Variable and Equation scaling in JuMP

Specific Domains Optimization (Mathematical)
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1

HI everybody,

I am writing a SOCP(Second Order Conic Program) in Julia, moving from GAMS. I was wondering how to get variable scaling in JuMP, I need it since in my model some of the variables and equations are badly scaled. This might be creating problems with convergence.

Any help and suggestions are appreciated.

2

Do I have to manually do it, attaching scaling factors to each of the variables and equations that are badly scaled? I was expecting some elegant way of handling like, how GAMS does.

Please let me if someone knows a good way of handling this.

3

JuMP’s goal is to communicate what you write down to the solver without doing reformulations.

So yes, you will have to do the re-scaling manually.

Oscar

4

Thanks, @odow. I was able to do it easily, no issues.!! Got my reults