Linear Constraints

A linear constraint allows you to restrict the value of a linear expression. For example, you may require that any feasible solution satisfies the constraint <span>$</span>3 x + 4 y \leq 5z<span>$</span>. Note that the matrix-oriented Gurobi APIs (C, MATLAB, and R) require the right-hand side of a linear constraint to be a constant, while the object-oriented APIs (C++, Java, .NET, and Python) allow arbitrary linear expressions on both sides of the comparator.

The computed solution should satisfy the stated constraint to within FeasibilityTol (although it may not in cases of numerical ill-conditioning — we'll discuss this shortly).

Gurobi supports a limited set of comparators. Specifically, you can constrain an expression to be less-than-or-equal, greater-than-or-equal, or equal another. We do not support strict less-than, strict greater-than, or not-equal comparators. While these other comparators may seem appropriate for mathematical programming, we exclude them to avoid potential confusion related to numerical tolerances. Consider a simple example of a strict inequality constraint on a pair of continuous variables: <span>$</span>x > y<span>$</span>. How large would <span>$</span>x-y<span>$</span> need to be in order to satisfy the constraint? Rather than trying to embed a subtle and potentially confusing strategy for handling such constraints into the solver, we've chosen not to support them instead.

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