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qcp_vb.vb
' Copyright 2020, Gurobi Optimization, LLC
' This example formulates and solves the following simple QCP model:
'
' maximize x
' subject to x + y + z = 1
' x^2 + y^2 <= z^2 (second-order cone)
' x^2 <= yz (rotated second-order cone)
' x, y, z non-negative
Imports Gurobi
Class qcp_vb
Shared Sub Main()
Try
Dim env As New GRBEnv("qcp.log")
Dim model As New GRBModel(env)
' Create variables
Dim x As GRBVar = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "x")
Dim y As GRBVar = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "y")
Dim z As GRBVar = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "z")
' Set objective
Dim obj As GRBLinExpr = x
model.SetObjective(obj, GRB.MAXIMIZE)
' Add linear constraint: x + y + z = 1
model.AddConstr(x + y + z = 1.0, "c0")
' Add second-order cone: x^2 + y^2 <= z^2
model.AddQConstr(x * x + y * y <= z * z, "qc0")
' Add rotated cone: x^2 <= yz
model.AddQConstr(x * x <= y * z, "qc1")
' Optimize model
model.Optimize()
Console.WriteLine(x.VarName & " " & x.X)
Console.WriteLine(y.VarName & " " & y.X)
Console.WriteLine(z.VarName & " " & z.X)
Console.WriteLine("Obj: " & model.ObjVal & " " & obj.Value)
' Dispose of model and env
model.Dispose()
env.Dispose()
Catch e As GRBException
Console.WriteLine("Error code: " & e.ErrorCode & ". " & e.Message)
End Try
End Sub
End Class
