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Using Gurobi within MATLAB's Problem-Based Optimization


Using Gurobi within MATLAB's Problem-Based Optimization

Starting with release R2017b, the MATLAB Optimization Toolbox offers an alternative way to formulate optimization problems, coined “Problem-Based Optimization”. In this section we'll explain how this modeling technique can be used in combination with the Gurobi solver.

The problem-based modeling approach uses an object-oriented paradigm for the components of an optimization problem; the optimization problem itself, the decision variables, and the linear constraints are represented by objects. Their creation and modification is effected through methods. The complete documentation for problem-based optimization is part of the Optimization Toolbox; we will only walk through a simple example. For this it is important that your MATLAB path contains Gurobi's example directory, which can be set as follows:


addpath(fullfile(<path_to_Gurobi>, <architecture>, 'examples', 'matlab'));

The first step is to create an optimization problem:

prob = optimproblem('ObjectiveSense','maximize');

The variable prob now refers to an optimization problem object, which we have specified to be a maximization problem. Next we create three non-negative optimization variables: x, y and z:

x = optimvar('x', 'LowerBound', 0);
y = optimvar('y', 'LowerBound', 0);
z = optimvar('z', 'LowerBound', 0);

With these variables at hand, we now build linear expressions in order to set an objective function, and to add two linear constraints to prob:

prob.Objective = x + 2 * y + 3 * z;
prob.Constraints.cons1 = x + y <= 1;
prob.Constraints.cons2 = y + z <= 1;

Finally we create an options object that guides prob's solution method to the linear program solver function linprog, and call the solve method.

options = optimoptions('linprog');
sol = solve(prob, options);

Since the examples directory of the Gurobi installation has been added to the path in the very first step above, a bit of magic happens at this stage: The directory contains a file linprog.m, so that the invocation of the solve method ends up calling this latter function instead of the built-in function linprog of MATLAB's Optimization Toolbox. The following output from Gurobi will be shown on the console:

Optimize a model with 2 rows, 3 columns and 4 nonzeros
Coefficient statistics:
  Matrix range     [1e+00, 1e+00]
  Objective range  [1e+00, 3e+00]
  Bounds range     [0e+00, 0e+00]
  RHS range        [1e+00, 1e+00]
Presolve removed 2 rows and 3 columns
Presolve time: 0.03s
Presolve: All rows and columns removed
Iteration    Objective       Primal Inf.    Dual Inf.      Time
       0   -4.0000000e+00   0.000000e+00   0.000000e+00      0s

Solved in 0 iterations and 0.05 seconds
Optimal objective -4.000000000e+00

The example we just discussed can be found in the examples directory in the file opttoolbox_lp.m. The example opttoolbox_mip1.m shows an analogous problem formulation with integer variables, that uses the function intlinprog.m, also found in the Gurobi examples directory, as a surrogate for MATLAB's built-in counterpart.

The modeling constructs provided by the Optimization Toolbox do not cover all the features of Gurobi, e.g., SOS, semi-continuous variables and general constraints to name a few. Moreover not all Gurobi parameters have equivalent counterparts in the option objects for linprog and intlinprog. In order to use such features, Gurobi's own Matlab API should be used.