coin-or / coin-or/python-mip

Feature requests: Support (linearizable) bilinear expressions

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enhancement
Dominant language
Linear Programming
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Description

Currently, only linear expressions and thus MILPs are supported. However, there are some well known special cases of bilinear terms that can easily be linearized, i.e.

- the product of two binary variables
- the product of a binary variable and a continuous or integer variable with known bounds
- the product of two integer variables with known bounds

IMHO, it would be a nice feature to support bilinear expressions and to automatically linearize such products. For all cases where the bilinear terms can not be linearized, we could pass the resulting MIQ(CQ)P to Gurobi.

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