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.
________________________________
From: Andrew Makhorin <[email protected]>
To: Alireza Vazifedoost <[email protected]>
Cc: Raniere Gaia Silva <[email protected]>; "[email protected]"
<[email protected]>
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.
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