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Questions tagged [numerical-stability]

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Scaling of objective function changes convergence

I am trying to solve a nonlinear program using the global optimization solver BARON. The problem has roughly 2e4 variables and also several thousand equality and inequality constraints. Being aware of ...
jamieil's user avatar
2 votes
2 answers
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Small number of constraints, but very large coefficients

I'm looking for advice on solving ILP problems with a relatively small number of constraints and variables, but very large coefficients. I have less than 500 variables and constraints, but my ...
Elliot Gorokhovsky's user avatar
2 votes
1 answer
403 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},\ ...
cfp's user avatar
  • 269
6 votes
1 answer
324 views

Compute Scaling factor(s) for linear constraint ($A@x<b$)

We optimize large-scale optimization problems with tens of thousands of variables and constraints with Cvxpy + Commercial solvers (e.g. Gurobi, Mosek). The coefficient range easily exceeds the ...
pqrz's user avatar
  • 470
8 votes
4 answers
878 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 ...
pqrz's user avatar
  • 470
7 votes
3 answers
708 views

How to keep solutions stable/persistent in a problem with many equally good solutions?

Suppose we have a worker-assignment problem where we seek to assign Alice, Bob, Chris, ... to jobs A, B, C, ... subject to various constraints and some objective function based on these assignments, ...
G_B's user avatar
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