FICO® Xpress third-party interface examples

Integration examples for using FICO® Xpress Solver with third-party optimization modeling libraries.

Contents

Library	Website	Language	Description
OR-Tools	developers.google.com	C++, Python	Google's Operations Research tools with Linear Solver and MathOpt interfaces
CVXPY	cvxpy.org	Python	Disciplined convex programming with automatic reformulation
Linopy	linopy.readthedocs.io	Python	Pandas-native optimization for data-driven workflows
PuLP	coin-or.github.io/pulp	Python	Beginner-friendly LP/MIP modeling library
Pyomo	pyomo.org	Python	Powerful algebraic modeling language for LP, MIP, QP, and more
PyOptInterface	github.com/metab0t/PyOptInterface	Python	Direct C++ bindings with callbacks and full solver control

Note: Some library folders contain examples that are part of the "Xpress Everywhere" blog series on the FICO® Xpress Optimization Blog.

Python Examples

The Python library examples share a common portfolio optimization problem defined in the data/ folder. Each library demonstrates different capabilities:

Library	QP Support	MIP	SOS	Warm Start	Callbacks
CVXPY	Yes	Yes	No	Yes	No
Linopy	Yes	Yes	No	No	No
PuLP	No (LP only)	Yes	No	Yes	No
Pyomo	Yes	Yes	Yes	Yes	No
PyOptInterface	Yes	Yes	Yes	Yes	Yes

Running the Python examples

# Install dependencies (each library needs xpress package)
pip install xpress cvxpy pyomo pulp linopy pyoptinterface

# Run from repository root
cd xpress-3rdparty-interfaces
python cvxpy/portfolio_cvxpy.py
python linopy/portfolio_linopy.py
python pulp/portfolio_pulp.py
python pyomo/portfolio_pyomo.py
python pyoptinterface/portfolio_pyoptinterface.py

Requirements

• FICO® Xpress (Community Edition or full license)
• Language-specific requirements vary by example (see individual READMEs)

Running the Python examples using GitHub Codespaces

1. Open Codespaces and create a codespace:

   • Click on the "Code" (green) button on this repository page.
   • On the "Codespaces" tab, select "Create a Codespace on main". This will set up a cloud-based development environment for you.

2. Run a Python example:

   • Once the Codespace is created and the environment is ready, open the terminal.

   • Install the required library and run an example:

     pip install xpress pulp
     python pulp/portfolio_pulp.py

3. Try different libraries:

   • Each library folder contains a portfolio_<library>.py example solving the same optimization problem.
   • Install the library you want to try and run its example.

Related Resources

• FICO® Xpress Documentation
• python-notebooks - FICO® Xpress Python notebook examples
• xpress-community - Community contributed Xpress examples

Legal

See source code files for copyright notices.

License

The examples in this repository are licensed under the Apache License, Version 2.0. See LICENSE for the full license text. The examples use FICO® Xpress software. By running it, you agree to the Community License terms of the Xpress Shrinkwrap License Agreement with respect to the FICO® Xpress software. See the licensing options overview for additional details and information about obtaining a paid license.