Add the Xpress Optimizer to CVXPy (cvxpy#382)

* Introduced extra fields in XpressProblem

* add option for explicit QCQP formation

* adding IIS and name setting

* pass IIS as dictionary rather than tuple; more meaningful (and hopefully correct) name assignment to variables and constraints

* finished correspondence between original rows and transformed constraints. Same for variables and IIS

* Added transferRow as explicit member of XpressProblem

* create transfRow in any case

* removed import math

* Updating constants TROW, IIS to have an XPRESS_ prefix

* Add documentation, installation instructions, and examples for Xpress

* flake8 compliance

* Remove import xpress from root of xpress_intf.py

* Import the xpress module in functions using its members

* avoid importing xpress when defining the XPRESS class

* flake8 compliance

cvxpy/__init__.py

@@ -24,7 +24,7 @@
 from cvxpy.problems.solvers.utilities import installed_solvers
 from cvxpy.error import SolverError
 from cvxpy.settings import (CVXOPT, GLPK, GLPK_MI, CBC, JULIA_OPT,
-                            ECOS, ECOS_BB, SCS, GUROBI, ELEMENTAL, MOSEK, LS,
+                            ECOS, ECOS_BB, SCS, GUROBI, ELEMENTAL, MOSEK, LS, XPRESS,
                             OPTIMAL, UNBOUNDED, INFEASIBLE, SOLVER_ERROR, ROBUST_KKTSOLVER,
                             OPTIMAL_INACCURATE, UNBOUNDED_INACCURATE, INFEASIBLE_INACCURATE)
 from cvxpy.transforms import linearize, partial_optimize, indicator

cvxpy/problems/solvers/utilities.py

@@ -26,10 +26,11 @@
 from cvxpy.problems.solvers.mosek_intf import MOSEK
 from cvxpy.problems.solvers.ls_intf import LS
 from cvxpy.problems.solvers.julia_opt_intf import JuliaOpt
+from cvxpy.problems.solvers.xpress_intf import XPRESS
 
 solver_intf = [ECOS(), ECOS_BB(), CVXOPT(), GLPK(),
                GLPK_MI(), CBC(), SCS(), GUROBI(),
-               Elemental(), MOSEK(), LS(), JuliaOpt()]
+               Elemental(), MOSEK(), LS(), JuliaOpt(), XPRESS()]
 SOLVERS = {solver.name(): solver for solver in solver_intf}