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Re: [Help-glpk] MILP how to make constraints numbers as a decision varia
From: |
Heinrich Schuchardt |
Subject: |
Re: [Help-glpk] MILP how to make constraints numbers as a decision variable |
Date: |
Thu, 28 Jul 2016 07:57:20 +0200 |
User-agent: |
Mozilla/5.0 (X11; Linux x86_64; rv:45.0) Gecko/20100101 Icedove/45.1.0 |
Hello David,
have a look at the "Big M method". Take care to choose M as small as
possible.
Best regards
Heinrich Schuchardt
On 27.07.2016 22:21, usa usa wrote:
> Hi,
>
> I am trying to build a MILP.
>
> I need to set the number of linear constraints in the model as a
> decision variable.
>
> For example:
>
> max 8* x1 + 6 * x2 - x3
> s.t.
> constraint 1 : x1 + x2 <= 29
> constraint 2 : x1 - x2 <= 5
> constraint 3 : x2 + x3 <= 56
>
> I would like to make the all three constraints as candidates such that
>
> 1. the objective maximized.
> 2. At least one constraint must be active
> 3. How many of candidate constraints are active depends on the objective
> optimization value.
>
> I know this may have exponential complexity because for 3 candidates, I
> can have 2^3 = 8 combinations of constraints.
>
> Are there some ways to out all candidate in the model and solve it for
> one run to get the optimal solution and let the model decide which
> candidates should be active /
>
> thanks
>
> David
>
>
>
>
>
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