cvxpy baseline

[mlubin]

SCS small problem
Generation time (sec): 0.034108638763427734
Solve time (sec): 0.12061452865600586
Obj: 8.005443740647975

GLPK small problem
Generation time (sec): 0.01749873161315918
Solve time (sec): 0.022617578506469727
Obj: 8.005822076272054

SCS large problem
Generation time (sec): 26.563064336776733
Solve time (sec): 7.128708362579346
Obj: 84501.40218042108

GLPK large problem
Solve didn't finish (possibly hit the limit)
Generation time (sec): 28.236417055130005
Solve time (sec): 9.7221519947052
Obj: None

Compared with the numbers in #1, the MOI code is comfortably ahead. This is using the hard-to-read version of the assignment constraints (see the code for the three different versions).

The only anomaly is that with the same settings for the large problem, SCS solves in ~7 seconds under cvxpy, 17 seconds using the direct Julia API and 56 seconds under MOI.

[odow]

Running (I modified the GLPK time limit)

customer_locations = np.random.rand(100) * 1000
for l in [1_000, 5_000, 10_000]:
    print("GLPK %s" % l)
    solve(cp.GLPK, num_facilities=100, num_customers=100, num_locations=l,
        customer_locations=customer_locations, glpk_tm_lim = 1)
    print("SCS %s" % l)
    solve(cp.SCS, num_facilities=100, num_customers=100, num_locations=l,
        customer_locations=customer_locations, scs_max_iters=1)
    print()

yields

GLPK 1000
Solve didn't finish (possibly hit the limit)
Generation time (sec): 1.4647347927093506
Solve time (sec): 0.2544288635253906
Obj: None
SCS 1000
Generation time (sec): 1.3463382720947266
Solve time (sec): 0.10071969032287598
Obj: -8372898.770989422

GLPK 5000
Solve didn't finish (possibly hit the limit)
Generation time (sec): 11.295827865600586
Solve time (sec): 1.35282564163208
Obj: None
SCS 5000
Generation time (sec): 10.679898023605347
Solve time (sec): 0.7139055728912354
Obj: None

GLPK 10000
Solve didn't finish (possibly hit the limit)
Generation time (sec): 30.249317407608032
Solve time (sec): 2.734602689743042
Obj: None
SCS 10000
Generation time (sec): 29.166401386260986
Solve time (sec): 1.4213383197784424
Obj: None

So we're comfortably beating CVXPY, even without the queued updates to MOI, GLPK, and SCS.