What are the available approaches to find an approximate solution to a large mixed integer programming problem?
I ran my problem in the Gurobi MIP solver.
It can find a feasible solution in reasonnable time.
But I need to solve several different MIP problems, and in the end, it takes too much.
Is there something like a least-square approximation to a MIP problem?
Or, any other approach, which can deliver a sub-optimal solution very quickly?
Can a general non-linear optimization solver quickly find an approximate solution of a MIP problem?
My model has one million variables.
I know there is a litterature on quickly finding a feasible solution to a MIP.
But I couldn't find a litterature body on approximate MIP solution.