sensitivity_c.c
/* Copyright 2018, Gurobi Optimization, LLC */ /* A simple sensitivity analysis example which reads a MIP model from a file and solves it. Then each binary variable is set to 1-X, where X is its value in the optimal solution, and the impact on the objective function value is reported. */ #include #include #include "gurobi_c.h" int main(int argc, char *argv[]) { GRBenv *env = NULL, *modelenv = NULL; GRBmodel *model = NULL; int error = 0; int ismip, status, numvars, i, j; double origobjval, lb, ub, objval; double *origx = NULL; char vtype, *vname; if (argc < 2) { fprintf(stderr, "Usage: sensitivity_c filename\n"); exit(1); } /* Create environment */ error = GRBloadenv(&env, "sensitivity.log"); if (error) goto QUIT; /* Read and solve model */ error = GRBreadmodel(env, argv[1], &model); if (error) goto QUIT; error = GRBgetintattr(model, "IsMIP", &ismip); if (error) goto QUIT; if (ismip == 0) { printf("Model is not a MIP\n"); exit(1); } error = GRBoptimize(model); if (error) goto QUIT; error = GRBgetintattr(model, "Status", &status); if (error) goto QUIT; if (status != GRB_OPTIMAL) { printf("Optimization ended with status %d\n", status); exit(1); } /* Store the optimal solution */ error = GRBgetdblattr(model, "ObjVal", &origobjval); if (error) goto QUIT; error = GRBgetintattr(model, "NumVars", &numvars); if (error) goto QUIT; origx = (double *) malloc(numvars * sizeof(double)); if (origx == NULL) { printf("Out of memory\n"); exit(1); } error = GRBgetdblattrarray(model, "X", 0, numvars, origx); if (error) goto QUIT; /* Disable solver output for subsequent solves */ modelenv = GRBgetenv(model); if (!modelenv) { printf("Cannot retrieve model environment\n"); exit(1); } error = GRBsetintparam(modelenv, "OutputFlag", 0); if (error) goto QUIT; /* Iterate through unfixed, binary variables in model */ for (i = 0; i < numvars; i++) { error = GRBgetdblattrelement(model, "LB", i, &lb); if (error) goto QUIT; error = GRBgetdblattrelement(model, "UB", i, &ub); if (error) goto QUIT; error = GRBgetcharattrelement(model, "VType", i, &vtype); if (error) goto QUIT; if (lb == 0 && ub == 1 && (vtype == GRB_BINARY || vtype == GRB_INTEGER)) { /* Set variable to 1-X, where X is its value in optimal solution */ if (origx[i] < 0.5) { error = GRBsetdblattrelement(model, "LB", i, 1.0); if (error) goto QUIT; error = GRBsetdblattrelement(model, "Start", i, 1.0); if (error) goto QUIT; } else { error = GRBsetdblattrelement(model, "UB", i, 0.0); if (error) goto QUIT; error = GRBsetdblattrelement(model, "Start", i, 0.0); if (error) goto QUIT; } /* Update MIP start for the other variables */ for (j = 0; j < numvars; j++) { if (j != i) { error = GRBsetdblattrelement(model, "Start", j, origx[j]); if (error) goto QUIT; } } /* Solve for new value and capture sensitivity information */ error = GRBoptimize(model); if (error) goto QUIT; error = GRBgetintattr(model, "Status", &status); if (error) goto QUIT; error = GRBgetstrattrelement(model, "VarName", i, &vname); if (error) goto QUIT; if (status == GRB_OPTIMAL) { error = GRBgetdblattr(model, "ObjVal", &objval); if (error) goto QUIT; printf("Objective sensitivity for variable %s is %g\n", vname, objval - origobjval); } else { printf("Objective sensitivity for variable %s is infinite\n", vname); } /* Restore the original variable bounds */ error = GRBsetdblattrelement(model, "LB", i, 0.0); if (error) goto QUIT; error = GRBsetdblattrelement(model, "UB", i, 1.0); if (error) goto QUIT; } } QUIT: /* Error reporting */ if (error) { printf("ERROR: %s\n", GRBgeterrormsg(env)); exit(1); } /* Free data */ free(origx); /* Free model */ GRBfreemodel(model); /* Free environment */ GRBfreeenv(env); return 0; }
