C++ API Overview


C++ API Overview

This section documents the Gurobi C++ interface. This manual begins with a quick overview of the classes exposed in the interface and the most important methods on those classes. It then continues with a comprehensive presentation of all of the available classes and methods.

If you are new to the Gurobi Optimizer, we suggest that you start with the Quick Start Guide or the Example Tour. These documents provide concrete examples of how to use the classes and methods described here.

Environments

The first step in using the Gurobi C++ interface is to create an environment object. Environments are represented using the GRBEnv class. An environment acts as the container for all data associated with a set of optimization runs. You will generally only need one environment object in your program.

Models

You can create one or more optimization models within an environment. Each model is represented as an object of class GRBModel. A model consists of a set of decision variables (objects of class GRBVar), a linear or quadratic objective function on those variables (specified using GRBModel::setObjective), and a set of constraints on these variables (objects of class GRBConstr, GRBQConstr, or GRBSOS). Each variable has an associated lower bound, upper bound, and type (continuous, binary, etc.). Each linear or quadratic constraint has an associated sense (less-than-or-equal, greater-than-or-equal, or equal), and right-hand side value.

Linear constraints are specified by building linear expressions (objects of class GRBLinExpr), and then specifying relationships between these expressions (for example, requiring that one expression be equal to another). Quadratic constraints are built in a similar fashion, but using quadratic expressions (objects of class GRBQuadExpr) instead.

An optimization model may be specified all at once, by loading the model from a file (using the appropriate GRBModel constructor), or built incrementally, by first constructing an empty object of class GRBModel and then subsequently calling GRBModel::addVar or GRBModel::addVars to add additional variables, and GRBModel::addConstr or GRBModel::addQConstr to add additional constraints. Models are dynamic entities; you can always add or remove variables or constraints.

We often refer to the class of an optimization model. A model with a linear objective function, linear constraints, and continuous variables is a Linear Program (LP). If the objective is quadratic, the model is a Quadratic Program (QP). If any of the constraints are quadratic, the model is a Quadratically-Constrained Program (QCP). We'll sometimes also discuss a special case of QCP, the Second-Order Cone Program (SOCP). If the model contains any integer variables, semi-continuous variables, semi-integer variables, or Special Ordered Set (SOS) constraints, the model is a Mixed Integer Program (MIP). We'll also sometimes discuss special cases of MIP, including Mixed Integer Linear Programs (MILP), Mixed Integer Quadratic Programs (MIQP), Mixed Integer Quadratically-Constrained Programs (MIQCP), and Mixed Integer Second-Order Cone Programs (MISOCP). The Gurobi Optimizer handles all of these model classes.

Solving a Model

Once you have built a model, you can call GRBModel::optimize to compute a solution. By default, optimize will use the concurrent optimizer to solve LP models, the barrier algorithm to solve QP and QCP models, and the branch-and-cut algorithm to solve mixed integer models. The solution is stored in a set of attributes of the model. These attributes can be queried using a set of attribute query methods on the GRBModel, GRBVar, GRBConstr, and GRBQConstr classes.

The Gurobi algorithms keep careful track of the state of the model, so calls to GRBModel::optimize will only perform further optimization if relevant data has changed since the model was last optimized. If you would like to discard previously computed solution information and restart the optimization from scratch without changing the model, you can call GRBModel::reset.

After a MIP model has been solved, you can call GRBModel::fixedModel to compute the associated fixed model. This model is identical to the input model, except that all integer variables are fixed to their values in the MIP solution. In some applications, it is useful to compute information on this continuous version of the MIP model (e.g., dual variables, sensitivity information, etc.).

Infeasible Models

You have a few options if a model is found to be infeasible. You can try to diagnose the cause of the infeasibility, attempt to repair the infeasibility, or both. To obtain information that can be useful for diagnosing the cause of an infeasibility, call GRBModel::computeIIS to compute an Irreducible Inconsistent Subsystem (IIS). This method can be used for both continuous and MIP models, but you should be aware that the MIP version can be quite expensive. This method populates a set of IIS attributes.

To attempt to repair an infeasibility, call GRBModel::feasRelax to compute a feasibility relaxation for the model. This relaxation allows you to find a solution that minimizes the magnitude of the constraint violation.

Querying and Modifying Attributes

Most of the information associated with a Gurobi model is stored in a set of attributes. Some attributes are associated with the variables of the model, some with the constraints of the model, and some with the model itself. To give a simple example, solving an optimization model causes the X variable attribute to be populated. Attributes such as X that are computed by the Gurobi optimizer cannot be modified directly by the user, while others, such as the variable lower bound (the LB attribute) can.

Attributes are queried using GRBVar::get, GRBConstr::get, GRBQConstr::get, or GRBModel::get, and modified using GRBVar::set, GRBConstr::set, GRBQConstr::set, or GRBModel::set. Attributes are grouped into a set of enums by type (GRB_CharAttr, GRB_DoubleAttr, GRB_IntAttr, GRB_StringAttr). The get() and set() methods are overloaded, so the type of the attribute determines the type of the returned value. Thus, constr.get(GRB.DoubleAttr.RHS) returns a double, while constr.get(GRB.CharAttr.Sense) returns a char.

If you wish to retrieve attribute values for a set of variables or constraints, it is usually more efficient to use the array methods on the associated GRBModel object. Method GRBModel::get includes signatures that allow you to query or modify attribute values for arrays of variables or constraints.

The full list of attributes can be found in the Attributes section.

Additional Model Modification Information

Most modifications to an existing model are done through the attribute interface (e.g., changes to variable bounds, constraint right-hand sides, etc.). The main exceptions are modifications to the constraint matrix and the objective function.

The constraint matrix can be modified in a few ways. The first is to call the chgCoeffs method on a GRBModel object to change individual matrix coefficients. This method can be used to modify the value of an existing non-zero, to set an existing non-zero to zero, or to create a new non-zero. The constraint matrix is also modified when you remove a variable or constraint from the model (through the GRBModel::remove method). The non-zero values associated with the deleted constraint or variable are removed along with the constraint or variable itself.

The model objective function can also be modified in a few ways. The easiest is to build an expression that captures the objective function (a GRBLinExpr or GRBQuadExpr object), and then pass that expression to method GRBModel::setObjective. If you wish to modify the objective, you can simply call setObjective again with a new GRBLinExpr or GRBQuadExpr object.

For linear objective functions, an alternative to setObjective is to use the Obj variable attribute to modify individual linear objective coefficients.

If your variables have piecewise-linear objectives, you can specify them using the setPWLObj method. Call this method once for each relevant variable. The Gurobi simplex solver includes algorithmic support for convex piecewise-linear objective functions, so for continuous models you should see a substantial performance benefit from using this feature. To clear a previously specified piecewise-linear objective function, simply set the Obj attribute on the corresponding variable to 0.

Lazy Updates

One very important item to note about attribute and model modifications in the Gurobi optimizer is that they are performed in a lazy fashion, meaning that they don't actually affect the model until the next call to optimize or update on that model object. This approach provides the advantage that the model remains unchanged while you are in the process of making multiple modifications. The downside, of course, is that you have to remember to call update in order to see the effect of your changes.

If you forget to call update, your program won't crash. The most common symptom of a missing update is a NOT_IN_MODEL exception, which indicates that the object you are trying to reference isn't in the model yet.

If you find the need to call update inconvenient, you can adjust the behavior of lazy updates with the UpdateMode parameter. By setting this parameter to 1, you can use newly added variables and constraints immediately for building or modifying the model. This setting does have a few downsides, though. It causes Gurobi to use a small amount of additional internal storage, and it introduces a small performance overhead. In addition, this setting may cause Gurobi to make less aggressive use of warm-start information when you modify a model and resolve it using simplex.

Managing Parameters

The Gurobi optimizer provides a set of parameters to allow you to control many of the details of the optimization process. Factors like feasibility and optimality tolerances, choices of algorithms, strategies for exploring the MIP search tree, etc., can be controlled by modifying Gurobi parameters before beginning the optimization. Parameters are set using methods on a GRBEnv object (e.g., GRBEnv::set). Current values may also be retrieved with GRBEnv::get. Parameters can be of type int, double, or string. You can also read a set of parameter settings from a file using GRBEnv::readParams, or write the set of changed parameters using GRBEnv::writeParams.

We also include an automated parameter tuning tool that explores many different sets of parameter changes in order to find a set that improves performance. You can call GRBModel::tune to invoke the tuning tool on a model. Refer to the parameter tuning tool section for more information.

One thing we should note is that each model gets its own copy of the environment when it is created. Parameter changes to the original environment therefore have no effect on existing models. Use GRBModel::getEnv to retrieve the environment associated with a particular model if you want to change a parameter for that model.

The full list of Gurobi parameters can be found in the Parameters section.

Memory Management

Memory management must always be considered in C++ programs. In particular, the Gurobi library and the user program share the same C++ heap, so the user must be aware of certain aspects of how the Gurobi library uses this heap. The basic rules for managing memory when using the Gurobi optimizer are as follows:

  • As with other dynamically allocated C++ objects, GRBEnv or GRBModel objects should be freed using the associated destructors. In other words, given a GRBModel object m, you should call delete m when you are no longer using m.
  • Objects that are associated with a model (e.g., GRBConstr, GRBSOS, and GRBVar objects) are managed by the model. In particular, deleting a model will delete all of the associated objects. Similarly, removing an object from a model (using GRBModel::remove) will also delete the object.
  • Some Gurobi methods return an array of objects or values. For example, GRBModel::addVars returns an array of GRBVar objects. It is the user's responsibility to free the returned array (using delete[]). The reference manual indicates when a method returns a heap-allocated result.

One consequence of these rules is that you must be careful not to use an object once it has been freed. This is no doubt quite clear for environments and models, where you call the destructors explicitly, but may be less clear for constraints and variables, which are implicitly deleted when the associated model is deleted.

Monitoring Progress - Logging and Callbacks

Progress of the optimization can be monitored through Gurobi logging. By default, Gurobi will send output to the screen. A few simple controls are available for modifying the default logging behavior. If you would like to direct output to a file as well as to the screen, specify the log file name in the GRBEnv constructor. You can modify the LogFile parameter if you wish to redirect the log to a different file after creating the environment object. The frequency of logging output can be controlled with the DisplayInterval parameter, and logging can be turned off entirely with the OutputFlag parameter. A detailed description of the Gurobi log file can be found in the Logging section.

More detailed progress monitoring can be done through the GRBCallback class. The GRBModel::setCallback method allows you to receive a periodic callback from the Gurobi optimizer. You do this by sub-classing the GRBCallback abstract class, and writing your own callback() method on this class. You can call GRBCallback::getDoubleInfo, GRBCallback::getIntInfo, GRBCallback::getStringInfo, or GRBCallback::getSolution from within the callback to obtain additional information about the state of the optimization.

Modifying Solver Behavior - Callbacks

Callbacks can also be used to modify the behavior of the Gurobi optimizer. The simplest control callback is GRBCallback::abort, which asks the optimizer to terminate at the earliest convenient point. Method GRBCallback::setSolution allows you to inject a feasible solution (or partial solution) during the solution of a MIP model. Methods GRBCallback::addCut and GRBCallback::addLazy allow you to add cutting planes and lazy constraints during a MIP optimization, respectively.

Error Handling

All of the methods in the Gurobi C++ library can throw an exception of type GRBException. When an exception occurs, additional information on the error can be obtained by retrieving the error code (using method GRBException::getErrorCode), or by retrieving the exception message (using method GRBException::getMessage). The list of possible error return codes can be found in the Error Codes section.