- Procedure GMP::Stochastic::AddBendersOptimalityCut(GMP, solution, cutNo)¶
GMP::Stochastic::AddBendersOptimalityCut adds a
Benders optimality cut to the parent of a Benders problem by using the
dual information from a solution of the Benders problem.
GMP::Stochastic::AddBendersOptimalityCut( GMP, ! (input) a generated mathematical program solution, ! (input) a solution cutNo ! (input) a scalar reference )
An element in the set
An integer scalar reference to a solution.
An integer scalar reference to a cut number.
The procedure returns 1 on success, or 0 otherwise..
The GMP should have been created by the function
By using the suffix
.SubproblemOptimalityCutsof the associated symbolic mathematical program it is possible to refer to the row that is added by
gmpBenbe a Benders problem corresponding to the symbolic mathematical program
mp. Then the row
mp.SubproblemOptimalityCuts(gmpBen,lbl)is added to the GMP, where
lblis an element in the set
AllGMPExtensionscreated by this procedure using cutNo.
The first time this procedure is called for a Benders problem a new column
mp.SubproblemObjectiveBound(gmpBen)is added to the parent of the Benders problem. For this column a coefficient equal to the relative weight of the Benders problem will be added to the objective of the parent. For this column a coefficient of 1 is added to the optimality cut.