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Re: [Help-glpk] [Fwd: adding constraints incrementally]

From: Alireza Vazifedoost
Subject: Re: [Help-glpk] [Fwd: adding constraints incrementally]
Date: Wed, 14 Nov 2012 02:52:25 -0800 (PST)

Well, what you mentioned is basically the cutting plane method. However, it has some difficulties in practical implementation, regarding maintaining the current solution or efficiently generating next cut. from what I understand from glpk's reference manual, it implements branch-and-cut through call back functions. Also, It seems that branch part is for integer programming, so I guess if I have no integer constraint (which is my case) just the cutting plane part of algorithm would work. I guess what's helpful in using this callback mechanism is using cut generations mechanism which should select the next violated constraint among all the constraints. 

From: Andrew Makhorin <address@hidden>
To: Alireza Vazifedoost <address@hidden>
Cc: Raniere Gaia Silva <address@hidden>; "address@hidden" <address@hidden>
Sent: Wednesday, November 14, 2012 6:32 PM
Subject: Re: [Help-glpk] [Fwd: adding constraints incrementally]

> Actually, my constraint matrix can't be fit in the memory of my
> machine. So, I assume that in cutting plane method, we don't need to
> retain all the constraints in memory, So, can you please tell me more
> about the restriction you mentioned?

You don't need to use the callback until you solve mip with the
branch-and-cut method. In case of lp just solve it using a subset of
constraints, add violated constraints and/or remove inactive constraints
and then re-optimize.

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