Maximize Min Objective

Specific Domains Optimization (Mathematical)
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2

Hi @sophiepavia,

A couple of questions:

  • Do you really mean Pajarito? It doesn’t support @NLobjectives. Instead, it is intended for mixed-integer conic programs.
  • Are you sure your problem is convex? It has some scary looking terms there.
  • What is p_dict, l_dict, l__dict, etc? Since this is your first post, take a read of Please read: make it easier to help you. It has some tips for writing minimal reproducible examples.
  • The typical way to maximize a min is to add new variables
@objective(model, Max, min(a, b, c))

# becomes

@varaible(model, t)
@objective(model, Max, t)
@constraint(model t <= a)
@constraint(model t <= b)
@constraint(model t <= c)
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