MPS format exporting tool

Convert linear programming problem (MATLAB matrices) to MPS format

Description

Build MPS matrix string that contains linear programming problem:

Minimizing (for x in R^n): f(x) = cost'*x, subject to
      A*x <= b (LE)
      Aeq*x = beq (EQ)
      L <= x <= U (BD).

Only single rhs (b and beq) is supported.

The MPS file format was introduced for an IBM program, but has also been
accepted by most subsequent linear programming codes.

To learn about MPS format, please see:
  http://lpsolve.sourceforge.net/5.5/mps-format.htm
http://www-fp.mcs.anl.gov/OTC/Guide/OptWeb/continuous/constrained/linearprog/mps.html

• Acknowledgements: This submission has inspired the following:; Extract solution from CPLEX .sol file
• MATLAB release: MATLAB 7.6 (R2008a)

[Thomas Trötscher]

Works nicely with ILOG CPLEX 11 at least

[kostas]

Dear Bruno

I was wondering if it is possible to add a new feature to the MPS exporting tool, i.e. to support also quadratic constraints. In other words, to support quadratically constrained optimization problems:

Minimizing (for x in R^n): f(x) = c' * x,
subject to
      1/2 x' * Q * x + r * x <= bquad
      A*x <= b (LE)
      Aeq*x = beq (EQ)
      L <= x <= U (BD).

thanks in advance, kostas

[kostas]

Dear Bruno

any news about the above extension to the MPS exporting tool?

[Bruno Luong]

Extended MPS with quadratic terms is submitted (kostas's request). I have just implemented according to the reference document. However I cannot test since I do not access to any solver that supports this format.