An introduction to mathematical programming in Julia

Session date: 27 November 2023

Session host: Greg Neustroev

Summary:

Join us to learn how to use Julia’s powerful tools for mathematical optimization!

In this tutorial talk, I will talk about benefits of Julia for optimization and show how to solve different types of optimization problems using the intuitive syntax of Julia’s mathematical programming library — JuMP. Using toy problem examples, together we will implement and solve some linear, mixed-integer linear, and—if we have time—even conic programs.

To get the most of the talk, please bring your laptop with you and pre-install Julia. I will show how to install JuMP and other libraries in Julia during the talk. I also recommend that you install Gurobi, especially because it requires obtaining an academic license and you won’t be able to obtain it during the talk. You can, however, skip Gurobi, and I will show how to install a different solver called HiGHS that is open-source but unfortunately does not support conic optimization. In my examples, I will use VSCode as an IDE, but if you prefer you can use a different environment.