qcp.py
#!/usr/bin/python
# Copyright 2016, Gurobi Optimization, Inc.
# 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)
from gurobipy import *
# Create a new model
m = Model("qcp")
# Create variables
x = m.addVar(name="x")
y = m.addVar(name="y")
z = m.addVar(name="z")
# Set objective: x
obj = 1.0*x
m.setObjective(obj, GRB.MAXIMIZE)
# Add constraint: x + y + z = 1
m.addConstr(x + y + z == 1, "c0")
# Add second-order cone: x^2 + y^2 <= z^2
m.addQConstr(x*x + y*y <= z*z, "qc0")
# Add rotated cone: x^2 <= yz
m.addQConstr(x*x <= y*z, "qc1")
m.optimize()
for v in m.getVars():
print('%s %g' % (v.varName, v.x))
print('Obj: %g' % obj.getValue())