Solve from Warm Start

Among the utility classes in the COIN-OR repository is a base class for describing the data needed to warm start the solution process for a particular solver or class of solvers. To support this option for SYMPHONY, we have implemented such a warm start class for MILPs. The main content of the class is a compact description of the search tree at the time the computation was halted. This description contains complete information about the subproblem corresponding to each node in the search tree, including the branching decisions that lead to the creation of the node, the list of active variables and constraints, and warm start information for the subproblem itself (which is a linear program). All information is stored compactly using SYMPHONY's native data structures, which store only the differences between a child and its parent, rather than an explicit description of every node. This approach reduces the tree's description to a fraction of the size it would otherwise be. In addition to the tree itself, other relevant information regarding the status of the computation is recorded, such as the current bounds and best feasible solution found so far. Using the warm start class, the user can save a warm start to disk, read one from disk, or restart the computation at any point after modifying parameters or the problem data itself. This allows the user to easily implement periodic checkpointing, to design dynamic algorithms in which the parameters are modified after the gap reaches a certain threshold, or to modify problem data during the solution process if needed.