Convex mixed-integer nonlinear programs derived from generalized disjunctive programming using cones

We propose the formulation of convex Generalized Disjunctive Programming (GDP) problems using conic inequalities leading to conic GDP problems. We then show the reformulation of conic GDPs into Mixed-Integer Conic Programming (MICP) problems through both the big-M and hull reformulations. These refo...

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Vydáno v:Computational optimization and applications Ročník 88; číslo 1; s. 251 - 312
Hlavní autoři: Bernal Neira, David E., Grossmann, Ignacio E.
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York Springer US 01.05.2024
Springer Nature B.V
Témata:
Algebra
Approximation
Artificial intelligence
Chemical engineering
Cones
Convex analysis
Convex and Discrete Geometry
Integer programming
Linear programming
Machine learning
Management Science
Mathematical analysis
Mathematics
Mathematics and Statistics
Mixed integer
Nonlinear programming
Operations Research
Operations Research/Decision Theory
Optimization
Solvers
Statistics
Systems engineering
Perspective function
Generalized disjunctive programming
Mixed-integer nonlinear programming
Conic programming
ISSN:0926-6003, 1573-2894
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Shrnutí:We propose the formulation of convex Generalized Disjunctive Programming (GDP) problems using conic inequalities leading to conic GDP problems. We then show the reformulation of conic GDPs into Mixed-Integer Conic Programming (MICP) problems through both the big-M and hull reformulations. These reformulations have the advantage that they are representable using the same cones as the original conic GDP. In the case of the hull reformulation, they require no approximation of the perspective function. Moreover, the MICP problems derived can be solved by specialized conic solvers and offer a natural extended formulation amenable to both conic and gradient-based solvers. We present the closed form of several convex functions and their respective perspectives in conic sets, allowing users to formulate their conic GDP problems easily. We finally implement a large set of conic GDP examples and solve them via the scalar nonlinear and conic mixed-integer reformulations. These examples include applications from Process Systems Engineering, Machine learning, and randomly generated instances. Our results show that the conic structure can be exploited to solve these challenging MICP problems more efficiently. Our main contribution is providing the reformulations, examples, and computational results that support the claim that taking advantage of conic formulations of convex GDP instead of their nonlinear algebraic descriptions can lead to a more efficient solution to these problems.
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ISSN:0926-6003
1573-2894
DOI:10.1007/s10589-024-00557-9