[solved] Q not PSD error with Gurobi 0.9?

[Nikita-Belyak]

The package Gurobi.jl seems to be not updated in accordance with the current release of the software Gurobi 9.0. As it has been announced on the official website Gurobi 9.0 is already capable of solving non-convex quadratic problems, however, when trying to use the latest version of the software to solve JuMP MIQCQP I receive the following message

Could you please have a look at this issue?
Please find attached the .pdf with the formulation of the model I used and .jl with the JuMP formulation of it in the enclosed archive Non-convex MIQCQP example.zip

[odow]

You need to set the NonConvex parameter to 2. See: https://www.gurobi.com/documentation/9.0/refman/nonconvex.html

model = Model(with_optimizer(Gurobi.Optimizer, NonConvex = 2))

Given the number of complaints about this, it's a little annoying that Gurobi doesn't highlight this more in their documentation.

Edit: I've opened a support ticket: https://support.gurobi.com/hc/en-us/community/posts/360056747952-Suggest-users-set-NonConvex-2-for-non-PSD-quadratics-

[odow]

I've changed the title because there will undoubtedly be more people that come looking for this question.

[Nikita-Belyak]

Thank you very much for your help. I just tried that and I got the following

Do you know by any chance how to fix this?

[odow]

You need to ensure you have the latest tagged version of Gurobi.jl (0.7.5).

Run

import Pkg
Pkg.update()
Pkg.status()

[Nikita-Belyak]

received this [2e9cd046] Gurobi v0.7.4
Tried even Pkg.update("Gurobi") but the version remains the same.
Could you please give a bit of advice on how could I possibly overcome this issue?

[odow]

You likely have another package holding you back.

What's the output of Pkg.status()?

In general, you should use Julia environments to avoid this: https://julialang.github.io/Pkg.jl/stable/environments/

[Nikita-Belyak]

julia> Pkg.status()
Status ~/.julia/environments/v1.2/Project.toml
[07493b3f] Alpine v0.1.3
[7c4d4715] AmplNLWriter v0.5.0
[c52e3926] Atom v0.11.3
[336ed68f] CSV v0.5.23
[9961bab8] Cbc v0.6.6
[a93c6f00] DataFrames v0.20.0
[31c24e10] Distributions v0.22.4
[f6369f11] ForwardDiff v0.10.9
[2e9cd046] Gurobi v0.7.4
[7073ff75] IJulia v1.21.0
[b6b21f68] Ipopt v0.6.1
[4076af6c] JuMP v0.20.1
[e5e0dc1b] Juno v0.7.2
[f4570300] MathOptFormat v0.4.0
[0db19996] NBInclude v2.1.0
[76087f3c] NLopt v0.5.1
[91a5bcdd] Plots v0.28.4
[d330b81b] PyPlot v2.8.2
[fdbf4ff8] XLSX v0.5.8
[9a3f8284] Random
[2f01184e] SparseArrays

[Nikita-Belyak]

Thank you, I will use a separate project further

[odow]

You can also try ] add Gurobi@0.7.5 and see what the error is.

In general, it isn't recommended to have this many packages in your global environment for precisely this reason. For every project you do, make a new environment with the minimal subset of packages you need.

For example, Alpine and AmplNLWriter are installed at versions which don't support JuMP 0.20. It gets pretty confusing if lots of packages are all fighting for version requirements.

[Nikita-Belyak]

Thank you very much for your help. I just solved it

[odow]

In good news, the next version of Gurobi will have a more informative error message.

[odow]

Closing. Fixed by new error message in Gurobi 9.0.2.