cplex: define custom mathematical function

Question

I want to define a custom function f in the implementation of my optimisation model in cplex, but some mathematical functions are not available. I want to use my customised function f to make a relation between two of my model variables decisions. Here in how is defined f(x) (it is the CDF of normal distribution):

Thank you for any detail!

Answer 1

You won't be able to do so directly. CPLEX will only allow linear and a small subset of non-linear relations such as quadratic or second-order cone functions. You may be able to approximate your function with a piecewise linear function.