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Improving the performance of DICOPT in convex MINLP problems using a feasibility pump

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  • The solver DICOPT is based on an outer-approximation algorithm used for solving mixed- integer nonlinear programming (MINLP) problems. This algorithm is very effective for solving some types of convex MINLPs. However, there are certain problems that are diffcult to solve with this algorithm. One of these problems is when the nonlinear constraints are so restrictive that the nonlinear subproblems produced by the algorithm are infeasible. This problem is addressed in this paper with a feasibility pump algorithm, which modifies the objective function in order to efficiently find feasible solutions. It has been implemented as a preprocessing algorithm for DICOPT. Computational comparisons with previous versions of DICOPT and other MINLP solvers on a set of convex MINLPs demonstrate the effectiveness of the proposed algorithm in terms of solution quality and solving time.

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Author:David E. Bernal, Stefan Vigerske, Francisco Trespalacios, Ignacio E. Grossmann
Document Type:Article
Parent Title (English):Optimization Methods and Software
Year of first publication:2017
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