New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Faster cuts portfolio #80

Closed
jeffreyhanson opened this Issue Apr 30, 2018 · 2 comments

Comments

Projects
None yet
2 participants
@jeffreyhanson
Copy link
Contributor

jeffreyhanson commented Apr 30, 2018

Gurobi has the functionality to return the n different solutions within a pre-specified optimality gap using the solution pool (i.e. when the PoolSearchMode parameter is set to two; http://www.gurobi.com/documentation/7.5/refman/subtleties_and_limitations.html). Since this is the purpose of the cuts portfolio, I propose the we modify the cuts portfolio to use the solution pool (with PoolSearchMode set to two) when tasked with using Gurobi to obtain solutions (as opposed to repeatedly solving and modifying the problem). I expect/hope that using this method will return the solutions in a much shorter period of time because it will mean that the pre-solve step is only executed once. Hopefully, this will substantially reduce the time needed to generate multiple solutions, and mean that users can quickly generate portfolios containing thousands of solutions for calculating selection frequencies.

@jeffreyhanson

This comment has been minimized.

Copy link
Contributor

jeffreyhanson commented Apr 30, 2018

For any one interested, I was playing around with the selection frequency example in the Tasmania Tutorial, and I was able to generate a portfolio containing 1000 different solutions within 10 % of optimality using this method in 11 seconds on a standard laptop.

@ricschuster

This comment has been minimized.

Copy link
Member

ricschuster commented Apr 30, 2018

This sounds awesome Jeff! Thanks for implementing.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment