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

[Alireza Vazifedoost]

Hi,

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. 

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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.