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[Help-glpk] Size of big-M changes solution of MIP problem

From: Yaron Kretchmer
Subject: [Help-glpk] Size of big-M changes solution of MIP problem
Date: Thu, 7 Apr 2011 21:32:11 -0700

Hi All
After struggling with the problem below for a couple of days, I thought of asking for help- My big-M formulation is behaving in a way that i can't understand.
The problem is a stock hedging problem, with one of the component of a correct hedge being that the strike price of the option is >= the value of the stock. 
The enclosde model should have no solution, since I'm fixing the variable such that the price of the option is does not follow the constaint above.
When my big-M = 9099999, I get the correct "No primal feasible" answer. But when I increase M to 9100000, a succesful solution is found, which is not correct.
Are there any upper limits to the size of big-M that can be used?

Attachment: rsu_hedger.mod
Description: Text document

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