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How to frame a large scale optimization in python calling a SCIP solver

I'm trying to use SCIP through python and I have installed SCIP optimization suite 3.2.1. I have problem framing my optimization question through PYSCIPOPT. As I have 2000+ variables to solve, I am wondering can I use matrix notation to frame the question in python?

Solution

  • No, this is not possible, because SCIP is constraint based and does not rely on a central matrix structure. A problem with 2000 variables is not at all large, by the way and should be processed within a a second.

    This is how you would transform a quadratic constraint matrix Q of size 2:

    Q = [a b;c d], x = [x1; x2]
x'Qx = ax1^2 + dx2^2 + (b+c)x1x2

    This can then be passed to SCIP with the addCons() method.