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Posted 02-03-2021 07:17 PM
(769 views)

Hi all,

Not sure if you will be able to help, because I can't (easily) give a reproducible dataset/code currently. But I have a task that has been running in batch mode for 7ish months with no issues, however this month we did a run under M6 and got failure to converge. I reran on a multiple other M5 installs and found it converged fine - with the same numbers.

The optimisation problem is: creating a diversified risk margin measures in an Insurance context, which was previously done using Excel Goal Seek.

I've compared the outputs, and they are fairly close between the M5 (converging) and M6 (non-converging), but I'm worried that in the future it might not be.

Does anyone have any insight around what might cause this?

**EDIT: Digging into the logs it seems like under M6 it's stopping at 10 Iterations, under M5 it's 5000 iterations. Same code being run in batch,**

Is there any syntax to force the iterations limit? I can't see this in the documentation.

Logs Under M5:

NOTE: Problem generation will use 4 threads.

NOTE: The problem has 3 variables (3 free, 0 fixed).

NOTE: The problem has 0 linear constraints (0 LE, 0 EQ, 0 GE, 0 range).

NOTE: The problem has 0 nonlinear constraints (0 LE, 0 EQ, 0 GE, 0 range).

NOTE: The OPTMODEL presolver removed 1 variables, 0 linear constraints, and 0 nonlinear constraints.

NOTE: The OPTMODEL presolved problem has 2 variables, 0 linear constraints, and 0 nonlinear constraints.

NOTE: Using analytic derivatives for objective.

NOTE: The NLP solver is called.

NOTE: The Interior Point algorithm is used. Objective Optimality Iter Value Infeasibility Error 0 3897298400 0 0.91352918 1 3897061246 0 0.91350405 2 3896586953 0 0.91345379 3 3895638418 0 0.91335329 4 3893741557 0 0.91315236 5 3889948669 0 0.91275076 6 3882366228 0 0.91194867 7 3867214656 0 0.91034889 8 3836964540 0 0.90716677 9 3776674762 0 0.90087152 10 3656923924 0 0.88855043 11 3420636114 0 0.86493619 12 2960162758 0 0.82145964 231 The SAS System 11:28 Thursday, February 4, 2021 13 2082352407 0 0.74712617 14 466179593 0 0.63535466 15 314803402 0 0.59116425 16 82986172 0 0.61295189 17 16022816 0 0.60739250 18 8757803 0 0.60877532 19 3625471 0 0.60808359 20 2567927 0 0.60842937 21 528332.02827454 0 0.60825646 22 245760.17213440 0 0.60829968 23 141279.05287933 0 0.60827807 24 52242.27852631 0 0.60828888 25 44517.95750427 0 0.60828347 26 3862.26792908 0 0.60828617 27 2185.25864410 0 0.60828584 28 838.50507355 0 0.60828601 29 673.37659454 0 0.60828592 30 82.56423950 0 0.60828596 31 11.92839050 0 0.60828596 32 11.69474030 0 0.60828596 33 0.11677551 0 0.60828596 34 0.06782532 0 0.60828596 35 0.02450562 0 0.60828596 36 0.02157593 0 0.60828596 37 0.00144196 0 0.60828596 38 0.00001526 0 0.60828596 ... 4998 0.00001526 0 0.60828596 4999 0.00001526 0 0.60828596 5000 0.00001526 0 0.60828596 NOTE: Maximum number of iterations reached.

Logs Under M6:

NOTE: Problem generation will use 4 threads. NOTE: The problem has 3 variables (3 free, 0 fixed). NOTE: The problem has 0 linear constraints (0 LE, 0 EQ, 0 GE, 0 range). NOTE: The problem has 0 nonlinear constraints (0 LE, 0 EQ, 0 GE, 0 range). NOTE: The OPTMODEL presolver removed 1 variables, 0 linear constraints, and 0 nonlinear constraints. NOTE: The OPTMODEL presolved problem has 2 variables, 0 linear constraints, and 0 nonlinear constraints. NOTE: Using analytic derivatives for objective. NOTE: The NLP solver is called. NOTE: The Interior Point Direct algorithm is used. Objective Optimality Iter Value Infeasibility Error 0 3897298400 0 14.43133695 1 2368948288 0 13.07313813 2 1291680859 0 26.10938827 3 86140006 0 435.11121099 4 1009002 0 37438.62334924 5 51750.31443787 0 730024.59935092 6 20710.01023865 0 1824203 7 3789.87590790 0 9968445 8 75.42141724 0 500907901 9 14.59787750 0 2587991583 10 0.01017761 0 37779184053 NOTE: Did not converge. NOTE: Objective of the best feasible solution found = 0.0101776123. NOTE: The best feasible solution found is returned.

1 ACCEPTED SOLUTION

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4 REPLIES 4

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Actually looking at it again, the Optimality error is behaving very differently under M6, it's growing and I guess as a result the iterations are stopping early.

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Thanks Rob, just tested it and I'm getting the same output it seems now. At least in the logs.

Where's the best place to read up on the differences here between DIRECT and Non-DIRECT? Or what drove the change in behaviour?

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