Polyhedral approximation in mixed-integer convex optimization

Abstract

Generalizing both mixed-integer linear optimization and convex optimization, mixed-integer convex optimization possesses broad modeling power but has seen relatively few advances in general-purpose solvers in recent years. In this paper, we intend to provide a broadly accessible introduction to our recent work in developing algorithms and software for this problem class. Our approach is based on constructing polyhedral outer approximations of the convex constraints, resulting in a global solution by solving a finite number of mixed-integer linear and continuous convex subproblems. The key advance we present is to strengthen the polyhedral approximations by constructing them in a higher-dimensional space. In order to automate this extended formulation we rely on the algebraic modeling technique of disciplined convex programming (DCP), and for generality and ease of implementation we use conic representations of the convex constraints. Although our framework requires a manual translation of existing models into DCP form, after performing this transformation on the MINLPLIB2 benchmark library we were able to solve a number of unsolved instances and on many other instances achieve superior performance compared with state-of-the-art solvers like Bonmin, SCIP, and Artelys Knitro.

References in corpus (3)

• JuMP: A Modeling Language for Mathematical Optimization
• Extended Formulations in Mixed-integer Convex Programming
• Extended Formulations in Mixed Integer Conic Quadratic Programming

Cited by in corpus (6)

• Outer Approximation With Conic Certificates For Mixed-Integer Convex Problems
• On the Approximation of Unbounded Convex Sets by Polyhedra
• Certifiably Optimal Sparse Inverse Covariance Estimation
• Polyhedral approximations of the semidefinite cone and their application
• Rational Polyhedral Outer-Approximations of the Second-Order Cone
• Mixed-integer convex representability