Thursday, May 18, 2017

Simple piecewise linear problem, not so easy with binary variables

The following picture illustrates the problem:


The blue line is what we want to model:

\[\bbox[lightcyan,10px,border:3px solid darkblue]{
   y = \begin{cases}
    0 & \text{if $0 \le x \le a$}\\
   (x-a)\displaystyle\frac{H}{b-a} & \text{if $a < x < b$}\\
   H & \text{if $x\ge b$}\end{cases}}\]

Is there much we can exploit here, from this simple structure? I don’t believe so, and came up with:

&x_1 \le a \delta_1\\
&a \delta_2 \le x_2 \le b \delta_2\\
&b \delta_3 \le x_3 \le U \delta_3\\
&\delta_1+\delta_2+\delta_3 = 1\\
&x = x_1+x_2+x_3\\
&y = (x_2 - a \delta_2)\displaystyle\frac{H}{b-a} + H \delta_3 \\
&\delta_k \in \{0,1\}\\
&x_i \ge 0\\
&0 \le x \le U

Added missing \(\sum_k \delta_k=1\), see comments below.

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