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Warm Start

PROC OPTMILP enables you to input an integer feasible solution by using the PRIMALIN= option. PROC OPTMILP checks that the decision variables named in _VAR_ are the same as those in the MPS-format SAS data set; the procedure also checks that the input solution is integer feasible. If either condition is not true, PROC OPTMILP issues a warning and ignores the input solution. The input solution provides an incumbent solution as well as an upper (min) or lower (max) bound for the branch-and-bound algorithm. PROC OPTMILP uses the input solution to reduce the search space and to guide the search process. When it is difficult to find a good integer feasible solution for a problem, warm start can reduce solution time significantly.