We are solving large models iteratively. It’s a mip problem and to calculate duals, we fix the binary and integer variables and use unset_binary() and then unset_integer() to remove the constraints, then solve the resulting lp. However iterative calling unset_binary and unset_integer is taking a very long time, more time than it takes to actually solve the lp. Is there a more efficient way to do what we are trying to do?
E.g. I came across this in the documentation:
Delete the constraints associated with con_refs from the model model. Solvers may implement specialized methods for deleting multiple constraints of the same concrete type, i.e., when isconcretetype(eltype(con_refs)). These may be more efficient than repeatedly calling the single constraint delete method.
Can someone give me an example of one of these methods and how they might be used?
Thanks in advance