Coding Nested Optimization Loops and Strong Duality Theory

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Eugene
Eugene 2012-3-28
Hi all,
I am currently a graduate student starting on a new project with relatively little experience in using MATLAB. Recently, I have converted a nested bi-level optimization problem into a single level problem using the strong duality theory. From my current resources, I am using GLPK as the MILP solver.
One problem I am currently having is that I am having a difficult time trying to set up my A, Aeq, b and beq matrices due to some non-linear constraints. For example:
v <= y*vmax, where y is a binary variable, vmax is a constant and v is a continuous variable.
Based on the current MATLAB documentation, it would seem that the y variable will need to be placed in the beq matrix.
If possible, I was wondering if I can get some advice to this matter.
Best and God Bless,
Eugene

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