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Find alternative primal optimal extreme point solutions (EnumrXtrmC.lng)
or all feasible extreme points. (See parameter AltOpt)
to a Linear Program, and report the average of all of them.
All the solutions found can be written to the file:
\temp\AltOpt.txt (see parameter TOFILE)
An MPS copy of a specific model can be sent to \temp\AltOpt.mps
by setting GENMPS = 1.
One can switch to different problems by commenting/uncommenting
the various models, essentially by
changing a semi-colon to a space, and
changing a trailing space to a semi-colon.
Method: It is computationally expensive/complicated to enumerate every
distinct alternative optimal solution.
The approach used here is to (pseudo) randomly choose a large number of
random objectives/directions and then
minimize this objective subject to:
the solution is feasible and is
optimal for the original objective.
Duplicate solutions are discarded.
If enough random directions are generated, then
all alternative primal optimal extreme points, or
feasible extreme points will be generated.
Note, in 2 dimensions, the (pseudo) random directions
approach can enumerate all extreme points in finite steps
by considering for every pair of already found extreme points
(xpt(i), ypt(i)) and (xpt( j), ypt( j)) and choosing the objective:
(ypt(i)-ypt(j))*x + (xpt(i) - xpt( j)*y, (and its negation).
If there is a point between i and j, this direction will find it.
You can stop the search when for every i and j there is no new
point to be found between them.
This idea can be generalized to 3 or more dimensions,
but it becomes a combinatorial challenge.