• Gurobi Staff

Hi,

Are you sure that subtracting $$\epsilon=1$$ from your upper bound is valid? E.g., the optimal objective value of your master problem is $$Z=2$$ and the upper bound you get from one of your subproblems is $$UB=2.5$$. Then, adding the constraint $$Z\leq UB-\epsilon$$ may make your master problem infeasible. Is there a particular reason why you subtract the $$\epsilon$$? What happens if you don't subtract the $$\epsilon$$ but still add the constraint $$Z\leq UB$$?

Best regards,
Jaromił

Hi,

You are right. But I am trying to tighten the upper bound for speeding up the solution process. If the UB=10 and $$\epsilon=1$$, $$Z=9$$ for next iteration by using $$Z\leq UB-\epsilon$$. But there is a risk to cause the model infeasible. Do you have any good suggestion? If I just add $$Z\le UB$$, it is slow to help the model to find a good upper bound sometimes.

• Gurobi Staff

Hi,

We recently added a knowledge base article, which could provide some insight on your problem.

Best regards,
Jaromił