Mixed-Integer Linear Programming problem
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Hello,
i have to solve the following MILP problem on MATLAB:
I have tried to solve it in this way, but there is something wrong because the are not solutions according to the solver but there should be 2 vectors with 4 solutions each. Can anyone help me?
q = 4
n = length(tickers)
cvx_begin
cvx_solver sdpt3
variables x(n) y(n) binary;
maximize (sum(sum(rho*x)))
sum(y) == q;
sum(x) == 1;
sum(x) <= y';
cvx_end
x, y
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Answers (1)
Pranav Verma
on 12 Nov 2020
Hi Nicolo'
You can use the MILP solver in MATLAB to solve the problem you have mentioned. The MILP solver solves:
So make sure that you convert your problem from maximize to minimize and accordingly change the signs in the constraints and convert them to A.x <= b.
Thanks
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