Merge pull request #4505 from rte-france/feature/xpress_mathopt_from_google_main

Add XPRESS support to MathOpt (LP & QP)

Author: lperron

ortools/linear_solver/xpress_interface.cc

@@ -203,13 +203,6 @@ void interruptXPRESS(XPRSprob& xprsProb, CUSTOM_INTERRUPT_REASON reason) {
   XPRSinterrupt(xprsProb, 1000 + reason);
 }
 
-enum XPRS_BASIS_STATUS {
-  XPRS_AT_LOWER = 0,
-  XPRS_BASIC = 1,
-  XPRS_AT_UPPER = 2,
-  XPRS_FREE_SUPER = 3
-};
-
 // In case we need to return a double but don't have a value for that
 // we just return a NaN.
 #if !defined(XPRS_NAN)

ortools/math_opt/cpp/parameters.cc

@@ -85,6 +85,8 @@ std::optional<absl::string_view> Enum<SolverType>::ToOptString(
       return "highs";
     case SolverType::kSantorini:
       return "santorini";
+    case SolverType::kXpress:
+        return "xpress";
   }
   return std::nullopt;
 }

ortools/math_opt/cpp/parameters.h

@@ -109,6 +109,12 @@ enum class SolverType {
   // Slow/not recommended for production. Not an LP solver (no dual information
   // returned).
   kSantorini = SOLVER_TYPE_SANTORINI,
+
+  // Fico XPRESS solver (third party).
+  //
+  // Supports LP, MIP, and nonconvex integer quadratic problems.
+  // A fast option, but has special licensing.
+  kXpress = SOLVER_TYPE_XPRESS
 };
 
 MATH_OPT_DEFINE_ENUM(SolverType, SOLVER_TYPE_UNSPECIFIED);

ortools/math_opt/parameters.proto

@@ -105,6 +105,12 @@ enum SolverTypeProto {
   // Slow/not recommended for production. Not an LP solver (no dual information
   // returned).
   SOLVER_TYPE_SANTORINI = 11;
+
+  // Fico XPRESS solver (third party).
+  //
+  // Supports LP, MIP, and nonconvex integer quadratic problems.
+  // A fast option, but has special licensing.
+  SOLVER_TYPE_XPRESS = 12;
 }
 
 // Selects an algorithm for solving linear programs.

ortools/math_opt/solver_tests/base_solver_test.cc

@@ -50,6 +50,9 @@ bool ActivatePrimalRay(const SolverType solver_type, SolveParameters& params) {
       return false;
     case SolverType::kHighs:
       return false;
+    case SolverType::kXpress:
+      // TODO: support XPRESS
+      return false;
     default:
       LOG(FATAL)
           << "Solver " << solver_type
@@ -82,6 +85,9 @@ bool ActivateDualRay(const SolverType solver_type, SolveParameters& params) {
       return false;
     case SolverType::kHighs:
       return false;
+    case SolverType::kXpress:
+      // TODO: support XPRESS
+      return false;
     default:
       LOG(FATAL)
           << "Solver " << solver_type

ortools/math_opt/solvers/CMakeLists.txt

@@ -40,6 +40,11 @@ if(NOT USE_SCIP)
   list(FILTER _SRCS EXCLUDE REGEX "/gscip_.*.h$")
   list(FILTER _SRCS EXCLUDE REGEX "/gscip_.*.cc$")
 endif()
+if(NOT USE_XPRESS)
+  list(FILTER _SRCS EXCLUDE REGEX "/xpress/")
+  list(FILTER _SRCS EXCLUDE REGEX "/xpress_.*.h$")
+  list(FILTER _SRCS EXCLUDE REGEX "/xpress_.*.cc$")
+endif()
 target_sources(${NAME} PRIVATE ${_SRCS})
 set_target_properties(${NAME} PROPERTIES POSITION_INDEPENDENT_CODE ON)
 target_include_directories(${NAME} PUBLIC
@@ -233,3 +238,34 @@ if(USE_HIGHS)
       "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_status_tests>"
   )
 endif()
+
+if(USE_XPRESS)
+  ortools_cxx_test(
+          NAME
+          math_opt_solvers_xpress_solver_test
+          SOURCES
+          "xpress_solver_test.cc"
+          LINK_LIBRARIES
+          GTest::gmock
+          GTest::gmock_main
+          absl::status
+          ortools::math_opt_matchers
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_callback_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_invalid_input_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_generic_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_infeasible_subsystem_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_ip_model_solve_parameters_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_ip_parameter_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_logical_constraint_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_lp_incomplete_solve_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_lp_model_solve_parameters_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_lp_parameter_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_lp_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_mip_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_multi_objective_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_status_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_qp_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_second_order_cone_tests>"
+          "$<LINK_LIBRARY:WHOLE_ARCHIVE,ortools::math_opt_qc_tests>"
+  )
+endif()