The OPTMILP Procedure

PROC OPTMILP enables you to input a warm start 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. If they are not the same, PROC OPTMILP issues a warning and ignores the input solution. PROC OPTMILP also checks whether the solution is infeasible, contains missing values, or contains fractional values for integer variables. If this is the case, PROC OPTMILP attempts to repair the solution with a number of specialized repair heuristics. The success of the attempt largely depends both on the specific model and on the proximity between the input solution and an integer feasible solution. An infeasible input solution can be considered a hint for PROC OPTMILP that might or might not help to solve the problem.

An integer feasible or repaired input solution provides an incumbent solution in addition to 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.