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https://issues.apache.org/jira/browse/MATH-1108?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13919206#comment-13919206
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Thomas Neidhart commented on MATH-1108:
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Hi Alexander,
your problem looks more like a least-squares problem with bounds to me.
The constraints defined for the simplex solver are quite tight, i.e. all
constraint rows have a right hand side of = 0.
I would rather relax this criteria like this:
constraints.add(new LinearConstraint(vector, Relationship.LEQ,
1e-6));
constraints.add(new LinearConstraint(vector, Relationship.GEQ,
-1e-6));
So you try to find a solution for | s * v | <= 1e-6
With this (and testing with the latest trunk version) I get a solution that is
consistent with all constraints: 0.17108682266
but it takes some time, as the problem is quite large, and the implemented
simplex algorithm is not using the faster revised method yet.
I would suggest that you describe your problem in more detail and ask on the
user mailinglist as there maybe a better way to solve your problem and there
are several experts for different optimization methods reading there that can
give advise.
> SimplexSolver returns TooManyIterationsException
> ------------------------------------------------
>
> Key: MATH-1108
> URL: https://issues.apache.org/jira/browse/MATH-1108
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 3.2, 3.1.1
> Reporter: Buharov Alexander
> Attachments: Problem.zip
>
>
> We have vector v and matrix s (from file S.txt)
> v - vector ( size: 1*649 )
> s - matrix ( size: 554*649 )
> We want solve linear problem:
> * max (v[31])
> * Bounds:
> * s*v = 0
> * -1 <= v[i] <= 1 for i=0,..., 648
> We changed MaxIter parameter (from 100 to 1e+6). And we changed epsilon (
> set default value and 1e-3). But solver always throws
> TooManyIterationsException (and work very slow).
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