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Towards the Solution of Mixed-Integer Nonlinear Optimization Problems using Simultaneous Convexification

Frauke Liers(frauke.liers***at***fau.de)
Alexander Martin(alexander.martin***at***fau.de)
Maximilian Merkert(maximilian.merkert***at***ovgu.de)
Nick Mertens(nickmertens***at***t-online.de)
Dennis Michaels(demichaels***at***mailbox.org)

Abstract: Solving mixed-integer nonlinear optimization problems (MINLPs) to global optimality is extremely challenging. An important step for enabling their solution consists in the design of convex relaxations of the feasible set. Known solution approaches based on spatial branch-and-bound become more effective the tighter the used relaxations are. Relaxations are commonly established by convex underestimators, where each constraint function is considered separately. Instead, a considerably tighter relaxation can be found via so-called simultaneous convexification, where convex underestimators are derived for more than one constraint at a time. In this work, we present a global solution approach for solving mixed-integer nonlinear problems that uses simultaneous convexification. We introduce a separation method for the convex hull of constrained sets. It relies on determining the convex envelope of linear combinations of the constraints and on solving a nonsmooth convex problem. In particular, we apply the method to quadratic absolute value functions and derive their convex envelopes. The practicality of the proposed solution approach is demonstrated on several test instances from gas network optimization, where the method outperforms standard approaches that use separate convex relaxations.

Keywords: Mixed-Integer Nonlinear Programming, Simultaneous Convexification, Convex Envelope, Gas Network Optimization

Category 1: Global Optimization

Category 2: Network Optimization

Category 3: Applications -- Science and Engineering


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Entry Submitted: 02/12/2020
Entry Accepted: 02/12/2020
Entry Last Modified: 02/12/2020

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