Using a MIP Solver as a PDHG-Based MIP Heuristic

The PDHG algorithm provides a new capability for solving difficult linear programming (LP) problems: the ability to find low-accuracy solutions quickly. While such solutions may not be applicable in all applications of LP, one possible use is to accelerate heuristics for finding feasible solutions to Mixed-Integer Programming (MIP) problems, where these approximate LP solutions can hopefully guide a heuristic towards accurate and high-quality MIP solutions. While a monolithic heuristic that exploits PDHG solutions would be useful, we pose a broader question here: could we replace the default LP solver in a modern MIP solver with PDHG to accelerate most (or all) of its existing heuristics? We find that doing so does have some obvious drawbacks, preventing us from using several powerful MIP techniques, but it leaves most others unaffected, ultimately resulting in a heuristic that often finds high-quality, high-accuracy solutions faster than current state-of-the-art strategies.