On the Relation between the Extended Supporting Hyperplane Algorithm and Kelley’s Cutting Plane Algorithm

under review
  • Recently, Kronqvist et al. (2016) rediscovered the supporting hyperplane algorithm of Veinott (1967) and demonstrated its computational benefits for solving convex mixed-integer nonlinear programs. In this paper we derive the algorithm from a geometric point of view. This enables us to show that the supporting hyperplane algorithm is equivalent to Kelley's cutting plane algorithm applied to a particular reformulation of the problem. As a result, we extend the applicability of the supporting hyperplane algorithm to convex problems represented by general, not necessarily convex, differentiable functions that satisfy a mild condition.
Author:Felipe SerranoORCiD, Robert SchwarzORCiD, Ambros GleixnerORCiD
Document Type:Article
Year of first publication:2019