Using Gekko Optimization, Why is my model builder so much slower than my solver? - gekko

Question

I am working on a fairly large MINLP with a model size of about 270,000 variable and equations - 5,000 binaries. In using Gekko with the APOPT solver, I can solve the problem in about 868 seconds (less than 15 minutes). However, solving it on a super computer for increased memory, it takes around 27 hours to produce the results.
It seems to be spending all of its time creating the model. In reading a bit about APOPT, it mentions that it works best when the Degrees of Freedom are less than 2,000 (Mine is about 3,500). However, I also read that it's the only mixed integer solver available with Gekko?
I'm curious if this is the case or if there's other options for this program within Gekko? (as I would prefer to code in Python) In application, I will need to run this code multiple times with different uploaded excel sheets so if there's anyway to save the model construction for future runs that could also be helpful.

Answer 1

That is an impressive MINLP problem size. To determine how to make it faster on the pre-processing, you'll need to collect some additional information about where the time is used with DIAGLEVEL>=1.
m.options.DIAGLEVEL = 1
This produces a report of how long it takes for each of the steps. Here is an example MINLP problem (see #10).
from gekko import GEKKO
m = GEKKO() # Initialize gekko
m.options.SOLVER=1 # APOPT is an MINLP solver
m.options.DIAGLEVEL = 1
# optional solver settings with APOPT
m.solver_options = ['minlp_maximum_iterations 500', \
# minlp iterations with integer solution
'minlp_max_iter_with_int_sol 10', \
# treat minlp as nlp
'minlp_as_nlp 0', \
# nlp sub-problem max iterations
'nlp_maximum_iterations 50', \
# 1 = depth first, 2 = breadth first
'minlp_branch_method 1', \
# maximum deviation from whole number
'minlp_integer_tol 0.05', \
# covergence tolerance
'minlp_gap_tol 0.01']
# Initialize variables
x1 = m.Var(value=1,lb=1,ub=5)
x2 = m.Var(value=5,lb=1,ub=5)
# Integer constraints for x3 and x4
x3 = m.Var(value=5,lb=1,ub=5,integer=True)
x4 = m.Var(value=1,lb=1,ub=5,integer=True)
# Equations
m.Equation(x1*x2*x3*x4>=25)
m.Equation(x1**2+x2**2+x3**2+x4**2==40)
m.Obj(x1*x4*(x1+x2+x3)+x3) # Objective
m.solve(disp=True) # Solve
This produces the following timing results:
Timer # 1 0.03/ 1 = 0.03 Total system time
Timer # 2 0.02/ 1 = 0.02 Total solve time
Timer # 3 0.00/ 42 = 0.00 Objective Calc: apm_p
Timer # 4 0.00/ 29 = 0.00 Objective Grad: apm_g
Timer # 5 0.00/ 42 = 0.00 Constraint Calc: apm_c
Timer # 6 0.00/ 0 = 0.00 Sparsity: apm_s
Timer # 7 0.00/ 0 = 0.00 1st Deriv #1: apm_a1
Timer # 8 0.00/ 29 = 0.00 1st Deriv #2: apm_a2
Timer # 9 0.00/ 1 = 0.00 Custom Init: apm_custom_init
Timer # 10 0.00/ 1 = 0.00 Mode: apm_node_res::case 0
Timer # 11 0.00/ 1 = 0.00 Mode: apm_node_res::case 1
Timer # 12 0.00/ 1 = 0.00 Mode: apm_node_res::case 2
Timer # 13 0.00/ 1 = 0.00 Mode: apm_node_res::case 3
Timer # 14 0.00/ 89 = 0.00 Mode: apm_node_res::case 4
Timer # 15 0.00/ 58 = 0.00 Mode: apm_node_res::case 5
Timer # 16 0.00/ 0 = 0.00 Mode: apm_node_res::case 6
Timer # 17 0.00/ 29 = 0.00 Base 1st Deriv: apm_jacobian
Timer # 18 0.00/ 29 = 0.00 Base 1st Deriv: apm_condensed_jacobian
Timer # 19 0.00/ 1 = 0.00 Non-zeros: apm_nnz
Timer # 20 0.00/ 0 = 0.00 Count: Division by zero
Timer # 21 0.00/ 0 = 0.00 Count: Argument of LOG10 negative
Timer # 22 0.00/ 0 = 0.00 Count: Argument of LOG negative
Timer # 23 0.00/ 0 = 0.00 Count: Argument of SQRT negative
Timer # 24 0.00/ 0 = 0.00 Count: Argument of ASIN illegal
Timer # 25 0.00/ 0 = 0.00 Count: Argument of ACOS illegal
Timer # 26 0.00/ 1 = 0.00 Extract sparsity: apm_sparsity
Timer # 27 0.00/ 13 = 0.00 Variable ordering: apm_var_order
Timer # 28 0.00/ 1 = 0.00 Condensed sparsity
Timer # 29 0.00/ 0 = 0.00 Hessian Non-zeros
Timer # 30 0.00/ 1 = 0.00 Differentials
Timer # 31 0.00/ 0 = 0.00 Hessian Calculation
Timer # 32 0.00/ 0 = 0.00 Extract Hessian
Timer # 33 0.00/ 1 = 0.00 Base 1st Deriv: apm_jac_order
Timer # 34 0.01/ 1 = 0.01 Solver Setup
Timer # 35 0.00/ 1 = 0.00 Solver Solution
Timer # 36 0.00/ 53 = 0.00 Number of Variables
Timer # 37 0.00/ 35 = 0.00 Number of Equations
Timer # 38 0.01/ 14 = 0.00 File Read/Write
Timer # 39 0.00/ 0 = 0.00 Dynamic Init A
Timer # 40 0.00/ 0 = 0.00 Dynamic Init B
Timer # 41 0.00/ 0 = 0.00 Dynamic Init C
Timer # 42 0.00/ 1 = 0.00 Init: Read APM File
Timer # 43 0.00/ 1 = 0.00 Init: Parse Constants
Timer # 44 0.00/ 1 = 0.00 Init: Model Sizing
Timer # 45 0.00/ 1 = 0.00 Init: Allocate Memory
Timer # 46 0.00/ 1 = 0.00 Init: Parse Model
Timer # 47 0.00/ 1 = 0.00 Init: Check for Duplicates
Timer # 48 0.00/ 1 = 0.00 Init: Compile Equations
Timer # 49 0.00/ 1 = 0.00 Init: Check Uninitialized
Timer # 50 -0.00/ 13 = -0.00 Evaluate Expression Once
Timer # 51 0.00/ 0 = 0.00 Sensitivity Analysis: LU Factorization
Timer # 52 0.00/ 0 = 0.00 Sensitivity Analysis: Gauss Elimination
Timer # 53 0.00/ 0 = 0.00 Sensitivity Analysis: Total Time
APOPT stores the problem instance between NLP runs so it is fast to re-evaluate with different constraints as it performs branch and bound. APOPT uses a warm-start feature to rapidly evaluate the constrained NLP optimization problems. However, this warm-start feature isn't available to the Gekko user. There are other solvers available with Gekko (one that could be configured for MINLP) but they require a commercial license. There are also free MINLP solvers such as Couenne and Bonmin that are available from COIN-OR but they aren't supported yet. You can add a feature request for Gekko if you determine that APOPT pre-processing is the problem and you'd like to try another solver. Here is the optimization result that shows the timing for each iteration.
----------------------------------------------
Steady State Optimization with APOPT Solver
----------------------------------------------
Iter: 1 I: 0 Tm: 0.00 NLPi: 7 Dpth: 0 Lvs: 3 Obj: 1.70E+01 Gap: NaN
--Integer Solution: 1.75E+01 Lowest Leaf: 1.70E+01 Gap: 3.00E-02
Iter: 2 I: 0 Tm: 0.00 NLPi: 5 Dpth: 1 Lvs: 2 Obj: 1.75E+01 Gap: 3.00E-02
Iter: 3 I: 0 Tm: 0.00 NLPi: 6 Dpth: 1 Lvs: 2 Obj: 1.75E+01 Gap: 3.00E-02
--Integer Solution: 1.75E+01 Lowest Leaf: 1.70E+01 Gap: 3.00E-02
Iter: 4 I: 0 Tm: 0.00 NLPi: 6 Dpth: 2 Lvs: 1 Obj: 2.59E+01 Gap: 3.00E-02
Iter: 5 I: 0 Tm: 0.00 NLPi: 5 Dpth: 1 Lvs: 0 Obj: 2.15E+01 Gap: 3.00E-02
No additional trial points, returning the best integer solution
Successful solution
---------------------------------------------------
Solver : APOPT (v1.0)
Solution time : 1.649999999790452E-002 sec
Objective : 17.5322673012512
Successful solution
---------------------------------------------------
Here are a few things to try to diagnose or improve your solution time:
Try the IPOPT solver for a non-integer solution. Does it still take 27 hours to complete the solution with this solver? This may be an indication that APOPT is doing pre-processing of the solution.
Replace gekko constants and parameters with Python floats where possible. This reduces the amount of model processing time.
Use built-in gekko objects such as m.sum() versus the Python sum function. This generally improves the model processing performance.
Do automatic model reduction with m.options.REDUCE=3 or manual model reduction with the use of Intermediate variables.