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Monomial-wise Optimal Separable Underestimators for Mixed-Integer Polynomial Optimization

Christoph Buchheim (christoph.buchheim***at***tu-dortmund.de)
Claudia D'Ambrosio (dambrosio***at***lix.polytechnique.fr)

Abstract: In this paper we introduce a new method for solving box-constrained mixed-integer polynomial problems to global optimality. The approach, a specialized branch-and-bound algorithm, is based on the computation of lower bounds provided by the minimization of separable underestimators of the polynomial objective function. The underestimators are the novelty of the approach because the standard approaches in global optimization are based on convex relaxations. Thanks to the fact that only simple bound constraints are present, minimizing the separable underestimator can be done very quickly. The underestimators are computed monomial-wise after the original polynomial has been shifted. We show that such valid underestimators exist and their degree can be bounded when the degree of the polynomial objective function is bounded, too. For the quartic case, all optimal monomial underestimators are determined analytically. We implemented and tested the branch-and-bound algorithm with hardcoded underestimators that were computed offline. The comparison against standard global optimization and polynomial optimization solvers clearly shows that our method outperforms the others, the only exception being the binary case where, though, it is still competitive. Moreover, our branch-and-bound approach suffers less in case of dense polynomial objective function, i.e., in case of polynomials having a large number of monomials. This paper is an extended and revised version of the preliminary paper [1].

Keywords: Polynomial Optimization; Mixed-Integer Nonlinear Programming; Separable Underestimators

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

Category 2: Global Optimization

Category 3: Nonlinear Optimization (Bound-constrained Optimization )

Citation: [1] C. Buchheim and C. D'Ambrosio, Box-constrained mixed-integer polynomial optimization using separable underestimators, in Integer Programming and Combinatorial Optimization - 17th International Conference, IPCO 2014, vol. 8494 of LNCS, 2014, pp. 198-209.

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Entry Submitted: 11/19/2013
Entry Accepted: 11/19/2013
Entry Last Modified: 01/20/2016

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