Optimizer parameter settings and tuning
Among the most frequently used controls are the stopping criteria for the optimization algorithms. Stopping criteria controls include
| Parameter name | Description |
|---|---|
MAXTIME |
The maximum time in seconds that the Optimizer will run before it terminates (0: no time limit; n>0: if an integer solution has been found, stop MIP search after n seconds, otherwise continue until an integer solution is finally found; n<0: hard stop after n seconds) |
| MAXNODES |
The maximum number of nodes that will be explored by branch and bound. |
| MIPRELSTOP |
Stop the MIP search when the gap (difference between the best solution's objective function and the current best solution bound) becomes less than the specified percentage. |
| MIPABSSTOP |
Stop the MIP search when the gap (difference between the best solution's objective function and the current best solution bound) becomes less than the specified absolution value. |
For the complete list of parameters please refer to the chapter 'Control parameters' of the ``Xpress Optimizer Reference Manual''.
»Scenario 1 (Mosel)
Open the model file examples\getting_started\Mosel\foliomip3.mos. This file contains a version of the portfolio optimization problem from the Mosel part of the 'Getting Started' manual with some additional constraints and a larger data set. Try out the effect of setting different values in the setparam commands (just before the call to the optimization).
»Scenario 2 (BCL)
Depending on your choice of a host language open one the BCL files foliomip3.[c|cxx|java] located in the corresponding subdirectory examples\bcl\[C|Cxx|Java]\UGExpl of the Xpress distribution. This new version of the portfolio optimization problem from the BCL part of the 'Getting Started' manual has some additional constraints and uses a larger data set. Try out the effect of setting different values for the control parameters (just before the call to the optimization).
Further information
- Mosel: ``Xpress Mosel User Guide'', Part II `Advanced language features'
- BCL: see examples documented in the ``BCL Reference Manual'', Appendix B `Using BCL with the Optimizer library'
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