excel solver (Simplex LP) binary constraints

Question

I am solving an optimization problem. the problem has binary constraints. solver is (during iteration) setting those binary constraints to decimals between 0 and 1 (approximating a relaxed gradient search). I wish to indicate to solver that it should just search over the discontinous values for 0..1.

Is there a way to do this?

Alternatively, is there an algorithm in OpenSolver which does this, that mimics the simplex-lp, and provides a global optimum?

the cheap way to do it, is to right a for-loop, and iterate over the values. I was wondering if there was a way to phrase it so that a nonlinear problem, becomes a linear problem.

Thanks.

Answer 1

The GRG Nonlinear and Simplex LP methods both use the Branch & Bound method when faced with integer constraints. This method "relaxes" the integer requirement first, finds a solution, then fixes one of the constraints to an integer and finds a new solution. See the Solver on-line documentation .

It is a brute force search method and can take a considerable amount of time.

The Evolutionary method uses it's own algorithm for dealing with integer constraints and is typically much faster than the other two methods.

You ask about linearizing a non-linear problem - you would need to provide more specific information in order to answer that (eg What is your equation? How have you set up your solver problem? etc.)