Mathematical Programming Computation, Volume 9, Issue 4, December 2017

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Lift-and-project cuts for convex mixed integer nonlinear programs

Mustafa R. Kilinc, Jeff Linderoth, James Luedtke

Abstract


We describe a computationally effective method for generating lift-and-project cuts for convex mixed-integer nonlinear programs (MINLPs). The method relies on solving a sequence of cut-generating linear programs and in the limit generates an inequality as strong as the lift-and-project cut that can be obtained from solving a cut-generating nonlinear program. Using this procedure, we are able to approximately optimize over the rank one lift-and-project closure for a variety of convex MINLP instances. The results indicate that lift-and-project cuts have the potential to close a significant portion of the integrality gap for convex MINLPs. In addition, we find that using this procedure within a branch-and-cut solver for convex MINLPs significantly reduces the total solution time for many instances.We also demonstrate that combining lift-and-project cuts with an extended formulation that exploits separability of convex functions yields significant improvements in both relaxation bounds and the time to calculate the relaxation. Overall, these results suggest that with an effective separation routine, like the one proposed here, lift-and-project cuts may be as effective for solving convex MINLPs as they have been for solving mixed-integer linear programs.


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