The nonlinear optimization solver that PROC OPTMODEL uses builds on the introduction of multithreading for its two most significant improvements in SAS/OR 12.1. First, in addition to the nonlinear solver options ALGORITHM=ACTIVESET and ALGORITHM=INTERIORPOINT, SAS/OR 12.1 introduces the ALGORITHM=CONCURRENT option (experimental), with which you can invoke both the active set and interior point algorithms for the specified problem, running in parallel on separate threads. The solution process terminates when either of the algorithms terminates. For repeated solves of a number of similarly structured problems or simply for problems for which the best algorithm isn’t readily apparent, ALGORITHM=CONCURRENT should prove useful and illuminating.

Second, multithreading is central to the nonlinear optimization solver’s enhanced multistart capability, which now takes advantage of multiple threads to execute optimizations from multiple starting points in parallel. The multistart capability is essential for problems that feature nonconvex nonlinear functions in either or both of the objective and the constraints because such problems might have multiple locally optimal points. Starting optimization from several different starting points helps to overcome this difficulty, and multithreading this process helps to ensure that the overall optimization process runs as fast as possible.