I have a MILP problem and I am trying to solve it using CPLEX package through JuMP in Julia Language. However, the problem takes a long time to be solved. Is there a way to stop the program and return decision variables when the optimality gap reaches for example 10%. Thank you.
I haven’t used CPLEX, but I believe you can do:
m = Model(solver=CplexSolver(CPX_PARAM_EPGAP=1e-2))
(the above assumes you are using CPLEX through JuMP, which I just realized you didn’t actually say).
Thank you, it works.
Yes, I am using CPLEX through JuMP.
Sorry for not mentioning it.