Solving thousands of QP parallelly on a machine

Bo Yang

• March 30, 2021 19:37

Dear all,

I need to solve 10 thousand small and independent quadratic programs in each iteration of my algorithm. Gurobi could solve each QP within 0.06s but it still takes roughly 15 mins to finish one iteration.

So is there any way to solve these 10 thousands QPs parallelly on one machine? If yes, could you show me a simple example on how to set up the solver and models? I'm using C++ and Gurobi 9.0. My machine has 12 cores available. 

I appreciate your help.

Best,

Bo

0

• 

  Jaromił Najman

  Gurobi Staff

  • March 31, 2021 09:25
  • Edited

  Dear Bo,

  In C++, you could use the MPI package to run several instances of Gurobi in parallel on a single machine. It is a well known and widely used package with many tutorials.

  Please note that you should then set the Threads parameter for each instance to 1.

  Best regards,
  Jaromił

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