Hello everyone,
I am working on the Lagrangian relaxation nowadays. I coded my problem as it is explained in the transportaion-location problem example found in the library of cplex. However, my lower bound does not improve that much.
I initialize the multiplier with 0 as shown in the example. In the first iteration I get 0. And it goes down until -500 for the first ten iterations, then it climbs up and termintates at -50. (
I set the certain scale size(which is very small value like 0.000 Something) as the stopping criteria, the solution is terminated after 80 iterations) Btw, the optimal value of the same instance is 50. Especially, in the latest iterations, the improvement in the lower bound is quite low , like 0,3; 0;05 between the succesive iterations. Like -49,005;-49, 674, -49,9 , finally it ends at -50, but the optimum value is 50 . Why does it happen ? What should I check? (I tried with different values for lag.multiplier but the behaviour is the same .
Thank you so much
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milena kafka
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#DecisionOptimization