Approximation of nonlinear terms
AnsweredDear support team,
I am using the general constraint function of Gurobi to model nonlinear terms, such as logfunction by "addGenConstrLog". Here, we can specify the approximation errors. It works well, and for some problems, Gurobi's performs rather impressive.
However, I am not sure how Gurobi does the linearization. Is it by inner piecewise linearization or outer piecewise linearization, or a combination of both? In more general cases, what is the rule applied (i.e., approximate a function from below or above)?
Thank you very much!
Infi

Hi Infi,
Gurobi usually chooses points on the original function to construct the piecewiselinear approximation. This behavior can be controlled via the FuncPieceRatio parameter.
Best regards,
Jaromił0
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