I have applied correctly the Lagrange algorithm on a toy example given by (Fisher 1985), and solved it by Gurobipy, however, when I tried to apply it to a bigger problem,I did not get any improvement in terms of solution.
The lagrange multipliers took three dimensions. Let's call it λ[h,t,p].
I have relaxed the following constraint given that the problem is a minimization problem:
Then I have written it in the objective function as follows:
I have written lamda(k+1) as follows:
I tried to retrieve the solution of the following from Gurobipy as follows:
and pi_m=2 , step size.
ItThe following error appears, I think I am calling the solution from Gurobi in the wrong way
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