Callback for nonconvex QCP/MIQCP

Answered

Can Li

• February 04, 2020 16:02

Hi folks,

Does gurobi support callback for QCP/MIQCP. I tried the following small example in python and it does not seem to work?

Thanks in advance.

from gurobipy import *
model = Model("NewModel")
model.setParam("nonConvex", 2)

x = model.addVar(name="x")
y = model.addVar(name="y")
z = model.addVar(name="z")

# Set objective: maximize x
model.setObjective(1.0*x, GRB.MAXIMIZE)

# Add linear constraint: x + y + z <= 10
model.addConstr(x + y + z <= 10, "c0")

# Add bilinear inequality constraint: x * y <= 2
model.addConstr(x*y <= 2, "bilinear0")


# Add bilinear equality constraint: x * z + y * z == 1
model.addConstr(x*z + y*z == 1, "bilinear1")

def mycallback(model, where):
	if where == GRB.Callback.MIPSOL:
		sol = model.cbGetSolution([model._vars[0], model._vars[1]])
		if sol[0] + sol[1] > 1.1:
			model.cbLazy(model._vars[0] + model._vars[1] <= 1)

model._vars = model.getVars()
model.optimize(mycallback)

0

• 

  Silke Horn

  Gurobi Staff

  • February 05, 2020 07:39

  Hi,

  There are two issues with your code:

  Firstly, because of Gurobi's lazy update approach, model.getVars() returns an empty list at this point. This is one of the rare occasions where you need to call model.update() first.

  Secondly, if you want to add lazy constraints through a callback, you need to set the LazyConstraints parameter to 1.

  1
• 

  Can Li

  • February 05, 2020 16:37

  

  

  

  Thanks. It works

  0

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