Gurobi

One of the first technology choices to make when setting up an optimization stack is which modeling interface to use. Even if we restrict our choices to Python interfaces for MIP modeling, there are lots of options to consider. If you use a specific solver, you can opt for its native Python interface. Examples include libraries like gurobipy, Fusion, highspy, or PySCIPOpt. This approach provides access to important solver-specific features such as lazy constraints, heuristics, and various solver settings....

Note: This post was updated to work with Python 3 and the 2nd edition of “Integer Programming” by Laurence Wolsey. We’ve been studying Lagrangian Relaxation (LR) in the Advanced Topics in Combinatorial Optimization course I’m taking this term, and I had some difficulty finding a simple example covering its application. In case anyone else finds it useful, I’m posting a Python version for solving the Generalized Assignment Problem (GAP). This won’t discuss the theory of LR at all, just give example code using Gurobi....