I wrote a monte carlo simulation and I used sample average approximation (SAA) method to optimize my model. when i generate L random samples from (10,....100) it shows me Failed to optimize LP. but for L=5 it gives me optimal and feasible result. what is the source of the error it is logic?

asked 27 Jun '16, 16:09

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NGold
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edited 27 Jun '16, 16:12

For L=10 and up, what is the final CPLEX status (feasible, infeasible, unbounded ...), or does it throw an exception? Are you using the interactive optimizer, working from OPL, or using one of the programming APIs (Java, C++, Python, ...).

(27 Jun '16, 18:56) Paul Rubin ♦♦
3

Am I the only one who doesn't find this question as posted to be a paragon of clarity?

(27 Jun '16, 19:22) Mark L Stone

@Paul Rubin ♦ For L=10 and up, the the final CPLEX status is feasible. Im using C++ programming in the Visual Studio.

(28 Jun '16, 10:32) NGold

Does CPLEX hit a time limit or run out of memory? Also, just to be certain, this is a linear program, not an integer linear program?

(28 Jun '16, 11:09) Paul Rubin ♦♦

This sounds like something better asked on the CPLEX user forum.

(28 Jun '16, 17:31) Paul Rubin ♦♦

@Paul Rubin icant understand,what is wrong with my question?

(28 Jun '16, 19:21) NGold

It hits a time limit and is linear program.

(28 Jun '16, 19:48) NGold

@NGold: The details of your question seem to have changed. I thought you said in earlier comments (now deleted) that it was an integer program and did not hit a time limit. In any case, you're more likely to find someone willing and able to help in the CPLEX user forum.

(29 Jun '16, 11:20) Paul Rubin ♦♦

@Paul Rubin I found the solution, it was about memory allocation,thanks for your question it was hint.

(01 Jul '16, 15:49) NGold
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Asked: 27 Jun '16, 16:09

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Last updated: 01 Jul '16, 15:49

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