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A conic representation of the convex hull of disjunctive sets and conic cuts for integer second order cone optimization

Pietro Belotti (petr.7b6***at***gmail.com)
Julio C. Goez (jgoez***at***hotmail.com)
Imre Polik (imre***at***polik.net )
Ted K. Ralphs (ted***at***lehigh.edu )
Tamas Terlaky (terlaky***at***lehigh.edu )

Abstract: We study the convex hull of the intersection of a convex set E and a linear disjunction. This intersection is at the core of solution techniques for Mixed Integer Conic Optimization. We prove that if there exists a cone K (resp., a cylinder C) that has the same intersection with the boundary of the disjunction as E, then the convex hull is the intersection of E with K (resp., C). The existence of such a cone (resp., a cylinder) is difficult to prove for general conic optimization. We prove existence and unicity of a second order cone (resp., a cylinder), when E is the intersection of an affine space and a second order cone (resp., a cylinder). We also provide a method for finding that cone, and hence the convex hull, for the continuous relaxation of the feasible set of a Mixed Integer Second Order Cone Optimization (MISOCO) problem, assumed to be the intersection of an ellipsoid with a general linear disjunction. This cone provides a new conic cut for MISOCO that can be used in branch-and-cut algorithms for MISOCO problems.

Keywords: Integer Optimization, Conic Optimization, Second Order Cone Optimization

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

Category 2: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Citation:

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Entry Submitted: 06/03/2012
Entry Accepted: 06/03/2012
Entry Last Modified: 10/30/2016

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