I have a linear problem with linear equality and inequality constraints (and interval constraints). It works perfectly with various lower and upper bounds, but specific values trigger this
ITERATION_LIMIT and there is nothing special about these values.
For example, the upper bound
34000 works fine but
34060 doesn’t. I understand that this may be related to numerical issues with the underlying solver, would this be a correct interpretation of the issue? Increasing the upper bound would make the problem “more feasible” and yet I get this unexpected return status.
I am using the COSMO.jl solver in this application, it works pretty well and is pure Julia By default I am setting the relative tolerance to
eps_rel=1e-8. Whenever I get
ITERATION_LIMIT I increase the tolerance to
1e-4 and it solves the problem again, but I am not sure if the result is accurate enough.