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Re: [Help-glpk] numerical instability

From: Andrew Makhorin
Subject: Re: [Help-glpk] numerical instability
Date: Fri, 08 Jul 2011 02:57:56 +0400

> I am using GLPK to solve a number of LP's in succession in a single
> program. The LP is modified after each glp_simplex_solve. New
> constraints are added to it. After some 10's of such solves I start to
> get warnings like this in the output : 
> Warning: numerical instability (primal simplex, phase 1)
> And then one of the solve returns NaN as the objective value. When the
> model reports NaN I dump out the model and exit the program. 
> This model (which reported NaN in GLPK) solves to optimality when
> solved using Gurobi, which means the Model was actually feasible and
> bounded. That means the NaN was because of the numerical instability
> in the glpk model.
> Is there any way the numerical stability of the model can be
> reinstated e.g. resetting the model after every few solves??
> Are there any other robust open-source solvers that can solve
> thousands of LP's in succession without numerical instability. How
> does glpk compare to lp-solve or COIN OR in such a situation?

Could you please output the lp instance that results in NaN with
glp_write_prob or glp_write_mps and post me the file? Thanks.

Andrew Makhorin

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