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Value iteration is one of the most commonly used methods to solve Markov decision processes. Its convergence rate obviously depends on the number of states and actions. However, the convergence rate a …
asked May 30 '19 by Michiel uit het Broek
Which sources are out there that provide reliable and fast MDP solvers? I prefer that the library is callable from C++ but other languages are fine too. There is indeed an abundance of repositories …
asked May 31 '19 by Michiel uit het Broek
What are the advantages of using the generic callback compared to the old user/lazy callbacks within a branch-and-cut framework? IBM states on its website that the major benefit of the new generic ca …
asked May 31 '19 by Michiel uit het Broek
In my experience it is helpful to add the smallest sub tour constraints directly into the model formulation. You should play a bit with the exact size but I commonly add subtour constraints up to 4 cu …
answered Jun 2 '19 by Michiel uit het Broek
A while ago I used Gurobi and I added user cuts from within a callback. However, I got the feeling that my user cuts were not directly added to the model. Is it right that Gurobi can decide to postpon …
asked May 30 '19 by Michiel uit het Broek
Suppose we have two variables $x, y \in \mathbb R$. How can we linearize the product $xy$? If this cannot be done exactly, is there a way to get an approximate result?
asked Jun 3 '19 by Michiel uit het Broek
As far as I know, there is no true way to linearize such constraints, as also stated in the answer given by Michael Trick. Let us therefore consider a piecewise linear approximation of the constraint …
answered Jun 3 '19 by Michiel uit het Broek
Suppose we have three variables, $x, y, z \in \mathbb R$. How can we linearize constraints with the following structure? $$z \geq \min(x, y)$$ $$z \leq \max(x, y)$$
Suppose we have two binary variables $x$ and $y$. How can we linearize the product $xy$?
This scenario can be linearized by introducing a new binary variable $z$ which represents the value of $x y$. Notice that the product of $x$ and $y$ can only be non-zero if both of them equal one, thu …
Suppose we have a binary variable $x$ and a non-negative continuous variable $y$. How can we linearize the product $x y$?
Suppose we can give a finite upper bound for $y$ called $M$. Then this constraint can easily be linearized by using the so-called big $M$ method. We introduce a new variable $z$ that should take the s …