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    Solver Perbandingan

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    HiGHS is an open-source software for solving linear optimization problems. It features dual simplex and interior point solvers that exploit sparsity and parallelism. HiGHS has interfaces in C++ and other languages and can load models from formats like MPS and LP. The developers aim to improve HiGHS' presolve, add new solvers like primal simplex, and develop interfaces to solvers like SCIP and AMPL. HiGHS is available under a permissive license and requires no third-party code.

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    Solver Perbandingan

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    andiksribd
    25 views10 pages
    HiGHS is an open-source software for solving linear optimization problems. It features dual simplex and interior point solvers that exploit sparsity and parallelism. HiGHS has interfaces in C++ and other languages and can load models from formats like MPS and LP. The developers aim to improve HiGHS' presolve, add new solvers like primal simplex, and develop interfaces to solvers like SCIP and AMPL. HiGHS is available under a permissive license and requires no third-party code.

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    HiGHS is an open-source software for solving linear optimization problems. It features dual simplex and interior point solvers that exploit sparsity and parallelism. HiGHS has interfaces in C++ and other languages and can load models from formats like MPS and LP. The developers aim to improve HiGHS' presolve, add new solvers like primal simplex, and develop interfaces to solvers like SCIP and AMPL. HiGHS is available under a permissive license and requires no third-party code.

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    25 views10 pages

    Solver Perbandingan

    Uploaded by

    andiksribd
    HiGHS is an open-source software for solving linear optimization problems. It features dual simplex and interior point solvers that exploit sparsity and parallelism. HiGHS has interfaces in C++ and other languages and can load models from formats like MPS and LP. The developers aim to improve HiGHS' presolve, add new solvers like primal simplex, and develop interfaces to solvers like SCIP and AMPL. HiGHS is available under a permissive license and requires no third-party code.

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    of 10

    HiGHS

    High-performance open-source software for linear optimization

    Julian Hall

    School of Mathematics
    University of Edinburgh
    jajhall@ed.ac.uk

    CO@Work 2020

    21 September 2020
    HiGHS: The team

    What’s in a name?
    HiGHS: Hall, ivet Galabova, Huangfu and Schork

    Team HiGHS
    Julian Hall: Reader (1990–date)
    Ivet Galabova: PhD (2016–date)
    Qi Huangfu
    PhD (2009–2013)
    FICO Xpress (2013–2018)
    Michael Feldmeier: PhD (2018–date)

    Julian Hall HiGHS: High-performance open-source linear optimization 2 / 10


    HiGHS: Solvers

    Linear programming (LP)


    Dual simplex (Huangfu and Hall)
    Serial techniques exploiting sparsity
    Parallel techniques exploiting multicore architectures
    Interior point (Schork)
    Highly accurate due to its iterative linear system solver
    Crossover to a basic solution

    Mixed-integer programming (MIP)


    Prototype solver

    Julian Hall HiGHS: High-performance open-source linear optimization 3 / 10


    HiGHS: Features and interfaces
    Features
    Model management: Load/add/delete/modify problem data
    Presolve
    Crash

    Interfaces
    Language Applications Future
    C++ HiGHS class GAMS AMPL
    Load from .mps JuliaOpt MATLAB
    Load from .lp OSI Mosel
    C SCIP PuLp
    C# SciPy R
    Julia Suggestions?
    FORTRAN
    Python
    Julian Hall HiGHS: High-performance open-source linear optimization 4 / 10
    HiGHS: Access

    Open-source (MIT license)


    GitHub: ERGO-Code/HiGHS
    COIN-OR: Successor to Clp?
    No third-party code required
    Runs under Linux, Windows and Mac
    Build requires CMake 3.15
    Parallel code uses OpenMP
    Documentation:
    http://www.HiGHS.dev/

    Julian Hall HiGHS: High-performance open-source linear optimization 5 / 10


    HiGHS: Simplex benchmarks (14 August 2020)

    Commercial Open-source
    COPT MindOpt Clp (COIN-OR) Soplex (ZIB)
    Gurobi Mosek Glop (Google) Glpk (GNU)
    Matlab SAS

    Solver MindOpt Gurobi COPT Clp Mosek SAS HiGHS Glop


    Time 1 1.1 1.4 3.0 6.0 6.1 10 14
    Solved 40 40 40 40 38 37 37 35
    Solver Matlab Soplex Glpk
    Time 16 16 54
    Solved 33 39 31

    Julian Hall HiGHS: High-performance open-source linear optimization 6 / 10


    HiGHS: Comparison with Clp

    Solver MindOpt Gurobi COPT Clp Mosek SAS HiGHS Glop


    Time 1 1.1 1.4 3.0 6.0 6.1 10 14
    Solved 40 40 40 40 38 37 37 35

    Why is the HiGHS score so bad?


    Clp has a better presolve
    HiGHS parallel code not used
    Clp has the Idiot crash
    HiGHS triangular crash not used
    Clp has a primal simplex solver
    Clp has “sprint” (”sifting”)
    variant

    Julian Hall HiGHS: High-performance open-source linear optimization 7 / 10


    HiGHS: SCIP Interface

    Development
    Speed of HiGHS relative to Soplex motivates writing a HiGHS interface to SCIP
    Prototype interface now complete, but lacks
    Primal ray for unbounded LPs
    Farkas proof for infeasibility
    Full efficiency when hot-starting nodes
    Passes 94% of the SCIP unit tests

    Initial results: Time limit 3600s


    Solves Timeout Fails Faster M-time
    SCIP-Soplex 89 5 1 41 105
    SCIP-HiGHS 65 22 8 7 242
    95 MIPLIB problems that Mittelmann’s SCIP-Soplex test solves in 1000s

    Julian Hall HiGHS: High-performance open-source linear optimization 8 / 10


    HiGHS: The future

    LP MIP
    Improve presolve (Galabova) Develop successor to
    Add primal simplex solver and sifting (Hall) Cbc?
    Improve simplex performance (Hall)
    Further interfaces
    Add Idiot crash and crossover (Galabova and Hall) AMPL
    Improve Idiot crash (Galabova) MATLAB
    Mosel
    QP PuLp
    Active set QP solver (Feldmeier) R

    Julian Hall HiGHS: High-performance open-source linear optimization 9 / 10


    I. L. Galabova and J. A. J. Hall.
    High performance LP solvers: simplex and IPM The ’Idiot’ crash quadratic penalty algorithm for
    linear programming and its application to
    Reads: .mps and .lp linearizations of quadratic assignment problems.
    Optimization Methods and Software,
    35(3):488–501, 2020.
    Language interfaces: C++ (native) C, C#, Julia,
    Q. Huangfu and J. A. J. Hall.
    FORTRAN, Python Novel update techniques for the revised simplex
    method.
    Application interfaces: GAMS, JuliaOpt, OSI, SCIP, Computational Optimization and Applications,
    60(4):587–608, 2015.
    SciPy
    Q. Huangfu and J. A. J. Hall.
    Permissive license and no third-party code Parallelizing the dual revised simplex method.
    Mathematical Programming Computation,
    10(1):119–142, 2018.
    Available for research and consultancy
    L. Schork and J. Gondzio.
    Implementation of an interior point method with
    HiGHS: http://www.HiGHS.dev/ basis preconditioning.
    Mathematical Programming Computation, pages
    1–33, 2020.

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