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

A1 Originalartikel i en vetenskaplig tidskrift (referentgranskad)


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Publikationens författare: Jan Kronqvist, David E. Bernal, Ignacio E. Grossmann
Förläggare: Springer Verlag
Publiceringsår: 2018
Tidskrift: Mathematical Programming
eISSN: 1436-4646


Abstrakt

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.


Senast uppdaterad 2019-18-07 vid 05:15