Forum Discussion
Lagrange Relaxation example
Hello, I'm Antonio i'm making an heuristic for my clsp lot size problem, but i didn't find any example of a possible lagrange relaxation because i don't know how to implement lagrangian multipliers for my model. Someone can link example of this relaxation or some model using it? Thanks
2 Replies
I am not aware of any readily available example implementation of Lagrange relaxation, however from an implementation point of view you may find some related concepts (iterative problem solving with penalty terms) in this example of an outer approximation algorithm implemented with Mosel: https://examples.xpress.fico.com/example.pl?id=quadfaclocoa_2
Another example implemented in Python is a Benders Decomposition algorithm that uses callbacks. Perhaps a bit more complicated than solving a Lagrangian dual, but it should provide an idea of how iterative solvers can be implemented with Xpress.
https://examples.xpress.fico.com/example.pl?id=benders_decomp
