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Improve lp_portfolio solver compatibility when ECOS_BB is unavailable#739
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Whning0513 wants to merge 1 commit into
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Improve lp_portfolio solver compatibility when ECOS_BB is unavailable #739Whning0513 wants to merge 1 commit into
Whning0513 wants to merge 1 commit into
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Fallback to HIGHS or another installed mixed-integer solver when ECOS_BB is unavailable.
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Fixes #626.
lp_portfolio()currently relies onECOS_BBwhenecosis installed and otherwise falls through to cvxpy's default solver selection. That is brittle on newer cvxpy setups whereECOS_BBis no longer commonly available by default.This change keeps the existing
ECOS_BBpreference for environments that still haveecos, but otherwise picks the first installed mixed-integer solver explicitly, withHIGHSfirst in the fallback order. If no compatible solver is installed, it now raises a clearerOptimizationErrorinstead of surfacing a less actionable solver failure from cvxpy.I also added regression tests covering the
HIGHSfallback path and the no-MIP-solver error case.