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The Cost of Not Knowing Enough: Mixed-Integer Optimization with Implicit Lipschitz Nonlinearities

Status der Einreichung:accepted
  • It is folklore knowledge that nonconvex mixed-integer nonlinear optimization problems can be notoriously hard to solve in practice. In this paper we go one step further and drop analytical properties that are usually taken for granted in mixed-integer nonlinear optimization. First, we only assume Lipschitz continuity of the nonlinear functions and additionally consider multivariate implicit constraint functions that cannot be solved for any parameter analytically. For this class of mixed-integer problems we propose a novel algorithm based on an approximation of the feasible set in the domain of the nonlinear function---in contrast to an approximation of the graph of the function considered in prior work. This method is shown to compute approximate global optimal solutions in finite time and we also provide a worst-case iteration bound. In some first numerical experiments we show that the ``cost of not knowing enough'' is rather high by comparing our approach with the open-source global solver SCIP. This reveals that a lot of work is still to be done for this highly challenging class of problems and we thus finally propose some possible directions of future research.

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Metadaten
Verfasserangaben:Martin Schmidt, Mathias Sirvent, Winnifried Wollner
Titel des übergeordneten Werkes (Deutsch):Optimization Letters
Dokumentart:Wissenschaftlicher Artikel
Sprache:Englisch
Datum der Veröffentlichung (online):26.04.2018
Datum der Erstveröffentlichung:26.04.2018
Datum der Freischaltung:26.04.2018
Freies Schlagwort / Tag:Mixed-Integer Nonlinear Optimization, Global Optimization, Lipschitz Optimization, Gas Networks
Seitenzahl:16
Institute:Friedrich-Alexander-Universität Erlangen-Nürnberg
Technische Universität Darmstadt
Teilprojekte:A05
B08
A08