Add fix_discrete_variables for computing the dual of a MIP #3208
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## master #3208 +/- ##
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The functionality makes sense but the naming is too confusing. Mathematically there's no relaxation (i.e., enlarging the feasible region) happening when you do this. You're actually restricting the feasible region by fixing variables. I don't have a great suggestion off the top of my head. |
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What about a new function like Gurobi calls this |
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odow
changed the title
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I've left the implementation as a single (now private) function, with two public functions as the API. I can duplicate the code if people would prefer. |
Co-authored-by: Miles Lubin <[email protected]>
| x binary | ||
| ``` | ||
| """ | ||
| function fix_discrete_variables(var_value::Function, model::Model) |
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dont know if the ::Function was on purpose, but it will force nonspecialize: https://docs.julialang.org/en/v1/manual/performance-tips/#Be-aware-of-when-Julia-avoids-specializing
maybe:
function fix_discrete_variables(var_value::F, model::Model) where {F<:Function}
| fix_discrete_variables(model::Model) = fix_discrete_variables(value, model) | ||
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| function _relax_or_fix_integrality( | ||
| var_value::Union{Nothing,Function}, |
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we might want to specialize here at least since the function is called a lot
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Have you seen this be a performance issue on large models?
Speak of the devil: https://discourse.julialang.org/t/jump-support-for-solver-specific-methods-to-create-fixed-mip/94775 |
This comes up quite often on discourse etc, and @jd-lara has written custom code to do this in PowerSimulations etc.
x-ref: #2348 (comment)
Open to bike-shed. I considered making this a separate
relax_integrality_and_fixfunction instead of the keyword argument, but the overlap between the two methods is quite large, so it seemed to make more sense as an option.Docs: https://jump.dev/JuMP.jl/previews/PR3208/tutorials/linear/mip_duality/