Jump.jl: Lazy constraint macro while using bender's Decomposition with callbacks

[loylobo]

The following bug report when I'm solving a MILP with bender's Decomposition on Julia Opt:

Following is the output when lazy constraint is added:

 LoadError: MethodError: no method matching isless(::JuMP.GenericAffExpr{Float64,JuMP.Variable}, ::Float64)

Closest candidates are:
  isless(::Float64, ::Float64) at float.jl:283
  isless(::AbstractFloat, ::AbstractFloat) at operators.jl:40
  isless(::ForwardDiff.Dual{N,T<:Real}, ::AbstractFloat) at C:\Users\Loy\.julia\v0.5\ForwardDiff\src\dual.jl:160
  ...
 in <=(::Float64, ::JuMP.GenericAffExpr{Float64,JuMP.Variable}) at .\operators.jl:65
 in addBendersCut(::Gurobi.GurobiCallbackData) at C:\Users\Loy\AppData\Local\Julia-0.5.0\ccstry.jl:337
 in lazycallback(::Gurobi.GurobiCallbackData, ::JuMP.Model, ::Array{JuMP.LazyCallback,1}) at C:\Users\Loy\.julia\v0.5\JuMP\src\callbacks.jl:78
 in (::JuMP.##125#126{JuMP.Model,Array{JuMP.LazyCallback,1}})(::Gurobi.GurobiCallbackData) at C:\Users\Loy\.julia\v0.5\JuMP\src\callbacks.jl:96
 in mastercallback(::Ptr{Void}, ::Ptr{Void}, ::Int32, ::Ptr{Void}) at C:\Users\Loy\.julia\v0.5\Gurobi\src\GurobiSolverInterface.jl:566
 in optimize(::Gurobi.Model) at C:\Users\Loy\.julia\v0.5\Gurobi\src\grb_solve.jl:5
 in optimize!(::Gurobi.GurobiMathProgModel) at C:\Users\Loy\.julia\v0.5\Gurobi\src\GurobiSolverInterface.jl:294
 in #solve#97(::Bool, ::Bool, ::Bool, ::Array{Any,1}, ::Function, ::JuMP.Model) at C:\Users\Loy\.julia\v0.5\JuMP\src\solvers.jl:142
 in solve(::JuMP.Model) at C:\Users\Loy\.julia\v0.5\JuMP\src\solvers.jl:117
 in include_from_node1(::String) at .\loading.jl:488
while loading C:\Users\Loy\AppData\Local\Julia-0.5.0\ccstry.jl, in expression starting on line 351

The part of the code:

@lazyconstraint(cb,sum(capacitypipemin[d]*ItaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitypipemax[d]*DeltaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitys[i]*Opensource[i]*AlphaCurrent[i]for i=SOURCE)-sum(capacityr[i]*Openreservoir[i]*BetaCurrent[i]for i=RESERVOIR)+ TauCurrent*T<=0)

where following is the data and parameters generated:

T = 10
SOURCE = ["S1", "S2"]
RESERVOIR = ["R3", "R4", "R5"]
DIAMETER = ["fourinch", "sixinch"]
NODES = union(SOURCE,RESERVOIR)
#Data
fixedcosts  = Dict("S1" => 500, "S2" => 600, "R3" =>0, "R4"=>0, "R5"=>0)
variablecosts = Dict("S1" => 0.035, "S2" => 0.040,"R3" =>0, "R4"=>0,"R5"=>0)
capacitys = Dict("S1" => 13,    "S2" => 20,"R3" =>0, "R4"=>0,"R5"=>0)

fixedcostr  = Dict("S1" => 0,   "S2" => 0, "R3" =>500, "R4"=>300,   "R5"=>600)
variablecostr = Dict("S1" => 0, "S2" => 0,"R3" =>0.025, "R4"=>0.030,    "R5"=>0.025)
capacityr   = Dict("S1" => 0,   "S2" => 0,"R3" =>6, "R4"=>6,    "R5"=>6)
fixedcostpipe = Dict("fourinch"=> 100 , "sixinch"=> 150)

variablecostpipe = 315
capacitypipemax = Dict("fourinch"=> 25 , "sixinch"=> 50)
capacitypipemin = Dict("fourinch"=> 0 , "sixinch"=> 25)


@variable(masterProblemModel,Opensource[s=NODES], Bin)
@variable(masterProblemModel,Openreservoir[r=NODES], Bin)
@variable(masterProblemModel,W[a=NODES,b=NODES,d=DIAMETER]>=0)
@variable(masterProblemModel, Z>=0)



TauCurrent = getvalue(Tau)
AlphaCurrent=Dict{String,Float64}()
for i=NODES
push!(AlphaCurrent,"$(i)" =>  getvalue(Alpha[i]))
end

BetaCurrent=Dict{String,Float64}()
for i=NODES
push!(BetaCurrent,"$(i)" =>  getvalue(Beta[i]))
end

GammaCurrent=Dict{String,Float64}()
for i=NODES
push!(GammaCurrent,"$(i)" =>  getvalue(Gamma[i]))
end

DeltaCurrent = Dict{Array{String,1},Float64}()
for i = NODES
for j=NODES
push!(DeltaCurrent,["$(i)","$(j)"] => getvalue(Delta[i,j]))
        end
        end

ItaCurrent = Dict{Array{String,1},Float64}()
for i = NODES
    for j=NODES
    push!(ItaCurrent,["$(i)","$(j)"] => getvalue(Ita[i,j]))
end
end   

The code works fine until the lazy constraint macro.
Please help solve this bug.

[blegat]

Could your replace

@lazyconstraint(cb,sum(capacitypipemin[d]*ItaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitypipemax[d]*DeltaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitys[i]*Opensource[i]*AlphaCurrent[i]for i=SOURCE)-sum(capacityr[i]*Openreservoir[i]*BetaCurrent[i]for i=RESERVOIR)+ TauCurrent*T<=0)

by

println(macroexpand(:(@lazyconstraint(cb,sum(capacitypipemin[d]*ItaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitypipemax[d]*DeltaCurrent[String[i,j]]*Select[i,j,d] for i=NODES,j=NODES,d= DIAMETER)-sum(capacitys[i]*Opensource[i]*AlphaCurrent[i]for i=SOURCE)-sum(capacityr[i]*Openreservoir[i]*BetaCurrent[i]for i=RESERVOIR)+ TauCurrent*T<=0))))

and give us the output ?

[joehuchette]

This would imply that the error is coming from some other line in your code.

[blegat]

Yes, the issue seems to come from the line in addBendersCut(::Gurobi.GurobiCallbackData) at C:\Users\Loy\AppData\Local\Julia-0.5.0\ccstry.jl:337

[joehuchette]

I'm guessing your problem is with the if statements like

if statusSubProblem == :Optimal && fsxCurrent+sum(fixedcosts[i]*Opensource[i]for i=SOURCE)+ sum(fixedcostr[j]*Openreservoir[j]for j=RESERVOIR)+sum(Select[i,j,d]*fixedcostpipe[d] for i=NODES,j=NODES,d=DIAMETER)==fmCurrent+0.0001

since Opensource is a Variable (I think). You probably want its optimal value (use getvalue). Same goes for the other Variables.

In the future, please post usage questions on our mailing list.

[loylobo]

Thank you so much!