Function MasterMIPAddLinearizations(IncludedConstraints, DeviationsPermitted, PenaltyMultiplier, n)

MasterMIPAddLinearizations

The procedure MasterMIPAddLinearizations adds a linearization for a subset of AllNonlinearConstraints. The linearizations are created by using the solution present at that time inside the AIMMS Outer Approximation solver interface. Normally the solution that is returned by the NLP solver is used. When permitted, variables are introduced to allow for deviations from each linearized constraint. These deviation variables are penalized in the objective function using the penalty multipliers times the corresponding shadow prices (Lagrange multipliers). The procedure returns the updated linearization counter in the output argument n.

MasterMIPAddLinearizations(
     IncludedConstraints, ! (input) subset of the set AllNonlinearConstraints
     DeviationsPermitted, ! (input) 0-1 parameter over AllNonlinearConstraints
     PenaltyMultiplier,   ! (input) parameter over AllNonlinearConstraints
     n                    ! (output) integer scalar parameter
     )

Arguments

IncludedConstraints

Set of nonlinear constraints for which linearizations have to be added.

DeviationsPermitted

Parameter that indicates whether or not variables should be introduced to allow for deviations from each linearized constraint. If so, the corresponding entry in this parameter should be 1, otherwise 0.

PenaltyMultiplier

The deviation variables (if any) are penalized in the objective function by using the values in this parameter times the corresponding shadow prices (Lagrange multipliers).

n

The updated linearization counter.

Return Value

MasterMIPAddLinearizations has no return value.