Tuesday, October 18, 2011

MPS files

Yesterday we found out that Microsoft Solver Foundation is writing incorrect MPS files when the model has general integer variables without an upper bound. See: http://social.msdn.microsoft.com/Forums/en-US/solverfoundation/thread/7669081f-18ac-445b-850e-434bff80da38.

Right after I submitted an error report, the following e-mail arrived:

I trying to convert one problem on gmpl format to free mps format, both in attached, and the solve it.
Unfortunately, when solve the mps file I get an answer different from the answer that I get when solve using the gmpl file.

I was using the following commands:
$ glpsol --math exemp01.mod
$ glpsol --math exemp01.mod --check --wfreemps exemp01.mps
$ glpsol --freemps exemp01.mps

See: http://lists.gnu.org/archive/html/help-glpk/2011-10/msg00049.html

Lo and behold, this is exactly the same problem!

The problem is shown in the following MPS file (generated by Cplex, comments added by me):

NAME          gamsmodel
ROWS
N  obj
E  e1
L  e2
COLUMNS
    MARK0000  'MARKER'                 'INTORG'
    x         obj                            -1
    x         e2                              1
    MARK0001  'MARKER'                 'INTEND'
    z         obj                            -1
    z         e1                              1
RHS
    rhs       e2                            200
BOUNDS
* column x is a general integer variable
* it needs an LI card to make sure it is not
* interpreted as a binary variable
LI bnd       x         0
FR bnd       z
ENDATA

This LI card is missing from the GLPSOL and Solver Foundation generated files. The rule is: if no bounds are specified, an integer variable has default bounds 0 and 1. Obviously this will change the meaning of the model.

Note: In GAMS by default all integer variables have a finite upper bound, so no problem there. It is possible (with some effort) to create a model with +INF bounds on integer variables (using PF4=0 command line option). It turns out that with such a model, the tool CONVERT (this tool can write MPS files), produces an MPS file with the same error. Admittedly somewhat contrived, but not correct anyway.