Merge pull request ZIB-IOL#95 from ZIB-IOL/portfolio-fix

Portfolio fix
LeChStan · Aug 31, 2022 · d6f8400 · d6f8400
2 parents 4f37e1a + 3157734
commit d6f8400
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diff --git a/examples/portfolio.jl b/examples/portfolio.jl
@@ -8,7 +8,8 @@ using Distributions
 import MathOptInterface
 const MOI = MathOptInterface
 
-n = 15
+
+n = 30
 const ri = rand(n)
 const ai = rand(n)
 const Ωi = rand(Float64)

diff --git a/src/problem.jl b/src/problem.jl
@@ -111,7 +111,8 @@ function is_linear_feasible_subroutine(o::MOI.ModelLike, ::Type{F}, ::Type{S}, v
         set = MOI.get(o, MOI.ConstraintSet(), c_idx)
         @debug("Constraint: $(F)-$(S) $(func) = $(val) in $(set)")
         dist = MOD.distance_to_set(MOD.DefaultDistance(), val, set)
-        if dist > 1e-6
+        scip_tol = MOI.get(o, MOI.RawOptimizerAttribute("numerics/feastol"))
+        if dist > 20.0 * scip_tol
             return false
         end
     end