A New Open-Source Solver

Introduction

Most Woodstock users are probably running MOSEK as their default LP solver. As commercial software, it offers fast performance on standard LP formulations, it is relatively inexpensive, and it is supported by Remsoft directly. However, if your models include all-or-nothing decisions like *CUTCOMPLETECLASS, adjacency, or roading, MOSEK is not the best choice. This is not a fault of MOSEK -- it was designed to be a fast LP solver -- but its performance lags behind solvers like Gurobi or CPLEX. Gurobi and CPLEX are very good at solving mixed-integer programs (MIPs) but they are very expensive.

Of the open-source solvers supported by Remsoft, the COIN-OR solver CBC probably offers the best performance. However, I've noticed that finding up to date precompiled binaries of CBC that actually work with Woodstock can be difficult. The most recent version I could find is 2.10.11, compiled with MS Visual C 17. It works, but the performance on even some large LP only problems is not terribly good.

Recently, I read about a new open-source solver initiative called HiGHS: open source serial and parallel solvers for large-scalesparse linear programming (LP),mixed-integer programming (MIP), and quadratic programming (QP) models. My initial testing on some existing MPS files generated from Woodstock MIP models showed very good performance. However, reading and solving an MPS file doesn't help very much when you require a SCHEDULE file to create reports and graphs. Luckily, the HiGHS solver can take a parameter file like MOSEK or Gurobi, and in there you can specify one of 5 solution file output formats. Luckily, two of the options copy the format of the GLPSOL solver (Remsoft defines it as GNU). When I created a new MPS file and solved it with the GLPSOL solution format, I was able use Woodstock's LP2WK.exe converter to create a SCHEDULE file.

Steps To Make It Work

Setting Up HiGHS (workaround)

1. Download the HiGHS solver and save the executable in a subdirectory (e.g., C:\Solvers\HiGHS\highs.exe). In Woodstock, use Tools|Paths & programs to point to highs.exe in the GNU choice.
2. Create a text file called highs.par. Include the following line of code to specify the solution file format (GLPSOL): write_solution_style=3. If you're solving a MIP formulation, options like heuristics (%) and gap% are useful: mip_heuristic_effort=0.3 mip_rel_gap=0.001 
3. In Woodstock, specify *FORMAT GNU in the OPTIMIZE section. 
4. Press F9 to generate the matrix and create the batch file. You need to edit the batch file that Woodstock creates to comply with HiGHS command line parameters similar to below: C:\Solvers\Highs\highs.exe --model_file "model.mps" --solution_file "model.prt" --options_file highs.par
5. Use the Run|Run model.bat file menu or press F7 to call the solver and write the SCHEDULE section.

A Quirk of the HiGHS Solver

Although the programmable interfaces to HiGHS allow you to change the objective sense (MAX vs MIN), I didn't find any options in the command line interface to allow anything other than minimization. However, this is not a real problem because a MAX problem can be converted to a MIN problem by simply multiplying the outputs by -1. For example, the line 

            _MAX ordTOT - ocdLOG - ocdPLT 1..._LENGTH

can be converted to the equivalent statement 

           

            _MIN ocdLOG + ocdPLT - ordTOT 1.._LENGTH

Summary

If you are not running MIP formulations and you have MOSEK, there's nothing to see here folks. MOSEK is a very capable LP solver. Similarly, if you have access to Gurobi or CPLEX through school or corporate licensing, HiGHS is not going to be compelling. However, if you're interested in trying out some MIP formulations without investing a ton of money into a solver like Gurobi or CPLEX, give HiGHS a try. I'm hoping that Remsoft will soon support this new solver so that we don't have to do this messing around with batch files, etc. However, it is a small price to pay for a capable solver even now.

Don't hesitate to contact me if you have questions about this or other modeling topics!