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Undercover – a primal heuristic for MINLP based on sub-MIPs generated by set covering

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  • We present Undercover, a primal heuristic for mixed-integer nonlinear programming (MINLP). The heuristic constructs a mixed-integer linear subproblem (sub-MIP) of a given MINLP by fixing a subset of the variables. We solve a set covering problem to identify a minimal set of variables which need to be fixed in order to linearise each constraint. Subsequently, these variables are fixed to approximate values, e.g. obtained from a linear outer approximation. The resulting sub-MIP is solved by a mixed-integer linear programming solver. Each feasible solution of the sub-MIP corresponds to a feasible solution of the original problem. Although general in nature, the heuristic seems most promising for mixed-integer quadratically constrained programmes (MIQCPs). We present computational results on a general test set of MIQCPs selected from the MINLPLib.

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Metadaten
Verfasserangaben:Timo Berthold, Ambros Gleixner
URN:urn:nbn:de:0296-matheon-9743
Gutachter*in:Martin Grötschel
Dokumentart:Preprint, Forschungszentrum Matheon
Sprache:Englisch
Datum der Erstveröffentlichung:15.01.2012
Datum der Freischaltung:15.01.2012
Freies Schlagwort / Tag:MINLP; large neighborhood search; mixed-integer nonlinear programming; primal heuristic; set covering
Institut:Zuse Institute Berlin (ZIB)
MSC-Klassifikation:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C11 Mixed integer programming
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C30 Nonlinear programming
Preprint-Nummer:855
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