I am getting the primal and dual solutions to a large linear programming model, but I would like to know if the problem has more tan one solution and get alternative optima. I am using GAMs with CPLEX solver.
Thanks for help.
There is a program in Gams Library called "SOLNPOOL" that demonstrates how to get multiple solution. Some explaination may be in the manual under "solution pool".
Hope this helps.
If there is a whole face of the polyhedron that is optimal you can at least find a subset of the optimal set though using the incoming criterion in the simplex method to try to find as many feasible bases that have the same (optimal) value. Their convex hull is then a nice approximation of the whole optimal set.
Thank you Michael, the key question is how can i do that through GAMS & CPLEX??
A "workaround" that does the trick by using GAMS & CPLEX (but whose feasibility depends on the size of your model) is to:
1. add a simple but "surgical" constraint to make your last optimal solution unfeasible and then
2. check if the optimal solution of the new model has the the same objective function value. If yes it's a degenerate solution (save it, it's what you need) else stop.
3. repeat from step one (till the OF value increases).
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