Incorporating a Max in optimization objective
3 views (last 30 days)
Show older comments
I'm trying to use intlinprog to solve a mixed integer linear program where the objective function has a max function embedded in it. For example, the objective may be of the form:
5*max(10-x, 0)+x
The objective is clearly convex and actually piecewise linear. How can I incorporate this in the form
f'x
so as to be able to use intlinprog?
3 Comments
Oskar Adolfson
on 12 Oct 2017
I think it is false to say that a convex function is not linear. A convex function can actually be linear, but it doesn't have to be. Try to verify yourself by testing if y = ax is convex.
Answers (2)
Matt J
on 12 Oct 2017
Splitting this piecewise linear function into regions where it is a linear function is akin to knowing the minimum solution in the first place, so I don't see what use this has.
Not sure why that approach isn't worth pursuing. For this example, you simply add the constraint x<=10 for the first region and x>=10 for the second.
0 Comments
See Also
Categories
Find more on Get Started with Optimization Toolbox in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!