I want to solve a problem of the form $\min_x\max_y f(x,y)$ using Gurobi, where $x,y\in [0,1]$.

Is there a simple way to model this in Gurobi? I've seen examples where the domain of $y$ is finite, but in my case it can take any value in $[0,1]$.

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    $\begingroup$ What is your function f? $\endgroup$ Commented Mar 10, 2022 at 20:22
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    $\begingroup$ @MarkL.Stone - it's quite hairy (requires many intermediate variables, and is not easy to analytically simplify). I am able to model it properly, so if I replace $y$ with a constant I get the correct result for $x$. So right now I'm discretizing the $[0,1]$ interval and am building a new model for each such $y$. I just wonder if there's a way to let Gurobi do this automatically. $\endgroup$
    – Eli C
    Commented Mar 11, 2022 at 9:05


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