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Using GUROBI with python. When solving a MILP, I notice that the incumbent is very early (25sec) at the optimal point but the best bound is so slow to fall (maximization problem) that it takes ages (2000sec+) for reaching the optimal solution. Any suggestions for changing the parameters that could make it happen faster?

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You could try changing the parameter mipfocus to 2 or 3 (https://www.gurobi.com/documentation/9.0/refman/mipfocus.html) in order to let Gurobi focus more on improving the bound or proving optimality.

You can also try to set Cuts (https://www.gurobi.com/documentation/9.0/refman/cuts.html) to 2 in order to let Gurobi be more aggressive with the Cuts.

But you need to examine the Log and see if the problem is primarily solved with Cuts or Branching or both.

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  • $\begingroup$ Thank you very much. There is a minor improvement only though, I guess the hardness in finding a solution quickly can be attributed to the extensive big-M usage. Do you believe that it could improve if I experiment with changing the M values in order to find the minimum possible ones? $\endgroup$ – Makis Karasavvidis Jul 8 at 13:27
  • $\begingroup$ You should probably try indicator constraints if you're using Gurobi $\endgroup$ – Gabriel Gouvine Jul 8 at 19:37
  • $\begingroup$ Makis, as this does not appear to be an answer, I have converted it to a comment under the top answerer's post to notify them. $\endgroup$ – TheSimpliFire Jul 8 at 19:46
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If you have a recent enough version of Gurobi, there is a tuning tool that tries to find better parameter sets than the default settings. For best results, run it for a while (at least overnight) and run it with a few different instances of your problem. Here is some example code you can use to run it.

def tune(model, time_limit=-1, trials_per_setting=3):
    """Tunes a Gurobi model with basic settings. Parameter sets that
    Gurobi sees as an improvement are saved to tune0.prm, tune1.prm,
    etc. Parameter sets are stored in order of decreasing quality, with
    parameter set 0 being the best.

    Args:
        model: an instance of a Gurobi model
        time_limit: total number of seconds to spend tuning. Default of
          -1 will choose a time limit automatically.
        trials_per_setting: number of trials to use per parameter set to 
          reduce the effects of randomness. Default is 3.
    """
    model.setParam('TuneTimeLimit', time_limit)
    model.setParam('TuneTrials', trials_per_setting)
    model.update()
    model.tune()
    for i in range(model.tuneResultCount):
        model.getTuneResult(i)
        model.write('tune'+str(i)+'.prm')

For more information, see the documentation: https://www.gurobi.com/documentation/9.0/refman/parameter_tuning_tool.html#sec:Tuning

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In addition to the above answers:

It depends on what you want from the MIP-run. If you want to your run to find feasible solutions quickly, then keep model.params.MIPFocus=1; if you are not facing difficulty in finding feasible solutions but want to focus on proving the optimality of these solutions, then keep model.params.MIPFocus=2; or if you want your run to improve the best-objective bound, then keep model.params.MIPFocus=3.

I found this thread on Google's Gurobi discussion group useful. The other parameters that affect the performance of a MIP-run are (documentation):

  • model.params.Method link
  • model.params.ConcurrentMIP link
  • model.params.Cuts
  • model.params.NoRelHeuristic
  • model.params.Heuristics link
  • model.params.RINS
  • model.params.ImproveStartNodes
  • model.params.ImproveStartTime

You could also run grbtune tool as suggested above to tune the settings of the above parameters.

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