MathOptInterface: A Data Structure for Mathematical Optimization Problems

Abstract

We introduce MathOptInterface, an abstract data structure for representing mathematical optimization problems based on combining predefined functions and sets. MathOptInterface is significantly more general than existing data structures in the literature, encompassing, for example, a spectrum of problems classes from integer programming with indicator constraints to bilinear semidefinite programming. We also outline an automated rewriting system between equivalent formulations of a constraint. MathOptInterface has been implemented in practice, forming the foundation of a recent rewrite of JuMP, an open-source algebraic modeling language in the Julia language. The regularity of the MathOptInterface representation leads naturally to a general file format for mathematical optimization we call MathOptFormat. In addition, the automated rewriting system provides modeling power to users while making it easy to connect new solvers to JuMP. Summary of Contribution: This paper describes a new abstract data structure for representing mathematical optimization models with a corresponding file format and automatic transformation system. The advances are useful for algebraic modeling languages, allowing practitioners to model problems more naturally and more generally than before.