Is there a way to rewrite this as a mixed integer program? I want to have a set of real numbers where all but a certain count are forced to zero.
x_s ∈ R
y_s ∈ R
b_s = 0 ∪ 1
y_s = b_s * x_s
∑b_s ≤ 50
Hello,
It is quite common that the variables x_s have some finite upper bounds U_s. In practice, it’s important that these bounds be small. For example, 100 is small. 1e10 is not small.
With these bounds, you can do:
x_s <= U_s * b_s
This is a typical big-M MIP formulation.
-Steve