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How to accurately calculate reduced cost when generating one column in column generation?

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  • David Torres Sanchez
    Gurobi Staff Gurobi Staff

    Hi Tanmoy,

    The dual values will change as adding columns will change the master problem in every iteration. This will allow you to generate more or stop if no column with a negative reduced cost can be produced. If this process doesn't stop, you may have a bug. It is worth experimenting with adding columns in batches or one by one.

    Cheers, 
    David

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