Why not just impose round lotting after the optimization?
The implication is that there is little difference between round lotting within the optimization process or doing it just once afterwards. In many cases this is true. However, the cost of coercing to round lots within the algorithm is minimal, and there are times when it does matter. Some optimizations involve assets with large prices relative to the size of the trade, in which case the round lotting will be important. Examples of large prices include some futures and a few equities. Alternatively the size of the trade can be small, such as when optimization is performed continuously. Given that real-time optimization can easily be done with POP, this is an important consideration.
