static void Main()
{
try {
GRBEnv env = new GRBEnv("qcp.log");
GRBModel model = new GRBModel(env);
// Create variables
GRBVar x = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "x");
GRBVar y = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "y");
GRBVar z = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "z");
// Integrate new variables
model.Update();
// Set objective
GRBLinExpr obj = x;
model.SetObjective(obj, GRB.MAXIMIZE);
// Add linear constraint: x + y + z = 1
model.AddConstr(x + y + z == 1.0, "c0");
// Add second-order cone: x^2 + y^2 <= z^2
model.AddQConstr(x * x + y * y <= z * z, "qc0");
// Add rotated cone: x^2 <= yz
model.AddQConstr(x * x <= y * z, "qc1");
// Optimize model
model.Optimize();
Console.WriteLine(x.Get(GRB.StringAttr.VarName)
+ " " + x.Get(GRB.DoubleAttr.X));
Console.WriteLine(y.Get(GRB.StringAttr.VarName)
+ " " + y.Get(GRB.DoubleAttr.X));
Console.WriteLine(z.Get(GRB.StringAttr.VarName)
+ " " + z.Get(GRB.DoubleAttr.X));
Console.WriteLine("Obj: " + model.Get(GRB.DoubleAttr.ObjVal) + " " +
obj.Value);
// Dispose of model and env
model.Dispose();
env.Dispose();
} catch (GRBException e) {
Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
}
}
public static void AddConstr(this GRBModel _m, GRBTempConstr _constr)
{
try
{
_m.AddConstr(_constr, null);
}
catch (GRBException _e) when(_e.ErrorCode == 10003)
{
_m.AddQConstr(_constr, null);
}
}
public static void AddConstr(this GRBModel _m, GRBTempConstr _constr)
{
try
{
_m.AddConstr(_constr, null);
}
catch (GRBException _e)
{
switch (_e.ErrorCode)
{
case 10003:
_m.AddQConstr(_constr, null);
break;
case 20001:
_m.Update();
_m.AddConstr(_constr);
break;
}
}
}
static void Main()
{
try {
GRBEnv env = new GRBEnv("bilinear.log");
GRBModel model = new GRBModel(env);
// Create variables
GRBVar x = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "x");
GRBVar y = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "y");
GRBVar z = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "z");
// Set objective
GRBLinExpr obj = x;
model.SetObjective(obj, GRB.MAXIMIZE);
// Add linear constraint: x + y + z <= 10
model.AddConstr(x + y + z <= 10, "c0");
// Add bilinear inequality: x * y <= 2
model.AddQConstr(x * y <= 2, "bilinear0");
// Add bilinear equality: x * z + y * z == 1
model.AddQConstr(x * z + y * z == 1, "bilinear1");
// Optimize model
try {
model.Optimize();
} catch (GRBException e) {
Console.WriteLine("Failed (as expected) " + e.ErrorCode + ". " + e.Message);
}
model.Set(GRB.IntParam.NonConvex, 2);
model.Optimize();
Console.WriteLine(x.VarName + " " + x.X);
Console.WriteLine(y.VarName + " " + y.X);
Console.WriteLine(z.VarName + " " + z.X);
Console.WriteLine("Obj: " + model.ObjVal + " " + obj.Value);
x.Set(GRB.CharAttr.VType, GRB.INTEGER);
model.Optimize();
Console.WriteLine(x.VarName + " " + x.X);
Console.WriteLine(y.VarName + " " + y.X);
Console.WriteLine(z.VarName + " " + z.X);
Console.WriteLine("Obj: " + model.ObjVal + " " + obj.Value);
// Dispose of model and env
model.Dispose();
env.Dispose();
} catch (GRBException e) {
Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
}
}