Non-Dcp-constraint

Answered

Surya Narayanan Hari

October 17, 2020 04:08

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Is it possible to have a non-DCP constraint such as min(1/x, 1) + ax + b <= 0? Sorry if this has been asked before - I would be happy to take a look at any pointers. 

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• Official comment

  

  Simranjit Kaur

  • Gurobi Staff

  December 06, 2024 00:40

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  Juan Orozco

  • Gurobi Staff

  October 21, 2020 22:03 Edited

  If x>0, a dirty way would be to approximate 1/x with model.addGenConstrPWL() (provide tight bounds for x and ensure the breakpoints generate a good-enough approximation), then model.addGenConstrMin(), and finally defining the functional constraint using model.addConstr().

  Of course, this approach would create several auxiliary variables and constraints internally, so you need to test whether the solver performance is acceptable under this approach.

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