Esempio n. 1
0
    static void Main()
    {
        try {
            // Create environment

            GRBEnv env = new GRBEnv();

            // Create a new m

            GRBModel m = new GRBModel(env);

            double lb = 0.0, ub = GRB.INFINITY;

            GRBVar x = m.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "x");
            GRBVar y = m.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "y");
            GRBVar u = m.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "u");
            GRBVar v = m.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "v");

            // Set objective

            m.SetObjective(2 * x + y, GRB.MAXIMIZE);

            // Add linear constraint

            m.AddConstr(u + 4 * v <= 9, "l1");

            // Approach 1) PWL constraint approach

            double   intv = 1e-3;
            double   xmax = Math.Log(9.0);
            int      len  = (int)Math.Ceiling(xmax / intv) + 1;
            double[] xpts = new double[len];
            double[] upts = new double[len];
            for (int i = 0; i < len; i++)
            {
                xpts[i] = i * intv;
                upts[i] = f(i * intv);
            }
            GRBGenConstr gc1 = m.AddGenConstrPWL(x, u, xpts, upts, "gc1");

            double ymax = (9.0 / 4.0) * (9.0 / 4.0);
            len = (int)Math.Ceiling(ymax / intv) + 1;
            double[] ypts = new double[len];
            double[] vpts = new double[len];
            for (int i = 0; i < len; i++)
            {
                ypts[i] = i * intv;
                vpts[i] = g(i * intv);
            }
            GRBGenConstr gc2 = m.AddGenConstrPWL(y, v, ypts, vpts, "gc2");

            // Optimize the model and print solution

            m.Optimize();
            printsol(m, x, y, u, v);

            // Approach 2) General function constraint approach with auto PWL
            //             translation by Gurobi

            // restore unsolved state and get rid of PWL constraints
            m.Reset();
            m.Remove(gc1);
            m.Remove(gc2);
            m.Update();

            GRBGenConstr gcf1 = m.AddGenConstrExp(x, u, "gcf1", "");
            GRBGenConstr gcf2 = m.AddGenConstrPow(y, v, 0.5, "gcf2", "");

            m.Parameters.FuncPieceLength = 1e-3;

            // Optimize the model and print solution

            m.Optimize();
            printsol(m, x, y, u, v);

            // Zoom in, use optimal solution to reduce the ranges and use a smaller
            // pclen=1e-5 to solve it

            x.LB = Math.Max(x.LB, x.X - 0.01);
            x.UB = Math.Min(x.UB, x.X + 0.01);
            y.LB = Math.Max(y.LB, y.X - 0.01);
            y.UB = Math.Min(y.UB, y.X + 0.01);
            m.Update();
            m.Reset();

            m.Parameters.FuncPieceLength = 1e-5;

            // Optimize the model and print solution

            m.Optimize();
            printsol(m, x, y, u, v);

            // Dispose of model and environment

            m.Dispose();
            env.Dispose();
        } catch (GRBException e) {
            Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
        }
    }