Solving models with the Gurobi MATLAB interface


Solving models with the Gurobi MATLAB interface

The Gurobi MATLAB interface can be used to solve optimization problems of the following form:

minimize <span>$</span>x^TQx + c^Tx + \mathrm{alpha}<span>$</span>  
subject to <span>$</span>Ax = b<span>$</span> (linear constraints)
  <span>$</span>\ell \le x \le u<span>$</span> (bound constraints)
  some <span>$</span>x_j<span>$</span> integral (integrality constraints)
  some <span>$</span>x_k<span>$</span> lie within second order cones (cone constraints)
  <span>$</span>x^TQc  x + q^Tx \le \mathrm{beta}<span>$</span> (quadratic constraints)
  some <span>$</span>x_i<span>$</span> in SOS (special ordered set constraints)

Many of the model components listed here are optional. For example, integrality constraints may be omitted. We'll discuss the details of how models are represented shortly.

The function gurobi, described next, allows you to take a model represented using MATLAB matrices and solve it with the Gurobi Optimizer.



Subsections