Currently, I am trying to implement a Benders Decomposition. I can add a lazy constraint to limint the binary variables of the master problem. I can obtain the optimal solution of the master problem after many iterations.
Actually I can obtain more information from the sub-problem. I know the solution value of the subproblem actually gives a upper bound UB for the objective function Z of the master problem. I try to reduce the maximum possible value of Z by using the constraint Z<=UB-epsilon where epsilon is a very small value, such as epsilon =1. When adding the constraint, the master problem reports infeasible very soon. I want to know how to add the solution value of the subproblem to limit the objective function of the master problem.
Thanks very much
Please sign in to leave a comment.