Use gurobi and mosek for branch and bound method

1

Hi;

I am new user to CVX and I am trying to implement branch and bound method to maximize sum of x. I have a Binary variable y, (lets assume there are K number of elements): which is defined as sum(y) = N. K and N are the pre-defined fixed number (K>N). My objective is to select N out of K which maximize the sum of (x) for all x in N. There are few more constraints as well.

Initially I have relaxed the binary variable x, s.t 0<=x<=1 and obtained results with SOCP approach. Now I want to move branch and bound method and compare the results.

I want to know when define the branch and bound method in cvx, using mosek of gurobi solver, do I have to follow same procedure like sedumi (I mean finding lower bound and upper bound, and then compare) or are there any implemented code to use.

Thank you.

2

CVX does not implement or support the branch and bound method. The solvers Gurobi and MOSEK implement something like this when you use integer or binary variables, however. Why don’t you simply define your binary variables to be binary, and let the solver handle it?