Optimization using JuMP

In this recipe, we will show how to define an optimization model with JuMP, and how to use the library with open source and commercial solvers. The recipe will be illustrated by solving a simple linear optimization model.

 

Getting ready

For this recipe, you need the following packages:JuMP.jl,Clp.jl , andCbc.jl.  These packages can be installed with the Julia package manager. In the Julia command line, press the] key and run the commands as follows:

(v1.0) pkg> add JuMP
(v1.0) pkg> add Clp
(v1.0) pkg> add Cbc

Please note that at the time of writing this book the  Cbc.jl package fails to compile on Windows and hence can only be installed on the Linux operating system.

Additionally, we will show how to use a commercial solver named Gurobi. Firstly, you need to obtain a Gurobi license (free for academic use) from the Gurobi website, and secondly you need to download and install Gurobi.

Once you obtain a license from Gurobi, you need to configure it on your machine...