Add support for solving MIQCQP problems - #20
Open
WilsonGV wants to merge 4 commits into
Open
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Since MP-Opt-Model 5.0, functionality for handling quadratic constraints has been available, enabling Quadratically-Constrained Quadratic Programs (QCQP) to be solved. However, binary and integer variables were not supported in that context.
This PR contributes an initial implementation for handling Mixed-Integer QCQP (MIQCQP) problems. The main functions added are:
miqcqps_master(): the main wrapper function for solving MIQCQP problems based on various solvers. It handles options for relaxing and fixing integer variables.miqcqps_gurobi: the interface for solving MIQCQP based on Gurobi solver.t_miqcqps_master(),t_om_solve_miqcqps(), andt_mm_solve_miqcqpstest the functions over four cases: convex and nonconvex MIQP, and convex and nonconvex MIQCQPThe base classes
opt_model()andsolve()were modified to enable the handling of MIQCQP problem types viaopt_model.solve()andmp.opt_model.solve(), respectively.The current implementation supports both convex and nonconvex MIQCQPs via Gurobi. Interfaces for CPLEX and MOSEK (for convex MIQCQPs) are planned as follow-up work.