int engine(int numassets, int numfactors,
double *ub, double *lb, double *mu, double *sigma2,
double *V, double *F, double lambda)
{
int retcode = 0;
GRBenv *env = NULL;
GRBmodel *model = NULL;
int n, i, j, k;
double *x;
int *qrow, *qcol, Nq;
double *qval;
int *cind;
double rhs;
char sense;
double *cval;
int numnonz;
char **names, bigname[100];
double expectedreturnval;
printf("running solver engine\n");
n = numassets + numfactors;
retcode = GRBloadenv(&env, "engine.log");
if (retcode) goto BACK;
/* Create initial model */
retcode = GRBnewmodel(env, &model, "factors", n,
NULL, NULL, NULL, NULL, NULL);
if (retcode) goto BACK;
names = (char **) calloc(n, sizeof(char *));
/** next we create the remaining attributes for the n columns **/
x = (double *) calloc (n, sizeof(double));
for(j = 0; j < numassets; j++){
names[j] = (char *)calloc(3, sizeof(char));
if(names[j] == NULL){
retcode = 1; goto BACK;
}
sprintf(names[j],"x%d", j);
}
for(j = numassets; j < numassets + numfactors; j++){
names[j] = (char *)calloc(3, sizeof(char));
if(names[j] == NULL){
retcode = 1; goto BACK;
}
sprintf(names[j],"F%d", j - numassets);
}
/* initialize variables */
for(j = 0; j < n; j++){
retcode = GRBsetstrattrelement(model, "VarName", j, names[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "Obj", j, -mu[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "LB", j, lb[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "UB", j, ub[j]);
if (retcode) goto BACK;
}
/** next, the quadratic -- there are numassets + numfactors*numfactors nonzeroes:
numassets residual variances plus the numfactors x numfactors
factor covariance matrix**/
Nq = numassets + numfactors*numfactors;
qrow = (int *) calloc(Nq, sizeof(int)); /** row indices **/
qcol = (int *) calloc(Nq, sizeof(int)); /** column indices **/
qval = (double *) calloc(Nq, sizeof(double)); /** values **/
if( ( qrow == NULL) || ( qcol == NULL) || (qval == NULL) ){
printf("could not create quadratic\n");
retcode = 1; goto BACK;
}
for (j = 0; j < numassets; j++){
qval[j] = lambda*sigma2[j];
qrow[j] = qcol[j] = j;
}
for (i = 0; i < numfactors; i++){
for (j = 0; j < numfactors; j++){
k = i*numfactors + j;
qval[k + numassets] = lambda*F[k];
qrow[k + numassets] = numassets + i;
qcol[k + numassets] = numassets + j;
}
}
retcode = GRBaddqpterms(model, Nq, qrow, qcol, qval);
if (retcode) goto BACK;
/** now we will add one constraint at a time **/
/** we need to have a couple of auxiliary arrays **/
cind = (int *)calloc(n, sizeof(int)); /** n is over the top since no constraint is totally dense; but it's not too bad here **/
cval= (double *)calloc(n, sizeof(double));
if(!cval){
printf("cannot allocate cval\n"); retcode = 2; goto BACK;
}
for(i = 0; i < numfactors; i++){
for(j = 0; j < numassets; j++){
cval[j] = V[i*numassets + j];
cind[j] = j;
}
cind[numassets] = /* j */ numassets + i;
cval[numassets] = -1;
numnonz = numassets + 1;
rhs = 0;
sense = GRB_EQUAL;
sprintf(bigname,"factor%d",i);
retcode = GRBaddconstr(model, numnonz, cind, cval, sense, rhs, bigname);
if (retcode) goto BACK;
}
/** sum of x variables = 1 **/
for (j = 0; j < numassets; j++){
cval[j] = 1.0; cind[j] = j;
}
numnonz = numassets;
rhs = 1.0;
sense = GRB_EQUAL;
/* let's reuse some space */
sprintf(bigname, "sum");
retcode = GRBaddconstr(model, numnonz, cind, cval, sense, rhs, bigname);
if (retcode) goto BACK;
retcode = GRBupdatemodel(model);
if (retcode) goto BACK;
/** optional: write the problem **/
retcode = GRBwrite(model, "engine.lp");
if (retcode) goto BACK;
retcode = GRBoptimize(model);
if (retcode) goto BACK;
/** get solution **/
retcode = GRBgetdblattrarray(model,
GRB_DBL_ATTR_X, 0, n,
x);
if(retcode) goto BACK;
/** now let's see the values **/
expectedreturnval = 0;
for(j = 0; j < numassets; j++){
if( x[j] > 1.0e-09){
printf("%s = %g\n", names[j], x[j]);
expectedreturnval += x[j]*mu[j];
}
}
printf("\n*** expected portfolio return: %g\n", expectedreturnval);
GRBfreemodel(model);
GRBfreeenv(env);
BACK:
printf("engine exits with code %d\n", retcode);
return retcode;
}
int
main(int argc,
char *argv[])
{
GRBenv *masterenv = NULL;
GRBmodel *model = NULL;
GRBenv *modelenv = NULL;
int error = 0;
int optimstatus;
double objval;
if (argc < 2) {
fprintf(stderr, "Usage: lp_c filename\n");
exit(1);
}
/* Create environment */
error = GRBloadenv(&masterenv, "lp.log");
if (error) goto QUIT;
/* Read model from file */
error = GRBreadmodel(masterenv, argv[1], &model);
if (error) goto QUIT;
/* Solve model */
error = GRBoptimize(model);
if (error) goto QUIT;
/* Capture solution information */
error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
if (error) goto QUIT;
/* If model is infeasible or unbounded, turn off presolve and resolve */
if (optimstatus == GRB_INF_OR_UNBD) {
modelenv = GRBgetenv(model);
if (!modelenv) {
fprintf(stderr, "Error: could not get model environment\n");
goto QUIT;
}
/* Change parameter on model environment. The model now has
a copy of the master environment, so changing the master will
no longer affect the model. */
error = GRBsetintparam(modelenv, "PRESOLVE", 0);
if (error) goto QUIT;
error = GRBoptimize(model);
if (error) goto QUIT;
error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
if (error) goto QUIT;
}
if (optimstatus == GRB_OPTIMAL) {
error = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, &objval);
if (error) goto QUIT;
printf("Optimal objective: %.4e\n\n", objval);
} else if (optimstatus == GRB_INFEASIBLE) {
printf("Model is infeasible\n\n");
error = GRBcomputeIIS(model);
if (error) goto QUIT;
error = GRBwrite(model, "model.ilp");
if (error) goto QUIT;
} else if (optimstatus == GRB_UNBOUNDED) {
printf("Model is unbounded\n\n");
} else {
printf("Optimization was stopped with status = %d\n\n", optimstatus);
}
QUIT:
/* Error reporting */
if (error) {
printf("ERROR: %s\n", GRBgeterrormsg(masterenv));
exit(1);
}
/* Free model */
GRBfreemodel(model);
/* Free environment */
GRBfreeenv(masterenv);
return 0;
}
int
main(int argc,
char *argv[])
{
GRBenv *env = NULL;
GRBmodel *model = NULL;
int error = 0;
double sol[3];
int ind[3];
double val[3];
double obj[] = {1, 0, 0};
int qrow[3];
int qcol[3];
double qval[3];
int optimstatus;
double objval;
/* Create environment */
error = GRBloadenv(&env, "qcp.log");
if (error || env == NULL) {
fprintf(stderr, "Error: could not create environment\n");
exit(1);
}
/* Create an empty model */
error = GRBnewmodel(env, &model, "qcp", 0, NULL, NULL, NULL, NULL, NULL);
if (error) goto QUIT;
/* Add variables */
error = GRBaddvars(model, 3, 0, NULL, NULL, NULL, obj, NULL, NULL, NULL,
NULL);
if (error) goto QUIT;
/* Change sense to maximization */
error = GRBsetintattr(model, GRB_INT_ATTR_MODELSENSE, GRB_MAXIMIZE);
if (error) goto QUIT;
/* Integrate new variables */
error = GRBupdatemodel(model);
if (error) goto QUIT;
/* Linear constraint: x + y + z = 1 */
ind[0] = 0; ind[1] = 1; ind[2] = 2;
val[0] = 1; val[1] = 1; val[2] = 1;
error = GRBaddconstr(model, 3, ind, val, GRB_EQUAL, 1.0, "c0");
if (error) goto QUIT;
/* Cone: x^2 + y^2 <= z^2 */
qrow[0] = 0; qcol[0] = 0; qval[0] = 1.0;
qrow[1] = 1; qcol[1] = 1; qval[1] = 1.0;
qrow[2] = 2; qcol[2] = 2; qval[2] = -1.0;
error = GRBaddqconstr(model, 0, NULL, NULL, 3, qrow, qcol, qval,
GRB_LESS_EQUAL, 0.0, "qc0");
if (error) goto QUIT;
/* Rotated cone: x^2 <= yz */
qrow[0] = 0; qcol[0] = 0; qval[0] = 1.0;
qrow[1] = 1; qcol[1] = 2; qval[1] = -1.0;
error = GRBaddqconstr(model, 0, NULL, NULL, 2, qrow, qcol, qval,
GRB_LESS_EQUAL, 0.0, "qc1");
if (error) goto QUIT;
/* Optimize model */
error = GRBoptimize(model);
if (error) goto QUIT;
/* Write model to 'qcp.lp' */
error = GRBwrite(model, "qcp.lp");
if (error) goto QUIT;
/* Capture solution information */
error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
if (error) goto QUIT;
error = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, &objval);
if (error) goto QUIT;
error = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, 0, 3, sol);
if (error) goto QUIT;
printf("\nOptimization complete\n");
if (optimstatus == GRB_OPTIMAL) {
printf("Optimal objective: %.4e\n", objval);
printf(" x=%.2f, y=%.2f, z=%.2f\n", sol[0], sol[1], sol[2]);
} else if (optimstatus == GRB_INF_OR_UNBD) {
printf("Model is infeasible or unbounded\n");
} else {
printf("Optimization was stopped early\n");
}
QUIT:
/* Error reporting */
if (error) {
printf("ERROR: %s\n", GRBgeterrormsg(env));
exit(1);
}
/* Free model */
GRBfreemodel(model);
/* Free environment */
GRBfreeenv(env);
return 0;
}
int wctlp_write(wctlp *lp, const char *fname) {
int val = 0;
val = GRBwrite(lp->model, fname);
CHECK_VAL_GRB(val, "failed GRBwrite", lp->env);
return val;
}
int
main(int argc,
char *argv[])
{
FILE *fp = NULL;
GRBenv *env = NULL;
GRBmodel *model = NULL;
int board[DIM][DIM];
char inputline[100];
int ind[DIM];
double val[DIM];
double lb[DIM*DIM*DIM];
char vtype[DIM*DIM*DIM];
char *names[DIM*DIM*DIM];
char namestorage[10*DIM*DIM*DIM];
char *cursor;
int optimstatus;
double objval;
int zero = 0;
int i, j, v, ig, jg, count;
int error = 0;
if (argc < 2) {
fprintf(stderr, "Usage: sudoku_c datafile\n");
exit(1);
}
fp = fopen(argv[1], "r");
if (fp == NULL) {
fprintf(stderr, "Error: unable to open input file %s\n", argv[1]);
exit(1);
}
for (i = 0; i < DIM; i++) {
fgets(inputline, 100, fp);
if (strlen(inputline) < 9) {
fprintf(stderr, "Error: not enough board positions specified\n");
exit(1);
}
for (j = 0; j < DIM; j++) {
board[i][j] = (int) inputline[j] - (int) '1';
if (board[i][j] < 0 || board[i][j] >= DIM)
board[i][j] = -1;
}
}
/* Create an empty model */
cursor = namestorage;
for (i = 0; i < DIM; i++) {
for (j = 0; j < DIM; j++) {
for (v = 0; v < DIM; v++) {
if (board[i][j] == v)
lb[i*DIM*DIM+j*DIM+v] = 1;
else
lb[i*DIM*DIM+j*DIM+v] = 0;
vtype[i*DIM*DIM+j*DIM+v] = GRB_BINARY;
names[i*DIM*DIM+j*DIM+v] = cursor;
sprintf(names[i*DIM*DIM+j*DIM+v], "x[%d,%d,%d]", i, j, v+1);
cursor += strlen(names[i*DIM*DIM+j*DIM+v]) + 1;
}
}
}
/* Create environment */
error = GRBloadenv(&env, "sudoku.log");
if (error) goto QUIT;
/* Create new model */
error = GRBnewmodel(env, &model, "sudoku", DIM*DIM*DIM, NULL, lb, NULL,
vtype, names);
if (error) goto QUIT;
/* Each cell gets a value */
for (i = 0; i < DIM; i++) {
for (j = 0; j < DIM; j++) {
for (v = 0; v < DIM; v++) {
ind[v] = i*DIM*DIM + j*DIM + v;
val[v] = 1.0;
}
error = GRBaddconstr(model, DIM, ind, val, GRB_EQUAL, 1.0, NULL);
if (error) goto QUIT;
}
}
/* Each value must appear once in each row */
for (v = 0; v < DIM; v++) {
for (j = 0; j < DIM; j++) {
for (i = 0; i < DIM; i++) {
ind[i] = i*DIM*DIM + j*DIM + v;
val[i] = 1.0;
}
error = GRBaddconstr(model, DIM, ind, val, GRB_EQUAL, 1.0, NULL);
if (error) goto QUIT;
}
}
/* Each value must appear once in each column */
for (v = 0; v < DIM; v++) {
for (i = 0; i < DIM; i++) {
for (j = 0; j < DIM; j++) {
ind[j] = i*DIM*DIM + j*DIM + v;
val[j] = 1.0;
}
error = GRBaddconstr(model, DIM, ind, val, GRB_EQUAL, 1.0, NULL);
if (error) goto QUIT;
}
}
/* Each value must appear once in each subgrid */
for (v = 0; v < DIM; v++) {
for (ig = 0; ig < SUBDIM; ig++) {
for (jg = 0; jg < SUBDIM; jg++) {
count = 0;
for (i = ig*SUBDIM; i < (ig+1)*SUBDIM; i++) {
for (j = jg*SUBDIM; j < (jg+1)*SUBDIM; j++) {
ind[count] = i*DIM*DIM + j*DIM + v;
val[count] = 1.0;
count++;
}
}
error = GRBaddconstr(model, DIM, ind, val, GRB_EQUAL, 1.0, NULL);
if (error) goto QUIT;
}
}
}
/* Optimize model */
error = GRBoptimize(model);
if (error) goto QUIT;
/* Write model to 'sudoku.lp' */
error = GRBwrite(model, "sudoku.lp");
if (error) goto QUIT;
/* Capture solution information */
error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
if (error) goto QUIT;
error = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, &objval);
if (error) goto QUIT;
printf("\nOptimization complete\n");
if (optimstatus == GRB_OPTIMAL)
printf("Optimal objective: %.4e\n", objval);
else if (optimstatus == GRB_INF_OR_UNBD)
printf("Model is infeasible or unbounded\n");
else
printf("Optimization was stopped early\n");
printf("\n");
QUIT:
/* Error reporting */
if (error) {
printf("ERROR: %s\n", GRBgeterrormsg(env));
exit(1);
}
/* Free model */
GRBfreemodel(model);
/* Free environment */
GRBfreeenv(env);
return 0;
}
int
main(int argc,
char *argv[])
{
GRBenv *env = NULL;
GRBmodel *model = NULL;
int error = 0;
double sol[3];
int ind[3];
double val[3];
double obj[3];
char vtype[3];
int optimstatus;
double objval;
/* Create environment */
error = GRBloadenv(&env, "mip1.log");
if (error || env == NULL) {
fprintf(stderr, "Error: could not create environment\n");
exit(1);
}
/* Create an empty model */
error = GRBnewmodel(env, &model, "mip1", 0, NULL, NULL, NULL, NULL, NULL);
if (error) goto QUIT;
/* Add variables */
obj[0] = -1; obj[1] = -1; obj[2] = -2;
vtype[0] = GRB_BINARY; vtype[1] = GRB_BINARY; vtype[2] = GRB_BINARY;
error = GRBaddvars(model, 3, 0, NULL, NULL, NULL, obj, NULL, NULL, vtype,
NULL);
if (error) goto QUIT;
/* Integrate new variables */
error = GRBupdatemodel(model);
if (error) goto QUIT;
/* First constraint: x + 2 y + 3 z <= 4 */
ind[0] = 0; ind[1] = 1; ind[2] = 2;
val[0] = 1; val[1] = 2; val[2] = 3;
error = GRBaddconstr(model, 3, ind, val, GRB_LESS_EQUAL, 4.0, "c0");
if (error) goto QUIT;
/* Second constraint: x + y >= 1 */
ind[0] = 0; ind[1] = 1;
val[0] = 1; val[1] = 1;
error = GRBaddconstr(model, 2, ind, val, GRB_GREATER_EQUAL, 1.0, "c1");
if (error) goto QUIT;
/* Optimize model */
error = GRBoptimize(model);
if (error) goto QUIT;
/* Write model to 'mip1.lp' */
error = GRBwrite(model, "mip1.lp");
if (error) goto QUIT;
/* Capture solution information */
error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
if (error) goto QUIT;
error = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, &objval);
if (error) goto QUIT;
error = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, 0, 3, sol);
if (error) goto QUIT;
printf("\nOptimization complete\n");
if (optimstatus == GRB_OPTIMAL) {
printf("Optimal objective: %.4e\n", objval);
printf(" x=%.0f, y=%.0f, z=%.0f\n", sol[0], sol[1], sol[2]);
} else if (optimstatus == GRB_INF_OR_UNBD) {
printf("Model is infeasible or unbounded\n");
} else {
printf("Optimization was stopped early\n");
}
QUIT:
/* Error reporting */
if (error) {
printf("ERROR: %s\n", GRBgeterrormsg(env));
exit(1);
}
/* Free model */
GRBfreemodel(model);
/* Free environment */
GRBfreeenv(env);
return 0;
}
void gurobi_write(char *fn) {
int error;
error = GRBwrite(model, fn);
ERRORCHECK(error);
}
double solve_glp_grb(glp_prob *mip, wrapper_params *par){
GLPK_out = par->glp_out;
GRB_out = par->grb_out;
double obj_val;
/** GLPK: Generate Variable indexing **/
glp_create_index(mip);
/** GLPK: Generate LP **/
glp_write_mps(mip, GLP_MPS_FILE, NULL, "tmp.mps");
/************/
/** GUROBI **/
/************/
retGRB = GRBloadenv(&env, NULL);
if (retGRB || env == NULL)
{
fprintf(stderr, "Error: could not create environment\n");
exit(1);
}
retGRB = GRBsetintparam(env, "OutputFlag", GRB_out?1:0);
if (retGRB) freeMem();
//retGRB = GRBsetintparam(env, "Sensitivity", 1);
//if (retGRB) freeMem();
/** GUROBI: Read model **/
retGRB = GRBreadmodel(env, "tmp.mps", &model);
if (retGRB) freeMem();
/** Remove utility files from disk **/
//remove("tmp.mps");
/** GUROBI: Get environment **/
mipenv = GRBgetenv(model);
if (!mipenv) freeMem();
/** GUROBI: Set parameters **/
/** GUROBI: Ask for more precision **/
retGRB = GRBsetdblparam(mipenv, "FeasibilityTol", 10E-6);
if (retGRB) freeMem();
retGRB = GRBsetdblparam(mipenv, "IntFeasTol", 10E-5);
if (retGRB) freeMem();
retGRB = GRBsetdblparam(mipenv, "MIPgap", 10E-6);
if (retGRB) freeMem();
/* * Playing with gurobi parameters and attr*/
//gurobi_set_basis();
retGRB = GRBsetintparam(mipenv, "Cuts", 3);
if (retGRB) freeMem();
retGRB = GRBsetintparam(mipenv, "RootMethod", 1);
if (retGRB) freeMem();
retGRB = GRBsetintparam(mipenv, "Symmetry", -1);
if (retGRB) freeMem();
/** GUROBI: get numvars and numrows **/
retGRB = GRBgetintattr(model, "NumVars", &numvars);
if (retGRB) freeMem();
/** Test variable names */
for(int j=0;j<numvars;j++){
retGRB = GRBgetstrattrelement(model, "VarName", j, &nameGRB);
printf("GRB Var %d Name %s\n",j,nameGRB);
}
/** GUROBI: get model type **/
retGRB = GRBgetintattr(model, "IsMIP", &GRB_IsMIP);
if (retGRB) freeMem();
/** GUROBI: Optimize model **/
retGRB = GRBoptimize(model);
if (retGRB) freeMem();
/** GUROBI: Retreive the optimization status **/
GRBgetintattr(model, "Status", &retGRB);
switch(retGRB){
case GRB_OPTIMAL:
break;
case GRB_INFEASIBLE :
fprintf(stderr, "Error GRB optimization failed with code GRB_INFEASIBLE\n");
case GRB_INF_OR_UNBD :
fprintf(stderr, "Error GRB optimization failed with code GRB_INF_OR_UNBD \n");
case GRB_UNBOUNDED :
fprintf(stderr, "Error GRB optimization failed with code GRB_UNBOUNDED \n");
case GRB_CUTOFF :
fprintf(stderr, "Error GRB optimization failed with code GRB_CUTOFF \n");
case GRB_ITERATION_LIMIT :
fprintf(stderr, "Error GRB optimization failed with code GRB_ITERATION_LIMIT \n");
case GRB_NODE_LIMIT :
fprintf(stderr, "Error GRB optimization failed with code GRB_NODE_LIMIT \n");
case GRB_TIME_LIMIT :
fprintf(stderr, "Error GRB optimization failed with code GRB_TIME_LIMIT \n");
case GRB_SOLUTION_LIMIT :
fprintf(stderr, "Error GRB optimization failed with code GRB_SOLUTION_LIMIT \n");
case GRB_INTERRUPTED :
fprintf(stderr, "Error GRB optimization failed with code GRB_INTERRUPTED \n");
case GRB_SUBOPTIMAL :
fprintf(stderr, "Error GRB optimization failed with code GRB_SUBOPTIMAL \n");
case GRB_NUMERIC :
fprintf(stderr, "Error GRB optimization failed with code GRB_NUMERIC \n");
/** GUROBI: Quit in any case non optimal **/
freeMem();
}
/** GUROBI: Get obj function value **/
retGRB = GRBgetdblattr(model, "IntVio", &tmp);
if (retGRB) freeMem();
retGRB = GRBgetdblattr(model, "ObjBound", &bound);
if (retGRB) freeMem();
retGRB = GRBgetdblattr(model, "ObjVal", &tmp);
if (retGRB) freeMem();
/* ********************** */
obj_val = tmp;
/* ************ */
if (verbose) printf ("Objective %lf\n", tmp);
if (verbose) printf ("Best bound %lf\n", bound);
if (verbose) printf ("Absolute gap %lf\n", fabs(tmp - bound));
/** GUROBI: Get variable values **/
for (j = 0; j < numvars; ++j){
retGRB = GRBgetdblattrelement(model, "X", j, &tmp);
if (retGRB) freeMem();
retGRB = GRBgetstrattrelement(model, "VarName", j, &nameGRB);
printf("GRB Var %d Name %s\n",j,nameGRB);
if (retGRB) freeMem();
retGRB = GRBgetcharattrelement(model, "VType", j, &type);
if (retGRB) freeMem();
/** GLPK search variable index by name **/
col_index = glp_find_col(mip, nameGRB);
if (col_index != 0){
/** GLPK set variable bounds **/
if ((type == 'B') || (type == 'I')){
if (verbose) printf ("Variable %s is of type %c value %lf fixed to %lf\n", nameGRB, type, tmp, round(tmp));
glp_set_col_bnds(mip, col_index, GLP_FX, round(tmp), round(tmp));
}
else{
if (verbose) printf ("Variable %s is of type %c value %lf fixed to %lf\n", nameGRB, type, tmp, tmp);
glp_set_col_bnds(mip, col_index, GLP_FX, tmp, tmp);
}
}
}
if (GRB_IsMIP){
/** GLPK initialize parameters **/
iparm = (glp_iocp*) malloc(sizeof(glp_iocp));
glp_init_iocp(iparm);
iparm->presolve = GLP_ON;
iparm->mip_gap = glpk_iparm_mip_gap;
iparm->tol_int = glpk_iparm_tol_int;
iparm->tol_obj = glpk_iparm_tol_obj;
/** GLPK get the optimal integer solution **/
ret = glp_intopt(mip, iparm);
if (ret){
fprintf(stderr, "glp_intopt, Error on optimizing the model : %d \n", ret);
freeMem();
}
ret = glp_mip_status(mip);
switch (ret){
case GLP_OPT:
break;
case GLP_FEAS:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_FEAS, code %d\n", ret);
freeMem();
case GLP_NOFEAS:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_NOFEAS, code %d\n", ret);
freeMem();
case GLP_UNDEF:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_UNDEF, code %d\n", ret);
freeMem();
}
}
else{
/*GLPK initialize parameters */
parm = (glp_smcp*) malloc(sizeof(glp_smcp));
glp_init_smcp(parm);
parm->meth = GLP_DUALP;
parm->tol_bnd = 10E-4;
parm->tol_dj = 10E-4;
/* GLPK get the optimal basis */
//ret = glp_simplex(mip, parm);
if (ret){
fprintf(stderr, "glp_simplex, Error on optimizing the model : %d \n", ret);
freeMem();
}
ret = glp_get_status(mip);
switch (ret){
case GLP_OPT:
break;
case GLP_FEAS:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_FEAS, code %d\n", ret);
freeMem();
case GLP_INFEAS:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_INFEAS, code %d\n", ret);
freeMem();
case GLP_NOFEAS:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_NOFEAS, code %d\n", ret);
freeMem();
case GLP_UNBND:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_UNBND, code %d\n", ret);
freeMem();
case GLP_UNDEF:
fprintf(stderr, "Error GLPK simplex is not optimal, GLP_UNDEF, code %d\n", ret);
freeMem();
}
}
//GRBmodel *fmod = fixed_model(model);
//gurobi_sens_output(fmod, "/tmp/sens.sol");
GRBwrite(model, "/tmp/model.sol");
/** GUROBI: free structures **/
if (model) GRBfreemodel(model);
if (env) GRBfreeenv(env);
return obj_val;
}
int main(void)
{
int retcode = 0;
GRBenv *env = NULL;
GRBmodel *model = NULL;
int n, j;
double *obj = NULL;
double *lb = NULL;
double *ub = NULL;
double *x;
int *qrow, *qcol, Nq;
double *qval;
int *cind;
double rhs;
char sense;
double *cval;
int numnonz;
char **names;
n = 9; /** 7 'x' variables, 2 factor variables **/
retcode = GRBloadenv(&env, "factormodel.log");
if (retcode) goto BACK;
/* Create initial model */
retcode = GRBnewmodel(env, &model, "second", n,
NULL, NULL, NULL, NULL, NULL);
if (retcode) goto BACK;
names = (char **) calloc(n, sizeof(char *));
/** next we create the remaining attributes for the n columns **/
obj = (double *) calloc (n, sizeof(double));
ub = (double *) calloc (n, sizeof(double));
lb = (double *) calloc (n, sizeof(double));
x = (double *) calloc (n, sizeof(double));
for(j = 0; j < 7; j++){
names[j] = (char *)calloc(3, sizeof(char));
if(names[j] == NULL){
retcode = 1; goto BACK;
}
sprintf(names[j],"x%d", j);
}
for(j = 7; j < 9; j++){
names[j] = (char *)calloc(3, sizeof(char));
if(names[j] == NULL){
retcode = 1; goto BACK;
}
sprintf(names[j],"y%d", j - 7);
}
obj[0] = -.233; obj[1] = -3.422; obj[2] = -.1904; obj[3] = -.5411;
obj[4] = -.045; obj[5] = -1.271; obj[6] = -0.955;
/** calloc initializes memory to zero, so all other obj[j] are zero **/
/**next, the upper bounds on the x variables **/
ub[0] = 0.6; ub[1] = 0.8; ub[2] = 0.8; ub[3] = 0.5;
ub[4] = 0.5; ub[5] = 0.26; ub[6] = 0.99;
/** the upper bounds on the two factor variables -- we make them large **/
ub[7] = 100; ub[8] = 100;
/** the lower bounds on the factor variables **/
lb[7] = -100; lb[8] = -100;
/* initialize variables */
for(j = 0; j < n; j++){
retcode = GRBsetstrattrelement(model, "VarName", j, names[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "Obj", j, obj[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "LB", j, lb[j]);
if (retcode) goto BACK;
retcode = GRBsetdblattrelement(model, "UB", j, ub[j]);
if (retcode) goto BACK;
}
/** next, the quadratic -- there are 11 nonzeroes: 7 residual variances plus the 2x2
factor covariance matrix**/
Nq = 11;
qrow = (int *) calloc(Nq, sizeof(int)); /** row indices **/
qcol = (int *) calloc(Nq, sizeof(int)); /** column indices **/
qval = (double *) calloc(Nq, sizeof(double)); /** values **/
if( ( qrow == NULL) || ( qcol == NULL) || (qval == NULL) ){
printf("could not create quadratic\n");
retcode = 1; goto BACK;
}
qval[0] = 10.0; qrow[0] = 0; qcol[0] = 0;
qval[1] = 20.0; qrow[1] = 1; qcol[1] = 1;
qval[2] = 30.0; qrow[2] = 2; qcol[2] = 2;
qval[3] = 40.0; qrow[3] = 3; qcol[3] = 3;
qval[4] = 50.0; qrow[4] = 4; qcol[4] = 4;
qval[5] = 60.0; qrow[5] = 5; qcol[5] = 5;
qval[6] = 70.0; qrow[6] = 6; qcol[6] = 6;
qval[7] = 100.0; qrow[7] = 7; qcol[7] = 7;
qval[8] = 200.0; qrow[8] = 8; qcol[8] = 8;
qval[9] = 0.1; qrow[9] = 7; qcol[9] = 8;
qval[10] = 0.1; qrow[10] = 8; qcol[10] = 7;
retcode = GRBaddqpterms(model, 11, qrow, qcol, qval);
if (retcode) goto BACK;
/** now we will add one constraint at a time **/
/** we need to have a couple of auxiliary arrays **/
cind = (int *)calloc(n, sizeof(int)); /** n is over the top since no constraint is totally dense;
but it's not too bad here **/
cval= (double *)calloc(n, sizeof(double));
/** two factor constraints, first one is next**/
cval[0] = 1.508; cval[1] = .7802; cval[2] = 1.8796;
cval[3] = 4.256; cval[4] = 1.335; cval[5] = 2.026; cval[6] = 1.909;
cval[7] = -1;
for(j = 0; j < 7; j++) cind[j] = j;
cind[7] = 7;
numnonz = 8;
rhs = 0;
sense = GRB_EQUAL;
retcode = GRBaddconstr(model, numnonz, cind, cval, sense, rhs, "first_constraint");
if (retcode) goto BACK;
/** second factor constraint **/
cval[0] = 4.228; cval[1] = 1.2945; cval[2] = .827;
cval[3] = 2.149;
cval[4] = 2.353; cval[5] = 0.3026; cval[6] = 1.487;
cval[7] = -1;
for(j = 0; j < 7; j++) cind[j] = j; /** redundant! but let's keep it here so that we know it
will be used **/
cind[7] = 7;
numnonz = 8;
rhs = 0;
sense = GRB_EQUAL;
retcode = GRBaddconstr(model, numnonz, cind, cval, sense, rhs, "second_constraint");
if (retcode) goto BACK;
/** sum of x variables = 1 **/
cval[0] = 1.0; cval[1] = 1.0; cval[2] = 1.0;
cval[3] = 1.0; cval[4] = 1.0; cval[5] = 1.0; cval[6] = 1.0;
for(j = 0; j < 7; j++) cind[j] = j;
numnonz = 7;
rhs = 1.0;
sense = GRB_EQUAL;
retcode = GRBaddconstr(model, numnonz, cind, cval, sense, rhs, "convexity");
if (retcode) goto BACK;
retcode = GRBupdatemodel(model);
if (retcode) goto BACK;
/** optional: write the problem **/
retcode = GRBwrite(model, "factorqp.lp");
if (retcode) goto BACK;
retcode = GRBoptimize(model);
if (retcode) goto BACK;
/** get solution **/
retcode = GRBgetdblattrarray(model,
GRB_DBL_ATTR_X, 0, n,
x);
if(retcode) goto BACK;
/** now let's see the values **/
for(j = 0; j < n; j++){
printf("%s = %g\n", names[j], x[j]);
}
GRBfreemodel(model);
GRBfreeenv(env);
BACK:
printf("\nexiting with retcode %d\n", retcode);
return retcode;
}
