Introduction To Applied Optimization

GAMS TUTORIAL

GAMS Basics
GAMS: General Algebraic Modeling System (GAMS) High-level modeling system for mathematical programming and optimization Useful only for solving optimization problems

Student version (with restrictions on number of variables and number of constraints) available at: http://www.gams.com/
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GAMS Basics
GAMS advantages:
Problem representation is much simpler: Intuitive representation due to the representation syntax Various output options to analyze the results and carry out debugging Incorporates different solvers for the given problem and various options to select desired solver properties Possible to define an integer variable

GAMS disadvantages:
No option for data visualization No option to include breakpoints to debug the code Performs only optimization: Cannot carry out other related tasks such as ODE simulation.
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GAMS Environment

Single window to write and execute the code

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GAMS Model Components

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Set Declaration
Very important aspect of a GAMS model Declaration necessary for multi-dimensional parameter/variable declaration Simple set example:
courses={BioE 123, BioE 234, BioE 345} set courses / BioE 123, BioE 234, BioE 345 / ;

Sequence set:
Year={2000, 2001, 2002, 2010} set Year /2000 * 2010/ ;

Multiple sets with the same elements:

alias(Year,Horizon) ; Another set named Horizon created with same elements
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Data Declaration: Scalar

Single dimensional constant value Syntax:
scalar scalar name / value /; scalar MaxCredits / 12 /; scalar MaxCredits / 12 / scalar MinCredits / 8 /;

Semicolon only at the end of the particular type declaration

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Data Declaration: Parameters

Lists of constant data (list of scalars) Declared over a predefined set Prior definition of a set with correct dimension is necessary Syntax:
parameter(s) parameter name / element1 value1, element2 value2, .. /; parameter Number_of_Students(courses) / BioE123 24, BioE234 21, BioE 345 17 /; Important to use the right set for defining the data
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Data Declaration: Tables

Multi-dimensional data for constants Prior definition of a sets with correct dimension is necessary Syntax:
table table name Declaration of the data in table format

Data of number of students in each class in each year

table StudentInfo(year,courses)
BioE 123 BioE 234 BioE 345

2001 2002 2003 2004 2010

12 15 21 18 21

34 31 33 21 31

25 30 32 22 26;

Data alignment important Semicolan at the end of the data entry

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Data Access
Data accessing for parameters and tables is different Parameter defined as: parameter Number_of_Students(courses) / BioE123 24, BioE234 21, BioE 345 17 /; I want to know the number of students taking BioE123 Number_of_Students(1) ---- WRONG Syntax Correct: Number_of_Students(BioE 123) I want to know the number of students taking BioE234 in 2003 Correct: StudentInfo(2002,BioE 234) This is a fundamental difference from the programming philosophy of MATLAB, FORTRAN, C etc.
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Variable Declaration
Variables: Unknown quantities which are computed as the solution of the problem Variables are part of the equations (constraints and objective) defined in the optimization problem Syntax:
variable variable name(set name)

Different types of variables can be defined:

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free (with no bounds): This is the default declaration positive variable negative variable binary variable integer variable
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Equations
Used to define constraints and objectives An inequality is also defined as an equation Equation declaration
equations Equation1(set) name of the equation Equation2(set) name of the equation;

Equation definition
Equation_name(set).. actual equation ..

Equation types:
=e= =l= =g=
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Equality Less than or equal to Greater than or equal to

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Model and Solve Statements

Once all the problem information has been written, model statement is used to formulate the model Syntax:
model mode_name model description / list of equations to be included in the model /;

If all the defined equations are to be included:

model mode_name model description / all /;

Solve statement to ask GAMS to solve using a particular model type

solve model_name using model_type maximizing/minimzing variable_name;
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Example Problem from LP

Example linear programming problem:
Min 4x1-x2 Subject to: 2x1 + x2 8 x2 5 x1 - x2 4 x1 0, x2 0

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Example Problem from LP

Press F9 to execute the code Errors are listed in the output list file and the solution is not reported 15
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Example Problem from LP

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Important Model Types

The list of models that can be defined in GAMS
LP = Linear programming NLP = Nonlinear programming MIP = Mixed integer (linear) programming MINLP = Mixed integer nonlinear programming RMIP = Relaxed mixed integer (linear) programming RMINLP = Relaxed mixed integer nonlinear programming

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