Using regularization and second order information in outer approximation for convex MINLP

A1 Journal article (refereed)


Internal Authors/Editors


Publication Details

List of Authors: Jan Kronqvist, David E. Bernal, Ignacio E. Grossmann
Publisher: Springer Verlag
Publication year: 2018
Journal: Mathematical Programming
eISSN: 1436-4646


Abstract

In this paper, we present two new methods for solving convex mixed-integer nonlinear programming problems based on the outer approximation method. The first method is inspired by the level method and uses a regularization technique to reduce the step size when choosing new integer combinations. The second method combines ideas from both the level method and the sequential quadratic programming technique and uses a second order approximation of the Lagrangean when choosing the new integer combinations. The main idea behind the methods is to choose the integer combination more carefully at each iteration, in order to obtain the optimal solution in fewer iterations compared to the original outer approximation method. We prove rigorously that both methods will find and verify the optimal solution in a finite number of iterations. Furthermore, we present a numerical comparison of the methods based on 109 test problems to illustrate their advantages.


Last updated on 2019-18-06 at 05:19