Gurobi: Highly non-linear objectives possible?
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Hi there,
I was wondering if there is a way or workaround to include non-linear objectives? I have tried to put the non-linear portion as a constraint, but that does not seem to work.
I'm not sure if Gurobi can handle something like this. My program is effectively a MINLP problem. All of my constraints are linear, some equality and some inequality.
Below is a simpler example of what I am trying to implement, where g(x(n)) is the nonlinear function which is part of the objective function C:
Thanks in advance!
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Hi Quentin,
There are two approaches which you can use in Gurobi to model your nonlinear function.
You can model the polynomial term via piecewise-linear approximation using the addGenConstrPoly function or via a reformulation with auxiliary variables and equality constraints as explained in How do I model multilinear terms in Gurobi?
The division terms can be modeled as explained in How do I divide by a variable in Gurobi?
Best regards,
Jaromił1 -
Thank you for the helpful info Jaromil!
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Hi Jaromil,
Is there a way to have non-linear functions explained above in the objective function and not in the constraints?Best,
Saeid
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Hi Saeid,
Say you have a non-linear objective f(x). Introduce a variable z, and a constraint z = f(x), and set the objective to z. Now you have a non-linear constraint and can proceed as above.
- Riley
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Hi Riley,
Awesome! Thank you for your quick response.Best,
Saeid
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