Re: [Help-glpk] Formulate a large scale linear programing model by reducing the number of similar constraints and keeping them all satisfied

[Michael Hennebry]

On Wed, 31 Aug 2016, usa usa wrote:

> The problem is that the number of constraints of   decVarK_i for i=1 to L
> and L can be very large, e.g. 100,0000.

I think that the given constraints were not what you really intended.

> It means that it will have 100,000 constraints in the LP, which I want to
> avoid.
>
>
>
> How to combine them so that I can reduce the size of the LP model meanwhile
> keeping all constraints satisfied ?

In general, you can't.
The usual solution is iterative LP.
Solve the problem with a subset of constraints.
If the solution satisfies all your constaints, you are done.
Otherwise select one or more violated constraints and resolve.
Rinse and repeat until you have a solution or fatigue sets in.
The tricky part is in the constraint selection.
Unless you are doing something silly like working from an explicit list,
it will be problem-specific.

--
Michael   address@hidden
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