I am trying to set up an MILP Problem in CPLEX. The model is created out of an input in the form of a "System Configuration" file and has to be created automatically within CPLEX since ten thousands of constraints and thousands of decision variables has to be created.
I had several ideas in mind: 1) Define the constraints as matrix/vector constraints in the form A*x = b by defining the corresponding matrix and vectors from the input. But I could not find any opportunity to do this in CPLEX.
2) I found out there is a possibility to build up linear constraints with IloLinearNumExpr but this is only possible in JAVA? I could not find the class anywhere in the C++ Interface.
3) At last, it is also possible to write the model in an LP file automatically and import it. Would you rather recommend this procedure since it is platform Independent and offers a better readable model instead of the exported model from CPLEX which uses x as the only variable name?
Best regards, Binh
Do it via the API. There are APIs for lots of languages. In the CPLEX examples folder on my PC there are standard examples in C, C++, C# Java, Python and VB. Just read the appropriate part of the documentation.