Is there a possibility to call an external solver with GEKKO?

Question

I have a mixed-integer linear programming problem which I solved in Gekko with the solver APOPT. I want to try other solvers to see if they can solve my problem faster (e.g. linprog or GLPK ).

Is there a possibility to use them in GEKKO?

Answer 1

You can't use an external solver with Gekko but you can request a solver interface by creating a new feature request on GitHub. The only solvers currently supported are APOPT, BPOPT, IPOPT, and some commercial solvers. Other solvers such as scipy.optimize.linprog and GLPK are limited to linear or mixed integer linear programming problems.

• The GLPK (GNU Linear Programming Kit) package is intended for solving large-scale linear programming (LP), mixed integer programming (MIP), and other related problems.

• Linear programming: minimize a linear objective function subject to linear equality and inequality constraints.

Solvers such as APOPT can solve linear programming and mixed integer linear programming problems but also nonlinear mixed integer programming problems. Here is more information on a linprog equivalent in Gekko with sparse or dense matrices.