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scipquadprog

SCIP Mixed Integer Quadratic Programming using

I want to use SCIP included in my source code (C++) to solve a MIQP and did not find how to do it besides this FAQ entry:

Nonlinear objective functions are not supported by SCIP and must be modeled as constraint function. Note, that the support for non-quadratic nonlinear constraints is still in a BETA-stadium and not yet as robust as the rest of SCIP. Missing bounds on nonlinear variables and tiny or huge coefficients can easily lead to numerical problems, which can be avoided by careful modeling.

I already managed to construct the expression tree for the objective function. I would like to know:

  • If MIQP's must me modeled as MINLP's, then how does this constraint function modelling work? Is the upper bound changeable?
  • If there are specific methods for MIQP's, where can I found documentation about it?
Solution

  • Have a look at the examples at http://scip.zib.de/doc/examples/CallableLibrary/

    If you just want quadratic, then you can create quadratic constraints directly in SCIP using the constraint handler for quadratic constraints: http://scip.zib.de/doc/html/cons__quadratic_8h.php

    For the methods used by SCIP to handle the quadratic parts of an MIQP, see http://nbn-resolving.de/urn:nbn:de:0297-zib-59377 and the references therein.