On the relation between the extended supporting hyperplane algorithm and Kelley’s cutting plane algorithm

  • Recently, Kronqvist et al. (J Global Optim 64(2):249–272, 2016) rediscovered the supporting hyperplane algorithm of Veinott (Oper Res 15(1):147–152, 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 (J Soc Ind Appl Math 8(4):703–712, 1960) 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 a class of general, not necessarily convex nor differentiable, functions.

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Author:Felipe SerranoORCiD, Robert SchwarzORCiD, Ambros GleixnerORCiD
Document Type:Article
Parent Title (English):Journal of Global Optimization
First Page:161
Last Page:179
Year of first publication:2020