Documentation

Adding constraints to the model

The next step in the example is to add our two linear constraints. This is done by building a sparse matrix that captures the constraint matrix:

    # Build (sparse) constraint matrix
    data = np.array([1.0, 2.0, 3.0, -1.0, -1.0])
    row = np.array([0, 0, 0, 1, 1])
    col = np.array([0, 1, 2, 0, 1])

The matrix has two rows, one for each constraint, and three columns, one for each variable in our matrix variable. Note that we multiply the greater-than constraint by <span>$</span>-1<span>$</span> to transform it to a less-than constraint.

We also capture the right-hand side in a NumPy array:

    # Build rhs vector

We then use the overloaded @ operator to build a linear matrix expression, and then use the overloaded less-than-or-equal operator to add two constraints (one for each row in the matrix expression):

    # Add constraints
    m.addConstr(A @ x <= rhs, name="c")