Lift-and-project cuts for mixed integer convex programs

Abstract

This paper addresses the problem of generating cuts for mixed integer nonlinear programs where the objective is linear and the relations between the decision variables are described by convex functions defining a convex feasible region. We propose a new method for strengthening the continuous relaxations of such problems using cutting planes. Our method can be seen as a practical implementation of the lift-and-project technique in the nonlinear case. To derive each cut we use a combination of a nonlinear programming subproblem and a linear outer approximation. One of the main features of the approach is that the subproblems solved to generate cuts are typically not more complicated than the original continuous relaxation. In particular they do not require the introduction of additional variables or nonlinearities. We propose several strategies for using the technique and present preliminary computational evidence of its practical interest. In particular, the cuts allow us to improve over the state of the art branch-and-bound of the solver Bonmin, solving more problems in faster computing times on average. © 2011 Springer-Verlag.