Merge pull request scipy#11759 from mdhaber/linprog_highs

ENH: optimize: add HiGHS methods to linprog

benchmarks/benchmarks/optimize_linprog.py

@@ -39,7 +39,9 @@
 
 methods = [("interior-point", {"sparse": True}),
            ("interior-point", {"sparse": False}),
-           ("revised simplex", {})]
+           ("revised simplex", {}),
+           ("highs-ipm", {}),
+           ("highs-simplex", {})]
 rr_methods = [_remove_redundancy, _remove_redundancy_dense,
               _remove_redundancy_sparse]
 presolve_methods = ['sparse', 'dense']

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
+   :method: highs-ipm

doc/source/optimize.linprog-highs-simplex.rst

@@ -0,0 +1,8 @@
+.. _optimize.linprog-highs-simplex:
+
+linprog(method='highs-simplex')
+----------------------------------------
+
+.. scipy-optimize:function:: scipy.optimize.linprog
+   :impl: scipy.optimize._linprog._linprog_highs
+   :method: highs-simplex

scipy/optimize/.gitignore

@@ -0,0 +1,6 @@
+
+# Ignore cython generated files for HiGHS integration
+_highs/pyHiGHS/src/highs_wrapper.cxx
+_highs/pyHiGHS/src/linprog.cxx
+_highs/pyHiGHS/src/linprog_mps.cxx
+_highs/pyHiGHS/src/mpswriter.cxx

scipy/optimize/__init__.py

@@ -247,8 +247,11 @@
    optimize.linprog-simplex
    optimize.linprog-interior-point
    optimize.linprog-revised_simplex
+   optimize.linprog-highs-ipm
+   optimize.linprog-highs-simplex
 
-The simplex method supports callback functions, such as:
+The simplex, interior-point, and revised simplex methods support callback
+functions, such as:
 
 .. autosummary::
    :toctree: generated/

scipy/optimize/_highs/.clang-format

@@ -0,0 +1,8 @@
+# We'll use defaults from the LLVM style, but with 4 columns indentation.
+BasedOnStyle: Google
+---
+Language: Cpp
+# Force pointers to the type for C++.
+DerivePointerAlignment: false
+PointerAlignment: Left
+IncludeBlocks: Regroup

scipy/optimize/_highs/.github/workflows/build-clang.yml

@@ -0,0 +1,39 @@
+name: build-clang
+
+on: ["pull_request"]
+
+jobs:
+  debug:
+
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        os: [ubuntu-latest]
+
+    steps:
+    - uses: actions/checkout@v1
+
+    - name: Create Build Environment
+      run: cmake -E make_directory ${{runner.workspace}}/build
+
+    - name: Configure CMake
+      shell: bash
+      working-directory: ${{runner.workspace}}/build
+      run: cmake $GITHUB_WORKSPACE -DCMAKE_BUILD_TYPE=DEBUG
+
+    - name: Build
+      working-directory: ${{runner.workspace}}/build
+      shell: bash
+      # Execute the build.  You can specify a specific target with "--target <NAME>"
+      run: |
+         export CC=clang
+         export CC=clang++
+         cmake --build . --config DEBUG
+
+
+    - name: Test
+      working-directory: ${{runner.workspace}}/build
+      shell: bash
+      # Execute tests defined by the CMake configuration.
+      # See https://cmake.org/cmake/help/latest/manual/ctest.1.html for more detail
+      run: ctest -C $BUILD_TYPE

scipy/optimize/_highs/.github/workflows/build-windows.yml

@@ -0,0 +1,72 @@
+name: build-windows
+
+on: ["push", "pull_request"]
+
+jobs:
+  windows_release:
+    runs-on: windows-latest
+
+    steps:
+    - uses: actions/checkout@v1
+
+    - name: Create Build Environment
+      # Some projects don't allow in-source building, so create a separate build directory
+      # We'll use this as our working directory for all subsequent commands
+      run: cmake -E make_directory ${{runner.workspace}}/build
+
+    - name: Configure CMake
+      # Use a bash shell so we can use the same syntax for environment variable
+      # access regardless of the host operating system
+      shell: bash
+      working-directory: ${{runner.workspace}}/build
+      # Note the current convention is to use the -S and -B options here to specify source
+      # and build directories, but this is only available with CMake 3.13 and higher.
+      # The CMake binaries on the Github Actions machines are (as of this writing) 3.12
+      run: cmake $GITHUB_WORKSPACE -DOPENMP=OFF
+
+    - name: Build
+      working-directory: ${{runner.workspace}}/build
+      shell: bash
+      # Execute the build.  You can specify a specific target with "--target <NAME>"
+      run: cmake --build . --config RELEASE
+
+    - name: Test
+      working-directory: ${{runner.workspace}}/build
+      shell: bash
+      # Execute tests defined by the CMake configuration.
+      # See https://cmake.org/cmake/help/latest/manual/ctest.1.html for more detail
+      run: ctest -C RELEASE
+
+#   windows_debug:
+#     runs-on: windows-latest
+
+#     steps:
+#     - uses: actions/checkout@v1
+
+#     - name: Create Build Environment
+#       # Some projects don't allow in-source building, so create a separate build directory
+#       # We'll use this as our working directory for all subsequent commands
+#       run: cmake -E make_directory ${{runner.workspace}}/build
+
+#     - name: Configure CMake
+#       # Use a bash shell so we can use the same syntax for environment variable
+#       # access regardless of the host operating system
+#       shell: bash
+#       working-directory: ${{runner.workspace}}/build
+#       # Note the current convention is to use the -S and -B options here to specify source
+#       # and build directories, but this is only available with CMake 3.13 and higher.
+#       # The CMake binaries on the Github Actions machines are (as of this writing) 3.12
+#       run: cmake $GITHUB_WORKSPACE -DOPENMP=OFF -DCMAKE_BUILD_TYPE=DEBUG
+
+#     - name: Build
+#       working-directory: ${{runner.workspace}}/build
+#       shell: bash
+#       # Execute the build.  You can specify a specific target with "--target <NAME>"
+#       run: cmake --build . --config DEBUG
+
+#     - name: Test
+#       working-directory: ${{runner.workspace}}/build
+#       shell: bash
+#       # Execute tests defined by the CMake configuration.
+#       # See https://cmake.org/cmake/help/latest/manual/ctest.1.html for more detail
+#       run: ctest -C DEBUG