Product of Two Variables (integer*non-negative)


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?

Parsa Kianpour

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 .