Can I use Gurobi to solve this convex optimization problem?
Awaiting user inputI need to solve the following problem:
where v_t is fixed, V(u) is a concave function, V(u)=inf{f(v,u):v∈Ω}. Once u is known, the value and gradient of V(u) can be easily obtained, but we don't know the explicit expression of the objective function. The constraints of u, namely the big U, are box constraints (e.g., l<=u<=h). My problem is, can I just use Gurobi to solve this problem, or I have to use iterative algorithm to obtain the result?
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Hi Wenxin,
To use Gurobi, you need to explicitly write a model with an objective function, so in your case you need to know f(v,u).
You said that once u is known, you can easily obtain V(u). How do you do that?Best regards,
Mario0
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