eigen-gurobi

eigen-gurobi allow to use the Gurobi QP solver with the Eigen3 library. It follows the same general design principles as eigen-qld and eigen-quadprog.

The main strength of this particular solver is its ability to handle very large sparse problems (See for example here) and its ability to handle integer variables.

This library only allows to use real variables for the time being, but provides a sparse Eigen interface to Gurobi.

Installing

Manual

Dependencies

To compile you need the following tools:

Git
CMake >= 2.8
pkg-config
doxygen
g++
Boost >= 1.49
Eigen >= 3.2
Gurobi >= 4.0

Building

git clone --recursive https://github.com/jrl-umi3218/eigen-gurobi
cd eigen-gurobi
mkdir _build
cd _build
cmake [options] ..
make && make intall

Where the main options are:

-DCMAKE_BUIlD_TYPE=Release Build in Release mode
-DCMAKE_INSTALL_PREFIX=some/path/to/install default is /usr/local
-DUNIT_TESTS=ON Build unit tests.