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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 f...
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