Questions tagged [gurobi]
Questions related to the commercial solver Gurobi Optimizer.
48
questions
3
votes
1answer
81 views
Derive “true” shadow price for degenerated LPs using commercial solvers (e.g. Gurobi)
In linear programming for an optimal primal degenerate solution the values of the dual variables are in general not identical with the corresponding shadow prices. Several proposals on how to find the ...
3
votes
1answer
136 views
Issue in solving a large scale MIQP problem
I am solving a large scale MIQP optimisation problem at each step of a model predictive control problem. The problem description is as below.
\begin{align} \min_{u} \quad (x_{k}&-x_\text{ref})^{T}...
1
vote
1answer
53 views
Issues modeling portfolio optimization with rebalancing in gurobipy
I want to solve the following portfolio optimization problem by means of the Python API of Gurobi:
I have implemented the problem in the following code:
...
3
votes
1answer
72 views
Why is the Lagrange Multiplier not equal the Shadow Price (Excel solver, Matlab linprog, Gurobi)?
I have a LP with equality and inequality constraints.
When solving the LP with the excel-solver (GRG Nonlinear) the sensitivity report returns the lagrange multiplier for all constraints.
When solving ...
2
votes
2answers
322 views
How can I identify the reason that makes a MILP model hard for solvers such as CPLEX?
I'm solving a MILP model whose native lower bound (via linear relaxation) is very poor. We could provide a lower bound by providing a given value (derived based on the problem itself). I know that ...
1
vote
0answers
76 views
Expansion heuristic using gurobi reduced cost / shadow price (LP)
Gurobi 9.0.0 // C++ // LP
Let us assume the following problem with three nodes: (1)-----(2)-----(3)
node (1) is producing ...
3
votes
2answers
106 views
Decision variable transformation in Gurobi
I'm trying to find a way of setting the values of a binary MVar object (which is my decision variable) of size n to {-1,1}. Right now I have a vector that can either take values 0 or 1 (due to binary ...
2
votes
1answer
91 views
Problem with implementing squared terms in the objective function
I'm trying to implement either one of these objective functions, but I'm having a hard time with the squared terms. I'm attaching both so you can take a look at the structure and see if you can give ...
7
votes
1answer
166 views
Optimization software for ARM Architecture
Given that tomorrow Apple will likely announce the first ARM Macs (per bloomberg), I was wondering what the current status of ARM support in optimization software. For instance, does anyone know if ...
3
votes
2answers
127 views
Using R for coding Matheuristic for Research Publication
Given that R possesses superior data pre-processing and post-processing packages, I am thinking of coding a matheuristic using R for publishing in an academic research journal.
However, I am unable ...
1
vote
0answers
63 views
Ways to improve lower bounds while solving MIPs
What are the ways to improve lower bounds while solving a minimization problem (MILP)?
2
votes
0answers
91 views
Gurobi is unable to give an optimal solution even when it exists
I am trying to solve Logarithmic Fuzzy Preference Programming (LFPP) for criteria weight evaluation, based on fuzzy comparisons between criteria, and I am solving it with Gurobi in Python 2.7. It is a ...
2
votes
0answers
60 views
Efficient way to do user rescaling of variable in Gurobi
Is there a better way than the code below to the rescaling of variable in a model after the model has been build with Gurobi? Like some build in function or a direct manipulation of the column object? ...
10
votes
3answers
493 views
Settings for a faster solution of a MILP (GUROBI, python)
Using GUROBI with python. When solving a MILP, I notice that the incumbent is very early (25sec) at the optimal point but the best bound is so slow to fall (maximization problem) that it takes ages (...
4
votes
1answer
107 views
How to make a copy of a Gurobi model in Python?
Suppose I have made a Gurobi model in Python model = Model(), defined variables, constraints, objective function, and solved it. However, I want to make a deepcopy ...
5
votes
1answer
107 views
Guidelines for adding user cuts to models
Given that you have identified a new class of valid inequalities.
What are some guidelines on when and how many and which of the violated user cuts you add to the model?
I know that this involves a ...
6
votes
1answer
158 views
Advanced Heuristics for MIP vehicle routing problem in PuLP
I am currently trying to speed up an MIP. An approach I was considering was to implement a cut callback heuristic with PuLP (one which rounds relaxed integer variables greater than .9 to 1). ...
7
votes
1answer
138 views
Updating a relaxed model in Gurobi
If I obtain a relaxed version of my model using r = model.relax() then add variables and constraints to the original model, will the relaxed version automatically ...
4
votes
1answer
48 views
Inputting logical constraints into a binary programming model in Gurobi
I am very new to Gurobi and OR in general (I'm in my first class for it now), so apologies if this is a very obvious answer. For a project in that class, I am generating a flight schedule for a ...
8
votes
1answer
158 views
Can Gurobi or CPLEX handle nonlinearly constrained problems?
Though my title is quite general (please feel free to edit), indeed, I wonder if the following models can be solved in Gurobi or CPLEX. Model 2 is just an alternative one to Model 1. Although we ...
7
votes
1answer
72 views
Gurobi: can you retrieve the dual solution from each node of the B&B tree using callbacks
When solving a MIP with Gurobi, one can use the cbGetNodeRel() function to extract the primal solution to the LP relaxation at each node in the branch and bound ...
9
votes
2answers
615 views
Modeling and solvers
I have just started to dive into OR world on my work. Currently we are using GAMS with Gurobi but some of us have strong programming background and would like to have more programmatic approach to OR. ...
8
votes
2answers
674 views
Is there a way to view added constraints in Gurobi (Python)?
I should note that I am very new to Gurobi so apologies if this is obvious. I am working on a project for a class to maximize profit on a theoretical flight network by deciding which routes to fly at ...
10
votes
1answer
143 views
Lagrangian Relaxation bound greater than optimal solution
I am working on a Lagrangian relaxation for a minimization MIP.
Everything seemed to be working fine before I started to run a batch of instances.
Checking the log results for one of the instances ...
3
votes
1answer
95 views
Gurobi C++: adding variables with vector
I am solving an LP by using GUROBI - C++ combo.
Assume I have a variable $p \in \mathbb{R}^n$. I am adding this as a vector:
...
6
votes
1answer
114 views
Gurobi stuck at start - 16GB RAM exhausted
I'm solving a large instance using Gurobi 7.0, 64-bit version on machine with 16GB of RAM. Gurobi is stuck at the start and all the memory is exhausted. Here is the output:
...
6
votes
1answer
137 views
GUROBI Re-optimize a model
(For Linear Programming) I am aware of CPLEX's reoptimize methods. If I am not wrong, if you solve a problem and after that you add a new constraint, then you can call the reoptimize method for not to ...
10
votes
1answer
95 views
Wild oscillation of dual infeasibility in Gurobi mixed-integer solver
As the question says, I am wondering what happens "behind the scene" when the Dual Infeasibility column of the Gurobi runtime log oscillates wildly, before Gurobi eventually quits with infeasibility. ...
7
votes
0answers
270 views
Having trouble with objective function in Python: “GurobiError: Variable not in model”. What else could I try?
I am trying to figure out how I can write this objective function into python using Gurobi. I have to minimize the sum of the product of three dictionary's values. The reason I am confused is that ...
8
votes
2answers
2k views
How can I add this conditional constraint to my model in Python?
I am creating an optimization model with 2 sets of binary decision variables. The first, site, is regarding which of 380 cities to place manufacturing sites in, and ...
10
votes
1answer
169 views
Specify the sense of a constraint in CPLEX
I am writing a small wrapper around Gurobi and Cplex so that the models I write are solver independent. I'm very familiar with Gurobi but I'm very new to Cplex and I'm having trouble replicating ...
10
votes
2answers
640 views
Decision Variable Value from a Set (Gurobi)
Is there a way to set a decision variable to take values from a set?
Example:
decision variable $x \in \{0,50,100\}$
So this variable can only take one of these three values and not more.
I have ...
8
votes
1answer
124 views
Extract info from Gurobi binary variables during run-time
Actually the question below is not specific to Gurobi, but that's the tool I am using.
Consider a scheduling problem where a 2D array of binary variables $Z(i,v)$ is defined, where $i$ is index of ...
8
votes
4answers
2k views
Why is there not a feasible solution for a MIP?
Is there a way to see why a solver (OR-Tools, CPLEX, Gurobi) cannot find a feasible solution when solving a MIP?
By that I mean, is there a possibility to show at which constraint and exact indices ...
10
votes
4answers
2k views
What do solvers like Gurobi and CPLEX do when they run into hard instances of MIP?
MIP is NP-Hard, so it is possible that an instance is very difficult and has multiple local minima that the search can get stuck in.
With a Metaheuristic Algorithm, the stochastic and approximate ...
9
votes
0answers
120 views
Ill-conditioned LP in Bender's decomposition
I have implemented a Bender's decomposition for a constrained network flow but the LP solver (Gurobi) warns me of the ill-conditioning of the slave dual LP. As you can see below, the coefficients seem ...
14
votes
4answers
396 views
Model conversion as fast as gurobipy and solved by open source solvers
Gurobipy is a fast solver and can convert a mathematical programming model to its underneath language very fast compared to some open source wrappers (e.g., PuLP, OR-tools, etc.). However, a ...
9
votes
2answers
163 views
Common structures in Gurobi - Python
I'm new to Gurobi in Python and I was wondering if someone knows how to code some common structures of linear constraints. I'm trying to understand how you'll code something like the following ...
15
votes
3answers
4k views
What is the purpose of libraries like Pyomo and Google OR tools?
I'm new to the OR world, and trying to learn the various tools available. I originally thought that Pyomo and Google OR tools were open source alternatives to commercial solvers like Gurobi or CPLEX.
...
17
votes
2answers
2k views
How does a warm start work in LP/MIP?
Can someone explain how warm starts/ MIP starts work?
How do solvers like CPLEX/GUROBI use warm start with the Simplex algorithm?
I am interested in understanding how the entire warm start ...
13
votes
2answers
260 views
Querying attributes of LP relaxation at MIP-optimality in Gurobi
Is there a way to configure Gurobi to allow the LP relaxation associated with the optimal solution leaf of a MIP branch-and-bound tree to be queried for shadow prices & other general LP properties-...
16
votes
1answer
475 views
Are there any benefits to using Gurobi's built-in “blended” multi-objective functionality?
The newer versions of Gurobi include a couple of built-in functionalities for multi-objective optimization: blended objectives and hierarchical (lexicographically ordered) objectives.
Suppose we ...
12
votes
3answers
702 views
How to model a mixed-integer linear programming formulation in Python using Gurobi?
I can remember that I spent some time in understanding how to formulate my first model. So I aimed at presenting a complete model here, wishing to save some time for students or researchers needing it....
8
votes
2answers
1k views
Gurobi's “Out of memory” error without exhausting the RAM?
I wrote a branch-and-price algorithm in Python 2.7 which solves several small LP and MIP models by Gurobi 8.1 in each node. The algorithm runs fine at first, it produces both lower bound and upper ...
13
votes
3answers
656 views
When should I use dual Simplex over primal Simplex?
In Gurobi the user can change the method parameter in order to force Gurobi to use a particular method for solving MIPs. The user can, amongst others, choose ...
8
votes
2answers
194 views
Does the API affect the time Gurobi requires to find an optimum?
When working with Gurobi, CPLEX and the like the user can choose between many different APIs, for example Python, C++, R, Java, Matlab or C. Some of these API are more efficient than others. For ...
12
votes
2answers
310 views
When does Gurobi add cuts from callback
A while ago I used Gurobi and I added user cuts from within a callback. However, I got the feeling that my user cuts were not directly added to the model. Is it right that Gurobi can decide to ...
17
votes
5answers
406 views
Presolve is cutting down a lot of binary variables. Should I rethink my formulation?
I built my model on Python and am passing it to Gurobi to solve the problem. The presolve phase of Gurobi cuts down ~80% of the integer/binary variables and I am wondering if I should rethink my ...
