Lower (primal dual) start from upper solution candidate

[joaquimg]

Obtain lower level primal and dual start values from upper level solution.

[NLaws]

I have a large bilevel problem and I'm hoping that providing start values will aid in the solution process. Both my upper and lower levels are linear programs so it is easy to obtain some good start values. @joaquimg let me know if there is something I can do to help implement this feature.

[davide-f]

@joaquimg I do have a large bilevel program as well and I believe that this improvement would be very important.
I believe that rather than an initial value for all dual variables, which is hard to find, it would be very interesting if it could be possibile to automatically initialize the complementarity constraints, so the corresponding binary variables or the SOS constraints.
When an entire set of primary variables is provided, it should be possible to calculate the slack variables of the constraints and hence set at least some of the binary conditions. I believe that this would significantly improve the performances of the models.

I have also added a comment on the JuMP package that could be of a support for this objective.
jump-dev/JuMP.jl#2299 (comment)