[Osi] How to use integer/binary variables with coin-or OSI interface (cplex)

[Stefan Vigerske]

Hi,

look at functions OsiSolverInterface::setColumnType() and branchAndBound().

Stefan

On 3/24/19 1:24 AM, T L wrote:
> Hi List members,
> 
> I am learning coin OSI programming using the C++ interface (using CPLEX). I
> have the following example code that works for continuous variables and
> Linear Programming (LP) (based on online coin examples).
> 
> But I couldn't find instructions on how to use integer decision variables.
> 
> Could anyone help explain how to change the two decision variables x0 and
> x1 to integer and/or binary variables?
> 
> Also, I am currently use CPLEX and have clp installed. To use MILP with
> coin-or instead of CPLEX, what additional package do I need?
> 
> Thanks and regards,
> 
> // Example of using COIN-OR OSI, building the instance internally
> // with sparse matrix object
> #include <iostream>
> //#include <coin/OsiClpSolverInterface.hpp>
> #include <coin/OsiCpxSolverInterface.hpp>
> #include <coin/CoinPackedMatrix.hpp>
> #include <coin/CoinPackedVector.hpp>
> 
> int
> main(void)
> {
>    // Create a problem pointer. We use the base class here.
>    OsiSolverInterface *si;
>    // When we instantiate the object, we need a specific derived class.
>    //si = new OsiClpSolverInterface;
>    si = new OsiCpxSolverInterface;
>    // Build our own instance from scratch
> /*
> * This section adapted from Matt Galati's example
> * on thise COIN-OR Tutorial website.
> *
> * Problem from Bertsimas, Tsitsiklis page 21
> *
> * optimal solution: x* = (1,1)
> *
> * minimize -1 x0 - 1 x1
> * s.t 1 x0 + 2 x1 <= 3
> * 2 x0 + 1 x1 <= 3
> * x0 >= 0
> * x1 >= 0
> */
>    int n_cols = 2;
>    double * col_lb = new double[n_cols];//the column lower bounds
>    double * col_ub = new double[n_cols];//the column upper bounds
>    //Define the variable lower/upper bounds.
>    // x0 >= 0 => 0 <= x0 <= infinity
>    // x1 >= 0 => 0 <= x1 <= infinity
>    col_lb[0] = 0.0;
>    col_lb[1] = 0.0;
>    col_ub[0] = si->getInfinity();
>    col_ub[1] = si->getInfinity();
> 
>    //Define the objective coefficients.
>    //minimize -1 x0 - 1 x1
> //  double * objective = new double[n_cols];//the objective coefficients
>    std::vector<double> objective(n_cols, 0.0); //the objective coefficients
>    objective[0] = -1.0;
>    objective[1] = -1.0;
> 
>    int n_rows = 2;
>    double * row_lb = new double[n_rows]; //the row lower bounds
>    double * row_ub = new double[n_rows]; //the row upper bounds
>    //Define the constraint matrix.
>    CoinPackedMatrix * matrix = new CoinPackedMatrix(false,0,0);
>    matrix->setDimensions(0, n_cols);
>    //1 x0 + 2 x1 <= 3 => -infinity <= 1 x0 + 2 x2 <= 3
>    CoinPackedVector row1;
>    row1.insert(0, 1.0);
>    row1.insert(1, 2.0);
>    row_lb[0] = -1.0 * si->getInfinity();
>    row_ub[0] = 3.0;
> 
>    matrix->appendRow(row1);
>    //2 x0 + 1 x1 <= 3 => -infinity <= 2 x0 + 1 x1 <= 3
>    CoinPackedVector row2;
>    row2.insert(0, 2.0);
>    row2.insert(1, 1.0);
>    row_lb[1] = -1.0 * si->getInfinity();
>    row_ub[1] = 3.0;
>    matrix->appendRow(row2);
>    //load the problem to OSI
>    si->loadProblem(*matrix, col_lb, col_ub, objective.data(), row_lb,
> row_ub);
>    //write the MPS file to a file called example.mps
>    si->writeMps("example");
>    // Solve the (relaxation of the) problem
>    si->initialSolve();
>    // Check the solution
>    if ( si->isProvenOptimal() )
>    {
>      std::cout << "Found optimal solution!" << std::endl;
>      std::cout << "Objective value is " << si->getObjValue() << std::endl;
>      int n = si->getNumCols();
>      const double *solution;
>      solution = si->getColSolution();
>      // We could then print the solution or examine it.
>    }
>    else
>    {
>      std::cout << "Didn't find optimal solution." << std::endl;
>      // Could then check other status functions.
>    }
>    return 0;
> }
> 
> 
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