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[Help-glpk] [Fwd: Tricks with MathProg to approximate non-linear functio

From: Andrew Makhorin
Subject: [Help-glpk] [Fwd: Tricks with MathProg to approximate non-linear functions?]
Date: Sat, 06 May 2017 07:28:46 +0300

-------- Forwarded Message --------
From: Dolan Antenucci <address@hidden>
To: address@hidden
Subject: Tricks with MathProg to approximate non-linear functions?
Date: Fri, 05 May 2017 16:37:43 +0000

I'm attempting to use GLPK to solve a problem with a non-linear
objective function. Specifically, I want to use either a Pearson
correlation coefficient
( or
something similar to the F1 score metric

I know that GLPK is restricted to *linear* programming, but I'm
wondering if there is a trick to representing either of these objectives
as linear functions.  

I got some hope when I came across a guide for "MIP linearizations and
formulations" from FICO
(, which talks about
approximating non-linear functions with a piecewise linear function, but
since it is in regards to their Xpress Optimization Suite, I wasn't sure
how this applied to my case or with GLPK.

Are there any known tricks with GLPK for what I'm trying to do, or am I
best off just choosing a linear objective function?

Best Regards,
Dolan Antenucci

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