Re: [Fwd: Feeding an initial feasible solution to GLPK for MILP in CVXPy]

On Thu, 9 Sep 2021, Andrew Makhorin quoted "Vasebi, Saeed [JJCUS]" <[email protected]>:

>> I have a MILP problem in GLPK, using CVXPy library. GLPK quickly finds
>> a primary solution (optimal but not integer). But when GLPK switches
>> to branch-and-cut to find an optimal integer solution, it moves very
>> slowly. The main reason is
>>  that GLPK does not find any feasible integer solution after many
>> iterations (see the below log). I can use a simple heuristic algorithm
>> to find an initial feasible and integer solution, which can help GLPK
>> to quickly eliminate non-optimal branches. I am wondering
>>  if there is any way to feed this initial feasible integer solution to
>> GLPK, or its objective value?  

It's clunky, but I think it can be done with the GLP_IHEUR callback.
Failing that, I think that you can just add a constraint.

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Michael   [email protected]
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