Use modified BFGS to solve Lagrangian #487
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odow
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I need to run some proper benchmarks for this, but it seems much more stable than the previous code. I now understand the Lagrangian solve much better, and the trade-offs involved with computing the Lagrangian dual.
Given the extra complexity associated with it, it seems to me that we almost never want to use this duality handler. It's going to be orders of magnitude slower, particularly if we insist on computing optimal duals.
I've also done some refactoring, so we can now modify the
LocalImprovementSearchmodule if we want to add more bells and whistles.cc @lkapelevich you might be interested.