Undercover – a primal heuristic for MINLP based on sub-MIPs generated by set covering
Please always quote using this URN:urn:nbn:de:0296-matheon-9743
- 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.
Author: | Timo Berthold, Ambros Gleixner |
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URN: | urn:nbn:de:0296-matheon-9743 |
Referee: | Martin Grötschel |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2012/01/15 |
Release Date: | 2012/01/15 |
Tag: | MINLP; large neighborhood search; mixed-integer nonlinear programming; primal heuristic; set covering |
Institute: | Zuse Institute Berlin (ZIB) |
MSC-Classification: | 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 Number: | 855 |