Questions tagged [numerical-issues]
For questions on problems that come from a finite representation of real numbers.
7
questions
2
votes
1
answer
256
views
Poorly conditioned quadratic programming with "simple" linear constraints
I have many quadratic programming problems of the following form:
$$\min_{x\in\mathbb{R}^n} { \tfrac{1}{2} {\lVert Cx-d \rVert}^2} $$
$$\textrm{s.t.}\ x_1\le 0,\ x_n\le 0,\ x_n\le a_1^\top x_{1:n-1},\ ...
- 235
3
votes
2
answers
302
views
Impact of soft constraints in MILP
I'm wondering about the impact of soft constraints, since no one mentioned that in Soft constraints and hard constraints.
My team makes all the constraints soft in MILP, so that a feasible solution ...
- 381
8
votes
4
answers
766
views
Detect Numerical Instability with Large-scale optimization problems
We run large-scale optimization problems regularly. They have thousand of variables and tens of thousands of constraints.
Those optimization problems often get numerically instable. In those cases, we ...
- 460
1
vote
2
answers
960
views
Docplex Error: Model has non-convex objective
My objective function is $\frac{1}{2}w^{T}Vw - P^{T}w$ with $V$ a covariance matrix (hence semidefinite positive), $P$ a column vector and $w$ a vector of semi-continuous variables.
Given that the ...
- 157
6
votes
0
answers
222
views
Provide basic solution to CLP
I'm using Pyomo to formulate an LP with approx 500,000 constraints and 200,000 decision variables. The LP is solved using CLP. Some instances fail to return even a feasible solution after many ...
9
votes
0
answers
194
views
Ill-conditioned LP in Benders decomposition
I have implemented a Benders decomposition for a constrained network flow but the LP solver (Gurobi) warns me of the ill-conditioning of the subproblem dual LP. As you can see below, the coefficients ...
- 191
14
votes
2
answers
222
views
Solver rounding precision vs programming language rounding precision
Often times I have this issue. For example, I need to have a non-negative coefficient, say $c_0$, in my optimization problem (otherwise the problem is not convex). Moreover, to obtain this $c_0$ I ...
- 3,980