I have to minimize a linear function with respect to variables u which take values [0,1]
The number of variables can exceed 10,000
There are thousands of linear inequality constraints
I need a solution which is good but does not have to be optimal.
Are there any heuristic approaches for doing this ?
For example I could allow 0 <= u <= 1 and then use an LP solver. I then iterate by pushing the values of u to 0 or 1 depending on their optimal value from the LP solver.
I am not sure how to do this but if this has been looked at then I would like to know.
I am using CPLEX.