As far as I can tell, you can’t write a QP to an MPS file with
write_to_file, but I’ve told that MPS does support QPs.
Are either of those correct? (ie, should I be able to write QP to MPS, but I’m doing it wrong, or is it wrong to think you can write a QP to an MPS file?)
Not currently: FileFormats.MPS: support QUADRATIC · Issue #1390 · jump-dev/MathOptInterface.jl · GitHub.
tl;dr: there are a bunch of non-standard extensions to MPS to support quadratic. We just haven’t implemented them yet.
You can always use the solver’s native writer:
model = direct_model(Gurobi.Optimizer)
grb = backend(model)