A Finitely Convergent Disjunctive Cutting Plane Algorithm for Bilinear Programming
Hamed Rahimian (hamednorthwestern.edu)
Abstract: We develop a finitely convergent disjunctive cutting plane algorithm to obtain an $\epsilon$-optimal solution or detect infeasibility of a general nonconvex continuous bilinear program. While our cutting planes are obtained in a similar manner to Saxena et al. (2010) and Fampa and Lee (2018), a feature of our algorithm that guarantees the finite convergence is exploring near-optimal extreme point solutions to a current relaxation at each iteration. In this sense, our proposed algorithm extends the idea analyzed in Owen and Mehrotra (2001) for solving mixed-integer linear programs to the general bilinear programs.
Keywords: Bilinear programming, Nonconvex programming, Disjunctive programming,Global optimization, Cutting planes
Category 1: Integer Programming ((Mixed) Integer Nonlinear Programming )
Category 2: Nonlinear Optimization (Quadratic Programming )
Category 3: Integer Programming (Cutting Plane Approaches )
Citation: Rahimian, H. and S. Mehrotra (2020). A finitely convergent disjunctive cutting plane algorithm for bilinear programming. Technical report, Northwestern University.
Entry Submitted: 01/31/2020
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