Add quadratic objective support and 'direct' mode for MOSEK #226
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## master #226 +/- ##
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- Coverage 88.29% 85.86% -2.44%
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Files 15 15
Lines 3470 3572 +102
Branches 803 836 +33
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ulfworsoe
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ulfworsoe
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Great @ulfworsoe, thanks for the PR! could you add the implementation to the test routine? Just add a
if "mosek" in available_solvers:
params.append(("mosek", "direct"))
in the beginning of the test_optimization script
linopy/test/test_optimization.py
Line 29 in dd54ec1
linopy/io.py
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| @@ -307,6 +307,80 @@ def to_file(m, fn, integer_label="general"): | |||
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| def to_mosekpy(model, task): | |||
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Would it be possible to optionally set task. With the default None, a new mosek model would be created which would be returned.
linopy/solvers.py
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| # Gurobi solution format is not supported by MOSEK. | ||
| # What is the warmstart file? A Gurobi .sol file? The gurobi | ||
| # docs are a bit sparse on the format. Does it include dual | ||
| # information? |
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This is probably a left-over, can you take that out?
A warmstart file is a simplex basis which can be used by some solvers as a starting point for the optimization. It is stored as a .bas file. However I am not sure whether xpress can handle these. Did you try out the original call?
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The original call used task.readdata. I'll check, but I am reasonably sure that it will only read problem files (LP, MPS, etc). MOSEK does have a .bas file but that is an entirely different format.
But I implemented a .sol reader here so I'll, have to fix that too.
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And a hint: if you install pre-commit locally, the pre-commit bot does not interfere with your PR, as all stylistic changes are already applied before committing. |
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Ah, that's what was happening. I should probably do that. |
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Hey @ulfworsoe, this looks good. I will merge #223 before, and hope this does not lead to merge conflicts. |
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@FabianHofmann I can see that the coverage tests fail. My guess is that the tests don't run for MOSEK at all because there is no license file. We have a similar issue in other places (the MOSEK Julia API, for example), and what we do in these cases is to use http://solve.mosek.com/web/ instead of solving locally. This doesn't require a license for small-ish problems. |
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@ulfworsoe you let me know as soon as this is ready? Then I can take a final look and merge it. |
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@FabianHofmann i think it is ready. The tests actually run and pass now. |
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@ulfworsoe thank you for the huge work! looks almost ready, just some minor points. Sorry that this takes so long. But ones it's there it will be quite stable.
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@FabianHofmann I have removed the |
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@ulfworsoe for some solvers I am keeping a github secret for the CI. Is something similar possible for mosek? |
Yes. Either a secret string that is passed to MOSEK or as a license file placed in |
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@ulfworsoe it seems I have mosek license to the github! So if you don't mind I would pull everything into another branch to properly run the CI and then we can merge itl |
Please do. I'm working on a more permanent solution for using licenses in github CI so they won't have to be updated by hand regularly. |
Add quadratic objective support and 'direct' mode for MOSEK (superset of #226)
This PR adds a
to_mosekpy(similar toto_gurobipy) for passing a model to MOSEK without files.This should add support for quadratic objective terms.
I have attempted to fix support for reading solution (warmstart) files and disabled reading basis files since these are not directly supported by MOSEK.