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Quadratic Outer Approximation for Convex Integer Programming

Christoph Buchheim(christoph.buchheim***at***tu-dortmund.de)
Long Trieu(long.trieu***at***tu-dortmund.de)

Abstract: We present a quadratic outer approximation scheme for solving general convex integer programs, where suitable quadratic approximations are used to underestimate the objective function instead of classical linear approximations. As a resulting surrogate problem we consider the problem of minimizing a function given as the maximum of finitely many convex quadratic functions having the same Hessian matrix. A fast algorithm for minimizing such functions over integer variables is presented. Our algorithm is based on a fast branch-and-bound approach for convex quadratic integer programming proposed by Buchheim, Caprara and Lodi [Mathematical Programming 135:369-395 (2012)]. The main feature of the latter approach consists in a fast incremental computation of continuous global minima, which are used as lower bounds. We generalize this idea to the case of k convex quadratic functions, implicitly reducing the problem to 2^k-1 convex quadratic integer programs. Each node of the branch-and-bound algorithm can be processed in O(2^kn) time. Experimental results for a class of convex integer problems with exponential objective functions are presented. Compared with Bonmin's outer approximation algorithm B-OA and branch-and-bound algorithm B-BB, running times for both ternary and unbounded instances turn out to be very competitive.

Keywords: Outer Approximation, Quadratic Programming, Convex Integer Programming

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

Category 2: Nonlinear Optimization (Quadratic Programming )

Category 3: Global Optimization (Other )

Citation:

Download: [PDF]

Entry Submitted: 02/01/2013
Entry Accepted: 02/01/2013
Entry Last Modified: 02/01/2013

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