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Re: [Help-glpk] numerical instability

From: Andrew Makhorin
Subject: Re: [Help-glpk] numerical instability
Date: Sat, 4 Feb 2006 15:04:56 +0300

> Hi
> I am working on building an LP model of an electricity market. I had a
> model 
> that ran in about 20 seconds. After changing some of the input data, I
> ran it 
> again, and this time GLPK kept giving the message:
> 'spx_simplex: numerical instability (primal simplex, phase II)'
> and took much longer to run.
> What does this message mean, and is there anything I can do about it to
> make 
> my model run faster?

Looks like your model is badly scaled. Try to call lpx_scale_prob
before call to lpx_simplex.

To reduce the solution time call either lpx_adv_basis or lpx_cpx_basis
right before lpx_simplex. These routines allows the simplex starting
from an advanced basis. Another way is to enable the LP presolver:

   lpx_set_int_parm(lp, LPX_K_PRESOL, 1);

(on api level it is disabled by default). This may improve your model,
so scaling will not be needed.

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