Nonlinear Modeling

More information can be found in the Nonlinear Modeling section of the manual.

Constraints

JuMP.@NLconstraintMacro
@NLconstraint(m::Model, expr)

Add a constraint described by the nonlinear expression expr. See also @constraint. For example:

@NLconstraint(model, sin(x) <= 1)
@NLconstraint(model, [i = 1:3], sin(i * x) <= 1 / i)
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JuMP.@NLconstraintsMacro
@NLconstraints(model, args...)

Adds multiple nonlinear constraints to model at once, in the same fashion as the @NLconstraint macro.

The model must be the first argument, and multiple variables can be added on multiple lines wrapped in a begin ... end block.

Examples

@NLconstraints(model, begin
    t >= sqrt(x^2 + y^2)
    [i = 1:2], z[i] <= log(a[i])
end)
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JuMP.add_NL_constraintFunction
add_NL_constraint(model::Model, expr::Expr)

Add a nonlinear constraint described by the Julia expression ex to model.

This function is most useful if the expression ex is generated programmatically, and you cannot use @NLconstraint.

Notes

  • You must interpolate the variables directly into the expression expr.

Examples

julia> add_NL_constraint(model, :($(x) + $(x)^2 <= 1))
(x + x ^ 2.0) - 1.0 ≤ 0
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Expressions

JuMP.@NLexpressionMacro
@NLexpression(args...)

Efficiently build a nonlinear expression which can then be inserted in other nonlinear constraints and the objective. See also [@expression]. For example:

@NLexpression(model, my_expr, sin(x)^2 + cos(x^2))
@NLconstraint(model, my_expr + y >= 5)
@NLobjective(model, Min, my_expr)

Indexing over sets and anonymous expressions are also supported:

@NLexpression(m, my_expr_1[i=1:3], sin(i * x))
my_expr_2 = @NLexpression(m, log(1 + sum(exp(x[i])) for i in 1:2))
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JuMP.@NLexpressionsMacro
@NLexpressions(model, args...)

Adds multiple nonlinear expressions to model at once, in the same fashion as the @NLexpression macro.

The model must be the first argument, and multiple variables can be added on multiple lines wrapped in a begin ... end block.

Examples

@NLexpressions(model, begin
    my_expr, sqrt(x^2 + y^2)
    my_expr_1[i = 1:2], log(a[i]) - z[i]
end)
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Objectives

JuMP.@NLobjectiveMacro
@NLobjective(model, sense, expression)

Add a nonlinear objective to model with optimization sense sense. sense must be Max or Min.

Example

@NLobjective(model, Max, 2x + 1 + sin(x))
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JuMP.set_NL_objectiveFunction
set_NL_objective(model::Model, sense::MOI.OptimizationSense, expr::Expr)

Set the nonlinear objective of model to the expression expr, with the optimization sense sense.

This function is most useful if the expression expr is generated programmatically, and you cannot use @NLobjective.

Notes

  • You must interpolate the variables directly into the expression expr.
  • You must use MOI.MIN_SENSE or MOI.MAX_SENSE instead of Min and Max.

Examples

julia> set_NL_objective(model, MOI.MIN_SENSE, :($(x) + $(x)^2))
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Parameters

JuMP.@NLparameterMacro
@NLparameter(model, param == value)

Create and return a nonlinear parameter param attached to the model model with initial value set to value. Nonlinear parameters may be used only in nonlinear expressions.

Example

model = Model()
@NLparameter(model, x == 10)
value(x)

# output
10.0
@NLparameter(model, param_collection[...] == value_expr)

Create and return a collection of nonlinear parameters param_collection attached to the model model with initial value set to value_expr (may depend on index sets). Uses the same syntax for specifying index sets as @variable.

Example

model = Model()
@NLparameter(model, y[i = 1:10] == 2 * i)
value(y[9])

# output
18.0
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JuMP.valueMethod
value(p::NonlinearParameter)

Return the current value stored in the nonlinear parameter p.

Example

model = Model()
@NLparameter(model, p == 10)
value(p)

# output
10.0
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JuMP.set_valueMethod
set_value(p::NonlinearParameter, v::Number)

Store the value v in the nonlinear parameter p.

Example

model = Model()
@NLparameter(model, p == 0)
set_value(p, 5)
value(p)

# output
5.0
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User-defined functions

JuMP.registerFunction
register(
    model::Model,
    s::Symbol,
    dimension::Integer,
    f::Function;
    autodiff:Bool = false,
)

Register the user-defined function f that takes dimension arguments in model as the symbol s.

The function f must support all subtypes of Real as arguments. Do not assume that the inputs are Float64.

Notes

  • For this method, you must explicitly set autodiff = true, because no user-provided gradient function ∇f is given.
  • Second-derivative information is only computed if dimension == 1.
  • s does not have to be the same symbol as f, but it is generally more readable if it is.

Examples

model = Model()
@variable(model, x)
f(x::T) where {T<:Real} = x^2
register(model, :foo, 1, f; autodiff = true)
@NLobjective(model, Min, foo(x))
model = Model()
@variable(model, x[1:2])
g(x::T, y::T) where {T<:Real} = x * y
register(model, :g, 2, g; autodiff = true)
@NLobjective(model, Min, g(x[1], x[2]))
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register(
    model::Model,
    s::Symbol,
    dimension::Integer,
    f::Function,
    ∇f::Function;
    autodiff:Bool = false,
)

Register the user-defined function f that takes dimension arguments in model as the symbol s. In addition, provide a gradient function ∇f.

The functions fand ∇f must support all subtypes of Real as arguments. Do not assume that the inputs are Float64.

Notes

  • If the function f is univariate (i.e., dimension == 1), ∇f must return a number which represents the first-order derivative of the function f.
  • If the function f is multi-variate, ∇f must have a signature matching ∇f(g::Vector{T}, args::T...) where {T<:Real}, where the first argument is a vector g that is modified in-place with the gradient.
  • If autodiff = true and dimension == 1, use automatic differentiation to compute the second-order derivative information. If autodiff = false, only first-order derivative information will be used.
  • s does not have to be the same symbol as f, but it is generally more readable if it is.

Examples

model = Model()
@variable(model, x)
f(x::T) where {T<:Real} = x^2
∇f(x::T) where {T<:Real} = 2 * x
register(model, :foo, 1, f, ∇f; autodiff = true)
@NLobjective(model, Min, foo(x))
model = Model()
@variable(model, x[1:2])
g(x::T, y::T) where {T<:Real} = x * y
function ∇g(g::Vector{T}, x::T, y::T) where {T<:Real}
    g[1] = y
    g[2] = x
    return
end
register(model, :g, 2, g, ∇g; autodiff = true)
@NLobjective(model, Min, g(x[1], x[2]))
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register(
    model::Model,
    s::Symbol,
    dimension::Integer,
    f::Function,
    ∇f::Function,
    ∇²f::Function,
)

Register the user-defined function f that takes dimension arguments in model as the symbol s. In addition, provide a gradient function ∇f and a hessian function ∇²f.

∇f and ∇²f must return numbers corresponding to the first- and second-order derivatives of the function f respectively.

Notes

  • Because automatic differentiation is not used, you can assume the inputs are all Float64.
  • This method will throw an error if dimension > 1.
  • s does not have to be the same symbol as f, but it is generally more readable if it is.

Examples

model = Model()
@variable(model, x)
f(x::Float64) = x^2
∇f(x::Float64) = 2 * x
∇²f(x::Float64) = 2.0
register(model, :foo, 1, f, ∇f, ∇²f)
@NLobjective(model, Min, foo(x))
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Derivatives

JuMP.NLPEvaluatorType
NLPEvaluator(m::Model)

Return an MOI.AbstractNLPEvaluator constructed from the model model.

Before using, you must initialize the evaluator using MOI.initialize.

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