Introduction and Disambiguation

FICO Xpress is a powerful mathematical optimization framework well-suited to a broad range of optimization problems. The present user guide addresses FICO Xpress Global, a solver capable of solving general mixed-integer nonlinear optimization problems (MINLP) to proven global optimality, including problems with non-convex constraints or objective.

For solving linear programs, convex quadratic programs, convex quadratically constrained programs, or their respective mixed-integer counterparts, we refer to the main FICO Xpress Optimizer manual.

For solving nonlinear programs to local optimality, in particular when seeking dual information associated with local optima, we refer to the FICO Xpress Nonlinear manual. FICO Xpress Nonlinear can also be used as a heuristic for mixed-integer nonlinear problems. Furthermore, using user functions for black-box optimization is only supported by FICO Xpress Nonlinear, and not by FICO Xpress Global.

Current restrictions

Kindly be aware that some advanced functionalities of the FICO Xpress Optimizer are presently not available in FICO Xpress Global. This comprises the following functions:

• XPRScalcobjective
• XPRScalcreducedcosts
• XPRScalcslacks
• XPRScalcsolinfo
• XPRSgetinfeas
• XPRSgetlpsol
• XPRSgetlpsolval
• XPRSgetmipsol
• XPRSgetmipsolval
• XPRSgetpresolvemap
• XPRSgetscaledinfeas
• XPRSloadmipsol
• XPRSpostsolvesol
• XPRSpresolvecut
• XPRSpresolverow

None of these is currently available at any stage of a FICO Xpress Global run. Although all Xpress Optimizer callback types are supported during a global solve, the usability of some of them is limited due to the absence of the mentioned functions. For example, it is not possible to query a relaxation solution or presolve a cut, which would be necessary for a customized branch-and-cut code for nonlinear problems.