[Bug-glpk] [Fwd: GMPL performs correct translation to MPS, but does not solve correctly directly.]

[Andrew Makhorin]

-------- Forwarded Message --------
From: Arts, J.J. <address@hidden>
To: 'address@hidden' <address@hidden>
Subject: GMPL performs correct translation to MPS, but does not solve
correctly directly.
Date: Wed, 9 Sep 2015 14:19:50 +0000

Dear Andrew,

 

The attached model file contains an LP formulation for a Markov Decision
Process (it is a small formulation fortunately). For this problem, I
have also implemented a dynamic progamming formulation. The LP
formulation in the model file is not solved correctly when I use
glpsol.exe via GUSEK on a windows 7 32 bit system with 4 Gb RAM. This is
immediatelyt obvious from the output in the attached file where the
normalization row should have an activity of 1.0, but an activity of 0
is reported. However, if I use glpsol.exe to generate an MPS file and
solve the model from the MPS file, I obtain the correct answer (which
can be verified from my dynamic programming implementation). This
behaviour is somewhat dependent on the input parameters. In some cases
both yield the same result, but in most cases they do not.

 

I believe that this result may be somehow due to the fact that I compute
parameters (which in this case are Poisson probabilities) from within
the GMPL code (see the section called Transition probabilities). I have
made LP implementation of MDP problems in GMPL before without any
problems, but in these implementations I read the transition
probabilities from a file that I generate in Octave. 

 

If you have time to pursue this bug, I would be happy to work with you
to find it, but I am not sure where to start at this point.

 

Regards

 

Joachim

 


Dr.ir. Joachim Arts

Assistant Professor

School of Industrial Engineering

Eindhoven University of Technology

Phone: +31 (0)644161529

CBM_LP.mod
Description: CBM_LP.mod

CBM_LP.out
Description: CBM_LP.out