Originally posted by: amindehghanian

Hi All,

Can I solve a problem with a bi-linear term in constraints by CPLEX? Note that the objective function is linear.

Thanks

Generally, I think the answer is "no". There are a few exceptions where it is possible.

1. If you have the product of a binary variable with another variable (binary, integer or real), you can linearize it.
2. The same is true of the product of an integer variable with another variable (but the linearization may get rather clunky).
3. If you have a constraint of the form x'Qx <= yz, where x, y and z are variables, y and z are nonnegative and the Q matrix is positive semidefinite, then CPLEX can treat this as a second order cone constraint.

Paul