[Cbc] sos2 and preprocess

[James Howey]

I am modeling a simple piecewise linear problem with an sos2:

 

MINIMIZE

sol

SUBJECT TO

-sol + 32000 L1 +0 L2 + 0 L3 = 0

-x +0 L1 +32000 L2 + 1E8 L3 = 0

L1 + L2 + L3 = 1

BOUNDS

x = 50000

SOS

set1: S2:: L1:2 L2:3 L3:4

END

 

With the upper bound for x set at 1e8 and preprocess on, this comes up
proven infeasible.

With the upper bound for x set at 1e 8 and preprocess off, this comes up
with an optimum.

With the upper bound for x set at 1e 10 and preprocess off, this comes up
with an optimum.

With the upper bound for x set at 1e 11 and preprocess off, this comes up
proven infeasible.

With the upper bound for x set at 1e7 and preprocess on or off, this comes
up with an optimum.

 

1e7 seems a little small, particularly if coefficients are O(1e5). I can
work with 1e10, but I believe I would miss having preprocess. I would
happily apply any fix that allowed me to slacken these constraints.

 

My larger difficulty is that I don't know how to model the "preslope" and
"postslope" attributes as does cplex in their PWL section (lp format here):

 

pwl1: y = x 0.5 (0, 0) (1, 1) (2, 4) 2.0 

 

My present problem occurs when I try to model postslope with an arbitrarily
large bound. If there was a clever way to do this without the big bound,
then all my problems would disappear and all my dreams would come true.

 

Thanks for listening

 

jkh

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://list.coin-or.org/pipermail/cbc/attachments/20180221/05cd39b0/attachment-0001.html>