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sensitivity_vb.vb
' Copyright 2020, Gurobi Optimization, LLC
' A simple sensitivity analysis example which reads a MIP model from a
' file and solves it. Then uses the scenario feature to analyze the impact
' w.r.t. the objective function of each binary variable if it is set to
' 1-X, where X is its value in the optimal solution.
'
' Usage:
' sensitivity_cs <model filename>
Imports System
Imports Gurobi
Class sensitivity_vb
Shared Sub Main(args As String())
If args.Length < 1 Then
Console.Out.WriteLine("Usage: sensitivity_vb filename")
Return
End If
Try
' Maximum number of scenarios to be considered
Dim MAXSCENARIOS as Integer = 100
' Create environment
Dim env As New GRBEnv()
' Read model
Dim model As New GRBModel(env, args(0))
Dim scenarios As Integer
If model.IsMIP = 0 Then
Console.WriteLine("Model is not a MIP")
Return
End If
' Solve model
model.Optimize()
If model.Status <> GRB.Status.OPTIMAL Then
Console.WriteLine("Optimization ended with status " & _
model.Status)
Return
End If
' Store the optimal solution
Dim origObjVal As Double = model.ObjVal
Dim vars As GRBVar() = model.GetVars()
Dim origX As Double() = model.Get(GRB.DoubleAttr.X, vars)
scenarios = 0
' Count number of unfixed, binary variables in model. For each we
' create a scenario.
For i As Integer = 0 To vars.Length - 1
Dim v As GRBVar = vars(i)
Dim vType As Char = v.VType
If v.LB = 0.0 AndAlso _
v.UB = 1.0 AndAlso _
(vType = GRB.BINARY OrElse vType = GRB.INTEGER) Then
scenarios += 1
If scenarios >= MAXSCENARIOS Then
Exit For
End If
End If
Next
Console.WriteLine("### construct multi-scenario model with " _
& scenarios & " scenarios")
' Set the number of scenarios in the model */
model.NumScenarios = scenarios
scenarios = 0
' Create a (single) scenario model by iterating through unfixed
' binary variables in the model and create for each of these
' variables a scenario by fixing the variable to 1-X, where X is its
' value in the computed optimal solution
For i As Integer = 0 To vars.Length - 1
Dim v As GRBVar = vars(i)
Dim vType As Char = v.VType
If v.LB = 0.0 AndAlso _
v.UB = 1.0 AndAlso _
(vType = GRB.BINARY OrElse vType = GRB.INTEGER) AndAlso _
scenarios < MAXSCENARIOS Then
' Set ScenarioNumber parameter to select the corresponding
' scenario for adjustments
model.Parameters.ScenarioNumber = scenarios
' Set variable to 1-X, where X is its value in the optimal solution */
If origX(i) < 0.5 Then
v.ScenNLB = 1.0
Else
v.ScenNUB = 0.0
End If
scenarios += 1
Else
' Add MIP start for all other variables using the optimal solution
' of the base model
v.Start = origX(i)
End If
Next
' Solve multi-scenario model
model.Optimize()
' In case we solved the scenario model to optimality capture the
' sensitivity information
If model.Status = GRB.Status.OPTIMAL Then
Dim modelSense As Integer = model.ModelSense
scenarios = 0
For i As Integer = 0 To vars.Length - 1
Dim v As GRBVar = vars(i)
Dim vType As Char = v.VType
If v.LB = 0.0 AndAlso _
v.UB = 1.0 AndAlso _
(vType = GRB.BINARY OrElse vType = GRB.INTEGER) Then
' Set scenario parameter to collect the objective value of the
' corresponding scenario
model.Parameters.ScenarioNumber = scenarios
' Collect objective value and bound for the scenario
Dim scenarioObjVal As Double = model.ScenNObjVal
Dim scenarioObjBound As Double = model.ScenNObjBound
Console.Write("Objective sensitivity for variable " _
& v.VarName & " is ")
' Check if we found a feasible solution for this scenario
If scenarioObjVal >= modelSense * GRB.INFINITY Then
' Check if the scenario is infeasible
If scenarioObjBound >= modelSense * GRB.INFINITY Then
Console.WriteLine("infeasible")
Else
Console.WriteLine("unknown (no solution available)")
End If
Else
' Scenario is feasible and a solution is available
Console.WriteLine(modelSense * (scenarioObjVal - origObjVal))
End If
scenarios += 1
If scenarios >= MAXSCENARIOS Then
Exit For
End If
End If
Next
End If
' Dispose of model and environment
model.Dispose()
env.Dispose()
Catch e As GRBException
Console.WriteLine("Error code: " + e.ErrorCode)
Console.WriteLine(e.Message)
Console.WriteLine(e.StackTrace)
End Try
End Sub
End Class
