.NET API Overview#

Environments#

The first step in using the Gurobi .NET interface is to create an environment object. Environments are represented using the GRBEnv class. An environment acts as the container for all data associated with a set of optimization runs. You will generally only need one environment object in your program.

For more advanced use cases, you can use an empty environment to create an uninitialized environment and then, programmatically, set all required options for your specific requirements. For further details see the Environment section.

Models#

You can create one or more optimization models within an environment. Each model is represented as an object of class GRBModel. A model consists of a set of decision variables (objects of class GRBVar), a linear or quadratic objective function on those variables (specified using GRBModel.SetObjective), and a set of constraints on these variables (objects of class GRBConstr, GRBQConstr, GRBSOS, or GRBGenConstr). Each variable has an associated lower bound, upper bound, and type (continuous, binary, etc.). Each linear or quadratic constraint has an associated sense (less-than-or-equal, greater-than-or-equal, or equal), and right-hand side value. Refer to this section for more information on variables, constraints, and objectives.

Linear constraints are specified by building linear expressions (objects of class GRBLinExpr), and then specifying relationships between these expressions (for example, requiring that one expression be equal to another). Quadratic constraints are built in a similar fashion, but using quadratic expressions (objects of class GRBQuadExpr) instead.

An optimization model may be specified all at once, by loading the model from a file (using the appropriate GRBModel constructor), or built incrementally, by first constructing an empty object of class GRBModel and then subsequently calling GRBModel.AddVar or GRBModel.AddVars to add additional variables, and GRBModel.AddConstr, GRBModel.AddQConstr, GRBModel.AddSOS, or any of the GRBModel.AddGenConstr* methods to add additional constraints. Models are dynamic entities; you can always add or remove variables or constraints. See Build a model for general guidance or mip1_cs.cs for a specific example.

We often refer to the class of an optimization model. At the highest level, a model can be continuous or discrete, depending on whether the modeling elements present in the model require discrete decisions to be made. Among continuous models…

  • A model with a linear objective function, linear constraints, and continuous variables is a Linear Program (LP).

  • If the objective is quadratic, the model is a Quadratic Program (QP).

  • If any of the constraints are quadratic, the model is a Quadratically-Constrained Program (QCP). We sometimes refer to a few special cases of QCP: QCPs with convex constraints, QCPs with non-convex constraints, bilinear programs, and Second-Order Cone Programs (SOCP).

  • If any of the constraints are non-linear (chosen from among the available general constraints), the model is a Non-Linear Program (NLP).

A model that contains any integer variables, semi-continuous variables, semi-integer variables, Special Ordered Set (SOS) constraints, or general constraints, is discrete, and is referred to as a Mixed Integer Program (MIP). The special cases of MIP, which are the discrete versions of the continuous models types we’ve already described, are…

  • Mixed Integer Linear Programs (MILP)

  • Mixed Integer Quadratic Programs (MIQP)

  • Mixed Integer Quadratically-Constrained Programs (MIQCP)

  • Mixed Integer Second-Order Cone Programs (MISOCP)

  • Mixed Integer Non-Linear Programs (MINLP)

The Gurobi Optimizer handles all of these model classes. Note that the boundaries between them aren’t as clear as one might like, because we are often able to transform a model from one class to a simpler class.

Solving a Model#

Once you have built a model, you can call GRBModel.Optimize to compute a solution. By default, Optimize will use the concurrent optimizer to solve LP models, the barrier algorithm to solve QP models with convex objectives and QCP models with convex constraints, and the branch-and-cut algorithm otherwise. The solution is stored in a set of attributes of the model. These attributes can be queried using a set of attribute query methods on the GRBModel, GRBVar, GRBConstr, GRBQConstr, GRBSOS, and GRBGenConstr classes.

The Gurobi algorithms keep careful track of the state of the model, so calls to GRBModel.Optimize will only perform further optimization if relevant data has changed since the model was last optimized. If you would like to discard previously computed solution information and restart the optimization from scratch without changing the model, you can call GRBModel.Reset.

After a MIP model has been solved, you can call GRBModel.FixedModel to compute the associated fixed model. This model is identical to the original, except that the integer variables are fixed to their values in the MIP solution. If your model contains SOS constraints, some continuous variables that appear in these constraints may be fixed as well. In some applications, it can be useful to compute information on this fixed model (e.g., dual variables, sensitivity information, etc.), although you should be careful in how you interpret this information.

Multiple Solutions, Objectives, and Scenarios#

By default, the Gurobi Optimizer assumes that your goal is to find one proven optimal solution to a single model with a single objective function. Gurobi provides the following features that allow you to relax these assumptions:

Infeasible Models#

You have a few options if a model is found to be infeasible. You can try to diagnose the cause of the infeasibility, attempt to repair the infeasibility, or both. To obtain information that can be useful for diagnosing the cause of an infeasibility, call GRBModel.ComputeIIS to compute an Irreducible Inconsistent Subsystem (IIS). This method can be used for both continuous and MIP models, but you should be aware that the MIP version can be quite expensive. This method populates a set of IIS attributes.

To attempt to repair an infeasibility, call GRBModel.FeasRelax to compute a feasibility relaxation for the model. This relaxation allows you to find a solution that minimizes the magnitude of the constraint violation. You will find more information about this feature in section Relaxing for feasibility. Examples are discussed in Diagnose and cope with infeasibility.

Querying and Modifying Attributes#

Most of the information associated with a Gurobi model is stored in a set of attributes. Some attributes are associated with the variables of the model, some with the constraints of the model, and some with the model itself. To give a simple example, solving an optimization model causes the X variable attribute to be populated. Attributes such as X that are computed by the Gurobi optimizer cannot be modified directly by the user, while others, such as the variable lower bound (the LB attribute) can.

Attributes can be accessed in two ways in the .NET interface. The easiest is through .NET properties. To query or modify the LB attribute on variable v, you would use v.LB or v.LB = 0, respectively. Attributes can also be queried using GRBVar.Get, GRBConstr.Get, GRBQConstr.Get, GRBSOS.Get, GRBGenConstr.Get, or GRBModel.Get, and modified using GRBVar.Set, GRBConstr.Set, GRBQConstr.Set, GRBGenConstr.Set, or GRBModel.Set. Attributes are grouped into a set of enums by type (GRB.CharAttr, GRB.DoubleAttr, GRB.IntAttr, GRB.StringAttr). The Get() and Set() methods are overloaded, so the type of the attribute determines the type of the returned value. Thus, constr.Get(GRB.DoubleAttr.RHS) returns a double, while constr.Get(GRB.CharAttr.Sense) returns a char.

If you wish to retrieve attribute values for a set of variables or constraints, it is usually more efficient to use the array methods on the associated GRBModel object. Method GRBModel.Get includes signatures that allow you to query or modify attribute values for one-, two-, and three-dimensional arrays of variables or constraints.

The full list of attributes can be found in the Attributes section.

Additional Model Modification Information#

Most modifications to an existing model are done through the attribute interface (e.g., changes to variable bounds, constraint right-hand sides, etc.). The main exceptions are modifications to the constraint matrix and to the objective function.

The constraint matrix can be modified in a few ways. The first is to call the ChgCoeff method on a GRBModel object to change individual matrix coefficients. This method can be used to modify the value of an existing non-zero, to set an existing non-zero to zero, or to create a new non-zero. The constraint matrix is also modified when you remove a variable or constraint from the model (through the GRBModel.Remove method). The non-zero values associated with the deleted constraint or variable are removed along with the constraint or variable itself.

The model objective function can also be modified in a few ways. The easiest is to build an expression that captures the objective function (a GRBLinExpr or GRBQuadExpr object), and then pass that expression to method GRBModel.SetObjective. If you wish to modify the objective, you can simply call GRBModel.SetObjective again with a new GRBLinExpr or GRBQuadExpr object.

For linear objective functions, an alternative to GRBModel.SetObjective is to use the Obj variable attribute to modify individual linear objective coefficients.

If your variables have piecewise-linear objectives, you can specify them using the GRBModel.SetPWLObj method. Call this method once for each relevant variable. The Gurobi simplex solver includes algorithmic support for convex piecewise-linear objective functions, so for continuous models you should see a substantial performance benefit from using this feature. To clear a previously specified piecewise-linear objective function, simply set the Obj attribute on the corresponding variable to 0.

Some examples are discussed in Modify a model.

Lazy Updates#

One important item to note about model modification in the Gurobi optimizer is that it is performed in a lazy fashion, meaning that modifications don’t affect the model immediately. Rather, they are queued and applied later. If your program simply creates a model and solves it, you will probably never notice this behavior. However, if you ask for information about the model before your modifications have been applied, the details of the lazy update approach may be relevant to you.

As we just noted, model modifications (bound changes, right-hand side changes, objective changes, etc.) are placed in a queue. These queued modifications can be applied to the model in three different ways. The first is by an explicit call to GRBModel.Update. The second is by a call to GRBModel.Optimize. The third is by a call to GRBModel.Write to write out the model. The first case gives you fine-grained control over when modifications are applied. The second and third make the assumption that you want all pending modifications to be applied before you optimize your model or write it to disk.

Why does the Gurobi interface behave in this manner? There are a few reasons. The first is that this approach makes it much easier to perform multiple modifications to a model, since the model remains unchanged between modifications. The second is that processing model modifications can be expensive, particularly in a Compute Server environment, where modifications require communication between machines. Thus, it is useful to have visibility into exactly when these modifications are applied. In general, if your program needs to make multiple modifications to the model, you should aim to make them in phases, where you make a set of modifications, then update, then make more modifications, then update again, etc. Updating after each individual modification can be extremely expensive.

If you forget to call update, your program won’t crash. Your query will simply return the value of the requested data from the point of the last update. If the object you tried to query didn’t exist, Gurobi will throw an exception with error code NOT_IN_MODEL.

The semantics of lazy updates have changed since earlier Gurobi versions. While the vast majority of programs are unaffected by this change, you can use the UpdateMode parameter to revert to the earlier behavior if you run into an issue.

Managing Parameters#

The Gurobi Optimizer provides a set of parameters that allow you to control many of the details of the optimization process. Factors like feasibility and optimality tolerances, choices of algorithms, strategies for exploring the MIP search tree, etc., can be controlled by modifying Gurobi parameters before beginning the optimization. Parameters can be of type int, double, or string.

The simplest way to set parameters is through the Model.Parameters class and its associated .NET properties. To set the MIPGap parameter to 0.0 for model m, for example, you would do m.Parameters.MIPGap = 0.

Parameters can also be set on the Gurobi environment object, using GRBEnv.Set. Note that each model gets its own copy of the environment when it is created, so parameter changes to the original environment have no effect on existing models.

You can read a set of parameter settings from a file using GRBEnv.ReadParams, or write the set of changed parameters using GRBEnv.WriteParams.

Refer to the example params_cs.cs which is considered in Change parameters.

We also include an automated parameter tuning tool that explores many different sets of parameter changes in order to find a set that improves performance. You can call GRBModel.Tune to invoke the tuning tool on a model. Refer to the parameter tuning tool section for more information.

The full list of Gurobi parameters can be found in the Parameters section.

Memory Management#

Users typically do not need to concern themselves with memory management in .NET, since it is handled automatically by the garbage collector. The Gurobi .NET interface utilizes the same garbage collection mechanism as other .NET programs, but there are a few specifics of our memory management that users should be aware of.

In general, Gurobi objects live in the same .NET heap as other .NET objects. When they are no longer referenced, they become candidates for garbage collection, and are returned to the pool of free space at the next invocation of the garbage collector. Two important exceptions are the GRBEnv and GRBModel objects. A GRBModel object has a small amount of memory associated with it in the .NET heap, but the majority of the space associated with a model lives in the heap of the Gurobi native code DLL. The .NET heap manager is unaware of the memory associated with the model in the native code library, so it does not consider this memory usage when deciding whether to invoke the garbage collector. When the garbage collector eventually collects the .NET GRBModel object, the memory associated with the model in the Gurobi native code library will be freed, but this collection may come later than you might want. Similar considerations apply to the GRBEnv object.

If you are writing a .NET program that makes use of multiple Gurobi models or environments, we recommend that you call GRBModel.Dispose when you are done using the associated GRBModel object, and GRBEnv.Dispose when you are done using the associated GRBEnv object and after you have called GRBModel.Dispose on all of the models created using that GRBEnv object.

Native Code#

As noted earlier, the Gurobi .NET interface is a thin layer that sits on top of our native code DLL. Thus, an application that uses the Gurobi .NET library will load the Gurobi DLL at runtime. In order for this happen, you need to make sure that two things are true. First, you need to make sure that the native code library is available in the PATH environment library. This environment variable is set up as part of the installation of the Gurobi Optimizer, but it may not be configured appropriately on a machine where the full Gurobi Optimizer has not been installed. Second, you need to be sure that the selected .NET Platform Target (as selected in Visual Studio) is compatible with the Gurobi DLL that is available through your PATH. In particular, you need to use the 64-bit Gurobi native library when you’ve selected the x64 Platform Target. If you use the default Any CPU target, then your .NET application will look for the 64-bit Gurobi DLL on a 64-bit machine.

Monitoring Progress - Logging and Callbacks#

Progress of the optimization can be monitored through Gurobi logging. By default, Gurobi will send output to the screen. A few simple controls are available for modifying the default logging behavior. If you would like to direct output to a file as well as to the screen, specify the log file name in the GRBEnv constructor. You can modify the LogFile parameter if you wish to redirect the log to a different file after creating the environment object. The frequency of logging output can be controlled with the DisplayInterval parameter, and logging can be turned off entirely with the OutputFlag parameter. A detailed description of the Gurobi log file can be found in the Logging section.

More detailed progress monitoring can be done through the GRBCallback class. The GRBModel.SetCallback method allows you to receive a periodic callback from the Gurobi Optimizer. You do this by sub-classing the GRBCallback abstract class, and writing your own Callback() method on this class. You can call GRBCallback.GetDoubleInfo, GRBCallback.GetIntInfo, GRBCallback.GetStringInfo, or GRBCallback.GetSolution from within the callback to obtain additional information about the state of the optimization. Refer to the example callback_cs.cs which is discussed in Callbacks.

Modifying Solver Behavior - Callbacks#

Callbacks can also be used to modify the behavior of the Gurobi optimizer. The simplest control callback is GRBCallback.Abort, which asks the optimizer to terminate at the earliest convenient point. Method GRBCallback.SetSolution allows you to inject a feasible solution (or partial solution) during the solution of a MIP model. Methods GRBCallback.AddCut and GRBCallback.AddLazy allow you to add cutting planes and lazy constraints during a MIP optimization, respectively (refer to the example tsp_cs.cs). Method GRBCallback.StopOneMultiObj allows you to interrupt the optimization process of one of the optimization steps in a multi-objective MIP problem without stopping the hierarchical optimization process.

Batch Optimization#

Gurobi Compute Server enables programs to offload optimization computations onto dedicated servers. The Gurobi Cluster Manager adds a number of additional capabilities on top of this. One important one, batch optimization, allows you to build an optimization model with your client program, submit it to a Compute Server cluster (through the Cluster Manager), and later check on the status of the model and retrieve its solution. You can use a Batch object to make it easier to work with batches. For details on batches, please refer to the Batch Optimization section.

Error Handling#

All of the methods in the Gurobi .NET library can throw an exception of type GRBException. When an exception occurs, additional information on the error can be obtained by retrieving the error code (using property GRBException.ErrorCode), or by retrieving the exception message (using property GRBException.Message from the parent class). The list of possible error return codes can be found in the Error Codes table.