Changing solver properties inside YALMIP

[qiang gao]

Hi Professor,

I have encountered a warmstart problem with the solver, SCS, which allows a warm start (MATLAB — SCS 3.2.7 documentation). It seemed like the initialized values for the primal variables didn't go through the solver. I checked the source code (definesolvers.m) and found that the supportsinitial tag for 'scs' is set to be false.

Can I just change it to be true for the warmstart to work, or is there anything else I need to change?

Best,

Qiang

[Johan Löfberg]

scs requires a full primal-dual warm-start, which you never will have available in YALMIP, so not possible. You can be pretty sure though that even if you had one, the performance improvement from a warm-start would most likely be very small. It is basically an unsolved problem to warm-start these algorithms well.

[qiang gao]

Thanks very much for your reply. I am doing a large SDP, and I know that the optimal solution should be close to some known fixed point. So, I want to use that fixed point as a warm start. This forces me to use a first-order algorithm solver like SCS. Since SCS doesn't support primal variable initialization, do you know any other reliable SDP solvers that can have a primal warm start?

Thanks again for your advice.

Best

[Johan Löfberg]

no