static void Main()
{
try {
// Create environment
GRBEnv env = new GRBEnv();
// Create a new model
GRBModel model = new GRBModel(env);
// Create variables
double lb = 0.0, ub = 1.0;
GRBVar x = model.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "x");
GRBVar y = model.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "y");
GRBVar z = model.AddVar(lb, ub, 0.0, GRB.CONTINUOUS, "z");
// Set objective for y
model.SetObjective(-y);
// Add piecewise-linear objective functions for x and z
int npts = 101;
double[] ptu = new double[npts];
double[] ptf = new double[npts];
double[] ptg = new double[npts];
for (int i = 0; i < npts; i++)
{
ptu[i] = lb + (ub - lb) * i / (npts - 1);
ptf[i] = f(ptu[i]);
ptg[i] = g(ptu[i]);
}
model.SetPWLObj(x, ptu, ptf);
model.SetPWLObj(z, ptu, ptg);
// Add constraint: x + 2 y + 3 z <= 4
model.AddConstr(x + 2 * y + 3 * z <= 4.0, "c0");
// Add constraint: x + y >= 1
model.AddConstr(x + y >= 1.0, "c1");
// Optimize model as an LP
model.Optimize();
Console.WriteLine("IsMIP: " + model.IsMIP);
Console.WriteLine(x.VarName + " " + x.X);
Console.WriteLine(y.VarName + " " + y.X);
Console.WriteLine(z.VarName + " " + z.X);
Console.WriteLine("Obj: " + model.ObjVal);
Console.WriteLine();
// Negate piecewise-linear objective function for x
for (int i = 0; i < npts; i++)
{
ptf[i] = -ptf[i];
}
model.SetPWLObj(x, ptu, ptf);
// Optimize model as a MIP
model.Optimize();
Console.WriteLine("IsMIP: " + model.IsMIP);
Console.WriteLine(x.VarName + " " + x.X);
Console.WriteLine(y.VarName + " " + y.X);
Console.WriteLine(z.VarName + " " + z.X);
Console.WriteLine("Obj: " + model.ObjVal);
// Dispose of model and environment
model.Dispose();
env.Dispose();
} catch (GRBException e) {
Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
}
}