README.md

Cardinality Constrained Quadratic Optimization Solver (cardsol)

cardsol is a small package for solving mathematical optimization problems of convex Cardinality Constrained Quadratic Optimization (CCQP) problems.

cardsol translates the CCQP problem into a Mixed-Integer Quadratic Programming (MIQP) problem and provides the following algorithms to solve it:

1. Outer Approximation (OA) method
2. LP/NLP based Branch and Bound method

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Dependencies

1. Scipy
2. Numpy
3. Gurobipy and gurobi solver

Install

pip install cardsol

Example: Random convex CCQP

Imports

from numpy.random import randn, rand
from numpy import eye
from time import time
from cardsol.problem.constraints import LinearConstraint
from cardsol.problem.functions import QuadraticForm
from cardsol.problem.model import QPModel
from cardsol.problem.objective import QPObjective
from cardsol.problem.variables import Variable
from cardsol.solver.outer_lpnlp.solver import CCQPSolver, LPNLPCCQPSolver

Define problem Data

n = ...     # number of variables
k = int(n / 2) # level of cardinality
m = 1
maxiter = 100

Q = rand(n, n) 
Q = Q + Q.T
Q = Q.T @ Q     # Hessian Matrix
c = randn(n, 1) # gradient vector   

Define the model

x = Variable(shape = (n, 1), name = "x")

obj_func = QuadraticForm(Q, c, x)

objective = QPObjective(obj_func, sense = "minimize")

constr = LinearConstraint()

model = QPModel(objective, constr)

Instantiate Solvers

multiple_tree = CCQPSolver(model)

single_tree = LPNLPCCQPSolver(model)

Solve the model

start_single = time()
obj_2 = single_tree.solve(k, m)
end_single = time() - start_single

start_multiple = time()
_, obj_1 = multiple_tree.solve(k, m, 100)
end_multiple = time() - start_multiple

Creating Docker Image

sudo docker build .