Originally posted by: SystemAdmin
[jgregory said:]
There is not an automatic feature within CPLEX to perform Lagrangian Relaxation. Success with LR depends on differentiating between the "easy" and "difficult" constraints, and this is unlikely within the general-purpose solution engine itself. However, given a-priori understanding of your problem and which constraints are difficult, LR would be appropriate at the modeling level, say in a Concert program or in OPL; from your question, it sounds like you would not be interested in pursuing this approach, but I did want to mention it.
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