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Intersection disjunctions for reverse convex sets

Eli Towle (etowle***at***wisc.edu)
James Luedtke (jim.luedtke***at***wisc.edu)

Abstract: We present a framework to obtain valid inequalities for optimization problems constrained by a reverse convex set, which is defined as the set of points in a polyhedron that lie outside a given open convex set. We are particularly interested in cases where the closure of the convex set is either non-polyhedral, or is defined by too many inequalities to directly apply disjunctive programming. Reverse convex sets arise in many models, including bilevel optimization and polynomial optimization. Intersection cuts are a well-known method for generating valid inequalities for a reverse convex set. Intersection cuts are generated from a basic solution that lies within the convex set. Our contribution is a framework for deriving valid inequalities for the reverse convex set from basic solutions that lie outside the convex set. We begin by proposing an extension to intersection cuts that defines a two-term disjunction for a reverse convex set. Next, we generalize this analysis to a multi-term disjunction by considering the convex set's recession directions. These disjunctions can be used in a cut-generating linear program to obtain disjunctive cuts for the reverse convex set.

Keywords: Mixed-integer nonlinear programming, valid inequalities, reverse convex sets, disjunctive programming, intersection cuts

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

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 3: Global Optimization (Theory )

Citation:

Download: [PDF]

Entry Submitted: 01/07/2019
Entry Accepted: 01/08/2019
Entry Last Modified: 04/29/2019

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