ENH: optimize: add HiGHS methods to linprog (scipy#12043)

Joezhaonn · Nov 15, 2020 · 232092a · 232092a
1 parent 47b132c
commit 232092a
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Showing 278 changed files with 88,973 additions and 185 deletions.
diff --git a/.gitignore b/.gitignore
@@ -276,3 +276,6 @@ scipy/optimize/_group_columns.c
 scipy/optimize/cython_optimize/_zeros.c
 scipy/optimize/cython_optimize/_zeros.pyx
 scipy/optimize/lbfgsb/_lbfgsbmodule.c
+scipy/optimize/_highs/cython/src/highs_wrapper.cxx
+scipy/optimize/_highs/cython/src/mpswriter.cxx
+scipy/optimize/_highs/cython/src/constants.cxx
diff --git a/LICENSES_bundled.txt b/LICENSES_bundled.txt
@@ -200,3 +200,8 @@ License:
   CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
   OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
   OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+Name: HiGHS
+Files: scipy/optimize/_highs/*
+License: MIT
+  For details, see scipy/optimize/_highs/LICENCE
diff --git a/benchmarks/benchmarks/optimize_linprog.py b/benchmarks/benchmarks/optimize_linprog.py
@@ -35,7 +35,9 @@
 
 methods = [("interior-point", {"sparse": True}),
            ("interior-point", {"sparse": False}),
-           ("revised simplex", {})]
+           ("revised simplex", {}),
+           ("highs-ipm", {}),
+           ("highs-simplex", {})]
 rr_methods = [_remove_redundancy_svd, _remove_redundancy_pivot_sparse,
               _remove_redundancy_pivot_dense, _remove_redundancy_id]
 presolve_methods = ['sparse', 'dense']

diff --git a/doc/source/optimize.linprog-highs-ds.rst b/doc/source/optimize.linprog-highs-ds.rst
@@ -0,0 +1,8 @@
+.. _optimize.linprog-highs-ds:
+
+linprog(method='highs-ds')
+----------------------------------------
+
+.. scipy-optimize:function:: scipy.optimize.linprog
+   :impl: scipy.optimize._linprog._linprog_highs_ds_doc
+   :method: highs-ds
diff --git a/doc/source/optimize.linprog-highs-ipm.rst b/doc/source/optimize.linprog-highs-ipm.rst
@@ -0,0 +1,8 @@
+.. _optimize.linprog-highs-ipm:
+
+linprog(method='highs-ipm')
+----------------------------------------
+
+.. scipy-optimize:function:: scipy.optimize.linprog
+   :impl: scipy.optimize._linprog._linprog_highs_ipm_doc
+   :method: highs-ipm
diff --git a/doc/source/optimize.linprog-highs.rst b/doc/source/optimize.linprog-highs.rst
@@ -0,0 +1,8 @@
+.. _optimize.linprog-highs:
+
+linprog(method='highs')
+----------------------------------------
+
+.. scipy-optimize:function:: scipy.optimize.linprog
+   :impl: scipy.optimize._linprog._linprog_highs_doc
+   :method: highs
diff --git a/doc/source/optimize.linprog-interior-point.rst b/doc/source/optimize.linprog-interior-point.rst
@@ -4,5 +4,5 @@ linprog(method='interior-point')
 ----------------------------------------
 
 .. scipy-optimize:function:: scipy.optimize.linprog
-   :impl: scipy.optimize._linprog._linprog_ip
+   :impl: scipy.optimize._linprog._linprog_ip_doc
    :method: interior-point
diff --git a/doc/source/optimize.linprog-revised_simplex.rst b/doc/source/optimize.linprog-revised_simplex.rst
@@ -4,5 +4,5 @@ linprog(method='revised simplex')
 ----------------------------------------
 
 .. scipy-optimize:function:: scipy.optimize.linprog
-   :impl: scipy.optimize._linprog._linprog_rs
+   :impl: scipy.optimize._linprog._linprog_rs_doc
    :method: revised_simplex
diff --git a/doc/source/optimize.linprog-simplex.rst b/doc/source/optimize.linprog-simplex.rst
@@ -4,5 +4,5 @@ linprog(method='simplex')
 ----------------------------------------
 
 .. scipy-optimize:function:: scipy.optimize.linprog
-   :impl: scipy.optimize._linprog._linprog_simplex
+   :impl: scipy.optimize._linprog._linprog_simplex_doc
    :method: simplex
diff --git a/scipy/optimize/__init__.py b/scipy/optimize/__init__.py
@@ -247,8 +247,12 @@
    optimize.linprog-simplex
    optimize.linprog-interior-point
    optimize.linprog-revised_simplex
+   optimize.linprog-highs-ipm
+   optimize.linprog-highs-ds
+   optimize.linprog-highs
 
-The simplex method supports callback functions, such as:
+The simplex, interior-point, and revised simplex methods support callback
+functions, such as:
 
 .. autosummary::
    :toctree: generated/