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dense_cs.cs

/* Copyright 2023, Gurobi Optimization, LLC */

/* This example formulates and solves the following simple QP model:

minimize    x + y + x^2 + x*y + y^2 + y*z + z^2
subject to  x + 2 y + 3 z >= 4
x +   y       >= 1
x, y, z non-negative

The example illustrates the use of dense matrices to store A and Q
(and dense vectors for the other relevant data).  We don't recommend
that you use dense matrices, but this example may be helpful if you
*/

using System;
using Gurobi;

class dense_cs {

protected static bool
dense_optimize(GRBEnv    env,
int       rows,
int       cols,
double[]  c,      // linear portion of objective function
double[,] Q,      // quadratic portion of objective function
double[,] A,      // constraint matrix
char[]    sense,  // constraint senses
double[]  rhs,    // RHS vector
double[]  lb,     // variable lower bounds
double[]  ub,     // variable upper bounds
char[]    vtype,  // variable types (continuous, binary, etc.)
double[]  solution) {

bool success = false;

try {
GRBModel model = new GRBModel(env);

// Add variables to the model

GRBVar[] vars = model.AddVars(lb, ub, null, vtype, null);

// Populate A matrix

for (int i = 0; i < rows; i++) {
GRBLinExpr expr = new GRBLinExpr();
for (int j = 0; j < cols; j++)
if (A[i,j] != 0)
expr.AddTerm(A[i,j], vars[j]); // Note: '+=' would be much slower
}

// Populate objective

if (Q != null) {
for (int i = 0; i < cols; i++)
for (int j = 0; j < cols; j++)
if (Q[i,j] != 0)
obj.AddTerm(Q[i,j], vars[i], vars[j]); // Note: '+=' would be much slower
for (int j = 0; j < cols; j++)
if (c[j] != 0)
obj.AddTerm(c[j], vars[j]); // Note: '+=' would be much slower
model.SetObjective(obj);
}

// Solve model

model.Optimize();

// Extract solution

if (model.Status == GRB.Status.OPTIMAL) {
success = true;

for (int j = 0; j < cols; j++)
solution[j] = vars[j].X;
}

model.Dispose();

} catch (GRBException e) {
Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
}

return success;
}

public static void Main(String[] args) {
try {
GRBEnv env = new GRBEnv();

double[] c = new double[] {1, 1, 0};
double[,] Q = new double[,] {{1, 1, 0}, {0, 1, 1}, {0, 0, 1}};
double[,] A = new double[,] {{1, 2, 3}, {1, 1, 0}};
char[] sense = new char[] {'>', '>'};
double[] rhs = new double[] {4, 1};
double[] lb = new double[] {0, 0, 0};
bool success;
double[] sol = new double[3];

success = dense_optimize(env, 2, 3, c, Q, A, sense, rhs,
lb, null, null, sol);

if (success) {
Console.WriteLine("x: " + sol[0] + ", y: " + sol[1] + ", z: " + sol[2]);
}

// Dispose of environment
env.Dispose();

} catch (GRBException e) {
Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message);
}
}
}


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