Product of Two Variables (integer*non-negative)


(Parsa) #1

Hello,

I’ve read that CVX cannot solve the problem when we have the product of two variables either on objective function or constraint. However, Big M method can be used when we have the multiplication of binary variable to continuous variable. In my problem, I have to multiply the integer variable to nonnegative variable in the inequality constraint. Is that any method like Big M to implement that on CVX?

Thanks,
Parsa Kianpour


(Mark L. Stone) #2

If you have the multiplication of a bounded integer variable with a bounded continuous variable, you could use a binary expansion of the integer variable, and then deal individually with all the binary continuous product terms, as mentioned at https://www.quora.com/How-do-I-convert-a-constraint-with-a-product-of-two-integer-variables-to-a-linear-constraint-1 .