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I am looking at a two step approach for a optimization problem. My first step is using a MILP formulation of the problem and the second step involves using the solution from the first step as an initial solution but now with a MIQP formulation. I have been able to apply this concept in MATLAB using CPLEX. However, I am now trying the same using CVXPY with CPLEX as the solver. Now I know about the warm_start option but this does not work with the CPLEX solver. I am able to set CPLEX parameters but I am not sure how to initialize my solution. I am thinking of setting the ADVANCE START SWITCH parameter for CPLEX to 1, but now I need to set the initial solution. According to this page: http://www-eio.upc.es/lceio/manuals/cplex-11/html/usrcplex/solveMIP17.html, I need to use the method setVectors in a Concert Technology application, or by using CPXcopymipstart in a Callable Library application to set the initial solution. I am unsure of how to use this along with CVXPY.

Edmund Blackadder
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  • In the CVXPY documentation I could not find a way to set a CPLEX MIP start (that is the feature that would be required). However, there is a related question here that provides a workaround in one of its answers: https://stackoverflow.com/questions/52314581/initial-guess-warm-start-in-cvxpy-give-a-hint-of-the-solution Could you try setting the `value` property of variables and see whether this helps? – Daniel Junglas May 04 '20 at 05:56
  • Tried this but it does not work – Edmund Blackadder May 04 '20 at 12:29
  • This question is closely related to https://stackoverflow.com/questions/61484764. – rkersh May 04 '20 at 16:29

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The functionality you are looking for does not currently exist in CVXPY. CVXPY is a generic modeling layer that wraps around several solvers and it does not expose the CPLEX-specific CPXreadcopymipstarts nor CPXaddmipstarts functionality.

The fact that setting the value property of variables and using the warm_start option, as suggested in this answer, doesn't work, is a CVXPY issue. It looks like there is an open github issue for this here. In the future, this will likely be the intended solution to your general question.

For now, you'll have to use one of the CPLEX APIs directly. As you mentioned in the comments of this related stackoverflow question, you do not like the idea of using the lower-level CPLEX Python API. That leaves you with docplex as a viable option.

rkersh
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