How do I use multiple cores to speed up the construction of my constraint matrix that is to be fed to CPLEX using cplexmilp function?

Hello,

This is my first time in the forum. I have been using MATLAB for quite some time. Currently, I'm using MATLAB to construct a constraint matrix of a MILP and then feed it to CPLEX via the cplexmilp function. However, the model has quite a lot of variables and constraints and it takes a lot (really too much) of time to build the matrices and solve the problem. Hence, I would like to ask you for some advice on speeding up the construction of my constraint matrix. I can sample a piece of my code here which can give you some idea about the problem.

B6_M2 = zeros( num_nodes(1), num_variables(1) );
rhs_B6_M2 = zeros( num_nodes(1), 1 );
for i = 1:num_nodes(1)
    for j = 1:num_vnodes(1)
        for k = 1:num_demands(1)
            B6_M2( i, ( ( i - 1 ) * num_demands(1) ) + ( ( j - 1 ) * num_nodes(1) * num_demands(1) ) + k ) = -1;
        end
    end
    B6_M2( i, num_xvar + num_fvar + i ) = 1;
end

The above piece of code is one such constraint of the MILP, which contains many more constraints and I'd like to exploit my CPU processing capacity to speed up the matrix build. The specifications of my system are

_Processor: Intel® Core™ i7-3930K CPU @ 3.20GHz × 12

Memory: 62.9 GiB_

Ubuntu

_Release 12.04 (precise) 64-bit

Kernel Linux 3.2.0-70-generic_

Thank You

Varun

[Johannes]

I'm facing the same issue at the moment. The writing takes up only 1 core, even when multiple ones are present. I pre-assigned the matrix with zero's as well, so writing with multiple cores independently should be possible. When CPLEX starts, it does use all cores.

Has anyone any tips or solutions for this problem?

[Varun RS]

Using sparse matrices should solve the problem to a smaller extent but there could be other alternatives. Is there a way to write a direct message in MATLAB or would it be possible to discuss this issue via personal communication?

[Johannes]

I found a solution that worked for me. I was feeding in my constraints row by row. But you can feed them into CPLEX together.

https://www.ibm.com/support/knowledgecenter/SSSA5P_12.6.0/ilog.odms.cplex.help/refmatlabcplex/html/classCplex.html

The part of my script for creating the matrix went from hours to a single minute.

[Canqi Yao]

The linke has been invalid. Could you please share the coding trick?