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From Thomas Neidhart <thomas.neidh...@gmail.com>
Subject Re: [math] Speeding up optimization problem?
Date Tue, 30 Apr 2013 05:43:14 GMT
On 04/28/2013 11:14 PM, Thorsten Schaefer wrote:
> Hello, 
> 
> I just started using common math and have a performance issue with the optimization algorithm,
hoping to be able to speed it up in some way, even if this reduces the accuracy of the results.
> 
> My problem is as follows:
> There are n resources and m actions that can be performed for each resource. Each combination
of action/resource has a specific payoff, which I want to maximize. I linearized the data
into rows of size (n*m). An index i has the semantics of resource=n/i and action=n%i. Each
entry in a row must be non-negative, so I added a the respective constraint to the Optimization
data. Furthermore, the sum of all actions for any resource needs to be 1, which are n additional
constraints I have. Also, any type of action needs to be performed with a relative frequency
of x% (additional constraint). And finally there are constraints for the limited number of
resources.
> I used the SimplexSolver and can find a working solution within about half a second (the
size of the problem n*m is somewhere about 2500). The problem is, that I need to perform the
calculation very frequently and its currently too slow. I wonder if there is a way to restrict
the number of iterations for example or tell the solver to return a solution even if there
might be way better after a certain number of iterations? I tried the MaxIter constraint,
which leads only to a TooManyIterations exception without being able to retrieve the result
found so far. I also tried to initialize the solver with different epsilon values, but either
it took the same amount of iterations (and time) or it finished with a NoFeasableSolutionException.
> So my question is if there is a way to get non-optimal solutions, but those quicker?
> If it would speed up the solution finding process, I could live with a solution where
we restrict the possible results to booleans, i.e., an action for any resource is either performed
never or always. 

Hi Thorsten,

at the moment there is no way to get the best solution so far, if the
maximum number of iterations has been reached.

We could add a feature like this (as already several other people have
requested it).

Could you also attach your example somewhere, so I can take a look at it
and maybe provide some more optimization tips?

Thanks,

Thomas

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