[Bonmin] How to linearize the objective function

G Chandramouli gcmouli1 at gmail.com
Thu Mar 12 00:23:26 EDT 2015


Hello all,
                I am trying to generate some cuts for convex MINLP problem
. I am using C++  interface.  My problem is of the form:
       Min f(x)
 st.  g(x)<=0.

For a nonlinear objective,  I want the problem to be transformed into :

Min \eta
st.    f(x) <= \eta
        g(x)<=0

and then add some cuts and solve it via branch and bound algorithm.   My
approach so far is :

BonminAmplSet bonmin;
bonmin.initialize(argv);
OsiTMINLPInterface& nlpSolver =*bonmin.nonlinearSolver();


I need to solve some NLP problems to generate cuts, which requires
intialSolve() and resolve() functions. So I am using that
nonlinearSolver()  thing.

Can you please tell me how to change the objective in current framework or
suggest an alternative.

Thanks,
Mouli
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