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Source code for the experiment on a thin feasible region
from gurobipy import *
import random
import sys
# Test the effect of small perturbations on the optimal solutions
# for a problem with a thin feasible region
rhs = 1e3
m = Model('Thin line Optimization')
x = m.addVar(obj=1)
y = m.addVar(obj=0, lb=-GRB.INFINITY, ub=GRB.INFINITY)
c1 = m.addConstr( 1e-5 * y + 1e-0 * x <= rhs)
c2 = m.addConstr(- 1e-5 * y + 1e-0 * x <= rhs)
m.Params.OutputFlag = 0
m.Params.Presolve = 0
m.optimize()
xval = x.X
yval = y.X
maxdiff = 0
for i in range(1024*1024):
c1.Rhs = rhs + 2e-6 * random.random()
c2.Rhs = rhs + 2e-6 * random.random()
x.Obj = 1 + 2e-6 * random.random()
y.Obj = 0 + 2e-6 * random.random()
m.optimize()
x2val = x.X
y2val = y.X
error = (xval-x2val)*(xval-x2val) + (yval-y2val)*(yval-y2val)
if error > 1e-5 + maxdiff:
print('New maxdiff %g Iter %d Kappa %g Violations: %g %g %g' %
(error, i, m.KappaExact, m.BoundVio, m.ConstrVio,
m.DualVio))
sys.stdout.flush()
maxdiff = error
