Unable to solve the problem using Lagrangian duality handler

Specific Domains Optimization (Mathematical)
1

I am dealing with a multi-stage mixed-integer stochastic global supply chain optimization problem and want to solve it using the SDDiP algorithm in the SDDP.jl package in Julia.

In this regard, I tried solving the mixed-integer linear program using the Lagrangian duality handler. I am getting the following error as a result. Is it the issue with the nature of the formulation and the scale of the problem instance? The SDDiP algorithm (with CPLEX solver) was executing with other duality handlers.

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2

3019 means that there were unrecoverable numerical issues. It’s hard to say why without a reproducible example. Does it work with Gurobi instead?

I’ve previously found that CPLEX can be faster in some instances but it is more likely to fail with errors like this because it is less numerically stable.

3

Got it, Gurobi works, but it is taking a significantly longer time to execute under Lagrangian duality handler.