How to formulate rank using R API?

Awaiting user input

Zhe Chen

March 29, 2023 19:38

• 
• 

I have observations Y_1, Y_2,..., Y_n. Except using indicator function \sum I(Y_k<=Y_i), k = 1,...,n to formulate rank of Y_i, it there any other way to formulate rank in the constraints? 

For my specific optimization problem, using indicator functions to formulate rank is to use mixed interger linear programming, and this involves too many decision variables (O(n^2)) when n is large. It runs out of time and I guess Gurobi cannot even converge for some cases. So I'm wondering do we have any computationally efficient way to formulate rank in the constraint?

Thank you!

Related to

• Formulation
• R

0

• 

  Riley Clement

  • Gurobi Staff

  March 31, 2023 01:00

  Hi Zhe,
  
  Can you detail exactly what your definition of a rank constraint is with respect to your variables?
  
  It is not clear from you latex code, which seems to be incomplete.
  
  - Riley

  0

Please sign in to leave a comment.