I need to run over a million small optimization problems which are similar from the perspective of the structure but have different coefficients for constraint and objective. I know I can create and solve many models concurrently, but I am not sure that is the most efficient way.

This is almost certainly not a bottleneck. Don’t worry about the performance. Solving the LP is much more expensive. There are methods you can use to modify individual coefficients in various places: set_objective_coefficient set_normalized_coefficient set_normalized_rhs See also Constraints …

Parallelization Optimization Runs

Specific Domains Optimization (Mathematical)

lmiq June 21, 2023, 8:36pm 9

Maybe here you can find useful info: How to optimize multiple times in a run - #2 by odow

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Parallelization Optimization Runs

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