An Improved MIP Formulation for Products of Discrete and Continuous Variables

Abstract

This note provides a new way of formulating common nonlinear conditions which can be expressed as products of discrete and continuous variables. Our formulation provides a continuous relaxation that can’t be tightened, and uses one less constraint and one less variable for each product than the standard formulation (reducing the total nunber of constraints by half and the total number of variables by a third).