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Fix numerical issues in Benders #986

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@tbittar tbittar commented Jan 15, 2025

Several numerical issues can occur in Benders

  • Fixing candidate values in the subproblems to the value obtained from the master can lead to subproblem infeasibility if the master solution is numerically slightly below the lb, above the ub, or is a not rounded integer value. Also master solution that are close to zero given a tolerance should be set to zero in the subproblems to avoid having large range of coefficients in the subproblems leading to numerical issues.
  • Subproblem gradients that are close to zero (given a tolerance) should appear as zero in the cut added to the master to avoid numerical issues in the master due to large range of coefficients values
  • Add check that a cut is valid (cf. has_cut_master) in R&D code

@tbittar tbittar force-pushed the fix/numerical-rounding-issues branch 2 times, most recently from 61f98ed to 84af8d9 Compare January 23, 2025 09:50
@tbittar tbittar force-pushed the fix/numerical-rounding-issues branch from 114bc49 to fbf0ebe Compare January 29, 2025 13:03
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