Lutz Westermann, Gams Software GMBH

GAMS
Lutz Westermann, GAMS Software GmbH
GAMS Development Corp. I
GAMS Software GmbH
I www.gams.com
GENERAL ALGEBRAIC MODELING SYSTEM
GAMS
Company Background
GAMS Development
Corporation
(Washington)
Tool Provider:
General Algebraic
Modeling System
Agenda
What is GAMS?
Algebraic Modeling Languages - A Success
Story
GAMS - Highlights and Design Principles
Striving for Innovation and Compatibility
New Modeling and Solution Concepts
Software Quality Assurance
A Simple Example
GAMS
GAMS
1976 - A World Bank Slide

IDEAL TECHNOLOGY
REAL WORLD
PROBLEM
ANALYST
GENERAL ALGEBRAIC
MODELING SYSTEM
OLUTIO
RESULT:
- Limited drain of resources

- Same rcprceentation
of models
or humans and machine
- Hodel, rep re sen tat ion is also

mod~l documQntation
GAMS
2012 INFORMS Impact Prize
-,
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LINDO SYSTEMS)
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Algebraic Modeling Languages (AML)
High-level computer programming languages

Formulation of mathematical optimization problems
Notation similar to algebraic notation
Do not solve problems directly, but offer links to state-ofthe-art algorithms {"solver-links"}
Source: http:/!en. wikipedia. org/wiki/Algebraic_modeling_/anguage
GAMS
GAMS
Impact of Algebraic Modeling

Languages
1
Important vehicle to
make mathematical
optimization available
to a broader audience,
e.g. domain specific
experts
Simplified model
development, changes,
and transfer
Added value to existing

applications
Made a scarce resource

(good modelers) more
productive
Increased productivity,
quality, reliability and
maintainability
What does a modeler have to think

about?
1.
Problem
2.
Mathematics
3.
Programming
4.
Performance
5.
Scalability
6.
Connectivity
7.
Deployment
8.
Maintenance (Life Cycle)
9.
Why is GAMS a tool for him?
GAMS
Broad User Community and Network
GAMS
GAMS
Broad User Community and Network

More than 10,000 licenses
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G) 10
GAMS
Broad Range of Application Areas
G)11(B
GAMS
Strong Development Environment
Help
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Start
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------------------------------------------------11:::
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13:06:00
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G)12(B
GAMS
Free Model Libraries

Model Libraries I Help
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GAMS Test Li hira ry
GAMS Data Uti I iti es M o-d els
GAMS EM P Li bra r;y
Practical Financial Optimization Mo-dels
-+ More than 1250 models!

G)13(B
GAMS
Design Principles
Simple modeling language with a balanced mix of

declarative and procedural elements
Open architecture and interfaces to other systems,

independent layers
G)14(B
GAMS
Simple Declarative Language

Few basic language elements: sets, parameters,
variables, equations, models
Language similar to mathematical notation
Model is executable description of the problem

Lot's of code optimization
under the hood
G)1s(B
GAMS
Mix of Declarative and Procedural

Elements
Procedural elements like loops, for, if,
macros and functions
Interaction with other

Allow to build complex
problem algorithms
...a...svstems:
...,,,. Job control
within GAMS
Data exchange
G)16(B
GAMS
Independence of Model and

Operating System
//
. .....
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t.. so La ns:. .
.. .
......
Platforms supported by GAMS:

Models can be moved between platforms with ease!
G)17(B
GAMS
Independence of Model and Solver

One environment for a wide range of model types and solvers
+ Switching between solvers with one line of code!

G)1s(B
GAMS
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ASCII: Initial model development
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between GAMS and
applications
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general API
GAMS
SOLVER
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GAMS
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Interface
AP l's
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Python
No modeling capability:
Model is written in GAMS
Wrapper class that
encapsulates a GAMS model
G)2o(B
GAMS
Simple Encapsulation of a GAMS

Model
Very simple interface:
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Properties to change options like the solver to use
Run{} method to run the model
G)21(B
GAMS
Smart Links to other Applications
User keeps working in his productive tool environment

Application accesses all optimization capabilities of GAMS through API
Visualization and analysis of model data and results in the application
A
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G)22(B
GAMS

Figure 1: US dollnr shol't rnte scennrios

Scenarios from free
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Figure 2: Shol'f vs. long mtes
12
Correlations for Dollar Short and Dollar Long
10
15
Dollar Short
G)23(B
GAMS

v <- rgdx(fnSol, list(name = "tour", form= "sparse"))

nxt <- v$val[, 2]
# compute the sequence of cities, based on nxt
solSeq <-NA* c(1:n + 1)
k <- 1
for (j in c Cf i n )"
solSeq[j] <k <- nxt[k]
}
solSeq[n + 1] <if (k != 1) stop1
loc <- cmdscale(,
rx <- range(x <ry <- range(y <tspres <- loc[sol
s <- seq(n)
G)24(B
GAMS
Striving for Innovation and Compatibilit~~~

Models must benefit from:
I
Advancing hardware
Platforms
Protect investments of Users
New
1
Life time of a model: 15+ years
1------1
Enhanced I new solver and

solution technology
1------1
New maintainer, platform,

solver, user interface
1------1
Improved I upcoming interfaces

to other systems
--
Backward Compatibility
--
New Modeling Concepts
--
G)2s(B
GAMS
New Modeling and Solution Concepts ~~

Examples:
Disjunctive Programs
Bilevel Programs
Extended Nonlinear Programs
Stochastic Programming
D
Issues:
Breakouts of traditional Mathematical Programming classes
No conventional syntax
Limited support with common model representation
Incomplete/experimental solution approaches
Lack of reliable/any software
GAMS is conservative when it comes to syntax extensions
G)26(B
GAMS
The "GAMS" - Approach

Extended Mathematical Programming
Experimental framework for automated mathematical
programming reformulations
Keep the language simple: Do not overload existing GAMS
notation
Use existing language features to specify additional model
features, structure, and semantics
Express extended model information in symbolic (source)
form and apply existing modeling/solution technology
Package new tools with the production system
G)27(B
GAMS
Stochastic Programming in GAMS

~,,,,,....---..........
EMP/SP
Simple interface to add uncertainty to
existing deterministic models
(EMP) Keywords to describe
uncertainty include: discrete and
parametric random variables, stages,
chance constraints, Value at Risk, ...
Available solution methods:
- Automatic generation of
Deterministic Equivalent (can be
solved with any solver)
- Specialized commercial algorithms
(DECIS, LINDO)
EMP
Information
(uncertain Par.)
Deterministic
Model
t--
Translation
c
Q)
0
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cu
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Model
(viewable)
Solve with
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Solution
G)2s(B
GAMS

1 O+ Supported Platforms
30+ Integrated Solvers
><
Windowi ~
Windows 64bit
GUROBI
CPL EX
Perspectives:
What is the impact of new features?
What is the impact of updated or new solvers?
Is the new distribution backward compatible?
D
G)2g(B
GAMS
Qua lit Test Models Librar

Tests to verify proper behavior of the system
More than 600 quality test models, each containing
numerous pass/fail tests
Automatically executed every night for all solver
combinations: 7 12,000 runs I platform (all tests)
Automatically generated test summaries with different
level of information
Assurance about the basic functionality of the software I
Latest GAMS System Builds and Test Results
[ Latest
Builds
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Sunday
23Mar14
Gloss<1ry ]
04:52
(UTC)
Corn me 11ts?
NOTE: The (nightly) aJpba buds are internal development verslons of'ihe GAMS sy1tem. They may have known bugs, unfinished features, beta versions of third-party software, or may not function at aU! Not for
production use!
Libraries
Build
Rev
status
and Time (llJTC)
Full Tests
nightly
a system
F~iday
lnx
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Test done
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12:42:54
I11itial Tests
805 runs O failures
(q=O,s=O)
Report
Saturday
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Test done
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(q=O,s=O)
Report 2198 runs

(q=O,s=O)
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vs8
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(q=O,s=O)
Report results pending
Friday
wei
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Test
started
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944 runs 1 failures

(!:J=l,s=OJ
Report results pending
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(q=O,s=O)
o failur;es
Report
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G)3o(B
GAMS
Why GAMS?
Experience of 25+ years

Broad user community from different areas
Lots of model templates
Strong development interface
Consistent implemenation of design principles

- Simple, but powerful modeling language
- Independent layers
- Open architecture: Designed to interact with other
applications
Open for new developments
Protecting investments of users
G)31(B
GAMS
Agenda
G)32(B
GAMS
A Simple Transportation Problem
G)33
GAMS
Model types in this example
MINLP
Determine minimum transportation cost.

Result: city to city shipment volumes.
Allows discrete decisions,

e.g. if we ship, then we ship at least 100 cases.
Allows non-linearity,
e.g. a smooth decrease in unit cost when
shipping volumes grows
Allows uncertainty,
e.g. uncertain demand
G)34
GAMS
shipments
Canning Plants (supply)
(Number of cases)
Freight: $90 case I thousand miles
G)3s(B
GAMS
A Transportation Model
Supply
Distance
Demand
(cases)
(thousand miles)
(cases)
Topeka
Seattle
Chicago
San Diego
2....5
Minimize
Transportation cost
subject to
Demand satisfaction at markets
New York
G)36
Mathematical
Indices:
J
Decision variables:
xij
Data:
cij
ai
bi
min La
~ LlJ
~ c-LJ x LJ
subject to
~-X<
Llj
lj -
al
~-X>
Lli
lj
b'l
X>
lj -
GAMS
Model Formulation
(Canning plants)
(Markets)
(Number of cases to ship)
(Transport cost per case)
(Capacity in cases)
(Demand in cases)
(Minimize total transportation cost)
'if i
(Shipments from each plant< supply capacity)

'if j (Shipments to each market > demand)
v i.] (Do not ship from market to plant)
i,j E N
G)37
GAMS
GAMS Algebra (LP Model)
--=
~ gamside: C:\Users\Tonil..aoTon\.ll,vuments\aamsdir\proidir\Transoort\trnD.QDr-
~~~:!J~lp4
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Edit
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Utilities
Model Libraries
[C.'\Users\Tonil.apTop\. ..
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Help
~~~~I
li1li
trnsport_LP _MIP _MINLP.gms

...
Variables
x(i,j),
z
shipro~nt quantities in cases

total transportation costs in thousands of dollars;
Positive Vari abLe x ;

Equatio:ns
cost
supply(i)
demand(j)
cost
..
=e=
su.m((i,j), c ( i, j J, "'x ( i, j J, J,
supply(i),
..
su.m(j, x(i,j))
=I=
at
demand(j),
..
su.m(i, x(i,j)J
=g=
b(j)
Model modelLP
define objective function

observe supply limit at plant i
satisfy demand at market j ;
;
;
/oost, supply, demand/;
Solve modelLP using lp minimizing z;

...
~ I
.I
"'
1: 1
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I
--
Hands-On
G)3s(B
GAMS
GAMS Algebra (Data Input)

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Model Libraries
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~ C:\presentat,on\2014_0R_Aachen\demo\data.gms
data.gms
Sets
canning
markets
i
j
plants
I seattle, san-diega
I new-york, chicago,
-"'
I
I
topeka
Parameters
a(i)
b(j)
Table
capacity of plant
seattle
350
san-diego
600
d (i, j J
Scalar
Parameter
demand at market j in ca:ses

new-york
325
chi ca go
300
topeka
275
I ;
seattle
san-diego
i in cases
distance
in thousands
of miles
chicago
new-york
2.5
1. 7
2.5
1.8
freight
in dollars
c(i,j)
transport
per
cost
case
per
topeka
1.8
1.<!
thousand
in thousands
----'
;
miles
of dollars
/90/ ;
per
case
~
c(i,j)
~ I
= f
~ d(i,j)
I aoou
~I~
100
..
$include
data.gms
Variables
x(i,j)
23: 74 I
I Insert
s'hipment quantities
in cases
G)39
GAMS
GAMS Algebra (Data Input)

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C:\presentation\2014_0R_Aachen\demo\trnsport.gms
data. gms
II.Ea.I
trnsport. gms
A
Sets
canning
markets
i
j
Parameters
a(i)
b(j)
dli,j)
Parameter
plants
;
capacity
of plant i in cases
demand at market j in cases
distance
in thousands
of miles
transport
c(i,j)
cost
$call garn3 data.gms

gdx=data
$if errorlevel
1 $abort Error
$gd:n data. gdx
$load i j a b d c
Variables
x(i,j)
Positive
~ I.
Variable
Equations
cost
supply(i)
demand(i)
of dollars
per
case
Data
in cases
costs in thousands
of dollars
x;
define objective
function
observe supply limit at plant
satisfy demand at market i ;
in thousands
preparing
shipment
quantities
total transportation
..
17: 45
23: 74
I Insert
I Insert
I
I
Ill
G)4o(B
GAMS
Sets
i
j
canning plants
markets
Parameters
a(i)
b(j)
d(i,j)
capacity of plant i in cases

demand at market j in cases
distance in thousands of miles
$call gdxxr-w data.xlsx par=d rng=Al par=a rng=G2 dim=1 rdim=1 par=b rng=B6 dim=l
$if errorlevel 1 $abort Error preparing Da.ta
$gdxin data. gdx
I,;, data.xlsx - Microsoft
$load i<d.dim1 j<d.dim2 dab
Ho1
Scalar f freight in dollars per case per thousan

Parameter c(i,j) transport cost in thousands of
c(i,j) = f ~ d(i,j) I 1000:
Variables
x(i,j)
z
shipment quantities in cases

t.o t a.I tran:sportation
costs
in
Function
Library
Ins,
I Defined I
Names
>
Equations
cost
supply(i)
~I
"'
define objective function

observe supply limit at plant i
II
For
Re~
Vie
De,
A~'
I .:::.
Calcujation
>
New-York Chicago Topeka

2.5
1.7
1.8
2 fseattle
2.5
1.8
1.4
3 jsari-Diego
4
5
New-York Chicago Topeka
6
325
300
275
7
Seattle
San-Diego,
17: 45
23: 74 j
!Insert
Insert
]Insert
= ~ zs
I~ ~ ~ ~I
15: 1
R9
t.boue a
Pa
Formula
Auditinq
A
Positiv,e VariabLe
= 1@1
Excel
Ready
I Sheet!
I ~ I
Sheet2 / Sheet3 A I~
I f[Q] [!:!]
100%
1111
GAMS
Solution to LP model
shipments
Markets ( demand)
(Number of cases)
Total cost: $153,675
G)42(B
GAMS
Minimum shipment of 100 cases

Shipment volume:
{continuous variable}
Discrete decision:
ship
{binary variable}
Cost($)
ship= 0
Not possible
ship= 1
x (Number of cases)
100
add constraints:
xi,j > 100 shiPi,j
t/ i, j
x,L,] <
- bigM shipL,] t/ i 1
I
shiPi,j E {0,1}
(if ship=l, then ship at least 100)

(if ship=O, then do not ship at all)
I.
Hands-On
G)43
GAMS
GAMS Algebra (MIP Model)

;:
qamside: C:\Users\TonilapT~\Doc:uments\gamsdir\projdir\Transport\tmp.gpr - [C:\Users\Tonilaplop\...
File Edit Search Windows Utilities ModelLibraries
~~~~~lp4
1~1~"
...
1-1~01
Help
~ II
~~~~I
-1
trnsport_LP_MIP_MINLP gms
..
Scalar
bigm
rat.ne
bigm
miniimillll sb.ipment
big-M 1:ela.xatian
min (smax (i, a (i),),
Binary
variables
volame
;
(numoez; of
cases)
/100/
smax (j ,b (j ), ) ), ;
sb.ip(i,j);
Equations
minship(i,j)
ru,a,xship(i,j)
miniimillll sihipment
ma.xiro.illll.
sihipment;
nrinship ( i, j ) ..
mnaxship ( i, j ) ..
x(i,j),
=sg= mins"'sii:llip(i,j);
(i, j ), =l= big]Ill"'si:llip (i, j);
Model
m.adelMIP /modelLP,
So,lve
m.adelMIP using
mioship,
IlldXSb.ip/
mip mil:mrizing
z ;
..
~ I
I
I
1: 1
jlnsert
G)44
GAMS
Solution to MIP model

shipments
I Markets ( demand)
(Number of cases)
G)4s(B
GAMS
Cost Savings (non-linear)

Cost($)
The cost per case
decreases with a
increasing shipment
I
I
ship= 0
Not possible
ship= 1
volume
I
I
I
x (Number of cases)
Replace:
min Li Lj cij Xij

With
~. ~ . C- .. X .. beta
mm L..Ji
LJJ l)
l)

Hands-On
G)46
GAMS
GAMS Algebra (MINLP Model)

~
,g amsid e: C:\presentat1io:n\2014_ 0R_Aachen\demo\or14.gp
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I trnsport.gms
~ ll-t3-I ' I
'
A
Scalar
beta
..
beta
cost
supply (i),
demand(j)
..
minship (i, j ), ..
maxship (i, j ), ..
-I
..
I 0.95
factor
z =e=
sum ( j ,
sum ( i ,
x (i, j ),
x (i, j)
Model
transport
/all/;
So,l ve
transport
using
Display
x.l,
/;
sum ( (:i, j},

c
x ( i , j ), ),
=l=
x ( i , j ), )
=c=
=<g=mins"'ship
=I= bigiM"'ship
minlp
(:i, j} "'x (i, j) "'"'beta}

a(i),
;
b(j),
;
(i, j ), ;
(i, j ), ;
'I lj
DllliniDlll:izing
z ;
x.m;
~
...
1- I
f
"'
.I
1: 1 I Modified
I Insert
G)47
GAMS
Solution to MINLP model

shipments
I Markets ( demand)
(Number of cases)
Freight: -$90 case
I thousand miles
G)4s(B
GAMS
Uncertain Demand
Prob: 0.3
Val: 0.90
Uncertain demand factor bf

bf
Prob: 0.5
Val: 1.00
Prob: 0.2
Val: 1.10
Decisions to make:
How many units should be shipped "here and
now" (without knowing the outcome of the uncertain demand)?
7 First-stage decision
What can be done after the outcome becomes known and we did not
ship enough?
7 Second-stage or recourse decision
Recourse decisions can be seen as
penalties for bad first-stage decisions
variables to keep the problem feasible
Hands-On
G)49
GAMS
GAMS Algebra (SP Model)

F~
l[,=r,l,@~I
gamside:C:\presentation\2014_0R_Aachen\demo\or14.gpr
file
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ModelLibraries
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trnsport.qrns
..
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emp I '%emp. info%'
$onput
randvar
bf discrete
0.3
0.5
0. 2
sta.ge 2 bf demand u
$offput
putclos,e
emp;
bf
X
u
So,l ve transport
Display
~I
s_bf,
I sl~s3
demand factor
sihipment per
cases bought
I seen
diet
.scendrio.
.randvar
.level
.level
using
s_x
emp ' " pz-ob Lera %gams. i%' I;
0.9
1.0
1.1
scenarios
Set seen
Parameter
s_bf(scen)
s_x(scen,i,j)
s_u(scen,j),
Set
/; put
/;
realization
scenario
per scenario;
I I
.s
bf
.S X
. e u I:
emp minimizing
79: 41
z scena.rio
diet;
..
s u;
~-
by scenario
!lnserl
-1
G)so(B
GAMS
Solution to SP model
shipments
Markets ( demand)
(Number of cases)
New York
(-325)
.5
G)s1(B
GAMS
Stochastic Programming in GAMS

The Extended Mathematical Programming {EMP} framework is used to
replace parameters in the model by random variables
Support for Multi-stage recourse problems and chance constraint

models
Easy to add uncertainty to existing deterministic models, to either use

specialized algorithms or create Deterministic Equivalent {new free
solver DE}
More information:
http://www.gams.com/dd/docs/solvers/empsp.pdf
52
G)s2(B
GAMS
Outlook: Running GAMS in an

Application
A
B
New-York
San-Diego
Freight cost
0 ~HIP'MENl
1 Seattle
Chicago Topeka
2.5
2.5
1.7
1.8
1.8
1.4
325
300
275
~
t
New-York
I LIMI
Supply
~:
i
se~ttle
Scin-Dieg;o
Chicago Topeka
llfe~v-York Chicago
2 San-Diego
3
4
.5
5
7
Topeka
l-
Clear Solution
'--~~~~~~-....-~~~~~~~~~~~~~~~~....
8 GAMS Directory:
9, Working Directory:
O Solver:
c:\program files\GAMS23.2\
c:\tmp\
1--~----~~~~~~~~~~~~~----1
CPLEX
SOLVE LP
11
SOLVE MllP
Solver: CPLEX
quations: 6 Variables: 7
Model Status: 1 Optimal
Solver Status: 1 Normal Completion
Iterations: 4 Solve Time: 0.00
Objective Value: 153.675
Hands-On
53
G)s3(B
GAMS
Europe
GAMS Software GmbH
P.O. Box 40 59
50216 Frechen, Germany
Phone: +49 221 949 9170
Fax:
+49 221 949 9171
info@gams.de
GAMS Development Corp. I
USA
GAMS Development Corp. 1217 Potomac
Street, NW Washington, DC 20007
USA
Phone: +1 202 342 0180
Fax:
+1 202 342 0181
sales@gams.com
GAMS Software GmbH
I www.gams.com

Lutz Westermann, Gams Software GMBH

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Lutz Westermann, GAMS Software GmbH

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GAMS Software GmbH

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