Minimizing over the minimum of a function in linear programming -
how can minimize function, contains inner minimum. below example. understand can start defining new variable x4=min(c1*x1, c2*x2, c3*x3)
, add new constraints x4<=c1*x1, x4<=c2*x2, x4<=c3*c3
. not correct because x4
smaller terms above not minimum
of them(actually x4
smaller minimum satisfy constraints above). how should reformulate make correct? thank you.
minimize (c1 * x1) + (c2 * x2) + (c3 * x3) + (c4 * min(c1*x1, c2*x2, c3*x3)) subject #some arbitrary linear constraints: x1 >= ... x1 + 2*x2 <= ... x3 >= ... x1 + x3 == ...
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