Can I use Gurobi to solve this convex optimization problem?

ユーザーの入力を待っています。

wenxin zhou

2021年12月26日 12:34

I 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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  Simranjit Kaur

  • Gurobi Staff

  2025年06月23日 02:42 編集済み

  This post is more than three years old. Some information may not be up to date. For current information, please check the Gurobi Documentation or Knowledge Base. If you need more help, please create a new post in the community forum. Or why not try our AI Gurobot?.
• 

  Mario Ruthmair

  • Gurobi Staff

  2021年12月28日 07:32

  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,
  Mario

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