Skip to main content

quadratic quotient programming

Answered

Comments

1 comment

  • Maliheh Aramon
    Gurobi Staff Gurobi Staff

    Hi Xiaoyu, 

    No, Gurobi does not directly support solving an optimization problem with an objective function in the form \(\frac{x^\prime Q x}{x^\prime P x}\). Please check the article on What types of model can Gurobi solve? for the list of models that Gurobi solves.

    You can consider defining an auxiliary variable \(y\) and solve the following optimization problem (assuming minimization):

    \[\begin{align} \min~~ y & \notag \\ \mathrm{st:}~~  & x^\prime Q x - y (x^\prime P x) \leq 0 \notag \end{align}\]

    This is a nonconvex problem and the term \(y (x^\prime P x)\) includes multilinear terms that you need to model using a series of bilinear constraints. You can check the article on How do I model multilinear terms in Gurobi?

    Best regards,

    Maliheh

    0

Please sign in to leave a comment.