The problem is to use glpk to solve a large-scale LP problem, the size of constraint matrix is huge, like 500000 row and 1000000 column. The examples in glpk manual only deal with 5 or 6 variables (in which case the MPS file or MathProg file can be manually inputted) and hence is not very helpful for large-scale problem. Any suggestions? Specifically, it there any way to automatically generate MPS or MathProg file for large-scale LP problem.
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