Tuesday, August 10, 2010

Gurobi recovery in difficult LP

It is interesting to see how Gurobi recovers from numerical trouble in a difficult (dense) LP, when using the primal simplex algorithm:

Iteration    Objective       Primal Inf.    Dual Inf.      Time
       0    1.6911927e+08   0.000000e+00   1.779242e+04      1s
    9864    1.4022077e+06   0.000000e+00   6.819017e+01      5s
Warning: 1 variables dropped from basis
Warning: switch to quad precision
   13988    1.3343358e+06   0.000000e+00   1.064917e+02     10s
   14726    1.3299619e+06   0.000000e+00   0.000000e+00     13s

Apparently it switches to quadruple precision. Those are REAL*16 numbers, yielding approx. 34 decimal digits of precision. I don’t think I have ever seen this capability in other solvers.