diff --git a/Project.toml b/Project.toml
index 7c5967d887b..5b7a6c3dfb5 100644
--- a/Project.toml
+++ b/Project.toml
@@ -5,6 +5,8 @@ version = "0.20.0"
 
 [deps]
 Calculus = "49dc2e85-a5d0-5ad3-a950-438e2897f1b9"
+CodecBzip2 = "523fee87-0ab8-5b00-afb7-3ecf72e48cfd"
+CodecXz = "ba30903b-d9e8-5048-a5ec-d1f5b0d4b47b"
 CodecZlib = "944b1d66-785c-5afd-91f1-9de20f533193"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
@@ -13,7 +15,6 @@ MathOptFormat = "f4570300-c277-12e8-125c-4912f86ce65d"
 MathOptInterface = "b8f27783-ece8-5eb3-8dc8-9495eed66fee"
 NaNMath = "77ba4419-2d1f-58cd-9bb1-8ffee604a2e3"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
-Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
 SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
diff --git a/src/JuMP.jl b/src/JuMP.jl
index 3bc3684e698..37791357741 100644
--- a/src/JuMP.jl
+++ b/src/JuMP.jl
@@ -17,6 +17,8 @@ import MathOptInterface
 const MOI = MathOptInterface
 const MOIU = MOI.Utilities
 using MathOptFormat
+import CodecBzip2
+import CodecXz
 import CodecZlib
 
 import Calculus
diff --git a/src/file_formats.jl b/src/file_formats.jl
index f269992a91b..afe54e09804 100644
--- a/src/file_formats.jl
+++ b/src/file_formats.jl
@@ -22,11 +22,15 @@ end
 List of accepted export compression formats. `AUTOMATIC_FILE_COMPRESSION`
 corresponds to a detection from the file name.
 """
-@enum(FileCompression, NO_FILE_COMPRESSION, GZIP, AUTOMATIC_FILE_COMPRESSION)
+@enum(FileCompression, NO_FILE_COMPRESSION, BZIP2, GZIP, XZ, AUTOMATIC_FILE_COMPRESSION)
 
 function _filename_to_compression(filename::String)
-    return if endswith(filename, ".gz")
+    return if endswith(filename, ".bz2")
+        BZIP2
+    elseif endswith(filename, ".gz")
         GZIP
+    elseif endswith(filename, ".xz")
+        XZ
     else
         NO_FILE_COMPRESSION
     end
@@ -37,8 +41,14 @@ function _open(f::Function, filename::String, mode::String; compression::FileCom
         compression = _filename_to_compression(filename)
     end
 
-    if compression == GZIP
-        stream = (mode == "r") ? CodecZlib.GzipDecompressorStream : CodecZlib.GzipCompressorStream
+    if compression == BZIP2 || compression == GZIP || compression == XZ
+        stream = if compression == BZIP2
+            (mode == "r") ? CodecBzip2.Bzip2DecompressorStream : CodecBzip2.Bzip2CompressorStream
+        elseif compression == GZIP
+            (mode == "r") ? CodecZlib.GzipDecompressorStream : CodecZlib.GzipCompressorStream
+        else # compression == XZ
+            (mode == "r") ? CodecXz.XzDecompressorStream : CodecXz.XzCompressorStream
+        end
         return open(f, stream, filename, mode)
     else
         return open(f, filename, mode)
@@ -77,8 +87,6 @@ function write_to_file(model::Model, filename::String; format::FileFormat=AUTOMA
         format = _filename_to_format(filename)
     end
 
-    # println((filename, "w", compression))
-
     _open(filename, "w", compression=compression) do io
         write_to_file(model, io, format; kwargs...)
     end