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Hello,<br>
<br>
just to be sure I understand correctly:<br>
You have the variable <i><b>c</b></i>, defined as <i><b>c = (a-b)</b></i>,
and you want its cost in the objective function to be <i><b>K c</b></i>
for <i><b>c>0</b></i> and zero for <i><b>c<0</b></i>?<br>
This would be easy, just define a<i> non-negative</i> variable <i><b>d</b></i>
with <i><b>d >= a - b</b></i>, and add <i><b>K d</b></i> to the
objective. (And, if you do not need <i><b>c</b></i> anywhere else
in the model, remove it from the model).<br>
This will work as long as <i><b>K d</b></i> is minized in the
objective.<br>
<br>
Or do mean something else?<br>
<br>
Regards,<br>
Michal<br>
<br>
<br>
On 10.05.2012 13:39, Jakob Helbrink wrote:
<blockquote
cite="mid:CAE=-gBe-utjWAPoH-FeS902Kr0PSaY=0NqF0mYAML0LU=Sx_eQ@mail.gmail.com"
type="cite">Hello,
<div><br>
</div>
<div>I am working with a relatively large minimization problem
where the number of variables are 100.000-200.000. Since the
computational time gets reduced significantly without integer
variables(approx. 1/3 of the variables were initially integers)
I am trying to formulate this without using integer variables. </div>
<div><br>
</div>
<div>In order to formulate the LP without integers I have
introduced another variable <b>c</b>. The variables are linked
mathematically as:</div>
<div><br>
</div>
<div><b>(a-b) = c</b>, <i>where (a, b) are
both continuous variables(in theory -inf< (a, b) < inf.)
</i></div>
<div><br>
</div>
<div>However, in the objective function the cost of <i><b>c </b></i>is
<i>strictly</i> positive, meaning that the cost(penalty) should
not be able to take negative values. In other words, I would
like to "cap" the cost to be strictly positive or equal to
zero. </div>
<div>What I would like to achieve would be to disregard this cost
in the solver if its negative. </div>
<div>Any ideas?</div>
<div><br>
</div>
<div>Hopefully I managed to describe the problem in an graspable
way, if not let me know and I'll give it another try. </div>
<div><br>
</div>
<div>Regards,</div>
<div>Jakob</div>
<div><br>
</div>
<br>
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