bstellato / mathprogbasepy

Low level interface for optimization solvers

mathprogbasepy

Low level interface for Mixed-Integer Quadratic Programs and Mixed-Integer Linerar Programs optimization solvers.

Installation

python setup.py install

(Mixed-Integer) Quadratic Programs

It is possible to define quadratic programs of the form

minimize     (1/2) x' P x + q' x
subject to   l <= A x <= u
             x[i] \in Z for i in I_idx
             i_l[i] <= x[i] <= i_u[i] for i in I_idx

with

from mathprogbasepy import *

# Define problem data
# ...

p = QuadprogProblem(P, q, A, l, u, i_idx, i_l, i_u)
results = p.solve(solver = OSQP)

The current version is 0.1.1

The supported solvers at the moment are: OSQP, GUROBI, CPLEX, MOSEK, qpOASES.

Matrices P and A are in scipy sparse format. vectors q, l and u are numpy arrays.