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

Posted 4 years ago

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?

POSTED BY: Han Wu
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