Sunday, August 19, 2012

Surprises in the log file

Sometimes I see messages in the log file of a MIP solver that are quite worrying. Here is one from GAMS/Cplex:

Proven optimal solution.

MIP Solution:           15.353413    (10612 iterations, 238 nodes)
Final Solve:            17.208664    (82 iterations)

The final solve is a extra LP GAMS wants to solve after fixing all integer variables (the reason is they want to report marginals i.e. duals and reduced cost). Obviously the two objectives should be (almost) the same. Here we see a large difference, indicating we are probably in deep trouble.