Building a linear optimizer function in Julia

Using Julia optimizer() in a C# application can be achieved by utilizing a shared library interface. Here is a step-by-step guide on how you can do this:

Step 1: Create the Linear Optimizer in Julia

First, write the Julia function that performs the linear optimization. You might use the JuMP package, which is a domain-specific modeling language for mathematical optimization.

Here’s an example of a simple optimizer in Julia:

using JuMP
using Gurobi

function optimize()
    model = Model(Gurobi.Optimizer)
    @variable(model, x >= 0)
    @variable(model, y >= 0)
    @objective(model, Max, 3x + 4y)
    @constraint(model, 2x + y <= 20)
    @constraint(model, 4x - 5y >= -10)
    @constraint(model, -x + 2y <= 15)
    
    optimize!(model)
    
    return (objective_value(model), value(x), value(y))
end

Save this as optimizer.jl or an appropriate filename.

Step 2: Export the Julia Function as a Shared Library

Julia provides facilities to create shared libraries that can be called from other languages. To do this, we need to use ccall to interface Julia with C.

First, create a build.jl script to package the Julia function into a shared library (.so for Linux or .dll for Windows):

using PackageCompiler

# Define a simple function to be called from C#
function c_optimize(ptr_obj_value::Ref{Cdouble}, ptr_x::Ref{Cdouble}, ptr_y::Ref{Cdouble})
    result = optimize()
    ptr_obj_value[] = result[1]
    ptr_x[] = result[2]
    ptr_y[] = result[3]
end

# Create the shared library
create_library("MyOptimizer", [:@c_optimize])

Run the build.jl script from the Julia REPL:

julia> include("build.jl")

This will generate a shared library named libMyOptimizer.so (or libMyOptimizer.dll on Windows).

Step 3: Call the Julia Shared Library from C#

To use the shared library in C#, you’ll need to use Platform Invocation Services (P/Invoke). Here’s a simple way to call the generated shared library from C#:

using System;
using System.Runtime.InteropServices;

class Program
{
    // Import the function from the shared library
    [DllImport("libMyOptimizer", CallingConvention = CallingConvention.Cdecl)]
    public static extern void c_optimize(ref double obj_value, ref double x, ref double y);

    static void Main()
    {
        double objectiveValue = 0.0;
        double x = 0.0;
        double y = 0.0;

        // Call the Julia optimization function
        c_optimize(ref objectiveValue, ref x, ref y);

        // Output the results
        Console.WriteLine($"Objective Value: {objectiveValue}");
        Console.WriteLine($"x: {x}");
        Console.WriteLine($"y: {y}");
    }
}

Note

1. Ensure that the shared library (libMyOptimizer.so or libMyOptimizer.dll) is located in a path where your C# application can find it, or specify the directory in the DllImport attribute.

2. The shared library file should be created and linked correctly. Depending on the OS, you may need additional steps for linking, and sometimes setting up the library paths might be required.

References

• Julia documentation on calling C from Julia

• P/Invoke documentation

By completing these steps, you will have successfully created a linear optimizer function in Julia that can be called from within a C# application.