Time limit for mixed integer programming with Python PuLP

Question

I've been using PuLP to solve a particular mixed integer linear program (MIP) I am interested in. However, as the problem size grows, PuLP is taking too long. I want to be able to run the solver for some time and terminate it prematurely if its taking to long and obtain the best feasible solution so-far computed. I have tried manually timing the solver out with signal, but the variables are all "None".

I've looked at the documentation and PuLP does not seem to support this, though as I understand it, most of the solver routines it calls do. Is there a way to impose a time limit for PuLP?

Answer 1

Instead of directly calling solve(), you can call the steps executed in solve() yourself. Here is an example while using the cplex python api

#Create your problem
P = pulp.LpProblem()

#Build the solverModel for your preferred
solver = pulp.CPLEX_PY()
solver.buildSolverModel(P)

#Modify the solvermodel
solver.solverModel.parameters.timelimit.set(60)

#Solve P
solver.callSolver(P)
status = solver.findSolutionValues(P)

After buildSolverModel(), solver.solverModel contains an instance of the solver API. You can then use all functions from the solver documentation. I used cplex, but the same approach can be used in gurobi as seen http://www.gurobi.com/documentation/7.5/refman/python_parameter_examples.html#PythonParameterExamples

Answer 2

In pulp, you can call other external solvers, such as cplex and gurobi. Typically you can set a time limit and an optimal gap in their parameters when calling the solvers. Take the gurobi for example:

prob = LpProblem("anything", LpMinimize) prob.solve(GUROBI(timeLimit=1200))

You can find the specific params from the source code of pulp. https://github.com/coin-or/pulp/blob/master/src/pulp/solvers.py

For example, if you are using gurobi, see the init params

class GUROBI(LpSolver):
"""
The Gurobi LP/MIP solver (via its python interface)
The Gurobi variables are available (after a solve) in var.solverVar
Constriaints in constraint.solverConstraint
and the Model is in prob.solverModel
"""
try:
    sys.path.append(gurobi_path)
    # to import the name into the module scope
    global gurobipy
    import gurobipy
except: #FIXME: Bug because gurobi returns
        #a gurobi exception on failed imports
    def available(self):
        """True if the solver is available"""
        return False
    def actualSolve(self, lp, callback = None):
        """Solve a well formulated lp problem"""
        raise PulpSolverError("GUROBI: Not Available")
else:
    def __init__(self,
                mip = True,
                msg = True,
                timeLimit = None,
                epgap = None,
                **solverParams):
        """
        Initializes the Gurobi solver.
        @param mip: if False the solver will solve a MIP as an LP
        @param msg: displays information from the solver to stdout
        @param timeLimit: sets the maximum time for solution
        @param epgap: sets the integer bound gap
        """
        LpSolver.__init__(self, mip, msg)
        self.timeLimit = timeLimit
        self.epgap = epgap
        #set the output of gurobi
        if not self.msg:
            gurobipy.setParam("OutputFlag", 0)
        #set the gurobi parameter values
        for key,value in solverParams.items():
            gurobipy.setParam(key, value)