Warm starts for LP changing with each iteration (in R)

Answered

Siddhaarth Sarkar

• June 14, 2024 19:23

Hi,

I have an optimization problem which involves solving an LP at each iteration. From iteration to iteration, the LP is similar (adding a constraint), so I want to supply information to the current iterate LP from the previous iterate.

Mainly, I was hoping to use the previous solution as a starting point for the barrier method.I have tried using pstart, but Gurobi just ignores it.

I think model updating could be one way but I don't know if that is any different from creating a LP from scratch.

Any help would be great! 

Related to

• Modify
• Warm Start

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• 

  Eli Towle

  Gurobi Staff

  • June 14, 2024 19:54

  It's not currently possible to warm-start the barrier method. To warm-start simplex, you can:

  • Set the PStart attribute for every variable and the DStart attribute for every constraint, or
  • Set the VBasis attribute for every variable and the CBasis attribute for every constraint.

  When warm-starting simplex, you may want to experiment with setting LPWarmStart to 2 to pass the warm-start information to the presolved model.

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