Find all alternative solutions for incumbent in lazy constraints

回答済み

Joonmo Sung

2024年01月22日 07:17

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Hi I'm currently working with Gurobi to solve two stage stochastic problem with lazy constraints. My question pertains to the handling of incumbent solutions within these lazy constraints.

When the model identifies an incumbent solution, I want to find all alternative solutions that diverge from this incumbent. And I want to add constraints based on these alternative solutions.

Could you provide guidance or suggest a method for systematically finding all potential alternative solutions to an incumbent within the framework of lazy constraints in Gurobi? Are there any best practices or recommended approaches for this process?

Any insights or advice on this matter would be greatly appreciated. 

Thank you for your support.

関連

• Lazy Constraints

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  Mario Ruthmair

  • Gurobi Staff

  2024年01月29日 14:40

  Hi Joonmo Sung,

  I am not entirely sure if I understand your approach. With parameter PoolSearchMode=2, you ask the solver to generate ALL feasible solutions. Together with LazyConstraints=1, the lazy constraint callback will be called for each incumbent.

  How do you define alternative solutions diverging from one particular incumbent? If this is problem-specific, you might need to handle this during the callback, but adding multiple lazy constraints during a single callback execution does not ensure that all those constraints are actually considered in the model (since one is enough to cut off the considered incumbent).

  Best regards,
  Mario

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