Description

Test of correctness of the levels and marginals returned.
We have QP terms in the objective only - all MIQCP solvers accept this.
Cases considered:
  1) =L=, =G=, =E= constraints
To add later:
  2) min [convex obj] or max [concave obj]
  4) special attention paid to the form of the obj. constraint, i.e.
     cz * z = xQx + cx + b where cz and b take different values

Small Model of Type : MIQCP

Category : GAMS Test library

Main file : miqcp01.gms

$title Test of correctness for levels & marginals of MIQCP (MIQCP01,SEQ=540)

$onText
Test of correctness of the levels and marginals returned.
We have QP terms in the objective only - all MIQCP solvers accept this.
Cases considered:
  1) =L=, =G=, =E= constraints
To add later:
  2) min [convex obj] or max [concave obj]
  4) special attention paid to the form of the obj. constraint, i.e.
     cz * z = xQx + cx + b where cz and b take different values
$offText

$if not set MTYPE   $set MTYPE miqcp
$if not set TESTTOL $set TESTTOL 5e-6
scalar mchecks / 0 /;
$if not %QPMCHECKS% == 0 mchecks = 1;

scalars
  cz    / 1 /
  cb    / 0 /
  bigM  / 2   /
  delta /  .2 /
  x0    / 1.9 /
  y0    / 1.15 /
  ;
variables x, y, z;
binary variables b0, b1;

equations
  obj
  h0  'halfplane (x+y-3) <= -delta if b0=0'
  h1  'halfplane (x+y-3) >=  delta if b0=1'
  xc
  ;
obj.. z =E= sqr(x-x0) + sqr(y-y0);
h0..  (x + y - 3) -    b0 * bigM =L= -delta;
h1..  (x + y - 3) + (1-b0)* bigM =G=  delta;
xc..  x =e= 1 + b1;

model m / all /;

scalar failed / 0 /;
$escape =
$echo if{%=1, display '%=1 failed', '%=2'; failed=1}; > gtest.gms
$escape %

scalars
  isMin    / 1 /
  tol      / %TESTTOL% /,
  objval   / .0125 /
  obj_l    / 0.0 /
  obj_m    / 1.0 /
  b0_l / 1   /,    b0_m / .2 /
  b1_l / 1   /,    b1_m / .1 /
  s_l  / 0.2 /,    s_m  / 0 /
  x_l  / 2   /,    x_m  / 0 /
  y_l  / 1.2 /,    y_m  / 0 /
  h0_l / 1.2 /,    h0_m / 0 /
  h1_l / 1.2 /,    h1_m / .1 /
  xc_l /  1  /,    xc_m / .1 /
  ;

* do not reset optcr if already set to a nondefault value
if {(.1 = %gams.optcr%), option optcr = 1e-6; };

solve m min z using miqcp;
execute_unload 'miqpSol.gdx';

$ batInclude gtest "(m.solvestat <> %solveStat.normalCompletion%)" "wrong solver status"
$ batInclude gtest "((m.modelstat <> %modelStat.optimal%) and (m.modelstat <> %modelStat.integerSolution%))" "wrong model status"

$ batInclude gtest "(abs(cz*z.l-cb-objval) > tol)"     "bad z.l"

$ batInclude gtest "(abs(b0.l-b0_l) > tol)"            "bad b0.l"
$ batInclude gtest "(abs(b1.l-b1_l) > tol)"            "bad b1.l"
$ batInclude gtest "(abs(x.l-x_l) > tol)"              "bad x.l"
$ batInclude gtest "(abs(y.l-y_l) > tol)"              "bad y.l"

$ batInclude gtest "(abs(obj.l-cb) > tol)"             "bad obj.l"
$ batInclude gtest "(abs(h0.l-h0_l) > tol)"            "bad h0.l"
$ batInclude gtest "(abs(h1.l-h1_l) > tol)"            "bad h1.l"
$ batInclude gtest "(abs(xc.l-xc_l) > tol)"            "bad xc.l"

if {mchecks,
$   batInclude gtest "(abs(z.m) > tol)"                "bad z.m"
$   batInclude gtest "(abs(b0.m-b0_m) > tol)"          "bad b0.m"
$   batInclude gtest "(abs(b1.m-b1_m) > tol)"          "bad b1.m"
$   batInclude gtest "(abs(x.m-x_m) > tol)"            "bad x.m"
$   batInclude gtest "(abs(y.m-x_m) > tol)"            "bad y.m"
$   batInclude gtest "(abs(cz*obj.m-obj_m) > tol)"     "bad obj.m"
$   batInclude gtest "(abs(h0.m-h0_m) > tol)"          "bad h0.m"
$   batInclude gtest "(abs(h1.m-h1_m) > tol)"          "bad h1.m"
$   batInclude gtest "(abs(xc.m-xc_m) > tol)"          "bad xc.m"
};

abort$failed 'test failed', cz, cb;