Limiting step size in optimization variable between optimization steps of nonlinear constrained optimization problem

Specific Domains Optimization (Mathematical)
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2

Hi @psuskin, welcome to the forum!

It isn’t clear to me what you mean by max_step_size.

Are you solving a single optimization problem indexed by time, or a different optimization problem for each time step?

As two options, you might do:

model = Model()
@variable(model, x)
@variable(model, x_last in Parameter(1.0))
@constraint(model, -0.01 <= x - x_last <= 0.1)
for t in 1:3
    optimize!(model)
    x_sol = value(x)
    set_parameter_value(x_last, x_sol)
end

Or

model = Model()
@variable(model, x[1:T])
@constraint(model, [t in 2:T], -0.01 <= x[t] - x[t-1] <= 0.1)
optimize!(model)