Support writing problem to MPS file

doc/release_notes.rst

@@ -4,6 +4,7 @@ Release Notes
 Upcoming Release
 ----------------
 
+* Support exporting problems to MPS file via fast highspy MPS-writer.
 * The internal data structure of linopy classes were updated to a safer design. Instead of being defined as inherited xarray classes, the class `Variable`, `LinearExpression` and `Constraint` are now dataclasses with containing the xarray objects in the data field. This allows the package to have more flexible function design and a reduced set of wrapped functions that are sensible to use in the optimization context.
 * The class `Variable` and `LinearExpression` have new functions `groupby` and `rolling` imitating the corresponding xarray functions but with safe type inheritance and application of appended operations.
 

linopy/io.py

@@ -15,6 +15,8 @@
 from numpy import asarray, concatenate, ones_like, zeros_like
 from tqdm import tqdm
 
+from linopy import solvers
+
 logger = logging.getLogger(__name__)
 
 
@@ -165,26 +167,45 @@ def binaries_to_file(m, f, log=False):
 
 def to_file(m, fn):
     """
-    Write out a model to a lp file.
+    Write out a model to a lp or mps file.
     """
-    fn = m.get_problem_file(fn)
+    fn = Path(m.get_problem_file(fn))
+
+    if fn.exists():
+        fn.unlink()
+
+    if fn.suffix == ".lp":
 
-    if os.path.exists(fn):
-        os.remove(fn)  # ensure a clear file
+        log = m._xCounter > 10000
 
-    log = m._xCounter > 10000
+        with open(fn, mode="w") as f:
 
-    with open(fn, mode="w") as f:
+            start = time.time()
 
-        start = time.time()
+            objective_to_file(m, f, log)
+            constraints_to_file(m, f, log)
+            bounds_to_file(m, f, log)
+            binaries_to_file(m, f, log)
+            f.write("end\n")
 
-        objective_to_file(m, f, log)
-        constraints_to_file(m, f, log)
-        bounds_to_file(m, f, log)
-        binaries_to_file(m, f, log)
-        f.write("end\n")
+            logger.info(f" Writing time: {round(time.time()-start, 2)}s")
+
+    elif fn.suffix == ".mps":
+        if "highs" in solvers.available_solvers:
+            # Use very fast highspy implementation
+            # Might be replaced by custom writer, however needs C bindings for performance
+            h = m.to_highspy()
+            h.writeModel(str(fn))
+        else:
+            raise RuntimeError(
+                "Package highspy not installed. This is required to exporting to MPS file."
+            )
 
-        logger.info(f" Writing time: {round(time.time()-start, 2)}s")
+    else:
+
+        raise ValueError(
+            f"Cannot write problem to {fn}, file format `{fn.suffix}` not supported."
+        )
 
     return fn
 
@@ -262,6 +283,10 @@ def to_highspy(m):
     lower = np.where(M.sense != "<", M.b, -np.inf)
     upper = np.where(M.sense != ">", M.b, np.inf)
     h.addRows(num_cons, lower, upper, A.nnz, A.indptr, A.indices, A.data)
+    lp = h.getLp()
+    lp.row_names_ = "c" + M.clabels.astype(str).astype(object)
+    lp.col_names_ = "x" + M.vlabels.astype(str).astype(object)
+    h.passModel(lp)
     return h
 
 

test/test_io.py

@@ -15,6 +15,22 @@
 from linopy.io import float_to_str, int_to_str
 
 
+@pytest.fixture
+def m():
+    import gurobipy
+
+    m = Model()
+
+    x = m.add_variables(4, pd.Series([8, 10]))
+    y = m.add_variables(0, pd.DataFrame([[1, 2], [3, 4], [5, 6]]))
+
+    m.add_constraints(x + y, "<=", 10)
+
+    m.add_objective(2 * x + 3 * y)
+
+    return m
+
+
 def test_str_arrays():
     m = Model()
 
@@ -67,24 +83,35 @@ def test_to_netcdf(tmp_path):
 
 
 @pytest.mark.skipif("gurobi" not in available_solvers, reason="Gurobipy not installed")
-def test_to_file(tmp_path):
+def test_to_file_lp(m, tmp_path):
     import gurobipy
 
-    m = Model()
+    fn = tmp_path / "test.lp"
+    m.to_file(fn)
 
-    x = m.add_variables(4, pd.Series([8, 10]))
-    y = m.add_variables(0, pd.DataFrame([[1, 2], [3, 4], [5, 6]]))
+    gurobipy.read(str(fn))
 
-    m.add_constraints(x + y, "<=", 10)
 
-    m.add_objective(2 * x + 3 * y)
+@pytest.mark.skipif(
+    not {"gurobi", "highs"}.issubset(available_solvers),
+    reason="Gurobipy of highspy not installed",
+)
+def test_to_file_mps(m, tmp_path):
+    import gurobipy
 
-    fn = tmp_path / "test.lp"
+    fn = tmp_path / "test.mps"
     m.to_file(fn)
 
     gurobipy.read(str(fn))
 
 
+@pytest.mark.skipif("gurobi" not in available_solvers, reason="Gurobipy not installed")
+def test_to_file_invalid(m, tmp_path):
+    with pytest.raises(ValueError):
+        fn = tmp_path / "test.failedtype"
+        m.to_file(fn)
+
+
 @pytest.mark.skipif("gurobi" not in available_solvers, reason="Gurobipy not installed")
 def test_to_gurobipy(tmp_path):
     m = Model()