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Hi,

I wonder how I can linearize the following expression:

$$z = \sum_{i=1}^{n} \max_{j=1,...,n} (y_{ij})$$

Thanks in advance.

asked 11 Feb '16, 07:20

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monash
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edited 18 Feb '16, 05:16

Did you perhaps mean max instead of argmax?

(11 Feb '16, 10:35) Rob Pratt

@RobPratt: Yes actually, and I revised it. I represented it by the mathematical optimization notation.

(11 Feb '16, 11:14) monash

Hint: introduce a new variable \(x_j\) to represent the summand, linearize that in the usual way, and take \(z = \sum_{j=1}^n x_j\).

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answered 11 Feb '16, 13:33

Rob%20Pratt's gravatar image

Rob Pratt
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accept rate: 28%

It depends on how variable z relates to the objective function.

(11 Feb '16, 15:30) monash

... and how does z relate to the objective? Is the solver trying to minimize z (in which case inequalities alone should work), or not (in which case you'll need a gaggle of binary variables)?

(11 Feb '16, 15:43) Paul Rubin ♦♦

The solver is trying to minimize -Z .

(11 Feb '16, 15:53) monash

I found the best possible strategy is to impose these constraints sets:

$$x_i \geq \frac 1n \sum_{j=1}^{n} y_{ij}, \quad \forall i = 1,...,n$$

$$x_i \leq \sum_{j=1}^{n} y_{ij}, \quad \forall i = 1,...,n$$

and then:

$$z = \sum_{i=1}^{n} x_i$$

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answered 12 Feb '16, 13:48

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monash
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edited 18 Feb '16, 05:12

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Asked: 11 Feb '16, 07:20

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