All;
I am wondering if anybody calls GLPK iteratively/successively/recursively to solve nonlinear problems similar to a sequential linear programming algorithm?
My concern is calling GLPK multiple times where each LP subproblem is technically unrelated to a previous major iteration but successive calls to glp_set_row_bnds(), glp_set_col_bnds(),glp_set_obj_coef() and glp_load_matrix() are required.
Although the structure of the LP subproblems do not change from major iteration to major iteration i.e., only the row/column bounds and objective/matrix coefficients change, I am wondering if there would be any problems using GLPK for this?
Presumably if I call glp_delete_prob() after each major iteration has completed, then theoretically there should be no problem other than the overhead of setting up the LP subproblem each time.
Any comments on this would be appreciated - Jeff