Originally posted by: ilovetoyota

Is there any sample code of implementing lagrangian relaxation using CPLEX? Either C, C++ or Java would be good enough.

My main puzzle is, currently, the problem can be decomposed into several subproblems. It is hard to decompose the current problem into several problems, then using CPXcreateprob to create subproblem one by one. Is there any good sample code on this?
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Originally posted by: SystemAdmin

Not sure if anyone will be able to offer sample code, but first I am unclear whether you are asking two questions here or only one. I don't think of Lagrangian Relaxation as a decomposition method that involves subproblems.
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Originally posted by: jdpfreefly

Hi,  ilovetoyota, in the forum, I found that you used to Implementing Lagrangian Relaxation   using CPLEX , l'm just do this thing, but I don't have any idea about how to callback routine, could please send some sample code about c, c++ to me? 

best regards.

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Originally posted by: EXCT_RALF_GOLLMER

Hi,

we implemented a scenario decomposition method for stochastic programming using an outer Branch&Bound, Lagrangean relaxation, CPLEX to solve the single scenario problems and Helmberg's ConicBundle to solve the Lagrangean dual. The program is named DDSIP (dual decomposition for stochastic integer programming).

In our case CPLEX is called to solve the single scenario problems, which are formed by the CPLEX change routines (rhs, objective, and possibly matrix entries) in the C frame program.

We did not use callbacks.

No idea if your problem has a similar structure and if this code might help you in any way.

Here's the link

https://www.uni-due.de/~hn215go/ddsip.shtml

Best regards

Ralf Gollmer, University Duisburg-Essen, Faculty of Mathematics

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