Originally posted by: BL_G

Hello,

I got a (for me) tricky problem: I am having a MaxMin Problem (maximizing e. g. =MIN(B1:B20) with e. g. B1=A1-DecisionVariable).

How can I model the MaxMin Problem in Excel with CPLEX 12.4? So far CPLEX gives me the error that the model is not linear.

Can anyone help? Any hints are welcome...

Thanks,
Bernard
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: John Cui

I suggest you use OPL to model your MaxMin problem.

John Cui
#CPLEXOptimizers
#DecisionOptimization

Originally posted by: SystemAdmin

max(min) problems can be formulated by using auxiliary variables.
Assume you have max min(b in B) x(b). Then

• define auxiliary variable y
• for each b in B add constraints y <= x(b)
• maximize y

#CPLEXOptimizers
#DecisionOptimization