Gurobi优化器使用（三）Callback实例

问题描述

旨在解决下面的简单线性优化，使用barrier内点法.
要求：在迭代过程中，把第一次目标大于1的迭代轮数和具体目标值保存并显示出来.

代码

# include "gurobi_c++.h"
# include <fstream>
# include <cmath>
using namespace std;

class mycallback : public GRBCallback
{
public:
	int numvars;
	double tempResult = 0;
	int tempIter = 0;
	bool onceFlag = true;
	GRBVar* vars;
	mycallback(int xnumvars, GRBVar* xvars) {
		numvars = xnumvars;
		vars = xvars;
	}
protected:
	void callback() {
		try {
			if (where == GRB_CB_POLLING) {
				// Ignore polling callback
			}
			else if (where == GRB_CB_PRESOLVE) {
				// Presolve callback
				// Ignore
			}
			else if (where == GRB_CB_BARRIER) {
				// Barrier callback
				int itcnt = getIntInfo(GRB_CB_BARRIER_ITRCNT);
				// Current primal objection in the iteration
				double primobj = getDoubleInfo(GRB_CB_BARRIER_PRIMOBJ);
				// If the primal is the first one to above 1
				if (primobj > 1 && onceFlag) {
					tempIter = itcnt;
					tempResult = primobj;
					onceFlag = false;
				}
			}
		}
		catch (GRBException e) {
			cout << " Error number : " << e.getErrorCode() << endl;
			cout << e.getMessage() << endl;
		}
		catch (...) {
			cout << " Error during callback " << endl;
		}
	}
};

int main(int argc,
	char* argv[])
{
	GRBEnv env = GRBEnv();
	env.set(GRB_IntParam_Method, 2); //Set barrier method 
	env.set(GRB_IntParam_Crossover, 0); //disable crossover
	GRBModel model = GRBModel(env);
		

	// Create variables
	GRBVar x = model.addVar(0.0, 1.0, 0.0, GRB_CONTINUOUS, "x");
	GRBVar y = model.addVar(0.0, 1.0, 0.0, GRB_CONTINUOUS, "y");
	GRBVar z = model.addVar(0.0, 1.0, 0.0, GRB_CONTINUOUS, "z");
	// Set objective: maximize x + y + 2 z
	model.setObjective(x + y + 2 * z, GRB_MAXIMIZE);
	// Add constraint: x + 2 y + 3 z <= 4
	model.addConstr(x + 2 * y + 3 * z <= 4, "c0");
	// Add constraint: x + y >= 1
	model.addConstr(x + y >= 1, "c1");

	model.update();   
	int numvars = model.get(GRB_IntAttr_NumVars);
	GRBVar* vars = model.getVars();

	mycallback cb = mycallback(numvars, vars);

	model.setCallback(&cb);
    try{
		// Optimize model
		model.optimize();
		cout << "First iteration count whose obj > 1: " << cb.tempIter << "\nTemp obj value:  " << cb.tempResult << endl;
		cout << x.get(GRB_StringAttr_VarName) << " "
			<< x.get(GRB_DoubleAttr_X) << endl;
		cout << y.get(GRB_StringAttr_VarName) << " "
			<< y.get(GRB_DoubleAttr_X) << endl;
		cout << z.get(GRB_StringAttr_VarName) << " "
			<< z.get(GRB_DoubleAttr_X) << endl;
		cout << "Obj: " << model.get(GRB_DoubleAttr_ObjVal) << endl;
	}
	catch (GRBException e) {
		cout << "Error code = " << e.getErrorCode() << endl;
		cout << e.getMessage() << endl;
	}
	catch (...) {
		cout << "Exception during optimization" << endl;
	}
	return 0;
}

结果如下：

总结

1. 自定义myCallback函数，继承于GRBCallback
2. 在model.optimize()过程中，where的值会自动生成和改变。比如polling,presolve, 根据你设置的解法跳入到相应的if语句中。where的值不能人为强制修改，不然会报错.