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piecewise_c.c
/* Copyright 2020, Gurobi Optimization, LLC */
/* This example considers the following separable, convex problem:
minimize f(x) - y + g(z)
subject to x + 2 y + 3 z <= 4
x + y >= 1
x, y, z <= 1
where f(u) = exp(-u) and g(u) = 2 u^2 - 4 u, for all real u. It
formulates and solves a simpler LP model by approximating f and
g with piecewise-linear functions. Then it transforms the model
into a MIP by negating the approximation for f, which corresponds
to a non-convex piecewise-linear function, and solves it again.
*/
#include <stdlib.h>
#include <stdio.h>
#include <math.h>
#include "gurobi_c.h"
double f(double u) { return exp(-u); }
double g(double u) { return 2 * u * u - 4 * u; }
int
main(int argc,
char *argv[])
{
GRBenv *env = NULL;
GRBmodel *model = NULL;
int error = 0;
double lb, ub;
int npts, i;
double *ptu = NULL;
double *ptf = NULL;
double *ptg = NULL;
int ind[3];
double val[3];
int ismip;
double objval;
double sol[3];
/* Create environment */
error = GRBloadenv(&env, NULL);
if (error) goto QUIT;
/* Create a new model */
error = GRBnewmodel(env, &model, NULL, 0, NULL, NULL, NULL, NULL, NULL);
if (error) goto QUIT;
/* Add variables */
lb = 0.0; ub = 1.0;
error = GRBaddvar(model, 0, NULL, NULL, 0.0, lb, ub, GRB_CONTINUOUS, "x");
if (error) goto QUIT;
error = GRBaddvar(model, 0, NULL, NULL, 0.0, lb, ub, GRB_CONTINUOUS, "y");
if (error) goto QUIT;
error = GRBaddvar(model, 0, NULL, NULL, 0.0, lb, ub, GRB_CONTINUOUS, "z");
if (error) goto QUIT;
/* Set objective for y */
error = GRBsetdblattrelement(model, GRB_DBL_ATTR_OBJ, 1, -1.0);
if (error) goto QUIT;
/* Add piecewise-linear objective functions for x and z */
npts = 101;
ptu = (double *) malloc(npts * sizeof(double));
ptf = (double *) malloc(npts * sizeof(double));
ptg = (double *) malloc(npts * sizeof(double));
for (i = 0; i < npts; i++) {
ptu[i] = lb + (ub - lb) * i / (npts - 1);
ptf[i] = f(ptu[i]);
ptg[i] = g(ptu[i]);
}
error = GRBsetpwlobj(model, 0, npts, ptu, ptf);
if (error) goto QUIT;
error = GRBsetpwlobj(model, 2, npts, ptu, ptg);
if (error) goto QUIT;
/* Add 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;
/* Add 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 as an LP */
error = GRBoptimize(model);
if (error) goto QUIT;
error = GRBgetintattr(model, "IsMIP", &ismip);
if (error) goto QUIT;
error = GRBgetdblattr(model, "ObjVal", &objval);
if (error) goto QUIT;
error = GRBgetdblattrarray(model, "X", 0, 3, sol);
if (error) goto QUIT;
printf("IsMIP: %d\n", ismip);
printf("x %g\ny %g\nz %g\n", sol[0], sol[1], sol[2]);
printf("Obj: %g\n", objval);
printf("\n");
/* Negate piecewise-linear objective function for x */
for (i = 0; i < npts; i++) {
ptf[i] = -ptf[i];
}
error = GRBsetpwlobj(model, 0, npts, ptu, ptf);
if (error) goto QUIT;
/* Optimize model as a MIP */
error = GRBoptimize(model);
if (error) goto QUIT;
error = GRBgetintattr(model, "IsMIP", &ismip);
if (error) goto QUIT;
error = GRBgetdblattr(model, "ObjVal", &objval);
if (error) goto QUIT;
error = GRBgetdblattrarray(model, "X", 0, 3, sol);
if (error) goto QUIT;
printf("IsMIP: %d\n", ismip);
printf("x %g\ny %g\nz %g\n", sol[0], sol[1], sol[2]);
printf("Obj: %g\n", objval);
QUIT:
/* Error reporting */
if (error) {
printf("ERROR: %s\n", GRBgeterrormsg(env));
exit(1);
}
/* Free data */
free(ptu);
free(ptf);
free(ptg);
/* Free model */
GRBfreemodel(model);
/* Free environment */
GRBfreeenv(env);
return 0;
}
