Originally posted by: SystemAdmin

Hi CPLEX experts,

When I read the manual on the numerical issues, I found the tolerance called the Markowitz tolerance. What is this tolerance about? Is it some parameter relevant to the factorization of simplex basis
matrices? Is there any reference I can refer to? Thanks in advance.
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: T_O

Hi,

this parameter determines which elements may be chosen as a pivot during LU-factorization of the basis matrix.

If you are expering numerical troubles you might try to set it to almost 1, e.g. 0.95. Usually higher values should produce more stable factorizations, but they might be less sparse and take more time to compute.

Details can be found in "U. H. Suhl and L. M. Suhl. Computing sparse lu factorizations for large-scale
linear programming bases."

Best regards,
Thomas
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: SystemAdmin

Thanks a lot!
#CPLEXOptimizers
#DecisionOptimization