示例#1
0
int wctlp_x(wctlp *lp, double *x, int first) {
    int val = 0;
    int ncols;
    int solstat;
    val = GRBgetintattr(lp->model, GRB_INT_ATTR_STATUS, &solstat);
    CHECK_VAL_GRB(val, "Failed to the status of model", lp->env);

    if (solstat == GRB_INFEASIBLE) {
        fprintf(stderr, "Problem is infeasible\n");
        val = 1;
        return val;
    }

    val = GRBgetintattr(lp->model, GRB_INT_ATTR_NUMVARS , &ncols);
    CHECK_VAL_GRB(val, "", lp->env);

    if (ncols == 0) {
        fprintf(stderr, "Lp has no variables\n");
        val = 1;
        return val;
    }

    val = GRBgetdblattrarray(lp->model, GRB_DBL_ATTR_X, first, ncols - first, x);
    CHECK_VAL_GRB(val, "Failed in GRB_DBL_ATTR_X", lp->env);
    return val;
}
示例#2
0
int wctlp_get_rhs(wctlp *lp, double *rhs) {
    int val = 0;
    int nconstr;
    val = GRBgetintattr(lp->model, GRB_INT_ATTR_NUMCONSTRS, &nconstr);
    CHECK_VAL_GRB(val, "Failed in getting the number of variables", lp->env);
    val = GRBgetdblattrarray(lp->model, GRB_DBL_ATTR_RHS, 0, nconstr, rhs);
    CHECK_VAL_GRB(val, "Failed in getting the RHS", lp->env);
    return  val;
}
示例#3
0
double gurobi_getSol(int32_t i) {
    int error;
    double sol[1];

    error = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, (int)i - 1, 1, sol);
    ERRORCHECK(error);

    return sol[0];
}
示例#4
0
int wctlp_pi_inf(wctlp *lp, double *pi) {
    int val = 0;
    int nrows;
    int solstat;
    val = GRBgetintattr(lp->model, GRB_INT_ATTR_STATUS, &solstat);
    CHECK_VAL_GRB(val, "failed to get attribute status gurobi", lp->env);
    val = GRBgetintattr(lp->model, GRB_INT_ATTR_NUMCONSTRS, &nrows);
    CHECK_VAL_GRB(val, "Failed to get nrows", lp->env);

    if (nrows == 0) {
        fprintf(stderr, "No rows in the LP\n");
        val = 1;
        return val;
    }

    val = GRBgetdblattrarray(lp->model, GRB_DBL_ATTR_FARKASDUAL, 0, nrows, pi);
    CHECK_VAL_GRB(val, "Failed to get the dual prices", lp->env);
    return val;
}
示例#5
0
  void GurobiInterface::
  eval(void* mem, const double** arg, double** res, int* iw, double* w) const {
    auto m = static_cast<GurobiMemory*>(mem);

    // Inputs
    const double *h=arg[CONIC_H],
      *g=arg[CONIC_G],
      *a=arg[CONIC_A],
      *lba=arg[CONIC_LBA],
      *uba=arg[CONIC_UBA],
      *lbx=arg[CONIC_LBX],
      *ubx=arg[CONIC_UBX],
      *x0=arg[CONIC_X0],
      *lam_x0=arg[CONIC_LAM_X0];

    // Outputs
    double *x=res[CONIC_X],
      *cost=res[CONIC_COST],
      *lam_a=res[CONIC_LAM_A],
      *lam_x=res[CONIC_LAM_X];

    // Temporary memory
    double *val=w; w+=nx_;
    int *ind=iw; iw+=nx_;
    int *ind2=iw; iw+=nx_;
    int *tr_ind=iw; iw+=nx_;

    // Greate an empty model
    GRBmodel *model = 0;
    try {
      int flag = GRBnewmodel(m->env, &model, name_.c_str(), 0, 0, 0, 0, 0, 0);
      casadi_assert_message(!flag, GRBgeterrormsg(m->env));

      // Add variables
      for (int i=0; i<nx_; ++i) {
        // Get bounds
        double lb = lbx ? lbx[i] : 0., ub = ubx ? ubx[i] : 0.;
        if (isinf(lb)) lb = -GRB_INFINITY;
        if (isinf(ub)) ub =  GRB_INFINITY;

        // Get variable type
        char vtype;
        if (!vtype_.empty()) {
          // Explicitly set 'vtype' takes precedence
          vtype = vtype_.at(i);
        } else if (!discrete_.empty() && discrete_.at(i)) {
          // Variable marked as discrete (integer or binary)
          vtype = lb==0 && ub==1 ? GRB_BINARY : GRB_INTEGER;
        } else {
          // Continious variable
          vtype = GRB_CONTINUOUS;
        }

        // Pass to model
        flag = GRBaddvar(model, 0, 0, 0, g ? g[i] : 0., lb, ub, vtype, 0);
        casadi_assert_message(!flag, GRBgeterrormsg(m->env));
      }
      flag = GRBupdatemodel(model);
      casadi_assert_message(!flag, GRBgeterrormsg(m->env));

      // Add quadratic terms
      const int *H_colind=sparsity_in(CONIC_H).colind(), *H_row=sparsity_in(CONIC_H).row();
      for (int i=0; i<nx_; ++i) {

        // Quadratic term nonzero indices
        int numqnz = H_colind[1]-H_colind[0];
        casadi_copy(H_row, numqnz, ind);
        H_colind++;
        H_row += numqnz;

        // Corresponding column
        casadi_fill(ind2, numqnz, i);

        // Quadratic term nonzeros
        if (h) {
          casadi_copy(h, numqnz, val);
          casadi_scal(numqnz, 0.5, val);
          h += numqnz;
        } else {
          casadi_fill(val, numqnz, 0.);
        }

        // Pass to model
        flag = GRBaddqpterms(model, numqnz, ind, ind2, val);
        casadi_assert_message(!flag, GRBgeterrormsg(m->env));
      }

      // Add constraints
      const int *A_colind=sparsity_in(CONIC_A).colind(), *A_row=sparsity_in(CONIC_A).row();
      casadi_copy(A_colind, nx_, tr_ind);
      for (int i=0; i<na_; ++i) {
        // Get bounds
        double lb = lba ? lba[i] : 0., ub = uba ? uba[i] : 0.;
//        if (isinf(lb)) lb = -GRB_INFINITY;
//        if (isinf(ub)) ub =  GRB_INFINITY;

        // Constraint nonzeros
        int numnz = 0;
        for (int j=0; j<nx_; ++j) {
          if (tr_ind[j]<A_colind[j+1] && A_row[tr_ind[j]]==i) {
            ind[numnz] = j;
            val[numnz] = a ? a[tr_ind[j]] : 0;
            numnz++;
            tr_ind[j]++;
          }
        }

        // Pass to model
        if (isinf(lb)) {
          if (isinf(ub)) {
            // Neither upper or lower bounds, skip
          } else {
            // Only upper bound
            flag = GRBaddconstr(model, numnz, ind, val, GRB_LESS_EQUAL, ub, 0);
            casadi_assert_message(!flag, GRBgeterrormsg(m->env));
          }
        } else {
          if (isinf(ub)) {
            // Only lower bound
            flag = GRBaddconstr(model, numnz, ind, val, GRB_GREATER_EQUAL, lb, 0);
            casadi_assert_message(!flag, GRBgeterrormsg(m->env));
          } else if (lb==ub) {
            // Upper and lower bounds equal
            flag = GRBaddconstr(model, numnz, ind, val, GRB_EQUAL, lb, 0);
            casadi_assert_message(!flag, GRBgeterrormsg(m->env));
          } else {
            // Both upper and lower bounds
            flag = GRBaddrangeconstr(model, numnz, ind, val, lb, ub, 0);
            casadi_assert_message(!flag, GRBgeterrormsg(m->env));
          }
        }
      }

      // Solve the optimization problem
      flag = GRBoptimize(model);
      casadi_assert_message(!flag, GRBgeterrormsg(m->env));
      int optimstatus;
      flag = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &optimstatus);
      casadi_assert_message(!flag, GRBgeterrormsg(m->env));

      // Get the objective value, if requested
      if (cost) {
        flag = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, cost);
        casadi_assert_message(!flag, GRBgeterrormsg(m->env));
      }

      // Get the optimal solution, if requested
      if (x) {
        flag = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, 0, nx_, x);
        casadi_assert_message(!flag, GRBgeterrormsg(m->env));
      }

      // Free memory
      GRBfreemodel(model);

    } catch (...) {
      // Free memory
      if (model) GRBfreemodel(model);
      throw;
    }
  }
示例#6
0
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;
}
示例#7
0
文件: qcp_c.c 项目: revisalo/cr2
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;
}
示例#8
0
文件: tsp_c.c 项目: revisalo/cr2
int
main(int   argc,
     char *argv[])
{
  GRBenv   *env   = NULL;
  GRBmodel *model = NULL;
  int       i, j, len, n, solcount;
  int       error = 0;
  char      name[100];
  double   *x = NULL;
  double   *y = NULL;
  int      *ind = NULL;
  double   *val = NULL;
  struct callback_data mydata;

  if (argc < 2) {
    fprintf(stderr, "Usage: tsp_c size\n");
    exit(1);
  }

  n = atoi(argv[1]);
  if (n == 0) {
    fprintf(stderr, "Argument must be a positive integer.\n");
  } else if (n > 30) {
    printf("It will be a challenge to solve a TSP this large.\n");
  }

  x   = (double *) malloc(n*sizeof(double));
  y   = (double *) malloc(n*sizeof(double));
  ind = (int *)    malloc(n*sizeof(int));
  val = (double *) malloc(n*sizeof(double));

  if (x == NULL || y == NULL || ind == NULL || val == NULL) {
    fprintf(stderr, "Out of memory\n");
    exit(1);
  }

  /* Create random points */

  for (i = 0; i < n; i++) {
    x[i] = ((double) rand())/RAND_MAX;
    y[i] = ((double) rand())/RAND_MAX;
  }

  /* Create environment */

  error = GRBloadenv(&env, "tsp.log");
  if (error || env == NULL) {
    fprintf(stderr, "Error: could not create environment\n");
    exit(1);
  }

  /* Create an empty model */

  error = GRBnewmodel(env, &model, "tsp", 0, NULL, NULL, NULL, NULL, NULL);
  if (error) goto QUIT;


  /* Add variables - one for every pair of nodes */

  for (i = 0; i < n; i++) {
    for (j = 0; j < n; j++) {
      sprintf(name, "x_%d_%d", i, j);
      error = GRBaddvar(model, 0, NULL, NULL, distance(x, y, i, j),
                        0.0, 1.0, GRB_BINARY, name);
      if (error) goto QUIT;
    }
  }

  /* Integrate new variables */

  error = GRBupdatemodel(model);
  if (error) goto QUIT;

  /* Degree-2 constraints */

  for (i = 0; i < n; i++) {
    for (j = 0; j < n; j++) {
      ind[j] = i*n+j;
      val[j] = 1.0;
    }

    sprintf(name, "deg2_%d", i);

    error = GRBaddconstr(model, n, ind, val, GRB_EQUAL, 2, name);
    if (error) goto QUIT;
  }

  /* Forbid edge from node back to itself */

  for (i = 0; i < n; i++) {
    error = GRBsetdblattrelement(model, GRB_DBL_ATTR_UB, i*n+i, 0);
    if (error) goto QUIT;
  }

  /* Symmetric TSP */

  for (i = 0; i < n; i++) {
    for (j = 0; j < i; j++) {
      ind[0] = i*n+j;
      ind[1] = i+j*n;
      val[0] = 1;
      val[1] = -1;
      error = GRBaddconstr(model, 2, ind, val, GRB_EQUAL, 0, NULL);
      if (error) goto QUIT;
    }
  }

  /* Set callback function */

  mydata.n = n;

  error = GRBsetcallbackfunc(model, subtourelim, (void *) &mydata);
  if (error) goto QUIT;

  /* Turn off dual reductions - required when using lazy constraints */

  error = GRBsetintparam(GRBgetenv(model), GRB_INT_PAR_DUALREDUCTIONS, 0);
  if (error) goto QUIT;

  /* Optimize model */

  error = GRBoptimize(model);
  if (error) goto QUIT;

  /* Extract solution */

  error = GRBgetintattr(model, GRB_INT_ATTR_SOLCOUNT, &solcount);
  if (error) goto QUIT;

  if (solcount > 0) {
    int *tour = NULL;
    double *sol = NULL;

    sol = (double *) malloc(n*n*sizeof(double));
    tour = (int *) malloc(n*sizeof(int));
    if (sol == NULL || tour == NULL) {
      fprintf(stderr, "Out of memory\n");
      exit(1);
    }

    error = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, 0, n*n, sol);
    if (error) goto QUIT;

    /* Print tour */

    findsubtour(n, sol, &len, tour);

    printf("Tour: ");
    for (i = 0; i < len; i++)
      printf("%d ", tour[i]);
    printf("\n");

    free(tour);
    free(sol);
  }

QUIT:

  /* Free data */

  free(x);
  free(y);
  free(ind);
  free(val);

  /* Error reporting */

  if (error) {
    printf("ERROR: %s\n", GRBgeterrormsg(env));
    exit(1);
  }

  /* Free model */

  GRBfreemodel(model);

  /* Free environment */

  GRBfreeenv(env);

  return 0;
}
示例#9
0
文件: mip1_c.c 项目: revisalo/cr2
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;
}
示例#10
0
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;
}