How to prevent Gurobi from converting a Max into a

Question

I am using Gurobi (via C++) as part of my MSc thesis to solve Quadratic Knapsack Problem instances. So far, I was able to generate a model with binary decision variables, quadratic objective function and the capacity constraint and Gurobi solved it just fine. Then I wanted to solve the continuous relaxation of the QKP. I built the model as before but with continuous variables instead of binary ones and Gurobi threw me an exception when I tried to optimize it:

10020 - Objective Q not PSD (negative diagonal entry)

Which confounded me for a bit since all values form the problem instance are ≥0. In preparing to post this question, I wrote both models out to file and discovered the reason:

NAME (null)
* Max problem is converted into Min one

Which of course means that all previously positive values are now negative. Now I know why Q is not PSD but how do I fix this? Can I prevent the conversion from a Max problem into a Min one? Do I need to configure the model for the continuous relaxation differently?

From my (unexperienced) point of view it just looks like Gurobi shot itself in the foot.

Answer 1

When you are maximizing a quadratic objective with Gurobi or any other convex optimizer, your 'Q' matrix has to be negative semi-definite, and when you are minimizing, your 'Q' matrix needs to be positive definite. Changing the sign and the sense of the objective changes nothing.

Gurobi doesn't verify that your problem is convex, but it will report any non-convexity it finds. The fact that your original problem seemed to solve as a MIP is an accident and you shouldn't rely on it.

You should model a quadratic objective with binary variables as a linear problem with some simple transformations. If x and y are binary, the expression x*y can be changed to z if you add the constraints

z <= x
z <= y
z >= x + y - 1