I am using the Python ortools to solve large LPs where the number of variables and constraints are in the hundred thousands ($10^5$). Surprisingly, it takes longer to initialize variables and declare constraints than to solve the actual LP:
| Phase | Average Time (secs) |
|---|---|
| Variable Initialization | 56.28 |
| Constraint Initialization | 203.73 |
| LP Solve | 116.34 |
Is there a way to lower the time to initialize variables and constraints by batching them? For my experiments, I solve many of these LPs, so any reduction in runtime would be appreciated.
