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you can install CPLEX Python interface as a "plain" Python package in Sage's python, following the standard instructions for installing CPLEX Python's interface, replacing calls (if I recall right, you need to run "python setup.py" in some directory) to python with "sage -python", which will invoke Sage's python interpreter. Then it will be available within Sage (you'd need to do the usual CPLEX Python stuff to call it, though).