jump-dev / jump-dev/MatrixOptInterface.jl

Support for matrix style model construction (MathProgBase/LinearQuadratic style) in modern Julia + MOI

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#34 30 commenti 0 reazioni 0 assegnatari Vedi su GitHub
Lingua principale
Julia
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5h 50m
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Descrizione

I’m reaching out about support or example workflows for constructing optimization models from raw matrix data in modern Julia, similar to how it was done with MathProgBase’s LinearQuadratic interface.
A bit of background on my situation:
• Years ago I implemented a large scale unit commitment MILP in Julia 0.6.4, using MathProgBase.jl and specifically the LinearQuadratic models interface, together with Gurobi as the solver.
• The model is truly large: on the order of ~2 million variables and constraints. I built the model from big matrices and vectors (A, b, c, etc.) in a Matlab style fashion and handed that directly to the solver.
Now I’d like to move the codebase to a current Julia version, but without changing the overall program structure—i.e., keeping a MathProgBase / LinearQuadratic style formulation rather than rewriting everything in JuMP or another high level modeling layer.
Question / request:
Is there any officially supported or recommended way in the current Julia / MOI ecosystem to construct a large LP/MILP directly from matrices and pass it to a solver, similar to the old MathProgBase LinearQuadratic approach?
Thanks for any pointers or suggestions. Even a small example or outline of how to plug matrix data into MOI, or a note on current limitations, would be very valuable.

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