Optimization Online


Symmetry-exploiting cuts for a class of mixed-0/1 second order cone programs

Sarah Drewes (drewes***at***mathematik.tu-darmstadt.de)
Sebastian Pokutta (pokutta***at***mathematik.tu-darmstadt.de)

Abstract: We will analyze mixed 0/1 second order cone programs where the fractional and binary variables are solely coupled via the conic constraints. For this special type of mixed-integer second order cone programs we devise a cutting-plane framework based on the generalized Benders cut and an implicit Sherali-Adams reformulation. We show that the resulting cuts are very effective as symmetric solutions are automatically cut off and each equivalence class of 0/1 solutions is visited at most once. Further, we present computational results showing the effectiveness of our method and briefly sketch an application in optimal pooling of securities.

Keywords: Mixed Integer Nonlinear Programming, Cutting Planes, Second Order Cone Programming, Outer Approximation

Category 1: Integer Programming ((Mixed) Integer Nonlinear Programming )

Category 2: Integer Programming (Cutting Plane Approaches )

Citation: Technical Report, Technische Universitšt Darmstadt, 06/2010

Download: [PDF]

Entry Submitted: 06/15/2010
Entry Accepted: 06/15/2010
Entry Last Modified: 04/16/2014

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society