Incorporating a Max in optimization objective
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I'm trying to use intlinprog to solve a mixed integer linear program where the objective function has a max function embedded in it. For example, the objective may be of the form:
5*max(10-x, 0)+x
The objective is clearly convex and actually piecewise linear. How can I incorporate this in the form
f'x
so as to be able to use intlinprog?
3 commentaires
Oskar Adolfson
le 12 Oct 2017
I think it is false to say that a convex function is not linear. A convex function can actually be linear, but it doesn't have to be. Try to verify yourself by testing if y = ax is convex.
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Matt J
le 12 Oct 2017
Splitting this piecewise linear function into regions where it is a linear function is akin to knowing the minimum solution in the first place, so I don't see what use this has.
Not sure why that approach isn't worth pursuing. For this example, you simply add the constraint x<=10 for the first region and x>=10 for the second.
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Mario CASTRO GAMA
le 1 Oct 2023
You can try to use the method presented in this video.
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