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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

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