Gurobi：最小化问题的reformulation

喵呜嘻嘻嘻

已于 2023-07-12 23:04:44 修改

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分类专栏： gurobi 文章标签：学习

于 2022-12-21 13:18:10 首次发布

本文链接：https://blog.csdn.net/z3w97/article/details/128395836

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以一个最简单的线性规划问题为例。
$\begin{aligned} \min \,\,&0.02x1 + 0.07x2 + 0.04x3 + 0.03x4 + 0.05x5\\ \text{s.t.}&0.3x1 + 2x2 + x3 + 0.6x4 + 1.8x5 >= 70\\ &0.1x1 + 0.05x2 + 0.02x3 + 0.2x4 + 0.05x5 >= 3\\ &0.05x1 + 0.1x2 + 0.02x3 + 0.2x4 + 0.08x5 >= 9.1 \tag{1} \end{aligned}$
使用Gurobi进行求解，python代码如下：

from gurobipy import *

# Create a new model
m = Model()

# Create variables
x1 = m.addVar(name="x1")
x2 = m.addVar(name="x2")
x3 = m.addVar(name="x3")
x4 = m.addVar(name="x4")
x5 = m.addVar(name="x5")
phi = m.addVar(name="phi")

# Set objective function
m.setObjective(0.02 * x1 + 0.07 * x2 + 0.04 * x3 + 0.03 * x4 + 0.05 * x5)

# Add constraints
m.addConstr(0.3 * x1 + 2 * x2 + x3 + 0.6 * x4 + 1.8 * x5 >= 70, "c2")
m.addConstr(0.1 * x1 + 0.05 * x2 + 0.02 * x3 + 0.2 * x4 + 0.05 * x5 >= 3, "c3")
m.addConstr(0.05 * x1 + 0.1 * x2 + 0.02 * x3 + 0.2 * x4 + 0.08 * x5 >= 9.1, "c4")

# Optimize model
m.optimize()

# Print values for decision variables
for v in m.getVars():
    print(v.varName, v.x)

# Print maximized profit value
print('Maximized profit:',  m.objVal)

问题（1）等价于：
$\begin{aligned} \min \,\,&\phi\\ \text{s.t.}&\phi\ge 0.02x1 + 0.07x2 + 0.04x3 + 0.03x4 + 0.05x5\\ &0.3x1 + 2x2 + x3 + 0.6x4 + 1.8x5 >= 70\\ &0.1x1 + 0.05x2 + 0.02x3 + 0.2x4 + 0.05x5 >= 3\\ &0.05x1 + 0.1x2 + 0.02x3 + 0.2x4 + 0.08x5 >= 9.1 \tag{2} \end{aligned}$
使用Gurobi进行求解，python代码如下：

from gurobipy import *

# Create a new model
m = Model()

# Create variables
x1 = m.addVar(name="x1")
x2 = m.addVar(name="x2")
x3 = m.addVar(name="x3")
x4 = m.addVar(name="x4")
x5 = m.addVar(name="x5")
phi = m.addVar(name="phi")

# Set objective function
m.setObjective(phi)

# Add constraints
m.addConstr(phi >= 0.02 * x1 + 0.07 * x2 + 0.04 * x3 + 0.03 * x4 + 0.05 * x5, "c1")
m.addConstr(0.3 * x1 + 2 * x2 + x3 + 0.6 * x4 + 1.8 * x5 >= 70, "c2")
m.addConstr(0.1 * x1 + 0.05 * x2 + 0.02 * x3 + 0.2 * x4 + 0.05 * x5 >= 3, "c3")
m.addConstr(0.05 * x1 + 0.1 * x2 + 0.02 * x3 + 0.2 * x4 + 0.08 * x5 >= 9.1, "c4")

# Optimize model
m.optimize()

# Print values for decision variables
for v in m.getVars():
    print(v.varName, v.x)

# Print maximized profit value
print('Maximized profit:',  m.objVal)