Meta-ticket: Use Python optimization interfaces: PuLP, Pyomo, cylp...

[mkoeppe]

The purpose of this ticket is to

• connect SageMath to interfaces to optimization solvers that are maintained outside of the Sage project,
• integrate the related developer and user communities.

Status quo in Sage:

• Frontend class MixedIntegerLinearProgram
  • mutable (can call add_constraint, set_integer, new_variable etc. and then re-solve)
  • solver-independent and solver-specific parameters (solver_parameter)
  • widely used in Sage code
  • MIPVariable - indexed by arbitrary objects
  • some connections to Polyhedron class and to InteractiveLPProblem (didactical code)
• Backends, using Cython, with varying degrees of implementation quality
  • GLPK backend - complete, includes support for tableau data and GLPK's exact rational mode
  • COIN backend - very basic, no support for setting solver parameters such as time limit
  • CPLEX backend, Gurobi backend, CVXOPT backend, PPL backend
  • InteractiveLP backend - basic, provide LP only for algebraic LPs
• Very small developer community

Tickets:

• #28175 Move sage optimization backends to separate Cython packages to remove OptionalExtension problems
• Template for minimal Python-based backends (interactivelp_backend.pyx is implemented in Cython just because a Cython template was available)
• Replace basic Cython-based COIN backend by full-featured PuLP backend (gives access to many solvers)
• #19219 MILP: Add CyLP backend -- Replace basic Cython-based COIN backend by full-featured cylp backend (gives detailed access to CLP, including tableau data)
• PuLP backend implementation using Sage backends... to make exact backends such as InteractiveLP, PPL backend available to PuLP frontend users
  • can PuLP handle non-floating point data (for example for exact computation over rationals or number fields if the backend allows it?
  • this could be added to PuLP, rather than to Sage.
• Pyomo backend implementation using Sage backends... to make exact backends available to Pyomo frontend users
  • see above
• Check feasibility of replacing front end MixedIntegerLinearProgram by PuLP frontend or Pyomo frontend
  • can PuLP handle Sage's number types such as RDF and ZZ?
  • can Pyomo handle Sage's number types such as RDF and ZZ?

Related:

• #20302 Meta-ticket: Improvements to MixedIntegerLinearProgram, its backends, and InteractiveLinearProgram

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References:

Key Python software (solver-independent):

cvxpy - #31962

PuLP

• ​https://github.com/coin-or/pulp
• Installation with sage -pip install pulp works

• Frontend: a basic modeling system
  • example: ​https://github.com/coin-or/pulp/blob/master/examples/WhiskasModel1.py
  • need to compare its capabilities with the sage frontend
• Backends: some API-based and some file-based interfaces to various solvers, including:
  • COIN_CMD (COIN CBC via command line),
  • COINMP_DLL (CBC via COINMP C library API),
  • YAPOSIB (Python interface to COIN OSI, see below),
  • see ​solvers.py
• PuLP is currently looking for a co-maintainer (​https://github.com/coin-or/pulp/issues/183)

Pyomo

• ​http://www.pyomo.org/
• installation with sage -pip install pyomo works
• some file-based, some API-based interfaces (direct/persistent) - see ​solvers directory
• big system, under active development

YAPOSIB - Python interface to COIN OSI, using Boost::Python

• ​https://github.com/coin-or/yaposib
• Installation with sage -i boost && sage -pip install yaposib works
• incompatible open source license - EPL 1.0
• therefore we cannot use it as the basis for our solver-independent code
• could still be useful to be used via PuLP for solvers that don't have a direct PuLP backend

Python MIP (Mixed-Integer Linear Programming) Tools (new 2018)

• ​https://pypi.org/project/mip/
• ​https://github.com/coin-or/python-mip
• Eclipse Public License 2.0 (considered GPL-incompatible ​https://www.gnu.org/licenses/license-list.en.html#GPLCompatibleLicenses)
• requires Python 3.5 or newer

PICOS - a user friendly Python API to several conic and integer programming solvers, very much like YALMIP or CVX under MATLAB.

• runs under both Python 2 and Python 3
• GNU GPL v3
• ​https://gitlab.com/picos-api/picos
• ​https://pypi.org/project/PICOS/

Key Python software (solver-dependent):

scipy.optimize

• #32282 Add LP solver backends for HiGHS via scipy.optimize.linprog

GLPK

• it looks like ​​https://github.com/biosustain/swiglpk/releases is the best maintained. Excluding sage and cvxopt.
• see ​https://en.wikibooks.org/wiki/GLPK/Python for a list of other glpk bindings

cylp

• CyLP is a Python interface to COIN-OR’s Linear and mixed-integer program solvers (CLP, CBC, and CGL). CyLP’s unique feature is that you can use it to alter the solution process of the solvers from within Python. For example, you may define cut generators, branch-and-bound strategies, and primal/dual Simplex pivot rules completely in Python.
• is it maintained?? ​https://github.com/coin-or/CyLP/issues

cbcpy (new August 2019 according to ​​https://pypi.org/project/cbcpy/)

• upstream devs for cbc have published their own python interface ​​https://git.patrikdufresne.com/pdsl/cbcpy
• the fact that it uses swig may be an obstacle for immediate inclusion

Gurobi, CPLEX

• they come with their own standard Python APIs, which we could use instead of building our own cython interface
• related: #28175 - where we remove these cython modules from sagelib and ship them in separate packages instead

python-qsoptex

• ​https://github.com/jonls/python-qsoptex (see #18766)

PySCIPOpt

• #21003

Other relevant software

• PaPILO: Parallel Presolve for Integer and Linear Optimization (​https://github.com/lgottwald/PaPILO) - LGPL license, C++ library; used in SCIP

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Possible integration routes via Julia

• MathOptInterface - ​https://arxiv.org/pdf/2002.03447.pdf

[tmonteil]

This was in my plans for ​sage days84 at Olot, but i did not go further since then. Also, there is ​Numberjack, which seems pretty general. Looking quickly at the repositories, it seems that neither Numberjack nor PuLP were modified recently (though we could contact the authors to see if they have plans for the future).

[dcoudert]

I have the same feeling that PuLP has only minimal maintenance these days. Also, there is a significant effort in the OR community with Julia ​http://www.juliaopt.org/.

[mkoeppe]

Andrew Mason commented by email:

PuLP is actively developed. It had a release last week. ​https://github.com/coin-or/pulp I know the developer Stuart Mitchell if you have any questions.

[mkoeppe]

Added Python-MIP

[mkoeppe]

​https://pypi.org/project/mip/ looks good. Too bad we can't use it because its license, Eclipse Public License 2.0, is used without a Secondary Licenses Notice that would make it instantly GPL-compatible.

[dimpase]

Replying to mkoeppe:

​https://pypi.org/project/mip/ looks good. Too bad we can't use it because its license, Eclipse Public License 2.0, is used without a Secondary Licenses Notice that would make it instantly GPL-compatible.

it's py3 only, by the way.

W.r.t. licenses, maybe we can ask the authors for a fix?

[mkoeppe]

Added info on cbcpy and glpk from fbissey in #28175.

[mkoeppe]

Replying to dimpase:

Replying to mkoeppe:

​https://pypi.org/project/mip/ looks good. Too bad we can't use it because its license, Eclipse Public License 2.0, is used without a Secondary Licenses Notice that would make it instantly GPL-compatible.

it's py3 only, by the way.

W.r.t. licenses, maybe we can ask the authors for a fix?

Good idea... please go ahead.

[mkoeppe]

Moving some tickets to 9.2. This is not a promise that I will be working on them.

[mkoeppe]

Sage development has entered the release candidate phase for 9.3. Setting a new milestone for this ticket based on a cursory review of ticket status, priority, and last modification date.