Wednesday, March 24, 2010

GAMS/Baron documentation

“Variable Priorities. BARON implements branch-and-bound algorithms involving convex relaxations of the original problem. Branching takes place not only on discrete variables, but also on continuous ones that are nonlinear. Users can specify branching priorities for both discrete and continuous variables.”

Unfortunately GAMS does not allow you to set priorities on continuous variables:

   1  variable x;
   2  x.prior = 2;
****        $323
**** 323  Priorities can only be used on discrete variables

I believe the storage is shared with x.scale, but I am not sure if we can trick Baron by using a .scale suffix.

As said in the comment, the priorities are specified in the option file instead of the GAMS language. That is a reasonable alternative although we have slightly less expressiveness.