Python external constraint function in MINLP

Question

Is it possible to add as a dynamic constraint an external custom function in Mixed Integer Nonlinear Programming libraries in Python? I am working with boolean variables and Numpy matrices (size m x n) where i want to minimize the sum of total values requested (e.g tot_vals = 2,3......n). Therefore, i want to add some "spatial" constraints, I've created the functions (based on Boolean indexing) and i try to implement them in my optimization procedure. In CVXPY, it fails as i can only add CVXPY's formatted constraints (as far as i know), PULP fails as it works only for LP problems, maybe a choice could be Pyomo, OpenOpt or PySCIPopt?

Thank you in advance for your help

mattmilten · Accepted Answer · 2017-12-14 07:00:58Z

1

With PySCIPOpt this is possible. You would need to create a custom constraint handler which checks the current LP solution for feasibility and maybe adds valid inequalities to circumvent the infeasibility in the next node.

One example of this procedure is the TSP implementation in PySCIPOpt. This is also explained in some more detail in this tutorial article about PySCIPOpt.

answered Dec 14, 2017 at 7:00

mattmilten

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2 Comments

Loukas Kt. Over a year ago

Matt thank you for your immediate response and the additional information and as i see my only choice and chance to solve it is working with graphs. I am trying to install PySCIPopt but as i see the installation is a bit tricky and is more complicated than just a single 'pip install' right?I am working on Python 3.6 in Windows 10.

mattmilten Over a year ago

It's actually not that complicated. You need to install the SCIP Opt Suite using the provided Windows installer, set your PATH and SCIPOPTDIR environment variables accordingly and then youcan run pip install pyscipopt. If there are problems you cannot solve, you my consider opening an issue on the PySCIPOpt GitHub page.

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