Difficulties with unbounded problems

Suggests strategies to overcome unbounded problems with the barrier optimizer.

CPLEX detects unbounded problems in either of two ways:

• either it finds a solution with small complementarity that is not feasible for either the primal or the dual formulation of the problem;

• or the iterations tend toward infinity with the objective value becoming very large in absolute value.

The CPLEX barrier optimizer stops when the absolute value of either the primal or dual objective exceeds the objective range parameter, BarObjRng.

If you increase the value of BarObjRng, then the CPLEX barrier optimizer will iterate more times before it decides that the current problem suffers from an unbounded objective value.

If you know that your problem has large objective values, consider increasing BarObjRng.

Also if you know that your problem has large objective values, consider changing the barrier algorithm by resetting the BarAlg parameter.