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MarkowitzTol
Threshold pivoting tolerance
Type: | double |
---|---|
Default value: | 0.0078125 |
Minimum value: | 1e-4 |
Maximum value: | 0.999 |
The Markowitz tolerance is used to limit numerical error in the simplex algorithm. Specifically, larger values reduce the error introduced in the simplex basis factorization. A larger value may avoid numerical problems in rare situations, but it will also harm performance.