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Mar 23, 2026 · Operations

Solving Nonlinear Programs with Piecewise‑Linear Approximation in Gurobi

This article explains how to transform separable nonlinear programming models into piecewise‑linear (PWL) approximations, use SOS‑type 2 constraints, and implement the whole workflow in Python with Gurobi, illustrating the method with a portfolio‑selection example and showing how breakpoint refinement improves solution accuracy.