How to add log and exponential term in objective function?

Answered

Lena Stempfle

• November 09, 2022 10:29

hi, 
I am very new to using gurobi and have the following issue. 

I would like to add log(1+exp((-1)^y_i * (sum over k=1 for K (beta_k * a _ik)) to my objective function.

To be precise, I would like to minimize over beta while summing over i in range(n)(log(1+exp((-1)^y_i * (sum over k=1 for K (beta_k * a _ik)) - y-i (sum over k in K) beta_k*a_ik)

y is a [n,1] vector 

a is a [n,k] matrix where i in range(n) 

b is a vector representing coefficients with [n,k] for k in range(K) 

I know, that log and exp do not exist in gurobi per se but can be achieved by auxiliary variables. The following approach has not been successful: 

#z = exp(w) 
w =  (quicksum ([beta[k]*a[i,k]for k in range(K)]) for i in range(n)) 

gz = m.addGenConstrExp(beta, w)

I appreciate your help! Thank you. 

 

Related to

• Nonlinear
• Julia

0

• 

  Jaromił Najman

  Gurobi Staff

  • November 10, 2022 14:58
  • Edited

  Hi Lena,

  Gurobi does not natively support nonlinear function such as \(\log, \exp\). However, supports piecewise-linear approximations of these functions. You can add a constraint \(y = \log(x)\) via the addGenConstrLog method and a constraint \(y = \exp(x)\) via the addGenConstrExpr method. Note that both method accept only a single variable as input and output. This means that you have to introduce auxiliary variables in order to work with general constraints. For example, in order to implement \(\min x + \exp(\sum_i y_i)\), you have to add 2 auxiliary variables and 2 constraints to model it as

  \[\begin{align*}
  \min\,\,\, &x + z\\
  \text{s.t.}\,\,\, & z = \exp(w)\\
  & w = \sum_i y_i
  \end{align*}\]

  The only issue I see is the modeling of the term \((-1)^{y}\). Gurobi currently does not support a power term with negative base, cf. addGenConstrExpA method. So unless you can reformulate your objective expression, it is not possible to model it in Gurobi at the moment.

  Best regards, 
  Jaromił

  0
• 

  Ryan Trusler

  • January 30, 2023 16:42

  

  

  Hi Jaromił,

  Thanks for making this post. I am struggling to find any documentation for how to add this constraint (addGenConstrExpA) in Julia (JuMP specifically). Is there a page that I am missing? 

  Thanks

  0
• 

  Jaromił Najman

  Gurobi Staff

  • January 31, 2023 07:57

  Hi Ryan,

  I am not a Julia or JuMP user. However, according to the github repo of Gurobi.jl, the function addGenConstrExpA is supported, cf. Gurobi.jl/libgrb_api.jl.

  Best regards, 
  Jaromił

  0

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