getobjbound for conic_to_LPQP

[chriscoey]

@mlubin, in new QP tests

QP maximize: Error During Test
  Got an exception of type MethodError outside of a @test
  MethodError: no method matching getobjbound(::MathProgBase.SolverInterface.ConicToLPQPBridge)
  Closest candidates are:
    getobjbound(!Matched::GLPKMathProgInterface.GLPKInterfaceMIP.GLPKMathProgModelMIP) at /home/coey/.julia/v0.5/GLPKMathProgInterface/src/GLPKInterfaceMIP.jl:549
    getobjbound(!Matched::Cbc.CbcMathProgSolverInterface.CbcMathProgModel) at /home/coey/.julia/v0.5/Cbc/src/CbcSolverInterface.jl:190
    getobjbound(!Matched::Mosek.MosekMathProgSolverInterface.MosekLinearQuadraticModel) at /home/coey/.julia/v0.5/Mosek/src/MosekLPQCQPInterface.jl:661

[chriscoey]

also one test isn't passing there because the answer is a factor of 2 off. it could be caused by maybe forgetting the 2 in the RSOC?

getobjectivevalue(m) = 8.022765808609499
QP large (cardls): Test Failed
  Expression: isapprox(getobjectivevalue(m),16.045564,atol=TOL)

[mlubin]

Try out https://github.com/JuliaOpt/MathProgBase.jl/pull/160 for the getobjbound issue.

With

@variable(m, w == 2)
@constraint(m, sum(t.^2) <= u*w)

You get u >= sum(t.^2)/2. Is that what you want?

[chriscoey]

Yes, I wrote that part correctly.

On Mar 29, 2017 10:46 AM, "Miles Lubin" notifications@github.com wrote:

Try out JuliaOpt/MathProgBase.jl#160 https://github.com/JuliaOpt/MathProgBase.jl/pull/160 for the getobjbound issue.

With

@variable(m, w == 2)@constraint(m, sum(t.^2) <= u*w)

You get u >= sum(t.^2)/2. Is that what you want?

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[mlubin]

So the objective is to minimize sum(t.^2)/2 + rho*sum(x.^2)/2?

[chriscoey]

Yes

On Mar 29, 2017 10:53 AM, "Miles Lubin" notifications@github.com wrote:

So the objective is to minimize sum(t.^2)/2 + rho*sum(x.^2)/2?

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[mlubin]

The constraints are being enforced as written:

julia> sum(getvalue(t).^2)/2 + rho*sum(getvalue(x).^2)/2
8.022766055303913

julia> getobjectivevalue(m)
8.022766159395793

[chriscoey]

Then that is the correct objective. But the conic tests pass with objective twice that, suggesting an issue with conic to lpqp

On Mar 29, 2017 11:00, "Miles Lubin" notifications@github.com wrote:

The constraints are being enforced as written:

julia> sum(getvalue(t).^2)/2 + rho*sum(getvalue(x).^2)/2 8.022766055303913

julia> getobjectivevalue(m) 8.022766159395793

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[mlubin]

That suggests an issue with the conic formulation, not conic to lpqp.

[chriscoey]

I don't understand. There is only one formulation.

On Mar 29, 2017 11:12 AM, "Miles Lubin" notifications@github.com wrote:

That suggests an issue with the conic formulation, not conic to lpqp.

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[mlubin]

What solver is reporting 16.045564?

[chriscoey]

All.

Could be a bug in pajarito too.

On Mar 29, 2017 11:17 AM, "Miles Lubin" notifications@github.com wrote:

What solver is reporting 16.045564?

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[mlubin]

I was testing with mosek above through conic_to_lpqp and it was giving the right answer.

On Mar 29, 2017 11:25, "Chris C." notifications@github.com wrote:

All.

Could be a bug in pajarito too.

On Mar 29, 2017 11:17 AM, "Miles Lubin" notifications@github.com wrote:

What solver is reporting 16.045564?

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[chriscoey]

OK this seems to be fixed.

Tests passing when on MPB master.