PaNGEA: Parallel Node Generation and Exploration Algorithm on GPU

Abstract: Primal heuristics for finding high-quality feasible solutions are an important component in mixed-integer optimization (MIO) solvers. Recent advances in GPU-accelerated optimization algorithms show the potential of GPU acceleration for continuous optimization. In this paper, we introduce the Parallel Node Generation and Exploration Algorithm (PaNGEA), a GPU-friendly MIO primal heuristic. PaNGEA explores restricted subproblems by combining linear-relaxation solves with a local-search procedure designed for efficient batched execution on GPUs. In addition, instead of relying on a single heuristic for iterative variable fixing, we leverage GPU batching capabilities to generate and explore multiple subproblems in parallel. PaNGEA leverages GPU capabilities in two ways. First, on 283 MIPcc26 and MIPLIB instances, implementing a single-node primal heuristic on the GPU reduces the average gap integral by 8-18% relative to its CPU counterpart. Second, generating and exploring multiple nodes in parallel further reduces the average gap integral by 12-19%.