worc4021 / mex.highs

General

This repo provides a Matlab interface to the HiGHS solver. Two drivers are generated:

• highs_lp a miLP interface
• highs_qp a QP interface

The linear programming driver

The LP interface solves the problem formulation. We pass

[x,fVal,info] = highs_lp(c,A,[L,U])
[x,fVal,info] = highs_lp(c,A,[L,U],[l,u])
[x,fVal,info] = highs_lp(c,A,[L,U],[l,u],isIntegral)

where c, A, L, U, l, u have the meaning specified in the problem formulation and isIntegral is a logical array where true implies that an integer solution should be obtained. Missing bounds are passed by specifying them as inf or -inf accordingly.

The quadratic programming driver

The QP driver does not admit solving for mixed integer problems see the HiGHS documetation. The remainder of the interface is analogous to the LP interface

[x,fVal,info] = highs_qp(Q,c,A,[L,U])
[x,fVal,info] = highs_qp(Q,c,A,[L,U],[l,u])

where the only novelty is that the Hessian is passed as a triangular matrix.

The return structure

The info structure is contains the dual variables for both the constraint rows A as well as the bounds on the decision variable (denoted column within HiGHS). Furthermore, additional information on the status of the respective constraint is returned.

Building

The project is entirely based on cmake and should build straight out-of-the-box, given that a current version of cmake is installed. Unit tests, as well as presets for the main platforms are available.