HiGHS - Linear optimization software

HiGHS is a high performance serial and parallel solver for large scale sparse linear programming (LP) problems of the form

Maximize c^Tx subject to L <= Ax <= U; l <= x <= u

It is written in C++ with OpenMP directives. It is based on the dual revised simplex method implemented in HSOL.

Parallelizing the dual revised simplex method Q. Huangfu and J. A. J. Hall Mathematical Programming Computation, 10 (1), 119-142, 2018. DOI: 10.1007/s12532-017-0130-5

http://www.maths.ed.ac.uk/hall/HuHa13/

HSOL was originally written by Qi Huangfu, with features such as presolve, crash and advanced basis start added by Julian Hall and Ivet Galabova and further work by Michael Feldmeier.

HSOL has been developed and tested on various linux installations using both the GNU (g++) and Intel (icc) C++ compilers.

Compilation

HiGHS uses CMake as build system. To compile the run you need to setup a build directory and call

mkdir build
cd build
cmake ..

Then compile the code using

make

Testing

To perform a quick test whether the compilation was successful, run

ctest

Run-time options

In the following discussion, the name of the executable file generated is assumed to be highs.

HiGHS can read plain text MPS files and LP files and the following command solves the model in ml.mps

highs ml.mps

HiGHS options

Usage: highs [OPTION...] [file]

  --file arg             Filename of LP to solve.
  --presolve arg         Use presolve: off by default.
  --crash arg            Use crash to start simplex: off by default.
  --simplex arg          Use simplex solver: on by default.
  --ipm arg              Use interior point method solver: off by
                         default.
  --parallel arg         Use parallel solve: off by default.
  --time-limit arg       Use time limit.
  --iteration-limit arg  Use iteration limit (integer).
  --options-file arg     File containing HiGHS options.
  --parser arg           Mps parser type: swap back to fixed format
                         parser.

-h, --help Print help.

Parallel code

At the moment the parallel option is temporarily unavailable due to a large refactoring in progress. This document will be updated once we have completed the interface currently being developed.

In order to use OpenMP if available, set-DOPENMP=ON during the configuration step (cmake ..).

When compiled with the parallel option on, the number of threads used at run time is the value of the environment variable OMP_NUM_THREADS. For example, to use HiGHS with eight threads to solve ml.mps execute

export OMP_NUM_THREADS=8
highs --parallel ml.mps

If OMP_NUM_THREADS is not set, either because it has not been set or due to executing the command

unset OMP_NUM_THREADS

then all available threads will be used.

If run with OMP_NUM_THREADS=1, HiGHS is serial. The --parallel run-time option will cause HiGHS to use serial minor iterations and, although this could lead to better performance on some problems, performance will typically be diminished.

When compiled with the parallel option and OMP_NUM_THREADS>1 or unset, HiGHS will use multiple threads. If OMP_NUM_THREADS is unset, HiGHS will try to use all available threads so performance may be very slow. Although the best value will be problem and architecture dependent, OMP_NUM_THREADS=8 is typically a good choice. Although HiGHS is slower when run in parallel than in serial for some problems, it is typically faster in parallel.

HiGHS Library

Highs is compiled in a shared library. Running

make install

installs the highs executable in the bin/ and the highs library in the lib/ folder, as well as all header files in include/. For a custom installation in install_folder run

cmake -DCMAKE_INSTALL_PREFIX=install_folder ..

and then

make install

To use the library from a cmake project use

find_package(HiGHS)

and add the correct path to HIGHS_DIR.

Compiling and linking without cmake Suppose we want to link an executable defined in file use_highs.cpp with the highs library. After running the code above compile and run with

g++ -o use_highs use_highs.cpp -I install_folder/include/ -L install_folder/lib/ -lhighs

LD_LIBRARY_PATH=intstall_folder/lib/ ./use_highs

Interfaces

GAMS

Set custom options with -D<option>=<value> during the configuration step (cmake ..):

• GAMS_ROOT: path to GAMS system: enables building of GAMS interface

If build with GAMS interface, then HiGHS can be made available as solver in GAMS by adding an entry for HiGHS to the file gmscmpun.txt in the GAMS system directory (gmscmpnt.txt on Windows):

HIGHS 11 5 0001020304 1 0 2 LP RMIP
gmsgenus.run
gmsgenux.out
/path/to/libhighs.so his 1 1

OSI

• OSI_ROOT: path to COIN-OR/Osi build/install directory (OSI_ROOT/lib/pkg-config/osi.pc should exist)