Lagrangian Relaxation bound greater than optimal solution

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Chags

• February 20, 2020 13:42

I am working on a Lagrangian relaxation for a minimization MIP.

Everything seemed to be working fine before I started to run a batch of instances. 

Checking the log results for one of the instances I found out that the lower bound given by the LR algorithm was greater than my optimal objective.

One of my concerns, beyond wrong coding from my part, is the chance that the solver is removing columns or doing any other stuff to speed up optimization that is only feasible because of the relaxed constraints.

I saw this kind of problem before when a friend was implementing a branch and cut with cplex without changing a solver parameter.

Is there any parameters set that I should deactivate, like presolve, cutting planes etc?

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  Yuriy Zinchenko

  • February 24, 2020 21:44

  The solver may remove some variables and do other things as part of the presolve, so if you are curious to see if this plays any role here you can try setting Presolve = 0 to switch it off (mind you, often this results in longer solution times).  

  Hope this helps.

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