Matrix Interface for Python

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7 comments

  • Jakob Schelbert

    Hi Johannes,

    I think the main reason why python does not provide a raw interface is that the high-level API is MUCH better in terms of debugging and extending a model while the overhead is minimal. Could you elaborate a bit more what exactly makes the interface not suited for your needs?

    In my experience building a model by creating a matrix first and then feeding it to gurobi (or any other LP/MIP solver) is very cumbersome and error prone as you have to keep track of all the indices for yourself. In contrast, the API provided by gurobi allows a nice expressive way of creating a model. For example if I have to add some additional constraints and variables to an existing model I can do this directly via the addVars and addConstrs constructors and do not have to adjust any matrix that would involve inconvenient adjustments involving indices.

    You could also easily create a small function that takes a matrix and creates variables and constraints automatically...

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  • Robert Luce

    It is correct that you cannot directly pass such matrix based data to gurobipy, so that you need another "conversion" step from this data to the modeling objects within gurobipy.  What data structures do you currently use (or would like to use?) to represent Q, c, A and b?

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  • Johannes Tenhumberg
    I currently work with the python interface of osqp. 
    I want to solve linearisations / convexifications of robot motions for varying scenarios of
    in the workspace.
    Osqp was easy to integrate into the rest of my code, but it is not as fast as I have hoped.
    Therefore I wanted to try gurobi and compare the two tools for my use case.

    But with this iterative way gurobi takes way longer to build the model than osqp.
    I would expect a speed-up if all the information could be passed in one step
    (I suppose gurobi builds the matrices internal anyway).

    Maybe i will find the time to write a wrapper witch calls the C routine directly,
    but i have hoped, that such a thing exists already.
    Ideally I want to use scipy sparse matrices and numpy arrays.

     

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  • Jakob Schelbert

    Hi Johannes,

    you could try to use cvxpy (https://www.cvxpy.org/examples/basic/quadratic_program.html) as an intermediate interface to gurobi. From what I've seen it should offer a similar interface as osqp and can use gurobi as a solver. But be aware that this brings another layer and thus some overhead when building the model.

    Do you solve a series of smaller problems or is it rather one (or a small bunch of) bigger model? If it's the latter case, the overhead might not be a problem but if building the model takes also a non-negligible percentage of the overall time, going with a self coded function that takes the matrices/vectors and builds a model (or even going with calling the C API) might be better suited for your application.

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  • Eli Towle

    The Gurobi 9.0 Python API supports matrix-oriented modeling with NumPy and SciPy matrices. A good place to learn about it is the documentation for the MLinExpr object and the matrix1.py example.

    Thanks!

    Eli

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  • Sven Rahmann

    So I'm experimenting with the matrix API in a model.

    While it looks helpful, a downside is that an MLinExpr is something completely different from a LinExpr and the two cannot be combined.

    Concrete example:

    I want to take a weighted sum of all elements of a matrix A; someting like (w*A).sum(), where A is a matrix of variables, and w is a (same-size) matrix of constant numbers (element-wise multiplication).

    Of course, it doesn't work as written, so I tried the "old" way with quicksum(A[i,j]*w[i,j] for i ... for j ...),

    but since the product A[i,j]*w[i,j] is an MLinExpr it cannot be used within a quicksum().

    Any suggestions on how to write a weighted sum of all matrix elements?

    Sven

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  • Robert Luce

    Hello Sven,

    our first step towards a matrix friendly API for gurobipy indeed lacks such operations like pointwise multiplication with MVar objects, but I have taken note of this feature request.  A workaround without resorting to the scalar level would be to do

    import gurobipy as gp
    import numpy as np

    n = 100
    m = gp.Model()
    A = m.addMVar((n,n))
    w = np.random.rand(n,n)
    m.addConstr(sum(A[:,i] @ w[:,i] for i in range(n)) <= 42)

    Robert

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