Conexifying the multiplication of continuous and integer variable

MIDCP
1

Dears
If I have two variable, one is continuous and the other is an integer (not binary) and those are multiplied. Can CVX handle this? I know its a non-convex expression but I was wondering if there is a way around it.

Regards

2

You can perform a binary expansion of the integer variable, then apply the technique for product of continuous and binary variables in section 2.8 of https://www.fico.com/en/resource-download-file/3217 .

3

Thanks a lot for this reply. I have a question about this method. What is its name and is there a reference or paper that I can cite for it?

4

Googling may provide some links to posts by Paul Rubin (prubin) and others. I don’t know that any of them are “standard” or peer-reviewed references, or that this approach has any standard name.