Handling Product of Continuous Decision Variables in MATLAB Optimization Toolbox with Gurobi

Answered

FABIANA NANI

February 20, 2025 15:12 Edited

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Dear Gurobi Support Team,

I am using Gurobi through MATLAB’s Optimization Toolbox to solve a MILP problem. However, I am facing an issue with my objective function, which includes the product of two continuous decision variables, both of which vary over time.

Since this introduces a non linearity, I would like to ask if there is a way to handle this type of nonlinearity within Gurobi while continuing to use MATLAB. Are there any recommended reformulation techniques, or does Gurobi support any specific approach to deal with such constraints?

Related to

• MATLAB
• Nonlinear

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  Jaromił Najman

  • Gurobi Staff

  February 25, 2025 15:51

  Hi Fabiana,

  Gurobi's MATLAB API supports quadratic (nonconvex) objectives. Please have a look at the qp.m example and the corresponding documentation.

  Best regards, 
  Jaromił

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