qcp_cs.cs

/* Copyright 2021, Gurobi Optimization, LLC */ /* This example formulates and solves the following simple QCP model: maximize x subject to x + y + z = 1 x^2 + y^2 <= z^2 (second-order cone) x^2 <= yz (rotated second-order cone) x, y, z non-negative */ using System; using Gurobi; class qcp_cs { static void Main() { try { GRBEnv env = new GRBEnv("qcp.log"); GRBModel model = new GRBModel(env); // Create variables GRBVar x = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "x"); GRBVar y = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "y"); GRBVar z = model.AddVar(0.0, GRB.INFINITY, 0.0, GRB.CONTINUOUS, "z"); // Set objective GRBLinExpr obj = x; model.SetObjective(obj, GRB.MAXIMIZE); // Add linear constraint: x + y + z = 1 model.AddConstr(x + y + z == 1.0, "c0"); // Add second-order cone: x^2 + y^2 <= z^2 model.AddQConstr(x*x + y*y <= z*z, "qc0"); // Add rotated cone: x^2 <= yz model.AddQConstr(x*x <= y*z, "qc1"); // Optimize model model.Optimize(); Console.WriteLine(x.VarName + " " + x.X); Console.WriteLine(y.VarName + " " + y.X); Console.WriteLine(z.VarName + " " + z.X); Console.WriteLine("Obj: " + model.ObjVal + " " + obj.Value); // Dispose of model and env model.Dispose(); env.Dispose(); } catch (GRBException e) { Console.WriteLine("Error code: " + e.ErrorCode + ". " + e.Message); } } }