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qcp_c++.cpp
/* Copyright 2018, 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) */ #include "gurobi_c++.h" using namespace std; int main(int argc, char *argv[]) { try { GRBEnv env = GRBEnv(); GRBModel model = GRBModel(env); // Create variables GRBVar x = model.addVar(0.0, GRB_INFINITY, 0.0, GRB_CONTINUOUS, "x"); GRBVar y = model.addVar(0.0, GRB_INFINITY, 0.0, GRB_CONTINUOUS, "y"); GRBVar z = model.addVar(0.0, GRB_INFINITY, 0.0, GRB_CONTINUOUS, "z"); // Set objective GRBLinExpr obj = x; model.setObjective(obj, GRB_MAXIMIZE); // Add linear constraint: x + y + z = 1 model.addConstr(x + y + z == 1, "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(); cout << x.get(GRB_StringAttr_VarName) << " " << x.get(GRB_DoubleAttr_X) << endl; cout << y.get(GRB_StringAttr_VarName) << " " << y.get(GRB_DoubleAttr_X) << endl; cout << z.get(GRB_StringAttr_VarName) << " " << z.get(GRB_DoubleAttr_X) << endl; cout << "Obj: " << model.get(GRB_DoubleAttr_ObjVal) << endl; } catch(GRBException e) { cout << "Error code = " << e.getErrorCode() << endl; cout << e.getMessage() << endl; } catch(...) { cout << "Exception during optimization" << endl; } return 0; }