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Export a linear or mixed-integer linear programming problem as .MPS

Posted 1 year ago
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A quick question: How to export a linear or mixed-integer linear programming problem as ".MPS"?

Mathematica can import a ".MPS" file. That's great because I am used to be a heavy user of GMAS. Now my old GAMS file can be loaded in Mathematica and uses the powerful calculation and presentation capability of Wolfram language.

But, it seems that the Mathematica doesn't have an interface between GAMS. I mean, the ".MPS" file is read-only in Mathematica. I did not find any document about how to export the ".MPS" file in Mathematica.

Many of my GAMS models are large-size optimization problem, which cannot be easily solved by the function Minimize or NMinimize. I would like to use other conic optimization functions like LinearOptimization and SecondOrderConeOptimization, but some of them require a Matrixform of constraints, which is impossible for me to translate such huge optimization problems. So, is there any way to help me transform the optimization problem to Matrixforms automatically?

I would like to know this as well, but actually for the opposite reason—I have a large MIP program modelled in Mathematica that I want to export to run remotely on NEOS.

It’s worth noting that the new Optimization methods are usually pretty generous about taking algebraic forms of constraints. You can usually pass the same variable forms that Maximize takes, and you can also use arbitrary index sets, which is quite nice if you prefer to write (or import) models more in an AMPL or GAMS style.

The system is generally pretty good at determining conic forms from algebraic expressions, although certain transformation “tricks” aren’t supported automatically, especially for fancier cones.

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