forum.alglib.net

ALGLIB forum
It is currently Thu Mar 28, 2024 2:52 pm

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 5 posts ] 
Author Message
 Post subject: Maximum size of Linear Programming problem
PostPosted: Fri Feb 22, 2019 7:13 pm 
Offline

Joined: Fri Feb 22, 2019 7:10 pm
Posts: 3
What are the practical maximums for Linear Programming problems:
1) total variables
2) total constraints.

Is there any performance data available for commercial version for larger Linear Programming problems?


Top
 Profile  
 
 Post subject: Re: Maximum size of Linear Programming problem
PostPosted: Fri Feb 22, 2019 7:41 pm 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 903
Hi!

There is no clearly specified maximum, the answer depends on the properties of the constraint matrix. With highly sparse constraint matrices (just a few nonzeros per row) you can have hundreds of thousands of variables with reasonable performance. Dense constraint matrices slow down algorithm and increase memory consumption, obviously. Algorithm won't fail as long as it has enough memory, though.

Presently commercial and free versions of LP solver have similar performance. We released LP solver as soon as it become stable enough for production use. Future versions may introduce some performance-related commercial-only improvements, but as for now - commercial and free editions are 100% same.

Can you describe your task in more details - variable count, constraint count, sparsity pattern of the constraint matrix?


Top
 Profile  
 
 Post subject: Re: Maximum size of Linear Programming problem
PostPosted: Sat Feb 23, 2019 2:09 pm 
Offline

Joined: Fri Feb 22, 2019 7:10 pm
Posts: 3
I don't have all the size numbers yet.
The basic model is a financial retirement portfolio (savings, 401K, stocks, bonds, etc) with a 30 to 40 year planning horizon.
Hope to have size data soon - maybe next week, or week after.
Current model is in Excel and is just to limiting according to the portfolio manager.
Many kind thanks for your prompt reply.
Your guidance is quite helpful.
Will be in contact as soon as I know more.


Top
 Profile  
 
 Post subject: Re: Maximum size of Linear Programming problem
PostPosted: Sat Feb 23, 2019 6:10 pm 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 903
Just to be sure: do you have binary 0-1 constraints, or integrality constraints? Present version of LP solver does not support MILP, only continuous LP is supported.


Top
 Profile  
 
 Post subject: Re: Maximum size of Linear Programming problem
PostPosted: Wed Feb 27, 2019 11:28 am 
Offline

Joined: Fri Feb 22, 2019 7:10 pm
Posts: 3
I think continuous LP is OK. At least to start with.
I'm still waiting for more details - a meeting with the principals is being organized for next week - they are all on travel now.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 5 posts ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 59 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group