I have an optimization problem. The objective is defined as follows: Max∑(k=1)∑(t=1)(r_k (t))^2 enter image description here constraints are linear How to linearize this objective function?
How to linearize a quadratic objective function
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This is a non-convex QP. There is a linearization possible based on the KKT conditions. This will give you a linear MIP. See link