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.
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.
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