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Support iterative solve of the same solver_model (when using highs) #198
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Hey @dannyopts, you are totally right. I find this is indeed a missing feature in linopy. It would not require too much work, but I am a little bit constrained atm. The solve function would be needed to be subdivided, ideally converted into classes "Solver" which has underlying functions like, "get_solution", "assign_parameters", etc. If you want to propose something, you are more than welcome, otherwise this will lay on my todo list for some time still. |
I will take a look and see how I get on |
@FabianHofmann I am thinking something like: We replace the f"run_{solver_name}" function with an abstract Solver class which is implemented for each solver. Roughly I see this looking something like this:
(possibly making it a context manager would be a nice touch?) In the result class we would then add the responsibility of writing the result back to the model:
And in the Model class solve would become something like:
But a user could also create a Solver instance outside of solve and have a persistent handle to the same underlying model instance and update at their leisure. Note: this would also resolve the issue which was mentioned in #192 about using a remote gurobi server and wanting to compute an IIS. Does this sound like a reasonable path forward @FabianHofmann? Any feedback? |
Oh, I like this idea! Some thoughts (hopefully later more):
class Solver:
def __init__(self, **kwargs):
....
def solve(self):
raise NotImplementedError
class SolverA(Solver):
....
def solve(self):
# Implement the solve method for SolverA
pass
class SolverB(Solver):
....
def solve(self):
# Implement the solve method for SolverB
pass
|
Are there news on this front in 2024? I very much love the idea! I dabbled a bit with iterative solving with highs ( adding new constraints), and my two cents are that highspy keeps a found solution so rerunning an "h" instance acts like a warmstart. And, that highs indexes are not necessarily identical to linopys, in case variables are deleted. |
I'm not sure what the right approach is here, so I'm going to write what I have done and found.
I want to be able to solve the same model repeatedly with an altered cost function to understand model sensitivity.
My specific use case is that I have a PyPSA model which takes about 50 seconds to solve using highs.
I want to solve this model many time with different costs to understand If I update the cost function.
One way is in a loop, just keep resolving the problem, but I want to take advantage of the warm start power of highs.
I have done this by accessing the solver_model and calling
See below for 15 times taken for this kind of sequential solve, this gives approximately a 5x speed up vs the independent sequential solve (the first is kind of representative of the time for solving the problem without warm start)
But then I cant apply this solution back to the linopy model without extracting a bunch of code from model.solve related to applying the solution from a solver_model to the model.
By pulling out the application of a solution from the solve method as a seperate public function, it would make this usage much easier.
I know that the run_{solver} methods take in a warmstart_fn, but this isnt supported for highs, maybe simply supporting this would be sufficent? But having experimented with this I think that the last release of highspy doesnt yet have the bindings for setSolution, but master does (presumably this is why it isnt supported?)
This would incur an additional overhead of writing and reading the basis file on each loop, but maybe that is fine for most usecases (I havent been able to test how this impacts performance, since I dont have v1.6 of highs).
Am I doing something stupid, or is this kind of iterative solve not supported with highs via linopy right now? Would it be something that you want to support?
If yes, I would be happy to work on a PR if you could help me scope out what the right interfaces are.
For a bit more context here is an example of how I am using this code with pypsa:
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