Lagrangian Dual, Subgradient Method

回答済み

Farzane Ezzati

2023年11月08日 23:11

• 
• 
• 

Hello,

I want to solve a two stage stochastic programming model and I am using scenario decomposition and lagrangian relaxation of non-anticipativity constraints to solve the problem. I am mixing lagrangian dual with branch and bound. in the branch and bound tree, the problems I need to solve, should be solved by their lagrangian dual using subgradient method. My question is does GUROBI can be adjusted to solve a model by subgradient method? I want to avoid coding the whole iterations of subgradient method and want to focus only on the branch and bound tree. Thanks in advance for the help.

Bests, 

Farzane

関連

• Branch-and-Cut
• Stochastic

0

• 

  Mario Ruthmair

  • Gurobi Staff

  2023年11月09日 15:49

  Hi Farzane,

  Gurobi does not include the subgradient method for solving node relaxations in the branch-and-bound tree. Node bounds are obtained by solving continuous relaxations by simplex or barrier only.

  So, if you want to use Lagrangian Relaxation in a branch-and-bound framework, Gurobi cannot help you here. You need to implement all ingredients by yourself or use other existing frameworks.

  Best regards,
  Mario

  0

サインインしてコメントを残してください。