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Intersection cuts for factorable MINLP

Felipe Serrano(serrano***at***zib.de)

Abstract: Given a factorable function f, we propose a procedure that constructs a concave underestimor of f that is tight at a given point. These underestimators can be used to generate intersection cuts. A peculiarity of these underestimators is that they do not rely on a bounded domain. We propose a strengthening procedure for the intersection cuts that exploits the bounds of the domain. Finally, we propose an extension of monoidal strengthening to take advantage of the integrality of the non-basic variables.

Keywords: Mixed-integer nonlinear programming, intersection cuts, monoidal strengthening

Category 1: Global Optimization

Category 2: Integer Programming ((Mixed) Integer Nonlinear Programming )

Citation: ZIB-Report 18-59, Zuse Institute Berlin, Takustr. 7, 14195 Berlin, December 2018

Download: [PDF]

Entry Submitted: 12/07/2018
Entry Accepted: 12/07/2018
Entry Last Modified: 12/07/2018

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