Outer approximation with conic certificates for mixed-integer convex problems
A mixed-integer convex (MI-convex) optimization problem is one that becomes convex when all integrality constraints are relaxed. We present a branch-and-bound LP outer approximation algorithm for an MI-convex problem transformed to MI-conic form. The polyhedral relaxations are refined with K ∗ cuts...
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| Veröffentlicht in: | Mathematical programming computation Jg. 12; H. 2; S. 249 - 293 |
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| Format: | Journal Article |
| Sprache: | Englisch |
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01.06.2020
Springer Nature B.V |
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| ISSN: | 1867-2949, 1867-2957 |
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| Abstract | A mixed-integer convex (MI-convex) optimization problem is one that becomes convex when all integrality constraints are relaxed. We present a branch-and-bound LP outer approximation algorithm for an MI-convex problem transformed to
MI-conic
form. The polyhedral relaxations are refined with
K
∗
cuts
derived from
conic certificates
for continuous primal-dual conic subproblems. Under the assumption that all subproblems are
well-posed
, the algorithm detects infeasibility or unboundedness or returns an optimal solution in finite time. Using properties of the conic certificates, we show that the
K
∗
cuts imply certain practically-relevant guarantees about the quality of the polyhedral relaxations, and demonstrate how to maintain helpful guarantees when the LP solver uses a positive feasibility tolerance. We discuss how to
disaggregate
K
∗
cuts in order to tighten the polyhedral relaxations and thereby improve the speed of convergence, and propose fast heuristic methods of obtaining useful
K
∗
cuts. Our new open source MI-conic solver
Pajarito
(
github.com/JuliaOpt/Pajarito.jl
) uses an external mixed-integer linear solver to manage the search tree and an external continuous conic solver for subproblems. Benchmarking on a library of mixed-integer second-order cone (MISOCP) problems, we find that Pajarito greatly outperforms Bonmin (the leading open source alternative) and is competitive with CPLEX’s specialized MISOCP algorithm. We demonstrate the robustness of Pajarito by solving diverse MI-conic problems involving mixtures of positive semidefinite, second-order, and exponential cones, and provide evidence for the practical value of our analyses and enhancements of
K
∗
cuts. |
|---|---|
| AbstractList | A mixed-integer convex (MI-convex) optimization problem is one that becomes convex when all integrality constraints are relaxed. We present a branch-and-bound LP outer approximation algorithm for an MI-convex problem transformed to MI-conic form. The polyhedral relaxations are refined with K∗cuts derived from conic certificates for continuous primal-dual conic subproblems. Under the assumption that all subproblems are well-posed, the algorithm detects infeasibility or unboundedness or returns an optimal solution in finite time. Using properties of the conic certificates, we show that the K∗ cuts imply certain practically-relevant guarantees about the quality of the polyhedral relaxations, and demonstrate how to maintain helpful guarantees when the LP solver uses a positive feasibility tolerance. We discuss how to disaggregateK∗ cuts in order to tighten the polyhedral relaxations and thereby improve the speed of convergence, and propose fast heuristic methods of obtaining useful K∗ cuts. Our new open source MI-conic solver Pajarito (github.com/JuliaOpt/Pajarito.jl) uses an external mixed-integer linear solver to manage the search tree and an external continuous conic solver for subproblems. Benchmarking on a library of mixed-integer second-order cone (MISOCP) problems, we find that Pajarito greatly outperforms Bonmin (the leading open source alternative) and is competitive with CPLEX’s specialized MISOCP algorithm. We demonstrate the robustness of Pajarito by solving diverse MI-conic problems involving mixtures of positive semidefinite, second-order, and exponential cones, and provide evidence for the practical value of our analyses and enhancements of K∗ cuts. A mixed-integer convex (MI-convex) optimization problem is one that becomes convex when all integrality constraints are relaxed. We present a branch-and-bound LP outer approximation algorithm for an MI-convex problem transformed to MI-conic form. The polyhedral relaxations are refined with K ∗ cuts derived from conic certificates for continuous primal-dual conic subproblems. Under the assumption that all subproblems are well-posed , the algorithm detects infeasibility or unboundedness or returns an optimal solution in finite time. Using properties of the conic certificates, we show that the K ∗ cuts imply certain practically-relevant guarantees about the quality of the polyhedral relaxations, and demonstrate how to maintain helpful guarantees when the LP solver uses a positive feasibility tolerance. We discuss how to disaggregate K ∗ cuts in order to tighten the polyhedral relaxations and thereby improve the speed of convergence, and propose fast heuristic methods of obtaining useful K ∗ cuts. Our new open source MI-conic solver Pajarito ( github.com/JuliaOpt/Pajarito.jl ) uses an external mixed-integer linear solver to manage the search tree and an external continuous conic solver for subproblems. Benchmarking on a library of mixed-integer second-order cone (MISOCP) problems, we find that Pajarito greatly outperforms Bonmin (the leading open source alternative) and is competitive with CPLEX’s specialized MISOCP algorithm. We demonstrate the robustness of Pajarito by solving diverse MI-conic problems involving mixtures of positive semidefinite, second-order, and exponential cones, and provide evidence for the practical value of our analyses and enhancements of K ∗ cuts. |
| Author | Coey, Chris Vielma, Juan Pablo Lubin, Miles |
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| Cites_doi | 10.1007/978-3-319-59250-3_32 10.1016/j.disopt.2006.10.011 10.1017/CBO9780511804441 10.1007/s10957-016-0892-3 10.1080/1055678031000148696 10.1017/S0962492913000032 10.1007/s12532-008-0001-1 10.1007/s12532-015-0092-4 10.1080/10556788.2017.1322081 10.1287/ijoc.2014.0623 10.1287/moor.26.2.193.10561 10.1007/978-3-319-33461-5_9 10.1137/141000671 10.1007/s101070100263 10.1007/s10107-018-1258-4 10.1137/1.9780898718829 10.1080/10556789908805765 10.1145/2950048 10.1007/s10107-017-1191-y 10.1016/0098-1354(92)80028-8 10.1137/15M1020575 10.1007/s12532-016-0113-y 10.1007/s10107-003-0387-5 10.23919/ECC.2013.6669541 10.1007/978-3-319-59776-8_17 10.1007/978-3-319-93031-2_27 |
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| Keywords | 90C25 Convex programming 90C26 Nonconvex programming, global optimization 90C11 Mixed integer programming 90C57 Polyhedral combinatorics, branch-and-bound, branch-and-cut |
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| Snippet | A mixed-integer convex (MI-convex) optimization problem is one that becomes convex when all integrality constraints are relaxed. We present a branch-and-bound... |
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| SubjectTerms | Algorithms Approximation Certificates Cones Full Length Paper Heuristic methods Integers Mathematical analysis Mathematics Mathematics and Statistics Mathematics of Computing Operations Research/Decision Theory Optimization Theory of Computation Well posed problems |
| Title | Outer approximation with conic certificates for mixed-integer convex problems |
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