing obj;

free variable
         s1, s2, s3;

equations
         eq4
         eq5
         eq6
         eq7
         eq8;

eq4..            obj2 =e= y;
eq5..            y + s1 =e= 2;
eq6..            y + s2 =e= 1;
eq7..            y + s3 =e= 1;
eq8..            sqr(s1) =g= sqr(s2) + sqr(s3);

model test2 /eq4, eq5, eq6, eq7, eq8/;

solve test2 using qcp maximizing obj2;
If you try this code, Mosek will give you a piece of information saying that

Code: Select all

Return code - 1293 [MSK_RES_ERR_CON_Q_NOT_PSD]: The quadratic constraint matrix is not PSD
Here PSD denotes positive semi-definite. But what? I believe the coefficient matrices in my eq3 and eq8 are PSD!

However, when I changed the notation of eq3 and eq8 to:

Code: Select all

eq3..            x1 =c= x2 + x3; 
and

Code: Select all

eq8..            s1 =c= s2 + s3; 
They now run correctly! And they both give the correct optimal solution of square root 2, which supports the strong duality.

Then I moved to Gurobi and Cplex, then found that the =c= operator is only valid in Mosek. But I still heard that Gurobi and Cplex CAN solve SOCP problems. So my question is, how can I code correctly by using =g= instead of =c= for a SOCP problem?

Thanks in advance! :D

Gabriel

Fred
Posts: 176
Joined: 3 years ago

Re: Conic constraint in GAMS

Post by Fred » 2 weeks ago

Hi,

with recent versions you should get a message like this from Mosek:

The constraint 'eq8'(3) is not convex. Q should be negative semidefinite for a constraint with finite lower bound. (*1294*)

Setting non-negative lower bounds on x1 and s1 resolves the problem.

Code: Select all

free variable
         x1, x2, x3;

x1.lo = 0;
free variable
         y, obj, obj2;

equations
         eq1
         eq2
         eq3
         eq10;

eq1..            obj =e= 2 * x1 + x2 + x3;
eq2..            x1 + x2 + x3 =e= 1;
eq3..            sqr(x1) =g= sqr(x2) + sqr(x3);

model test /eq1, eq2, eq3/;

option qcp = mosek;  solve test using qcp minimizing obj;
option qcp = cplexd; solve test using qcp minimizing obj;
option qcp = gurobi; solve test using qcp minimizing obj;



free variable
         s1, s2, s3;
s1.lo = 0
equations
         eq4
         eq5
         eq6
         eq7
         eq8;

eq4..            obj2 =e= y;
eq5..            y + s1 =e= 2;
eq6..            y + s2 =e= 1;
eq7..            y + s3 =e= 1;
eq8..            sqr(s1) =g= sqr(s2) + sqr(s3);

model test2 /eq4, eq5, eq6, eq7, eq8/;

option qcp = mosek;  solve test2 using qcp maximizing obj2;
option qcp = cplexd; solve test2 using qcp maximizing obj2;
option qcp = gurobi; solve test2 using qcp maximizing obj2;
I hope this helps!

Fred

GabrielYin
User
User
Posts: 57
Joined: 1 year ago
Location: Dallas, TX, USA

Re: Conic constraint in GAMS

Post by GabrielYin » 2 weeks ago

Fred wrote:
2 weeks ago
Hi,

with recent versions you should get a message like this from Mosek:

The constraint 'eq8'(3) is not convex. Q should be negative semidefinite for a constraint with finite lower bound. (*1294*)

Setting non-negative lower bounds on x1 and s1 resolves the problem.

Code: Select all

free variable
         x1, x2, x3;

x1.lo = 0;
free variable
         y, obj, obj2;

equations
         eq1
         eq2
         eq3
         eq10;

eq1..            obj =e= 2 * x1 + x2 + x3;
eq2..            x1 + x2 + x3 =e= 1;
eq3..            sqr(x1) =g= sqr(x2) + sqr(x3);

model test /eq1, eq2, eq3/;

option qcp = mosek;  solve test using qcp minimizing obj;
option qcp = cplexd; solve test using qcp minimizing obj;
option qcp = gurobi; solve test using qcp minimizing obj;



free variable
         s1, s2, s3;
s1.lo = 0
equations
         eq4
         eq5
         eq6
         eq7
         eq8;

eq4..            obj2 =e= y;
eq5..            y + s1 =e= 2;
eq6..            y + s2 =e= 1;
eq7..            y + s3 =e= 1;
eq8..            sqr(s1) =g= sqr(s2) + sqr(s3);

model test2 /eq4, eq5, eq6, eq7, eq8/;

option qcp = mosek;  solve test2 using qcp maximizing obj2;
option qcp = cplexd; solve test2 using qcp maximizing obj2;
option qcp = gurobi; solve test2 using qcp maximizing obj2;
I hope this helps!

Fred
Thanks Fred for your reply! Yes you are right. If we put a non-negative lower bound everything works fine, and that is how a convex cone works. It is just a little bit confusing that MOSEK still works and does not report any non-convexity if we do NOT set this non-negative lower bound, and it seems like it set the lower bound intrinsically. Gurobi and CPLEXD, however, need this lower bound to be set manually to let solvers work.

Gabriel

GabrielYin
User
User
Posts: 57
Joined: 1 year ago
Location: Dallas, TX, USA

Re: Conic constraint in GAMS

Post by GabrielYin » 2 weeks ago

Fred wrote:
2 weeks ago
Hi,

with recent versions you should get a message like this from Mosek:

The constraint 'eq8'(3) is not convex. Q should be negative semidefinite for a constraint with finite lower bound. (*1294*)

Setting non-negative lower bounds on x1 and s1 resolves the problem.

Code: Select all

free variable
         x1, x2, x3;

x1.lo = 0;
free variable
         y, obj, obj2;

equations
         eq1
         eq2
         eq3
         eq10;

eq1..            obj =e= 2 * x1 + x2 + x3;
eq2..            x1 + x2 + x3 =e= 1;
eq3..            sqr(x1) =g= sqr(x2) + sqr(x3);

model test /eq1, eq2, eq3/;

option qcp = mosek;  solve test using qcp minimizing obj;
option qcp = cplexd; solve test using qcp minimizing obj;
option qcp = gurobi; solve test using qcp minimizing obj;



free variable
         s1, s2, s3;
s1.lo = 0
equations
         eq4
         eq5
         eq6
         eq7
         eq8;

eq4..            obj2 =e= y;
eq5..            y + s1 =e= 2;
eq6..            y + s2 =e= 1;
eq7..            y + s3 =e= 1;
eq8..            sqr(s1) =g= sqr(s2) + sqr(s3);

model test2 /eq4, eq5, eq6, eq7, eq8/;

option qcp = mosek;  solve test2 using qcp maximizing obj2;
option qcp = cplexd; solve test2 using qcp maximizing obj2;
option qcp = gurobi; solve test2 using qcp maximizing obj2;
I hope this helps!

Fred
For example, see the following strong duality demo for a rotated conic programming:

Code: Select all

variable x1, x2, x3, x4, obj;

equations
         objec, e1, e2, e3, e4;

option qcp = mosek;

objec..          obj =e= 2*x1 + x2 + x3 - 3*x4;
e1..             x1 =l= 7;
e2..             2*x1 + x3 - x2 + 0.5*x4 =e= 4;
e3..             x1 + x2 - 2*x4 =l= 15;
e4..             x1 + x2 =c= x3 + x4;

model test /all/;

solve test using qcp minimizing obj;

variable obj2, y1, y2, z1, z2, z3, z4;

positive variable y1, y3;

equations
         objec2, ee1, ee2, ee3, ee4, ee5;

objec2..         obj2 =e= - 7 * y1 + 4 * y2 - 15 * y3;
ee1..            2 + y1 - 2 * y2 + y3 - z1 =g= 0;
ee2..            1 + y2 + y3 - z2 =g= 0;
ee3..            1 - y2 - z3 =e= 0;
ee5..            -3 - 0.5*y2 - 2*y3 - z4 =e= 0;
ee4..            z1 + z2 =c= z3 + z4;

model test2 /objec2, ee1, ee2, ee3, ee4, ee5/;

solve test2 using qcp maximizing obj2;
We do not need to set the non-negative bound for x1, x2, and z1, z2, when MOSEK still works well with the =C= operator.

Gabriel

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bussieck
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Posts: 353
Joined: 3 years ago

Re: Conic constraint in GAMS

Post by bussieck » 1 week ago

When using the =c= interface the cone is given explicitly including the non-negativity constraints. When you write as a quadratic program, MOSEK will try to recognize the cone, but if the bounds are not right than it refuses to do so.

-Michael

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