- 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.