Mastering Python for Finance - Second Edition

Integer programming with binary conditions

Another method for formulating the minimization objective is to place all unknown variables in a linear fashion such that they are additive:

Comparing with the previous objective equation, we would obtain the same fixed cost values. However, the unknown variable, quantity_i, remains in the first term of the equation. Hence, the quantity_i variable is required to be solved as a function of isOrder_i, such that the constraints are stated as follows:

Let’s apply these formulas in Python:

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