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Gurobi taking too long (?) to set up problem with enormous matrix

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  • Riley Clement
    Gurobi Staff Gurobi Staff

    Hi Ming,

    Your code doesn't seem consistent with the definition of || . ||_1.

    I think the fastest way of creating the model you want is to first define this "auxiliary model":

    min 0
    s.t.
    Bx = -c

    A feasible solution to this model would be one where ||Bx + c||_1 = 0, and in general won't exist.  But if you then use the feasRelaxS method, with

    relaxobjtype=0
    minrelax=False
    vrelax=False
    crelax=True

    then the resulting model will be equivalent to min ||Bx + c||_1.

    - Riley

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