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bilinear_c++.cpp
/* Copyright 2022, Gurobi Optimization, LLC */ /* This example formulates and solves the following simple bilinear model: maximize x subject to x + y + z <= 10 x * y <= 2 (bilinear inequality) x * z + y * z == 1 (bilinear equality) x, y, z non-negative (x integral in second version) */ #include <cassert> #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 <= 10 model.addConstr(x + y + z <= 10, "c0"); // Add bilinear inequality constraint: x * y <= 2 model.addQConstr(x*y <= 2, "bilinear0"); // Add bilinear equality constraint: y * z == 1 model.addQConstr(x*z + y*z == 1, "bilinear1"); // First optimize() call will fail - need to set NonConvex to 2 try { model.optimize(); assert(0); } catch (GRBException e) { cout << "Failed (as expected)" << endl; } model.set(GRB_IntParam_NonConvex, 2); 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; // Constrain x to be integral and solve again x.set(GRB_CharAttr_VType, GRB_INTEGER); 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; }