The decomposition-based outer approximation algorithm for convex mixed-integer nonlinear programming

P. Muts, Iwo Nowak, E.M.T. Hendrix

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This paper presents a new two-phase method for solving convex mixed-integer nonlinear programming (MINLP) problems, called Decomposition-based Outer Approximation Algorithm (DECOA). In the first phase, a sequence of linear integer relaxed sub-problems (LP phase) is solved in order to rapidly generate a good linear relaxation of the original MINLP problem. In the second phase, the algorithm solves a sequence of mixed integer linear programming sub-problems (MIP phase). In both phases the outer approximation is improved iteratively by adding new supporting hyperplanes by solving many easier sub-problems in parallel. DECOA is implemented as a part of Decogo (Decomposition-based Global Optimizer), a parallel decomposition-based MINLP solver implemented in Python and Pyomo. Preliminary numerical results based on 70 convex MINLP instances up to 2700 variables show that due to the generated cuts in the LP phase, on average only 2–3 MIP problems have to be solved in the MIP phase.
Original languageEnglish
Pages (from-to)75-96
JournalJournal of Global Optimization
Volume77
DOIs
Publication statusPublished - 20 Feb 2020

Fingerprint Dive into the research topics of 'The decomposition-based outer approximation algorithm for convex mixed-integer nonlinear programming'. Together they form a unique fingerprint.

Cite this