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Avoid hiding large coefficients

As we said before, a typical recommendation for improving numerics is to limit the range of constraint matrix coefficients. The rationale behind this guideline is that terms to be added in a linear expression should be of comparable magnitudes so that rounding errors are minimized. For example:

\begin{eqnarray*}
x - 10^{6} y &\geq& 0 \
y&\in&[0,10]
\end{eqnarray*}


is usually considered a potential source of numerical instabilities due to the wide range of the coefficients in the constraint. However, it is easy to implement a simple (but useless) alternative:

\begin{eqnarray*}
x - 10 y_1 &\geq& 0\
y_1 - 10 y_2 &=& 0\
y_2 - 10 y_3 &=& ...
... &=& 0\
y_4 - 10 y_5 &=& 0\
y_5 - 10 y &=& 0\
y&\in&[0,10]
\end{eqnarray*}


This form certainly has nicer values in the matrix. However, the solution <span>$</span>y=-10^{-6}, x=-1<span>$</span> might still be considered feasible (within tolerances). A better alternative is to reformulate

\begin{eqnarray*}
x - 10^{6} y &\geq& 0 \
y&\in&[0,10]
\end{eqnarray*}


as

\begin{eqnarray*}
x - 10^{3} y' &\geq& 0 \
y'&\in&[0,10^4]\
\end{eqnarray*}


where <span>$</span>10^{-3} y' = y<span>$</span>. In this setting, the most negative values for <span>$</span>x<span>$</span> which might be considered feasible would be <span>$</span>-10^{-3}<span>$</span>, and for <span>$</span>y<span>$</span> it would be <span>$</span>-10^{-9}<span>$</span>, which is a clear improvement over the original situation.

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