Extended Formulations in Mixed-integer Convex Programming
release_csbh77daivasncpbsnodb7ay44
by
Miles Lubin and Emre Yamangil and Russell Bent and Juan Pablo Vielma
2015
Abstract
We present a unifying framework for generating extended formulations for the
polyhedral outer approximations used in algorithms for mixed-integer convex
programming (MICP). Extended formulations lead to fewer iterations of outer
approximation algorithms and generally faster solution times. First, we observe
that all MICP instances from the MINLPLIB2 benchmark library are conic
representable with standard symmetric and nonsymmetric cones. Conic
reformulations are shown to be effective extended formulations themselves
because they encode separability structure. For mixed-integer
conic-representable problems, we provide the first outer approximation
algorithm with finite-time convergence guarantees, opening a path for the use
of conic solvers for continuous relaxations. We then connect the popular
modeling framework of disciplined convex programming (DCP) to the existence of
extended formulations independent of conic representability. We present
evidence that our approach can yield significant gains in practice, with the
solution of a number of open instances from the MINLPLIB2 benchmark library.
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