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Primal Heuristics

Primal heuristics, an important component of the MILP solver in PROC OPTMODEL, are applied during the branch-and-bound algorithm. They are used to find integer feasible solutions early in the search tree, thereby improving the upper bound for a minimization problem. Primal heuristics play a role complementary to cutting planes in reducing the gap between the upper and lower bounds, thus reducing the size of the branch-and-bound tree.

Applying primal heuristics in the branch-and-bound algorithm assists in the following areas:

• finding a good upper bound early in the tree search; this can lead to earlier fathoming, resulting in fewer subproblems to be processed.
• locating a reasonably good feasible solution when that is sufficient; sometimes a good feasible solution is the best the solver can produce within certain time or resource limits.
• providing upper bounds for some bound-tightening techniques.

The MILP solver implements several heuristic methodologies. Some algorithms, such as rounding and iterative rounding (diving) heuristics, attempt to construct an integer feasible solution by using fractional solutions to the continuous relaxation at each node of the branch-and-cut tree. Other algorithms start with an incumbent solution and attempt to find a better solution within a neighborhood of the current best solution.

The HEURISTICS= option enables you to control the level of primal heuristics applied by the MILP solver. This level determines how frequently primal heuristics are applied during the tree search. Some expensive heuristics might be disabled by the solver at less aggressive levels. Setting the HEURISTICS= option to a lower level also reduces the maximum number of iterations allowed in iterative heuristics.

The valid values for this option are listed in Table 9.6.