-------- Forwarded Message -------- From: Alexey Karakulov <ankaraku...@gmail.com> To: help-glpk@gnu.org Subject: Objective function defined with max, min. Date: Wed, 4 Jan 2017 23:43:20 +0200
Hi, I have this kind of function in the objective: > crop(s) = max(0, min(1, s)) I wonder if it's possible (and how) to reformulate the task to be LP problem. I have read this posting [1], but I'm not sure how to apply it. > param maxN default 1000; > param maxJ default 10; > set N := 1 .. maxN; > set J := 1 .. maxJ; > param a{N}; > param w{N}; > var X0; > var X{J}; > var S{maxJ .. maxN}; > maximize Obj: sum {n in N} w[n] * crop(S[n]) > subject to DefineS {n in maxJ .. maxN}: S[n] = X0 + sum {j in J} a[n-j +1] * X[j] [1]: http://lists.gnu.org/archive/html/help-glpk/2007-06/msg00005.html _______________________________________________ Help-glpk mailing list Help-glpk@gnu.org https://lists.gnu.org/mailman/listinfo/help-glpk