MathOptInterface

Each mathematical optimization solver API has its own concepts and data structures for representing optimization models and obtaining results. However, it is often desirable to represent an instance of an optimization problem at a higher level so that it is easy to try using different solvers.

MathOptInterface.jl (MOI) is an abstraction layer designed to provide a unified interface to mathematical optimization solvers so that users do not need to understand multiple solver-specific APIs.

MOI can be used directly, or through a higher-level modeling interface like JuMP.

Background

MOI has been designed to replace MathProgBase, which was been used by modeling packages such as JuMP and Convex.jl.

This second-generation abstraction layer addresses a number of limitations of MathProgBase. MOI is designed to:

• Be simple and extensible, unifying linear, quadratic, and conic optimization, and seamlessly facilitate extensions to essentially arbitrary constraints and functions (e.g., indicator constraints, complementarity constraints, and piecewise-linear functions)
• Be fast by allowing access to a solver's in-memory representation of a problem without writing intermediate files (when possible) and by using multiple dispatch and avoiding requiring containers of nonconcrete types
• Allow a solver to return multiple results (e.g., a pool of solutions)
• Allow a solver to return extra arbitrary information via attributes (e.g., variable- and constraint-wise membership in an irreducible inconsistent subset for infeasibility analysis)
• Provide a greatly expanded set of status codes explaining what happened during the optimization procedure
• Enable a solver to more precisely specify which problem classes it supports
• Enable both primal and dual warm starts
• Enable adding and removing both variables and constraints by indices that are not required to be consecutive
• Enable any modification that the solver supports to an existing model
• Avoid requiring the solver wrapper to store an additional copy of the problem data

Sections of this documentation

There are two main sections to this documentation.

The manual introduces the concepts needed to understand MOI and gives a high-level picture of how all of the pieces fit together. The primary focus of Basic usage is on MOI from the perspective of a user of the interface. The section Advanced usage provides more detail on advanced topics such as Duality. The manual also has a section on Implementing a solver interface.

In addition to the basic API, MathOptInterface.jl contains a number of submodules to help users interact with a model in MathOptInterface form. These include:

• The Benchmarks submodule
• The Bridges submodule
• The FileFormats submodule
• The Utilities submodule
• The Test submodule

The API Reference page lists the complete API.

Further reading

A paper describing the design and features of MathOptInterface is available on arXiv.

If you find MathOptInterface useful in your work, we kindly request that you cite the following paper:

@misc{
    legat2020mathoptinterface,
    title = {MathOptInterface: a data structure for mathematical optimization problems},
    author = {Beno{\^i}t Legat and Oscar Dowson and Joaquim Dias Garcia and Miles Lubin},
    year = {2020},
    eprint = {2002.03447},
    archivePrefix = {arXiv},
    primaryClass = {math.OC},
    url = {https://arxiv.org/abs/2002.03447},
}