How to write the following objective function in Gurobi?

Question

The following is the objective function:

I have the following Java code:

// Create list of variables
List<GRBVar> varList = new ArrayList<>();

// Set objective: maximize log(p) * x
GRBLinExpr expr = new GRBLinExpr();

int counter = 0;

for(Map.Entry<String, Double[]> entry: probabilityLevels.entrySet()) {

    Double[] probs = entry.getValue();

    for (Double prob: probs) {
        GRBVar x = model.addVar(0.0, 1.0, 0.0, GRB.BINARY, "x" + counter); 
        expr.addTerm(Math.log(prob), x);
        varList.add(x);
    }
}

model.setObjective(expr, GRB.MAXIMIZE);

Update the code

Answer 1

Your loops look correct, but you are only creating one GRBVar x, instead of creating one GRBVar for each combination of j, k and z. You should create some data structure to store all these GRBVar objects, and create them as you iterate over the combinations of j, k and z.