Originally posted by: Angun

I have a multi-stage stochastic linear programming problem which I have to solve 1000 times for each scenario. 

I am currently using the command CPXprimopt to solve the LPs. The problem can be solved parallely for each scenario, which will (I hope) reduce the solution time.

So my question is that:

Can I use CPX_PARALLEL_DETERMINISTIC, or CPX_PARALLEL_OPPORTUNISTIC, or CPX_PARALLEL_AUTO?

Function CPXprimopt() cannot benefit from multiple cores/threads, it will always run sequentially. Hence changing the parallel mode will not affect this function.

What you can do to solve multiple LPs in parallel is

• Create multiple threads
• Create a CPXENVptr/CPXLPptr pair for each thread
• Invoke CPXprimopt() on each thread

This way each thread will solve a different LP and you will be solving multiple LPs in parallel.

Originally posted by: Angun

Ok, thanks.