Parallel Solves in Gurobi.jl

[odow]

@pearlzli

A = 1:10
m0 = make_model()
@distributed (+) for a in A
    update_and_optimize!(m0, a)
end

This makes the model m0 once, and then copies it to each worker. You need to construct the model with a different env on each worker.

using Distributed
addprocs(3; exeflags = "--project=/tmp/gur")  # Replace with your project
@everywhere begin
    using JuMP
    using Gurobi
    const ENV = Gurobi.Env()
end
@everywhere begin
    model = Model(() -> Gurobi.Optimizer(ENV))
    set_silent(model)
    @variable(model, 0 <= x <= 1)
    function update_and_solve(a)
        println("Solving $(a) from $(myid())")
        @objective(model, Max, a * x)
        optimize!(model)
        sleep(1.0)
        return objective_value(model)
    end
end

julia> @distributed (+) for a in 1:10
           update_and_solve(a)
       end
      From worker 3:	Solving 5 from 3
      From worker 2:	Solving 1 from 2
      From worker 4:	Solving 8 from 4
      From worker 3:	Solving 6 from 3
      From worker 2:	Solving 2 from 2
      From worker 4:	Solving 9 from 4
      From worker 4:	Solving 10 from 4
      From worker 3:	Solving 7 from 3
      From worker 2:	Solving 3 from 2
      From worker 2:	Solving 4 from 2
55.0