Undercover – a primal heuristic for MINLP based on sub-MIPs generated by set covering
- 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 M. Gleixner|
|Editor:||Pierre Bonami, Leo Liberti, Andrew J. Miller, Annick Sartenaer|
|Document Type:||In Proceedings|
|Parent Title (English):||Proceedings of the European Workshop on Mixed Integer Nonlinear Programming, April 12-16, 2010, Marseilles, France|
|Year of first publication:||2010|