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Re: [Help-glpk] numerical instability

From: Akhil langer
Subject: Re: [Help-glpk] numerical instability
Date: Mon, 11 Jul 2011 20:38:28 -0500

@Robbie: The problem was very badly scaled (according to the definition given in the wiki). I used glp_scale_prob() but the warnings persist. In the program, the model gets modified with addition and deletion of rows between optimizations. Can I expect that GLPK will take care of rescaling required because of the changes in the model.

Regarding your observation of buggy curves when instability is reported. I am also facing a similar issue. My program runs in parallel environment. I am doing stochastic optimization. An executable with same input every time sometimes converges to optimal values without any issues and at other times leads to bound violations in in my algorithm. Since, it is running in parallel environment glpk solves different lp's in different runs but they should not lead to violations.

@Andrew: Is it possible to give advance copy of 4.46 for evaluation?


On Sat, Jul 9, 2011 at 2:25 PM, Robbie Morrison <address@hidden> wrote:

Hello Akhil

Just some thoughts.

How badly scaled is your problem?  Do you employ
scaling?  This is off by default under API usage and
needs an explicit call.  You can set the type of
scaling using bitwise or-able constants.  Please see:

Also note the comments on stability here:

 http://en.wikibooks.or t the first three steps in the order: GLP_SF_SKIP, GLP_SFhe first three steps in the order: GLP_SF_SKIP, GLP_SFg/wiki/GLPK/Troubleshooting#Numerical_instability

Perhaps you can get an "advance copy" of 4.46 from

Note the warning is just that.  Its presence does not
preclude an optimal solution.  So does the solver run
to completion?

Finally, my work involves the modeling a network of
processes, described via characteristic curves (that's
the simple explanation anyhow).  I found that whenever
I hit stability issues, my characteristic curves were
buggy, aphysicial, and in need of fixing.  Conversely,
correct curves have never (fortunately) given stability
problems.  But maybe the notion of physicality does not
apply in your case.

HTH, Robbie

To:          Andrew Makhorin <address@hidden>
Subject:     Re: [Help-glpk] numerical instability
From:        Akhil langer <address@hidden>
Date:        Fri, 8 Jul 2011 11:42:34 -0500

> Andrew,
> Thanks, Andrew. The NaN problem has been
> resolved. However, I keep getting the following
> warning:
> Warning: numerical instability (primal simplex, phase I)
> Please note that I have been using INT_MAX as the upper
> bound for some columns. Could that be the cause of the
> instability? I can change these columns also to be free
> but that would require some changes in the code.  Just
> wanted to check with you if changing the code will
> remove the instability?
> Thanks,
> Akhil

Robbie Morrison
PhD student -- policy-oriented energy system simulation
Technical University of Berlin (TU-Berlin), Germany
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