Cost Scaling Parameter

[ccoffrin]

Consider adding a cost scaling parameter to the data model, which can be used to scale the objective function. This seems to be quite helpful to solving SDP relaxations.

[frederikgeth]

just to scale the objective or as an actual base for parameters and variables with a currency as a unit?

[ccoffrin]

Open to both options.

[ccoffrin]

This can also improve convergence of NLP methods, further suggesting this should be a parameter in the model.