Merge pull request #3494 from quantresearch1/appsi_highs_warmstart

Add warmstart for appsi_highs (issue #3450)

Author: blnicho

pyomo/contrib/appsi/base.py

@@ -139,12 +139,14 @@ def __init__(
         )
 
         self.declare('time_limit', ConfigValue(domain=NonNegativeFloat))
+        self.declare('warmstart', ConfigValue(domain=bool))
         self.declare('stream_solver', ConfigValue(domain=bool))
         self.declare('load_solution', ConfigValue(domain=bool))
         self.declare('symbolic_solver_labels', ConfigValue(domain=bool))
         self.declare('report_timing', ConfigValue(domain=bool))
 
         self.time_limit: Optional[float] = None
+        self.warmstart: bool = False
         self.stream_solver: bool = False
         self.load_solution: bool = True
         self.symbolic_solver_labels: bool = False
@@ -1525,13 +1527,15 @@ def solve(
         options: Optional[Dict] = None,
         keepfiles: bool = False,
         symbolic_solver_labels: bool = False,
+        warmstart: bool = False,
     ):
         original_config = self.config
         self.config = self.config()
         self.config.stream_solver = tee
         self.config.load_solution = load_solutions
         self.config.symbolic_solver_labels = symbolic_solver_labels
         self.config.time_limit = timelimit
+        self.config.warmstart = warmstart
         self.config.report_timing = report_timing
         if solver_io is not None:
             raise NotImplementedError('Still working on this')

pyomo/contrib/appsi/solvers/highs.py

@@ -221,6 +221,29 @@ def symbol_map(self):
         return SymbolMap()
         # raise RuntimeError('Highs interface does not have a symbol map')
 
+    def warm_start_capable(self):
+        return True
+
+    def _warm_start(self):
+        # Collect all variable values
+        col_value = np.zeros(len(self._pyomo_var_to_solver_var_map))
+        has_values = False
+
+        for var_id, col_ndx in self._pyomo_var_to_solver_var_map.items():
+            var = self._vars[var_id][0]
+            if var.value is not None:
+                col_value[col_ndx] = value(var)
+                has_values = True
+
+        if has_values:
+            solution = highspy.HighsSolution()
+            solution.col_value = col_value
+            solution.value_valid = True
+            solution.dual_valid = False
+
+            # Set the solution as a MIP start
+            self._solver_model.setSolution(solution)
+
     def _solve(self, timer: HierarchicalTimer):
         config = self.config
         options = self.highs_options
@@ -245,6 +268,9 @@ def _solve(self, timer: HierarchicalTimer):
 
             for key, option in options.items():
                 self._solver_model.setOptionValue(key, option)
+
+            if config.warmstart:
+                self._warm_start()
             timer.start('optimize')
             ostreams[-1].write("RUN!\n")
             self._solver_model.HandleKeyboardInterrupt = True

pyomo/contrib/appsi/solvers/tests/test_highs_persistent.py

@@ -155,3 +155,31 @@ def test_capture_highs_output(self):
         self.assertIn("HiGHS run time", OUT.getvalue())
         ref = "10.0 5.0\n"
         self.assertEqual(ref, OUT.getvalue()[-len(ref) :])
+
+    def test_warm_start(self):
+        m = pe.ConcreteModel()
+
+        # decision variables
+        m.x1 = pe.Var(domain=pe.Integers, name="x1", bounds=(0, 10))
+        m.x2 = pe.Var(domain=pe.Reals, name="x2", bounds=(0, 10))
+        m.x3 = pe.Var(domain=pe.Binary, name="x3")
+
+        # objective function
+        m.OBJ = pe.Objective(expr=(3 * m.x1 + 2 * m.x2 + 4 * m.x3), sense=pe.maximize)
+
+        # constraints
+        m.C1 = pe.Constraint(expr=m.x1 + m.x2 <= 9)
+        m.C2 = pe.Constraint(expr=3 * m.x1 + m.x2 <= 18)
+        m.C3 = pe.Constraint(expr=m.x1 <= 7)
+        m.C4 = pe.Constraint(expr=m.x2 <= 6)
+
+        # MIP start
+        m.x1 = 4
+        m.x2 = 4.5
+        m.x3 = True
+
+        # solving process
+        with capture_output() as output:
+            pe.SolverFactory("appsi_highs").solve(m, tee=True, warmstart=True)
+        log = output.getvalue()
+        self.assertIn("MIP start solution is feasible, objective value is 25", log)