qp() in octave-3.0.0 gets stuck on wrong answer to convex problem

[Joshua Redstone]

I just tried octave 3.0.1 (osx) - the behavior is identical (i.e., it
converges to the wrong answer).Josh

On Thu, Jun 5, 2008 at 7:50 AM, Joshua Redstone <redstone at gmail.com> wrote:

> Hi all,I think I've come across a bug in qp() in which qp() gets stuck
> (empirically converges to the wrong answer) when it shouldn't.
> I've found a problem instance for which, depending on the initial X0
> provided, qp() either
> declares the problem convex and returns the global optimum solution in 120
> iterations, or
> gets stuck on a particular suboptimal solution regardless of how many
> iterations it executes for.
> I think either qp() is erroneously reporting the problem is convex, or more
> likely, it is somehow getting stuck.
> I've attached an octave file, qpprob.dat, with which to reproduce the
> problem (generated on OSX 10.5.2).  It contains the full problem instance
> including an initial x_bad and x_good which
> causes qp() to either get stuck or quickly find the optimum.
> Below is the output of a session exhibiting the problem.  In the following
> session, I've modified qp() so that it takes an extra argument specifying
> the maximum number of iterations to execute for (the default without the
> extra arg is 200, I think):
>
> octave-3.0.0:1> format long
>
> octave-3.0.0:2> load "qpprob.dat"
>
> octave-3.0.0:3> [X, OBJ, INFO, LAMBDA] = qp(x_bad, H, Q, A, B, LB, UB,
> A_LB, A_IN, A_UB, 200);
>
> octave-3.0.0:4> OBJ
>
> OBJ =  0.00763280553660678
>
> octave-3.0.0:5> INFO
>
> INFO =
>
> {
>
>   solveiter =  200
>
>   info =  3
>
> }
>
>
> octave-3.0.0:6> [X, OBJ, INFO, LAMBDA] = qp(x_bad, H, Q, A, B, LB, UB,
> A_LB, A_IN, A_UB, 1000);
>
> octave-3.0.0:7> OBJ
>
> OBJ =  0.00763280553660678
>
> octave-3.0.0:8> INFO
>
> INFO =
>
> {
>
>   solveiter =  1000
>
>   info =  3
>
> }
>
>
> octave-3.0.0:9> [X, OBJ, INFO, LAMBDA] = qp(x_good, H, Q, A, B, LB, UB,
> A_LB, A_IN, A_UB, 200);
>
> octave-3.0.0:10> OBJ
>
> OBJ =  1.57898325754824e-05
>
> octave-3.0.0:11> INFO
>
> INFO =
>
> {
>
>   solveiter =  121
>
>   info = 0
>
> }
>
>
> As you can see, with x_bad, qp() has converged to a suboptimal solution
> which doesn't change as I increase the number of iterations.When I try
> x_good, it returns INFO=0, which means the problem is convex and it has
> found the global solution, which is two orders of magnitude
> smaller in the objective.....
>
> Does anyone have suggestions of a workaround or ways to track down the bug?
> Thanks,
> Josh
>
>
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