Solving nonconvex MINLP by quadratic approximation
Presenter
November 21, 2008
Keywords:
- Branch and Cut
MSC:
- 90C57
Abstract
We present the extended Branch and Cut algorithm implemented in the software package LaGO for the solution of block-separable nonconvex mixed-integer nonlinear programs.
The algorithm reformulates every function into a block-separable form and computes convex underestimators for each term separately. For that purpose, nonquadratic functions are first replaced by quadratic underestimators using a powerful heuristic. Nonconvex quadratic functions are then replaced by exakt convex underestimators.
Finally, a linear outer approximation is constructed by linearization of the convex relaxation and the generation of mixed-integer rounding cuts and linearized interval gradient cuts.
The efficiency of the method is improved by the application of a simple constraint propagation technique based on interval arithmetic.