I am trying to reformulate an optimisation problem with unknown $x$ into a mixed-integer program. In this respect, I would like your help to rewrite the following constraint $$ p(x)=0 \Rightarrow q(x)=0 $$ where $p:\mathbb{R}^k\rightarrow \mathbb{R}$ and $q:\mathbb{R}^k\rightarrow [-1,1]^m$, $p$ and $q$ linear in $x$.

using the big-M modelling approach (as here for example).

Any suggestion?

I'm trying to understand the answer below. My understanding of the answer is that $$ p(x)=0 \Rightarrow q(x)=0 $$ is equivalent to $$ \begin{cases} q(x)\geq -M(1-\delta_2)\\ q(x)\leq M(1-\delta_2)\\ -----------\\ p(x)\leq M(1-\delta_1)-\epsilon\\ -----------\\ p(x)\leq M(1-\delta_2)+\epsilon\\ p(x)\geq -M(1-\delta_2)-\epsilon\\ -----------\\ p(x)\geq -M(1-\delta_3)+\epsilon\\ -----------\\ \delta_1+\delta_2+\delta_3=1 \end{cases} $$

If this is the correct understanding of the answer, I have doubts:

(1) $q(x)\geq -M(1-\delta_2), q(x)\leq M(1-\delta_2)$ forces $q(x)=0$ when $\delta_2=1$

(2) $p(x)\leq M(1-\delta_1)-\epsilon$ sets $\delta_1=1$ when $p(x)+\epsilon>0$ (so that $\delta_2=\delta_3=1$ and hence $q(x)$ is not activated) and leaves $\delta_1$ free otherwise

(3) $p(x)\geq -M(1-\delta_3)+\epsilon$ sets $\delta_3=0$ when $p(x)-\epsilon<0$ (so that $\delta_2=1$ or $\delta_1=1$ and hence $q(x)$ may be activated) and leaves $\delta_3$ free otherwise

(4) $p(x)\leq M(1-\delta_2)+\epsilon$ sets $\delta_2=0$ when $p(x)-\epsilon>0$ (so that $\delta_1=1$ or $\delta_3=1$ and hence $q(x)$ is not activated) and leaves $\delta_2$ free otherwise

(5) $p(x)\geq -M(1-\delta_2)-\epsilon$ sets $\delta_2=0$ when $p(x)+\epsilon<0$ (so that $\delta_1=1$ or $\delta_3=1$ and hence $q(x)$ is not activated) and leaves $\delta_2$ free otherwise.

What is the correct way of reading all this? I can't see the closure of the logic.

  • $\begingroup$ what are your thoughts? $\endgroup$ – LinAlg Nov 9 '18 at 15:09
  • $\begingroup$ I'm confused. Firstly, can we do that? I know almost nothing about big-M modelling but I have doubts on whether we can transform equalities. $\endgroup$ – STF Nov 9 '18 at 15:15
  • $\begingroup$ Yes, but the problem is incredibly ill-posed, as being $0$ vs not being $0$ basically cannot be distinguished with numerical solvers. $\endgroup$ – Johan Löfberg Nov 9 '18 at 15:21
  • $\begingroup$ Don't over-complicate the analysis. The disjoint $\delta$ variables with associated regions force $p$ to be in some region, and if $p$ is in a region, the corresponding $\delta$ has to be true because if it wasn't some other $\delta$ would be true, which would force $p$ to be in another region, which would be a contradiction. If $\delta_2$ is true, $q$ is forced to be 0. $\endgroup$ – Johan Löfberg Nov 9 '18 at 21:26

One simple way is by subdividing everything into disjoint cases. Introduce three binaries $\delta_i$ and you have

$\delta_1=1 \Rightarrow p\leq -\epsilon$

$\delta_2=1 \Rightarrow -\epsilon \leq p\leq \epsilon, q = 0$

$\delta_3=1 \Rightarrow p\geq \epsilon$

$\delta_1+\delta_2 + \delta_3 = 1$

The big-M model of an implication between a binary $\delta$ and an inequality $g(x)\geq 0$ is $g(x)\geq -M(1-\delta)$ where $M$ is the infamous big-M constant (which should be called as-small-as-possible-but-sufficiently-large, i.e. it should be so large that $g(x)\geq -M$ is redundant)

  • $\begingroup$ Thanks, but that notation is too technical for me. What does it mean "$\delta_1$ implies ..."? What are "$\delta_1,\delta_2,\delta_3$"? $\endgroup$ – STF Nov 9 '18 at 15:25
  • $\begingroup$ added more info $\endgroup$ – Johan Löfberg Nov 9 '18 at 16:08
  • $\begingroup$ I have 2 other doubts: 1) suppose that I have many implications of the type above to rewrite within my constrained optimization problem: does $M$ have to be the same across all the transformations? 2) you wrote $M$ should be chosen such that $g(x)\geq -M$ is redundant: my understanding is that $p(x)\geq 0 \Rightarrow q(x)\geq 0 $ is rewritten as $p(x)+\epsilon \leq M\delta$ and $q(x)\geq -M(1-\delta)$ with $\epsilon>0$ very small; in this sense, $M$ should be chosen such that $q(x)\geq -M$ is redundant AND $p(x)+\epsilon \leq M$ is satisfied for $p(x)>0$. $\endgroup$ – STF Nov 9 '18 at 18:19
  • $\begingroup$ I have added some comments to your answer in my question. Apologies but I have zero knowledge on this topic and you answer looks still very cryptic to me. $\endgroup$ – STF Nov 9 '18 at 19:44
  • $\begingroup$ $M$ should be picked as tight as possible for every single constraint. The $\epsilon$ variable is only included to deal with the fact that you cannot really talk about a variables being 0, so we look at $-\epsilon \leq p \leq \epsilon$ instead, where that tolerance is something you will have to eperiment with in practice, to make it relevant for your problem, and reasonable for the solver. $\endgroup$ – Johan Löfberg Nov 9 '18 at 21:30

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