[Rd] Improved LP/MIP solver

[Avraham Adler]

On Sun, Dec 12, 2021 at 4:24 PM Avraham Adler <avraham.adler using gmail.com> wrote:
>
> On Sun, Dec 12, 2021 at 3:44 PM Julian Hall <jajhall using ed.ac.uk> wrote:
> >
> > Dear All,
> >
> > I am leading the development of HiGHS, which is now the top performing open source linear optimization software on the industry standard benchmarks. In particular, our MIP solver out-performs SCIP, and is way ahead of the COIN-OR solver Cbc.
> >
> > HiGHS solves LPs via simplex or interior point, MIPs via branch-and-cut, and QPs via an active set method.
> >
> > We were wondering what interest there would be in developing an R interface to HiGHS. I'm not an R user, but have done a bit of searching and see references to Rsymphony and an interface to Lpsolve.
> >
> > Performance-wise Lpsolve is very poor, but I know that it has a community of devoted followers. I've not seen benchmark results for Symphony, but I know that Cbc is the preferred COIN-OR MIP solver when it comes to general performance.  And, as I observed, the performance of HiGHS is way better than Cbc.
> >
> > Are people in the R community tearing their hair out over the performance of software requiring the solution of LPs or MIPs?
> >
> > Would a significantly better LP/MIP solver be valuable to the R community?
> >
> > Thanks,
> >
> > Julian
> > --
> > Dr. J. A. Julian Hall, Reader, School of Mathematics,
> > University of Edinburgh, James Clerk Maxwell Building,
> > Peter Guthrie Tait Road, EDINBURGH, EH9 3FD, UK.
> > Room: 5418 Phone: [+44](131) 650 5075 Email: J.A.J.Hall using ed.ac.uk<mailto:J.A.J.Hall using ed.ac.uk>
> > Web: https://www.maths.ed.ac.uk/school-of-mathematics/people/a-z?person=47
> > [HiGHS]<http://www.highs.dev>
> >
> > My working hours may not be your working hours. Do not feel pressure to reply to this email outside your working hours.
> > The University of Edinburgh is a charitable body, registered in Scotland, with registration number SC005336. Is e buidheann carthannais a th’ ann an Oilthigh Dhùn Èideann, clàraichte an Alba, àireamh clàraidh SC005336.
>
> Hello, Julian.
>
> I cannot speak for the R community, but as someone who needs
> optimization on a regular basis, this sounds intriguing. The fact that
> HiGHS appears to be FLOSS, and thus usable as-is in the corporate
> setting, appeals to those of us who use R in industry. Would you have
> any statistics on how the solvers in HiGHS compare with similar ones
> currently available in R, specifically the following in NLOPT [1]
> (which is called through nloptr): SLSQP (gradient-based) and COBYLA
> (gradient-free) both of which support equality and inequality
> constraints, and MMA/CCSA (gradient based) which supports inequality
> constraints? As for integer or mixed integer programming, I believe
> that there is a lot of room for improvement in R. Personally, I've
> resorted to using DEOptim with the "fnMap" entry calling a round
> function similar to [2]. So speaking for myself, giving richer options
> for optimization is a good thing, especially if the installation
> procedure can be simplified!
>
> Thank you,
>
> Avi
>
> [1] https://nlopt.readthedocs.io/en/latest/NLopt_Algorithms/
> [2] https://stackoverflow.com/questions/42197353/how-to-set-integer-constraint-using-fnmap-in-deoptim-r

Also, to be good R-citizens, this thread should probably be moved to
R-package-devel [1].

Thanks,

Avi

[1] https://stat.ethz.ch/mailman/listinfo/r-package-devel