Optimizing black-box functions

Answered

Miroslav Karamanov

May 15, 2025 15:04

• 
• 

Hello,

Can Gurobi optimize a model where the objective function is not available in closed form but is calculated by Python code (possibly providing gradient information)? 

I saw an answer here: https://support.gurobi.com/hc/en-us/articles/14713795855505-Is-it-possible-to-feed-black-box-functions-to-Gurobi

but since you are constantly improving the solvers, I have to ask for the current state.

Thank you,

Miroslav

0

• 

  Maliheh Aramon

  • Gurobi Staff

  May 15, 2025 19:14

  Hi Miroslav,

  Gurobi does not currently support direct optimization of black-box functions. If relevant, you can use the Gurobi Machine Learning Package to embed a trained regression model within a gurobipy model.

  Alternatively, you can approximate your black-box function with a piecewise-linear model. See the “Piecewise-Linear Objective” section of the documentation for details.

  Best regards,

  Maliheh

  0
• 

  Miroslav Karamanov

  May 15, 2025 19:19

  • 
  • 

  Thank you, Maliheh!

  0

Please sign in to leave a comment.