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I have a problem with a nonlinear constraint. The non-linearity stems from a term of the form $xb$, where $x \in \mathbb{R}^+$, $x < M$ and $b \in \{0, 1\}$. I am able to remove this non-linearity by using McCormick envelopes.

If I solve the problem using this relaxation, am I actually solving the problem or am I just finding a very tight lower bound?. Remember that one of the variables is binary.

What if $b \in \mathbb{N}$ instead?

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  • $\begingroup$ `lower bound' -- what is your objective sense, how does the constraint look like $\endgroup$ Commented Jun 7, 2019 at 23:30
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    $\begingroup$ Possibly related question $\endgroup$
    – David M.
    Commented Jun 8, 2019 at 0:09

1 Answer 1

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For real $x\in[l,u]$ and binary $b\in\{0,1\}$ the McCormick envelope gives you bounds on $w=xy$

$$\begin{align} lb & \leq w \leq ub,\\ ub+x-u& \leq w\leq x+lb-l. \end{align}$$

By case analysis you can see that this is equal to $w=xb$, so you will indeed solve the problem.

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