Friday, November 27, 2015

Global optimality

Not sure if this is a bug or this just comes with the territory (i.e. numerics). When I solve this nasty MINLP with Baron using an allowed gap optcr=0 I get:

Solution      = 0.922492168619502  found at node 6
Best possible = 0.92249216962
Absolute gap  = 1.00049823981152E-9  optca = 1E-9
Relative gap  = 0.00000  optcr = 1E-9

This is actually very good performance. However there is better solution (we are maximizing). If I plug this solution into the model I see:

Solution      = 0.954564813873509  best solution found during preprocessing
Best possible = 0.954564813874
Absolute gap  = 4.91051643791707E-13  optca = 1E-9
Relative gap  = 0.00000  optcr = 1E-9

This is somewhat better (about 3% improvement). This looks like a little bit more than expected.

The model is related to some reliability problem:

image