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sensitivity_c.c
/* Copyright 2021, Gurobi Optimization, LLC */ /* A simple sensitivity analysis example which reads a MIP model from a * file and solves it. Then uses the scenario feature to analyze the impact * w.r.t. the objective function of each binary variable if it is set to * 1-X, where X is its value in the optimal solution. * * Usage: * sensitivity_c <model filename> */ #include <stdlib.h> #include <stdio.h> #include "gurobi_c.h" /* Maximum number of scenarios to be considered */ #define MAXSCENARIOS 100 int main(int argc, char *argv[]) { GRBenv *env = NULL; GRBenv *modelenv = NULL; GRBmodel *model = NULL; double *origx = NULL; double origObjVal; int ismip, status, numvars, i; int scenarios; int error = 0; if (argc < 2) { fprintf(stderr, "Usage: sensitivity_c filename\n"); goto QUIT; } /* Create environment */ error = GRBloadenv(&env, "sensitivity.log"); if (error) goto QUIT; /* Read model */ error = GRBreadmodel(env, argv[1], &model); if (error) goto QUIT; modelenv = GRBgetenv(model); if (error) goto QUIT; error = GRBgetintattr(model, GRB_INT_ATTR_IS_MIP, &ismip); if (error) goto QUIT; if (ismip == 0) { printf("Model is not a MIP\n"); goto QUIT; } /* Solve model */ error = GRBoptimize(model); if (error) goto QUIT; error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &status); if (error) goto QUIT; if (status != GRB_OPTIMAL) { printf("Optimization ended with status %d\n", status); goto QUIT; } /* Store the optimal solution */ error = GRBgetdblattr(model, GRB_DBL_ATTR_OBJVAL, &origObjVal); if (error) goto QUIT; error = GRBgetintattr(model, GRB_INT_ATTR_NUMVARS, &numvars); if (error) goto QUIT; origx = (double *) malloc(numvars * sizeof(double)); if (origx == NULL) { printf("Out of memory\n"); goto QUIT; } error = GRBgetdblattrarray(model, GRB_DBL_ATTR_X, 0, numvars, origx); if (error) goto QUIT; scenarios = 0; /* Count number of unfixed, binary variables in model. For each we create a * scenario. */ for (i = 0; i < numvars; i++) { double lb, ub; char vtype; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_LB, i, &lb); if (error) goto QUIT; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_UB, i, &ub); if (error) goto QUIT; error = GRBgetcharattrelement(model, GRB_CHAR_ATTR_VTYPE, i, &vtype); if (error) goto QUIT; if (lb == 0.0 && ub == 1.0 && (vtype == GRB_BINARY || vtype == GRB_INTEGER) ) { scenarios++; if (scenarios >= MAXSCENARIOS) break; } } printf("### construct multi-scenario model with %d scenarios\n", scenarios); /* Set the number of scenarios in the model */ error = GRBsetintattr(model, GRB_INT_ATTR_NUMSCENARIOS, scenarios); if (error) goto QUIT; scenarios = 0; /* Create a (single) scenario model by iterating through unfixed binary * variables in the model and create for each of these variables a * scenario by fixing the variable to 1-X, where X is its value in the * computed optimal solution */ for (i = 0; i < numvars; i++) { double lb, ub; char vtype; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_LB, i, &lb); if (error) goto QUIT; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_UB, i, &ub); if (error) goto QUIT; error = GRBgetcharattrelement(model, GRB_CHAR_ATTR_VTYPE, i, &vtype); if (error) goto QUIT; if (lb == 0.0 && ub == 1.0 && (vtype == GRB_BINARY || vtype == GRB_INTEGER) && scenarios < MAXSCENARIOS ) { /* Set ScenarioNumber parameter to select the corresponding scenario * for adjustments */ error = GRBsetintparam(modelenv, GRB_INT_PAR_SCENARIONUMBER, scenarios); if (error) goto QUIT; /* Set variable to 1-X, where X is its value in the optimal solution */ if (origx[i] < 0.5) { error = GRBsetdblattrelement(model, GRB_DBL_ATTR_SCENNLB, i, 1.0); if (error) goto QUIT; } else { error = GRBsetdblattrelement(model, GRB_DBL_ATTR_SCENNUB, i, 0.0); if (error) goto QUIT; } scenarios++; } else { /* Add MIP start for all other variables using the optimal solution * of the base model */ error = GRBsetdblattrelement(model, GRB_DBL_ATTR_START, i, origx[i]); if (error) goto QUIT; } } /* Solve multi-scenario model */ error = GRBoptimize(model); if (error) goto QUIT; /* Collect the status */ error = GRBgetintattr(model, GRB_INT_ATTR_STATUS, &status); if (error) goto QUIT; /* In case we solved the scenario model to optimality capture the * sensitivity information */ if (status == GRB_OPTIMAL) { int modelSense; scenarios = 0; /* Get model sense (minimization or maximization) */ error = GRBgetintattr(model, GRB_INT_ATTR_MODELSENSE, &modelSense); if (error) goto QUIT; for (i = 0; i < numvars; i++) { double lb, ub; char vtype; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_LB, i, &lb); if (error) goto QUIT; error = GRBgetdblattrelement(model, GRB_DBL_ATTR_UB, i, &ub); if (error) goto QUIT; error = GRBgetcharattrelement(model, GRB_CHAR_ATTR_VTYPE, i, &vtype); if (error) goto QUIT; if (lb == 0.0 && ub == 1.0 && (vtype == GRB_BINARY || vtype == GRB_INTEGER) ) { double scenarioObjVal; double scenarioObjBound; char *varName; /* Set scenario parameter to collect the objective value of the * corresponding scenario */ error = GRBsetintparam(modelenv, GRB_INT_PAR_SCENARIONUMBER, scenarios); if (error) goto QUIT; /* Collect objective value and bound for the scenario */ error = GRBgetdblattr(model, GRB_DBL_ATTR_SCENNOBJVAL, &scenarioObjVal); if (error) goto QUIT; error = GRBgetdblattr(model, GRB_DBL_ATTR_SCENNOBJBOUND, &scenarioObjBound); if (error) goto QUIT; error = GRBgetstrattrelement(model, GRB_STR_ATTR_VARNAME, i, &varName); if (error) goto QUIT; /* Check if we found a feasible solution for this scenario */ if (scenarioObjVal >= modelSense * GRB_INFINITY) { /* Check if the scenario is infeasible */ if (scenarioObjBound >= modelSense * GRB_INFINITY) printf("Objective sensitivity for variable %s is infeasible\n", varName); else printf("Objective sensitivity for variable %s is unknown (no solution available)\n", varName); } else { /* Scenario is feasible and a solution is available */ printf("Objective sensitivity for variable %s is %g\n", varName, modelSense * (scenarioObjVal - origObjVal)); } scenarios++; if (scenarios >= MAXSCENARIOS) break; } } } QUIT: /* Error reporting */ if (error != 0) { printf("ERROR: %s\n", GRBgeterrormsg(env)); exit(1); } /* Free data */ free(origx); /* Free model */ GRBfreemodel(model); /* Free environment */ GRBfreeenv(env); return 0; }