# Getting started with JuMP

This tutorial is aimed at providing a quick introduction to writing and solving optimization models with JuMP.

If you're new to Julia, start by reading Getting started with Julia.

## What is JuMP?

JuMP ("Julia for Mathematical Programming") is an open-source modeling language that is embedded in Julia. It allows users to formulate various classes of optimization problems (linear, mixed-integer, quadratic, conic quadratic, semidefinite, and nonlinear) with easy-to-read code. These problems can then be solved using state-of-the-art open-source and commercial solvers.

JuMP also makes advanced optimization techniques easily accessible from a high-level language.

## What is a solver?

A solver is a software package that incorporates algorithms for finding solutions to one or more classes of problem.

For example, HiGHS is a solver for linear programming (LP) and mixed integer programming (MIP) problems. It incorporates algorithms such as the simplex method and the interior-point method.

The Supported-solvers table lists the open-source and commercial solvers that JuMP currently supports.

## What is MathOptInterface?

Each solver has its own concepts and data structures for representing optimization models and obtaining results.

MathOptInterface (MOI) is an abstraction layer that JuMP uses to convert from the problem written in JuMP to the solver-specific data structures for each solver.

MOI can be used directly, or through a higher-level modeling interface like JuMP.

Because JuMP is built on top of MOI, you'll often see the `MathOptInterface.`

prefix displayed when JuMP types are printed. However, you'll only need to understand and interact with MOI to accomplish advanced tasks such as creating solver-independent callbacks.

## Installation

JuMP is a package for Julia. From Julia, JuMP is installed by using the built-in package manager.

```
import Pkg
Pkg.add("JuMP")
```

You also need to include a Julia package which provides an appropriate solver. One such solver is `HiGHS.Optimizer`

, which is provided by the HiGHS.jl package.

```
import Pkg
Pkg.add("HiGHS")
```

See Installation Guide for a list of other solvers you can use.

## An example

Let's solve the following linear programming problem using JuMP and HiGHS. We will first look at the complete code to solve the problem and then go through it step by step.

Here's the problem:

\[\begin{aligned} & \min & 12x + 20y \\ & \;\;\text{s.t.} & 6x + 8y \geq 100 \\ & & 7x + 12y \geq 120 \\ & & x \geq 0 \\ & & y \in [0, 3] \\ \end{aligned}\]

And here's the code to solve this problem:

```
using JuMP
using HiGHS
model = Model(HiGHS.Optimizer)
@variable(model, x >= 0)
@variable(model, 0 <= y <= 3)
@objective(model, Min, 12x + 20y)
@constraint(model, c1, 6x + 8y >= 100)
@constraint(model, c2, 7x + 12y >= 120)
print(model)
optimize!(model)
@show termination_status(model)
@show primal_status(model)
@show dual_status(model)
@show objective_value(model)
@show value(x)
@show value(y)
@show shadow_price(c1)
@show shadow_price(c2)
```

```
Min 12 x + 20 y
Subject to
c1 : 6 x + 8 y ≥ 100.0
c2 : 7 x + 12 y ≥ 120.0
x ≥ 0.0
y ≥ 0.0
y ≤ 3.0
Presolving model
2 rows, 2 cols, 4 nonzeros
2 rows, 2 cols, 4 nonzeros
Presolve : Reductions: rows 2(-0); columns 2(-0); elements 4(-0)
Solving the presolved LP
Using EKK dual simplex solver - serial
Iteration Objective Infeasibilities num(sum)
0 0.0000000000e+00 Pr: 2(220) 0s
2 2.0500000000e+02 Pr: 0(0) 0s
Solving the original LP from the solution after postsolve
Model status : Optimal
Simplex iterations: 2
Objective value : 2.0500000000e+02
HiGHS run time : 0.00
termination_status(model) = MathOptInterface.OPTIMAL
primal_status(model) = MathOptInterface.FEASIBLE_POINT
dual_status(model) = MathOptInterface.FEASIBLE_POINT
objective_value(model) = 205.0
value(x) = 15.0
value(y) = 1.25
shadow_price(c1) = -0.25
shadow_price(c2) = -1.5
```

## Step-by-step

Once JuMP is installed, to use JuMP in your programs write:

`using JuMP`

We also need to include a Julia package which provides an appropriate solver. We want to use `HiGHS.Optimizer`

here which is provided by the `HiGHS.jl`

package.

`using HiGHS`

JuMP builds problems incrementally in a `Model`

object. Create a model by passing an optimizer to the `Model`

function:

`model = Model(HiGHS.Optimizer)`

```
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: HiGHS
```

Variables are modeled using `@variable`

:

`@variable(model, x >= 0)`

\[ x \]

They can have lower and upper bounds.

`@variable(model, 0 <= y <= 30)`

\[ y \]

The objective is set using `@objective`

:

`@objective(model, Min, 12x + 20y)`

\[ 12 x + 20 y \]

Constraints are modeled using `@constraint`

. Here, `c1`

and `c2`

are the names of our constraint.

`@constraint(model, c1, 6x + 8y >= 100)`

c1 : $ 6 x + 8 y \geq 100.0 $

`@constraint(model, c2, 7x + 12y >= 120)`

c2 : $ 7 x + 12 y \geq 120.0 $

Call `print`

to display the model:

`print(model)`

```
Min 12 x + 20 y
Subject to
c1 : 6 x + 8 y ≥ 100.0
c2 : 7 x + 12 y ≥ 120.0
x ≥ 0.0
y ≥ 0.0
y ≤ 30.0
```

To solve the optimization problem, call the `optimize!`

function.

`optimize!(model)`

```
Presolving model
2 rows, 2 cols, 4 nonzeros
2 rows, 2 cols, 4 nonzeros
Presolve : Reductions: rows 2(-0); columns 2(-0); elements 4(-0)
Solving the presolved LP
Using EKK dual simplex solver - serial
Iteration Objective Infeasibilities num(sum)
0 0.0000000000e+00 Pr: 2(220) 0s
2 2.0500000000e+02 Pr: 0(0) 0s
Solving the original LP from the solution after postsolve
Model status : Optimal
Simplex iterations: 2
Objective value : 2.0500000000e+02
HiGHS run time : 0.00
```

The `!`

after optimize is part of the name. It's nothing special. Julia has a convention that functions which mutate their arguments should end in `!`

. A common example is `push!`

.

Now let's see what information we can query about the solution.

`termination_status`

tells us why the solver stopped:

`termination_status(model)`

`OPTIMAL::TerminationStatusCode = 1`

In this case, the solver found an optimal solution.

Check `primal_status`

to see if the solver found a primal feasible point:

`primal_status(model)`

`FEASIBLE_POINT::ResultStatusCode = 1`

and `dual_status`

to see if the solver found a dual feasible point:

`dual_status(model)`

`FEASIBLE_POINT::ResultStatusCode = 1`

Now we know that our solver found an optimal solution, and that it has a primal and a dual solution to query.

Query the objective value using `objective_value`

:

`objective_value(model)`

`205.0`

the primal solution using `value`

:

`value(x)`

`15.0`

`value(y)`

`1.25`

and the dual solution using `shadow_price`

:

`shadow_price(c1)`

`-0.25`

`shadow_price(c2)`

`-1.5`

That's it for our simple model. In the rest of this tutorial, we expand on some of the basic JuMP operations.

## Model basics

Create a model by passing an optimizer:

`model = Model(HiGHS.Optimizer)`

```
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: HiGHS
```

Alternatively, call `set_optimizer`

at any point before calling `optimize!`

:

```
model = Model()
set_optimizer(model, HiGHS.Optimizer)
```

For some solvers, you can also use `direct_model`

, which offers a more efficient connection to the underlying solver:

`model = direct_model(HiGHS.Optimizer())`

```
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: DIRECT
Solver name: HiGHS
```

Some solvers do not support `direct_model`

!

### Solver Options

Pass options to solvers with `optimizer_with_attributes`

:

```
model =
Model(optimizer_with_attributes(HiGHS.Optimizer, "output_flag" => false))
```

```
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: HiGHS
```

These options are solver-specific. To find out the various options available, see the GitHub README of the individual solver packages. The link to each solver's GitHub page is in the Supported solvers table.

You can also pass options with `set_optimizer_attribute`

```
model = Model(HiGHS.Optimizer)
set_optimizer_attribute(model, "output_flag", false)
```

## Solution basics

We saw above how to use `termination_status`

and `primal_status`

to understand the solution returned by the solver.

However, only query solution attributes like `value`

and `objective_value`

if there is an available solution. Here's a recommended way to check:

```
function solve_infeasible()
model = Model(HiGHS.Optimizer)
@variable(model, 0 <= x <= 1)
@variable(model, 0 <= y <= 1)
@constraint(model, x + y >= 3)
@objective(model, Max, x + 2y)
optimize!(model)
if termination_status(model) != OPTIMAL
@warn("The model was not solved correctly.")
return nothing
end
return value(x), value(y)
end
solve_infeasible()
```

```
Presolving model
Problem status detected on presolve: Infeasible
Model status : Infeasible
Objective value : 0.0000000000e+00
HiGHS run time : 0.00
ERROR: No invertible representation for getDualRay
┌ Warning: The model was not solved correctly.
└ @ Main getting_started_with_JuMP.md:302
```

## Variable basics

Let's create a new empty model to explain some of the variable syntax:

`model = Model()`

```
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: NO_OPTIMIZER
Solver name: No optimizer attached.
```

### Variable bounds

All of the variables we have created till now have had a bound. We can also create a free variable.

`@variable(model, free_x)`

\[ free\_x \]

While creating a variable, instead of using the <= and >= syntax, we can also use the `lower_bound`

and `upper_bound`

keyword arguments.

`@variable(model, keyword_x, lower_bound = 1, upper_bound = 2)`

\[ keyword\_x \]

We can query whether a variable has a bound using the `has_lower_bound`

and `has_upper_bound`

functions. The values of the bound can be obtained using the `lower_bound`

and `upper_bound`

functions.

`has_upper_bound(keyword_x)`

`true`

`upper_bound(keyword_x)`

`2.0`

Note querying the value of a bound that does not exist will result in an error.

` lower_bound(free_x)`

`Variable free_x does not have a lower bound.`

### Containers

We have already seen how to add a single variable to a model using the `@variable`

macro. Now let's look at ways to add multiple variables to a model.

JuMP provides data structures for adding collections of variables to a model. These data structures are referred to as *containers* and are of three types: `Arrays`

, `DenseAxisArrays`

, and `SparseAxisArrays`

.

#### Arrays

JuMP arrays are created when you have integer indices that start at `1`

:

`@variable(model, a[1:2, 1:2])`

```
2×2 Matrix{VariableRef}:
a[1,1] a[1,2]
a[2,1] a[2,2]
```

Create an n-dimensional variable $x \in {R}^n$ with bounds $l \le x \le u$ ($l, u \in {R}^n$) as follows:

```
n = 10
l = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10]
u = [10, 11, 12, 13, 14, 15, 16, 17, 18, 19]
@variable(model, l[i] <= x[i = 1:n] <= u[i])
```

```
10-element Vector{VariableRef}:
x[1]
x[2]
x[3]
x[4]
x[5]
x[6]
x[7]
x[8]
x[9]
x[10]
```

We can also create variable bounds that depend upon the indices:

`@variable(model, y[i = 1:2, j = 1:2] >= 2i + j)`

```
2×2 Matrix{VariableRef}:
y[1,1] y[1,2]
y[2,1] y[2,2]
```

#### DenseAxisArrays

`DenseAxisArrays`

are used when the indices are not one-based integer ranges. The syntax is similar except with an arbitrary vector as an index as opposed to a one-based range:

`@variable(model, z[i = 2:3, j = 1:2:3] >= 0)`

```
2-dimensional DenseAxisArray{VariableRef,2,...} with index sets:
Dimension 1, 2:3
Dimension 2, 1:2:3
And data, a 2×2 Matrix{VariableRef}:
z[2,1] z[2,3]
z[3,1] z[3,3]
```

Indices do not have to be integers. They can be any Julia type:

`@variable(model, w[1:5, ["red", "blue"]] <= 1)`

```
2-dimensional DenseAxisArray{VariableRef,2,...} with index sets:
Dimension 1, Base.OneTo(5)
Dimension 2, ["red", "blue"]
And data, a 5×2 Matrix{VariableRef}:
w[1,red] w[1,blue]
w[2,red] w[2,blue]
w[3,red] w[3,blue]
w[4,red] w[4,blue]
w[5,red] w[5,blue]
```

#### SparseAxisArrays

`SparseAxisArrays`

are created when the indices do not form a Cartesian product. For example, this applies when indices have a dependence upon previous indices (called triangular indexing):

`@variable(model, u[i = 1:2, j = i:3])`

```
JuMP.Containers.SparseAxisArray{VariableRef, 2, Tuple{Int64, Int64}} with 5 entries:
[1, 1] = u[1,1]
[1, 2] = u[1,2]
[1, 3] = u[1,3]
[2, 2] = u[2,2]
[2, 3] = u[2,3]
```

We can also conditionally create variables by adding a comparison check that depends upon the named indices and is separated from the indices by a semi-colon `;`

:

`@variable(model, v[i = 1:9; mod(i, 3) == 0])`

```
JuMP.Containers.SparseAxisArray{VariableRef, 1, Tuple{Int64}} with 3 entries:
[3] = v[3]
[6] = v[6]
[9] = v[9]
```

### Integrality

JuMP can create binary and integer variables. Binary variables are constrained to the set $\{0, 1\}$, and integer variables are constrained to the set $\mathbb{Z}$.

#### Integer variables

Create an integer variable by passing `Int`

:

`@variable(model, integer_x, Int)`

\[ integer\_x \]

or setting the `integer`

keyword to `true`

:

`@variable(model, integer_z, integer = true)`

\[ integer\_z \]

#### Binary variables

Create a binary variable by passing `Bin`

:

`@variable(model, binary_x, Bin)`

\[ binary\_x \]

or setting the `binary`

keyword to `true`

:

`@variable(model, binary_z, binary = true)`

\[ binary\_z \]

## Constraint basics

We'll need a need a new model to explain some of the constraint basics:

```
model = Model()
@variable(model, x)
@variable(model, y)
@variable(model, z[1:10]);
```

### Containers

Just as we had containers for variables, JuMP also provides `Arrays`

, `DenseAxisArrays`

, and `SparseAxisArrays`

for storing collections of constraints. Examples for each container type are given below.

#### Arrays

`@constraint(model, [i = 1:3], i * x <= i + 1)`

```
3-element Vector{ConstraintRef{Model, MathOptInterface.ConstraintIndex{MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.LessThan{Float64}}, ScalarShape}}:
x ≤ 2.0
2 x ≤ 3.0
3 x ≤ 4.0
```

#### DenseAxisArrays

`@constraint(model, [i = 1:2, j = 2:3], i * x <= j + 1)`

```
2-dimensional DenseAxisArray{ConstraintRef{Model, MathOptInterface.ConstraintIndex{MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.LessThan{Float64}}, ScalarShape},2,...} with index sets:
Dimension 1, Base.OneTo(2)
Dimension 2, 2:3
And data, a 2×2 Matrix{ConstraintRef{Model, MathOptInterface.ConstraintIndex{MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.LessThan{Float64}}, ScalarShape}}:
x ≤ 3.0 x ≤ 4.0
2 x ≤ 3.0 2 x ≤ 4.0
```

#### SparseAxisArrays

`@constraint(model, [i = 1:2, j = 1:2; i != j], i * x <= j + 1)`

```
JuMP.Containers.SparseAxisArray{ConstraintRef{Model, MathOptInterface.ConstraintIndex{MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.LessThan{Float64}}, ScalarShape}, 2, Tuple{Int64, Int64}} with 2 entries:
[1, 2] = x ≤ 3.0
[2, 1] = 2 x ≤ 2.0
```

### Constraints in a loop

We can add constraints using regular Julia loops:

```
for i in 1:3
@constraint(model, 6x + 4y >= 5i)
end
```

or use for each loops inside the `@constraint`

macro:

`@constraint(model, [i in 1:3], 6x + 4y >= 5i)`

```
3-element Vector{ConstraintRef{Model, MathOptInterface.ConstraintIndex{MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.GreaterThan{Float64}}, ScalarShape}}:
6 x + 4 y ≥ 5.0
6 x + 4 y ≥ 10.0
6 x + 4 y ≥ 15.0
```

We can also create constraints such as $\sum _{i = 1}^{10} z_i \leq 1$:

`@constraint(model, sum(z[i] for i in 1:10) <= 1)`

\[ z_{1} + z_{2} + z_{3} + z_{4} + z_{5} + z_{6} + z_{7} + z_{8} + z_{9} + z_{10} \leq 1.0 \]

## Objective functions

Set an objective function with `@objective`

:

```
model = Model(HiGHS.Optimizer)
@variable(model, x >= 0)
@variable(model, y >= 0)
@objective(model, Min, 2x + y)
```

\[ 2 x + y \]

Create a maximization objective using `Max`

:

`@objective(model, Max, 2x + y)`

\[ 2 x + y \]

Calling `@objective`

multiple times will over-write the previous objective. This can be useful when you want to solve the same problem with different objectives.

## Vectorized syntax

We can also add constraints and an objective to JuMP using vectorized linear algebra. We'll illustrate this by solving an LP in standard form i.e.

\[\begin{aligned} & \min & c^T x \\ & \;\;\text{s.t.} & A x = b \\ & & x \ge 0 \end{aligned}\]

```
vector_model = Model(HiGHS.Optimizer)
A = [
1 1 9 5
3 5 0 8
2 0 6 13
]
b = [7; 3; 5]
c = [1; 3; 5; 2]
@variable(vector_model, x[1:4] >= 0)
@constraint(vector_model, A * x .== b)
@objective(vector_model, Min, c' * x)
optimize!(vector_model)
```

```
Presolving model
3 rows, 4 cols, 10 nonzeros
3 rows, 4 cols, 10 nonzeros
Presolve : Reductions: rows 3(-0); columns 4(-0); elements 10(-0)
Solving the presolved LP
Using EKK dual simplex solver - serial
Iteration Objective Infeasibilities num(sum)
0 0.0000000000e+00 Pr: 3(13.5) 0s
4 4.9230769231e+00 Pr: 0(0) 0s
Solving the original LP from the solution after postsolve
Model status : Optimal
Simplex iterations: 4
Objective value : 4.9230769231e+00
HiGHS run time : 0.00
```

`objective_value(vector_model)`

`4.923076923076923`

This tutorial was generated using Literate.jl. View the source `.jl`

file on GitHub.