I’m trying to solve a problem (iteratively) in the following manner:
do {
Solve relaxed problem
Check if feasible in original formulation
Generate new cuts
Add cuts to model
}while(cuts were added)
Is there a straightforward way to do this in CVX? Any advice would be appreciated.
Thanks!
I’m afraid CVX is not set up for this. You’ll have to build the model from scratch each time. So what you will want to do is find a way to intelligently store your cuts in arrays, or cell arrays, etc. so that the structure of your CVX model remains the same each time through the loop.
Understood, thanks for the speedy reply. That shouldn’t be too much work, but I didn’t want to commit the time to reinventing the wheel if the functionality was already built-in.