I'm setting up a simple QP to test the ROI R package. However, the package isn't able to give a wrong solution to a simple toy problem when it is unconstrained.
Example,
# Maximize -1/2 x^2 + x, no constraints
> x <- OP(Q_objective(as.matrix(-1), 1), maximum = TRUE, bounds = V_bound(lb = -Inf, ub = Inf, nobj = 1))
> x
> ROI Optimization Problem:
Maximize a quadratic objective function of length 1 with
- 1 continuous objective variable,
subject to
- 0 constraints
- 1 lower and 0 upper non-standard variable bounds.
Looks good. But when I solve the problem I get,
> sol <- ROI_solve(x, solver = 'qpoases')
> sol
No optimal solution found.
The solver message was: Initialisation failed! QP could not be solved!
The objective value is: 0.000000e+00
> sol$solution
[1] 0
> sol$objval
[1] 0
> sol$status
$code
[1] 1
$msg
solver qpoases
code 36
symbol RET_INIT_FAILED_HOTSTART
message Initialisation failed! QP could not be solved!
roi_code 1
Thats odd. On a related note, when I use the quadprog solver, I'm able to get the unconstrained solution (= 1), however I've had to switch from using quadprog to qpoases for other reasons.
Any help is much appreciated.
EDIT:
Oddly enough this works,
> ROI_solve(OP(Q_objective(as.matrix(-1), 1), maximum = TRUE), solver = 'qpoases')
No optimal solution found.
The solver message was: Initialisation failed! QP could not be solved!
The objective value is: 0.000000e+00
> ROI_solve(OP(Q_objective(as.matrix(1), -1), maximum = FALSE), solver = 'qpoases')
Optimal solution found.
The objective value is: -5.000000e-01
This different results result from a different value set in the parameter hessian_type
if the argument hessian_type
is not provided by the
user ROI.plugin.qpoases chooses the hessian_type
. And due to a
bug in the choosing of the hessian type for the first example it choose
for the first example the hessian_type = 6
(unknown) and for the second
the correct hessian_type = 1
identity.
x1 <- OP(Q_objective(as.matrix(-1), 1), maximum = TRUE, bounds = NULL)
s1 <- ROI_solve(x1, solver = 'qpoases', hessian_type = 1L)
solution(s1)
x1 <- OP(Q_objective(as.matrix(-1), 1), maximum = TRUE, bounds = NULL)
s1 <- ROI_solve(x1, solver = 'qpoases', hessian_type = 6L)
solution(s1)
This is fixed in the new version and the new version is on the way to CRAN.