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[Help-glpk] Re: MIP Solutions

From: Andrew Makhorin
Subject: [Help-glpk] Re: MIP Solutions
Date: Thu, 02 Dec 2010 01:56:23 +0300

On Wed, 2010-12-01 at 17:50 +0000, Thomas Pfau wrote:
> Hello,
> I got a Problem here while trying to implement an algorithm using a MIP.
> I need to iteratively add constraints to a problem. I.e. in each 
> iteration an additional constraint is added and the problem is recomputed.

Does this mean that you add constraints with glp_add_rows and then call
glp_intopt again and again?

> I do not know if this causes my problem but glp_intopt solvers the 
> problem returning a Solution where one of the constraints is violated. 
> Printing out the solution also shows this (i.e. in the solution file 
> under KKT.PE there is a statement, that the solution is wrong).

This may happen due to insufficient accuracy, as a rule, if your mip
instance is badly scaled or ill-conditioned, for example, because of too
"big M" used.

> However, I know that there are still feasible correct solutions to the 
> problem. Would I need to reset the whole problem each time and construct 
> it again

No, it is not needed.

>  (this would be kind of bad since I would have to keep track of 
> the additional constraints added in each iteration, which would 
> otherwise just be stored in the problem), and if not, how can I detect 
> if the result returned in fact is violating a constraint (since the only 
> place I find where this is mentioned is in the KKT.PE statement), and 
> how can I tell the algorithm to restart/keep searching for a correct 
> solution.

You may try to decrease the integer tolerance. By default it is 1e-5.

> In addition:
> Could someone please tell me how to use the glp_init_iocp() function? 
> When I tried something like this:
> glp_iocp* param;
> glp_init_iocp(glp_iocp);
> It lead to a segfault in the program (the seqfault did not occur in the 
> glp_init_iocp() function but later on in my program, but I think I 
> tracked the misallocation to be happening somewhere in the 
> glp_init_iocp() function).

You should allocate the glp_iocp structure in your program like follows:

glp_iocp parm;

Please see examples in the glpk reference manual.

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