3
$\begingroup$

Let us suppose that I have a $\max \min$ objective function that only depends on one set of variables:

$\underset{x}\max \underset{y}\min dy$

Associated with the linear set of constraints and right size real matrices and vectors $A, B, b$ and $d$:

$Ax + By\le b$

$(n,m)\in \mathbb N^2$.

$x\in \{0,1\}^n$

$y\in \{0,1\}^m$

Meaning that the model tries to chose the values of $x$ so that $\underset{y}\min dy$ is maximized.

Is it possible to linearize this objective function to get an ILP or a MILP at the end?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.