GUROBI Appendix A
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This page is part of the GUROBI Manual. See GUROBI. |
Contents |
The Matlab Interface Routines - Main Routines
gurobi
Purpose
GUROBI solves mixed-integer linear (MILP) problems of the form
where , and . The variables , the index subset of 1,...,n, are restricted to be integers.
Calling Syntax
[x, slack, v, rc, f k, ninf, sinf, Inform, basis, lpiter, glnodes, iis, sa] = ... gurobi(c, A, x L, x U, b L, b U, grbControl, PriLev, IntVars, SC, SI, ... sos1, sos2, logfile, savefile, iisRequest, iisFile, saRequest, basis, xIP)
Description of Inputs
The following inputs are used:
Input | Description |
---|---|
c | Linear objective function cost coefficients, vector n × 1. |
A | Linear constraint matrix for linear constraints, dense or sparse matrix m × n. |
x_L | Lower bounds on x. |
x_U | Upper bounds on x. |
b_L | Lower bounds on the linear constraints. |
The following parameters are optional: | |
b_U | Upper bounds on the linear constraints. If empty, then inf is assumed. |
grbControl | Structure, where the fields are set to the GUROBI parameters that the user wants to specify (not case-sensitive). For example:
grbControl.LPMETHOD = 0 %Primal instead of Dual simplex grbControl.IterationLimit = 20 % Limit the simplex iterations PriLev Printing level in the GUROBI interface. = 0 Silent = 1 Warnings and Errors = 2 Summary information = 3 More detailed information > 10 Pause statements, and maximal printing |
IntVars | Defines which variables are integers, of general type I or binary B Variable indices should be in the range [1, ..., n]. IntVars is a logical vector ==> x(find(IntVars > 0)) are integers IntVars is a vector of indices ==> x(IntVars) are integers (if [], then no integers of type I or B are defined) GURONI checks which variables has x L=0 and x U=1, i.e. binary. |
SC | A vector with indices for the integer variables of type Semi-continuous (SC), i.e. that takes either the value 0 or a real value in the range [xL (i), xU (i)], assuming for some j, that i = SC (j), where i is an variable number in the range [1, ..., n]. |
SI | A vector with indices for the integer variables of type Semi-integer (SI), i.e. that takes either the value 0 or an integer value in the range [xL (i), xU (i)], assuming for some j, that i = SI e(j), where i is an variable number in the range [1, ..., n]. |
sos1 | A structure defining the Special Ordered Sets of Type One (sos1). Assume there are k sets of type sos1, then sos1(k).var is a vector of indices for variables of type sos1 in set k. sos1(k).row is the row number for the reference row identifying the ordering information for the sos1 set, i.e. A(sos1(k).row,sos1(k).var) identifies this information. As ordering information, also the objective function coefficients c could be used. Then as row number,
0 is instead given in sos1(k).row. |
sos2 | A structure defining the Special Ordered Sets of Type Two (sos2). Specified in the same way as sos1 sets; see sos1 input variable description. |
logfile | Name of file to write the GUROBI log information to. If empty, no log is written. |
savefile | Name of file to write GUROBI problem just prior to calling the GUROBI solver. The file extension will control the type of file generated (mps, lp or rlp). |
iisRequest | IIS request. Set this to 1 if IIS information is needed for infeasible models. |
iisFile | Name of file to write IIS information to. No file is written if this input parameter is empty or if no such information is available. The file name must have the extension .ilp |
saRequest | Structure telling whether and how you want GUROBI to perform a sensitivity analysis (SA).
You can complete an SA on the objective function, right hand side vector, lower and upper bounds. The saRequest structure contains four sub structures: .obj, .rhs, .xl, .xu Each one of these contain the field: .index .index contain indices to variables or constraints of which to return possible value ranges. The .index array has to be sorted, ascending. To get an SA of objective function on the four variables 120 to 123 (included) and variable 19, the saRequest structure would look like this: saRequest.obj.index = [19 120 121 122 123]; The result is returned through the output parameter 'sa'. |
basis | Vector with GUROBI starting basis. If re-solving a similar problem several times, this can be set to the 'basis' output argument of an earlier call to gurobi.m. The length of this vector must be equal to the sum of the number of rows (m) and columns (n).
The first m elements contain row basis information, with the following possible values for non-ranged rows: 0 associated slack/surplus/artificial variable nonbasic at value 0.0 1 associated slack/surplus/artificial variable basic and for ranged rows (both upper and lower bounded) 0 associated slack/surplus/artificial variable nonbasic at its lower bound 1 associated slack/surplus/artificial variable basic 2 associated slack/surplus/artificial variable nonbasic at its upper bound The last n elements, i.e. basis(m+1:m+n) contain column basis information: 0 variable at lower bound 1 variable is basic 2 variable at upper bound 3 variable free and nonbasic |
xIP | Vector with MIP starting solution, if known. Missing values may be set to NaN. Length should be equal to number of columns in problem. |
Description of Outputs
The following fields are used:
Output | Description |
---|---|
x | Solution vector x with decision variable values (n × 1 vector). |
slack | Slack variables (m × 1 vector). |
v | Lagrangian multipliers (dual solution vector) (m × 1 vector). |
rc | Reduced costs. Lagrangian multipliers for simple bounds on x. |
f_k | Objective function value at optimum. |
ninf | Number of infeasibilities. |
sinf | Sum of infeasibilities. |
Inform | See section A.3. |
basis | Basis status of constraints and variables, ((m + n) × 1 vector). See inputs for more information. |
lpiter | Number of simplex iterations. |
glnodes | Number of nodes visited. |
iis | Structure containing IIS information. For example, if lb = [1; 2; 3; 4], then the lower bounds for variables 1-4 are part of the IIS set.
If there were ranged constraints among the original constraints, the lb/ub outputs may contain indices higher than the original number of variables, since ranged constraints are transformed using slacks and those slack variables may become IIS set members. Fields: iisStatus: Status flag. Possible values: 0 - IIS exist. 10015 - Model is feasible. 10016 - Model is a MIP. lb: Variable whose lower bounds are in the IIS. ub: Variable whose upper bounds are in the IIS. constr: Constraints that are in the IIS. |
sa | Structure with information about the requested SA, if requested. The fields: |
obj | Ranges for the variables in the objective function. |
rhs | Ranges for the right hand side values. |
xl | Ranges for the lower bound values. |
xu | Ranges for the upper bound values. |
These fields are structures themselves. All four structures have identical field names: | |
status | Status of the SA operation. Possible values:
1 = Successful. 0 = SA not requested. -1 = Error: begin is greater than end. -2 = Error: The selected range (begin...end) stretches out of available variables or con- straints. -3 = Error: No SA available. lower The lower range. upper The upper range. |
Description
The interface routine gurobi calls GUROBI to solve LP, and MILP problems. The matrix A is transformed in to the GUROBI sparse matrix format.
Error checking is made on the lengths of the vectors and matrices.
gurobiTL
Purpose
GUROBI solves mixed-integer linear (MILP) problems of the form
where , and . The variables , the index subset of 1,...,n, are restricted to be integers.
Calling Syntax
Prob = ProbCheck(Prob, 'gurobi'); Result = gurobiTL(Prob); or Result = tomRun('gurobi', Prob, 1);
Description of Inputs
Problem description structure. The following fields are used:
Input | Description |
---|---|
QP.c | Linear objective function cost coefficients, vector n × 1. |
A | Linear constraint matrix for linear constraints, dense or sparse m × n matrix. |
b_L | Lower bounds on the linear constraints. |
b_U | Upper bounds on the linear constraints. |
x_L | Lower bounds on design parameters x. If empty assumed to be -I nf . |
x_U | Upper bounds on design parameters x. If empty assumed to be I nf . |
PriLevOpt | Printing level in gurobi.m file and the GUROBI C-interface.
= 0 Silent = 1 Warnings and Errors = 2 Summary information = 3 More detailed information > 10 Pause statements, and maximal printing (debug mode) |
MIP | Structure holding information about mixed integer optimization. |
grbControl | Structure, where the fields are set to the GUROBI parameters that the user wants to specify
(not case-sensitive). For example: grbControl.LPMETHOD = 0 %Primal instead of Dual simplex grbControl.IterationLimit = 20 % Limit the simplex iterations |
IntVars | Defines which variables are integers, of the general type I or binary B. Variable indices should be in the range [1,...,n]. If I ntV ars is a logical vector then all variables i where I ntV ars(i) > 0 are defined to be integers. If I ntV ars is determined to be a vector of indices then x(I ntV ars) are defined as integers. If the input is empty ([]), then no integers of type I or B are defined. The interface routine gurobi.m checks which of the integer variables have lower bound xL = 0 and upper bound xU = 1, i.e. are binary 0/1 variables. |
SC | A vector with indices for the integer variables of type Semi-continuous (SC), i.e. that takes either the value 0 or a real value in the range [xL (i), xU (i)], assuming for some j, that i = SC (j), where i is an variable number in the range [1, ..., n]. |
SI | A vector with indices for the integer variables of type Semi-integer (SI), i.e. that takes either the value 0 or an integer value in the range [xL (i), xU (i)], assuming for some j, that i = SI (j), where i is an variable number in the range [1, ..., n]. |
sos1 | A structure defining the Special Ordered Sets of Type One (sos1). Assume there are k sets of type sos1, then sos1(k).var is a vector of indices for variables of type sos1 in set k. sos1(k).row is the row number for the reference row identifying the ordering information for the sos1 set, i.e. A(sos1(k).row,sos1(k).var) identifies this information. As ordering information, also the objective function coefficients c could be used. Then as row number, 0 is instead given in sos1(k).row. |
sos2 | A structure defining the Special Ordered Sets of Type Two (sos2). Specified exactly as sos1 sets, see M I P.sos1 input variable description. |
basis | Basis for warm start of solution process. See Section A.1 for more information. |
xIP | Vector with MIP starting solution, if known. NaN can be used to indicate missing values.
Length should be equal to number of columns in problem. Values of continuous variables are ignored. |
GUROBI | Structure with solver specific parameters for logging and saving problems. The following fields are used: |
LogFile | Name of file to write the GUROBI log information to. If empty, no log is written. |
SaveFile | Name of file to write GUROBI problem just prior to calling the GUROBI solver. The file extension will control the type of file generated (mps, lp or rlp). |
iisRequest | IIS request. Set this to 1 if IIS information is needed for infeasible models. |
iisFile | Name of file to write IIS information to. No file is written if this input parameter is
empty or if no such information is available. The file name must have the extension .ilp |
sa | Structure telling whether and how you want GUROBI to perform a sensitivity analysis (SA).
You can complete an SA on the objective function, right hand side vector, lower and upper bounds. The saRequest structure contains four sub structures: .obj, .rhs, .xl, .xu Each one of these contain the field: .index .index contain indices to variables or constraints of which to return possible value ranges. The .index array has to be sorted, ascending. To get an SA of objective function on the four variables 120 to 123 (included) and variable 19, the saRequest structure would look like this: saRequest.obj.index = [19 120 121 122 123]; The result is returned through the output parameter 'sa'. |
Description of Outputs
Result structure. The following fields are used:
Output | Description |
---|---|
Iter | Number of iterations, or nodes visited. |
ExitFlag | 0: Successful.
1: Time/Iterations limit exceeded. 2: Unbounded. 4: Infeasible. 10: Input errors. -1: Other errors. |
ExitText | See A.3. |
Inform | Result of GUROBI run. See section A.3 for details on the ExitText and possible Inform values. |
x_0 | Initial starting point not known, set as empty. |
f_k | Function value at optimum, f (xk ). |
g_k | Gradient value at optimum, c. |
x_k | Optimal solution vector xk . |
v_k | Lagrangian multipliers (for bounds and dual solution vector). Set as vk = [rc; v], where rc is the n-vector of reduced costs and v holds the m dual variables. |
xState | State of variables. Free == 0; On lower == 1; On upper == 2; Fixed == 3; bState State of linear constraints. Free == 0; Lower == 1; Upper == 2; Equality == 3; Solver Solver used - GUROBI. |
SolverAlgorithm | Solver algorithm used. |
FuncEv | Number of function evaluations. Set to Iter. GradEv Number of gradient evaluations. Set to Iter. |
ConstrEv | Number of constraint evaluations. Set to Iter. Prob Problem structure used. |
MIP.ninf | Number of infeasibilities. |
MIP.sinf | Sum of infeasibilities. |
MIP.slack | Slack variables (m × 1 vector). |
MIP.lpiter | Number of LP iterations. |
MIP.glnodes | Number of nodes visited. |
MIP.basis | Basis status of constraints and variables ( (m + n) × 1 vector) in the GUROBI format, fields xState and bState has the same information in the TOMLAB format. See Section A.1 for more information. |
GUROBI.sa | Structure with information about the requested SA, if requested. The fields: |
obj | Ranges for the variables in the objective function. |
rhs | Ranges for the right hand side values. |
xl | Ranges for the lower bound values. |
xu | Ranges for the upper bound values.
These fields are structures themselves. All four structures have identical field names: |
status | Status of the SA operation. Possible values:
1 = Successful. 0 = SA not requested. -1 = Error: begin is greater than end. -2 = Error: The selected range (begin...end) stretches out of available variables or con- straints. -3 = Error: No SA available. |
lower | The lower range. |
upper | The upper range. |
GUROBI.iis | Structure containing IIS information. For example, if lb = [1; 2; 3; 4], then the lower bounds for variables 1-4 are part of the IIS set.
If there were ranged constraints among the original constraints, the lb/ub outputs may contain indices higher than the original number of variables, since ranged constraints are transformed using slacks and those slack variables may become IIS set members. Fields: iisStatus: Status flag. Possible values: 0 - IIS exist. 10015 - Model is feasible. 10016 - Model is a MIP. lb: Variable whose lower bounds are in the IIS. ub: Variable whose upper bounds are in the IIS. constr: Constraints that are in the IIS. |
Description
The interface routine gurobi calls GUROBI to solve LP, and MILP problems. The matrix A is transformed in to the GUROBI sparse matrix format.
An empty objective coefficient c-vector is set to the zero-vector.
Examples
See mip prob
M-files Used
gurobi.m
grbStatus
Purpose
grbStatus analyzes the GUROBI output Inform code and returns the GUROBI solution status message in ExitText and the TOMLAB exit flag in ExitFlag.
Calling Syntax
[ExitText, ExitFlag] = grbStatus(Inform)
Description of Inputs
The following inputs are used:
Input | Description |
---|---|
Inform | Result of GUROBI run. |
1 | Model is loaded, but no solution information is available |
2 | Model was solved to optimality (subject to tolerances), and an optimal solution is available |
3 | Model was proven to be infeasible |
4 | Model was proven to be either infeasible or unbounded |
5 | Model was proven to be unbounded |
6 | Optimal objective for model was proven to be worse than the value specified in the CUTOFF parameter. No solution information is available |
7 | Optimization terminated because the total number of simplex iterations performed exceeded the value specified in the ITERATIONLIMIT parameter |
8 | Optimization terminated because the total number of branch-and-cut nodes explored exceeded the value specified in the NODELIMIT parameter |
9 | Optimization terminated because the time expended exceeded the value specified in the TIMELIMIT parameter |
10 | Optimization terminated because the number of solutions found reached the value specified in the SOLUTIONLIMIT parameter |
11 | Optimization was terminated by the user |
12 | Optimization was terminated due to unrecoverable numerical difficulties otherwise Unknown status |
Description of Outputs
The following fields are used:
Output | Description |
---|---|
ExitText | Text interpretation of GUROBI result. |
ExitFlag | TOMLAB standard exit flag. |