y = max{x1, x2, ..., xn} for continuous variables x1, ..., xn
- Must know lower and upper bounds
| Li ≤ xi ≤ Ui |
[1.i] |
- Introduce binary variables d1, ..., dn
di=1 if xi is the maximum value, 0 otherwise
- MIP formulation
| Li ≤ xi ≤ Ui |
[1.i] |
| y ≥ xi |
[2.i] |
| y ≤ xi + (Umax - Li)(1 - di) |
[3.i] |
| ∑i di = 1 |
[4] |