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Computing Feasible Points for MINLPs with MPECs

Lars Schewe(lars.schewe***at***fau.de)
Martin Schmidt(mar.schmidt***at***fau.de)

Abstract: Nonconvex mixed-integer nonlinear optimization problems frequently appear in practice and are typically extremely hard to solve. In this paper we discuss a class of primal heuristics that are based on a reformulation of the problem as a mathematical program with equilibrium constraints. We then use different regularization schemes for this class of problems and use an iterative solution procedure for solving series of regularized problems. In the case of success, these procedures result in a feasible solution of the original mixed-integer nonlinear problem. Since we only rely on local nonlinear programming solvers the resulting method is fast and we further improve its robustness by additional algorithmic techniques. We show the strength of our method by an extensive computational study on 662 MINLPLib2 instances, where our methods are able to produce feasible solutions for 60% of all instances in at most 10 s.

Keywords: Mixed-Integer Nonlinear Optimization, MINLP, MPEC, Complementarity Constraints, Primal Heuristic

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

Category 2: Integer Programming

Category 3: Complementarity and Variational Inequalities

Citation:

Download: [PDF]

Entry Submitted: 12/21/2016
Entry Accepted: 12/21/2016
Entry Last Modified: 12/21/2016

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