I have a lot of constraints(in millions) and want to solve a mixed integer problem. Tried using PuLP and OR-Tools(with SCIP solver), but they failed to solve the problem. I tried using DuaLip for parallel/distributed computing using spark, but it doesn't seem to have good documentation for usage. How should I proceed further?
1 Answers
AFAIK there do not exist continuous LP solvers that do distributed computing. That would require some decomposition scheme. As LPs solve very fast we don't use those techniques anymore. An LP with a few million constraints is not very large these days. Quite often interior-point algorithms do quite well on these large problems (relative to Simplex algorithms). We solve LPs of this size on a completely routine basis on fairly standard hardware.
Your PuLP problem is likely more related to PuLP having problems generating the problem than the solver solving it. (Note that PuLP is not a solver). Python based modeling tools may be slower in generating easy LPs than the solver needs to solve it.
Note: the situation for MIP solvers is very different.
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