Global Optimization of Mixed-Integer Quadratically Constrained Quadratic Programs (MIQCQP) through Piecewise-Linear and Edge-Concave Relaxations
File(s)MisenerFloudas.pdf (220.43 KB)
Accepted version
Author(s)
Misener, R
Floudas, CA
Type
Journal Article
Abstract
We propose a deterministic global optimization approach, whose novel contributions are rooted in the edge-concave and piecewise-linear underestimators, to address nonconvex mixed-integer quadratically-constrained quadratic programs (MIQCQP) to ε-global optimality. The facets of low-dimensional (n ≤ 3) edge-concave aggregations dominating the termwise relaxation of MIQCQP are introduced at every node of a branch-and-bound tree. Concave multivariable terms and sparsely distributed bilinear terms that do not participate in connected edge-concave aggregations are addressed through piecewise-linear relaxations. Extensive computational studies are presented for point packing problems, standard and generalized pooling problems, and examples from GLOBALLib (Meeraus, Globallib. http://www.gamsworld.org/global/globallib. htm). © 2012 Springer and Mathematical Optimization Society.
Date Issued
2012-12
Citation
Mathematical Programming, 2012, 136 (1), pp.155-182
ISSN
0025-5610
Publisher
Springer-Verlag
Start Page
155
End Page
182
Journal / Book Title
Mathematical Programming
Volume
136
Issue
1
Copyright Statement
© Springer and Mathematical Optimization Society 2012. The original publication is available at www.springerlink.com
Description
04.04.13 KB. Author version ok to add to Spiral.
Notes
The manuscript proposes a novel deterministic global optimisation approach for solving Mixed-Integer Quadratically-Constrained Quadratic Programs and lays the theoretical foundation for the commercial software GloMIQO (http://helios.princeton.edu/GloMIQO). Using the software implementation integrating: edge-concave relaxations; piecewise-linear underestimators; eigenvector projections; the reformulation linearisation technique, the authors subsequently collaborated with Dr. Michael Bussieck towards releasing GloMIQO publicly (mbussieck@gams.com; GAMS Software GmbH; http://gams.com/solvers/solvers.htm#GLOMIQO). The paper was further validated when researchers from: Carnegie Mellon University; ExxonMobil; LNEG (Portugal) successfully used GloMIQO for their research (http://www.sciencedirect.com/science/article/pii/S0098135413000458; http://www.sciencedirect.com/science/article/pii/S0098135413000306). The paper contributed to the Royal Academy of Engineering awarding a five-year Research Fellowship to Dr. Misener (£540k, 2012-17).