XSLP_OBJTOPENALTYCOST, SLPOBJTOPENALTYCOST
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Description
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Factor to estimate initial penalty costs from objective function
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Type
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Double
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Topic area
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Default value
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0
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Notes
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The setting of initial penalty error costs can affect the path of the optimization and, indeed, whether a solution is achieved at all. If the penalty costs are too low, then unbounded solutions may result although Xpress-SLP will increase the costs in an attempt to recover. If the penalty costs are too high, then the requirement to achieve feasibility of the linearized constraints may be too strong to allow the system to explore the nonlinear feasible region. Low penalty costs can result in many SLP iterations, as feasibility of the nonlinear constraints is not achieved until the penalty costs become high enough; high penalty costs force feasibility of the linearizations, and so tend to find local optima close to an initial feasible point. Xpress-SLP can analyze the problem to estimate the size of penalty costs required to avoid an initial unbounded solution.
XSLP_OBJTOPENALTYCOST can be used in conjunction with this procedure to scale the costs and give an appropriate initial value for balancing the requirements of feasibility and optimality.
Not all models are amenable to the Xpress-SLP analysis. As the analysis is initially concerned with establishing a cost level to avoid unboundedness, a model which is sufficiently constrained will never show unboundedness regardless of the cost. Also, as the analysis is done at the start of the optimization to establish a penalty cost, significant changes in the coefficients, or a high degree of nonlinearity, may invalidate the initial analysis. A setting for XSLP_OBJTOPENALTYCOST of zero disables the analysis. A setting of 3 or 4 has proved successful for many models. If XSLP_OBJTOPENALTYCOST cannot be used because of the problem structure, its effect can still be emulated by some initial experiments to establish the cost required to avoid unboundedness, and then manually applying a suitable factor. If the problem is initially unbounded, then the penalty cost will be increased until either it reaches its maximum or the problem becomes bounded. |
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Affects routines
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Category
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Control
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