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In order to use the COIN solver within Sage you have to have the cbc pacakge installed. It can be easily installed with :

sage -i cbc

After the cbc package installed, run

sage -br

to build the new backend module for COIN. Then, you'll be able to run

lp = MixedIntegerLinearProgram(solver="Coin")

CPLEX is a little trickier, but there is documentation you can find documentation at http://www.sagemath.org/doc/thematic_tutorials/linear_programming.html#installing-cplex .