Re: [Help-glpk] MILP how to make constraints numbers as a decision variable

[Heinrich Schuchardt]

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
> 
> 
> 
> 
> 
> _______________________________________________
> Help-glpk mailing list
> address@hidden
> https://lists.gnu.org/mailman/listinfo/help-glpk
>