Small and strong formulations for unions of convex sets from the Cayley embedding

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Abstract

There is often a significant trade-off between formulation strength and size in mixed integer programming. When modeling convex disjunctive constraints (e.g. unions of convex sets), adding auxiliary continuous variables can sometimes help resolve this trade-off. However, standard formulations that use such auxiliary continuous variables can have a worse-than-expected computational effectiveness, which is often attributed precisely to these auxiliary continuous variables. For this reason, there has been considerable interest in constructing strong formulations that do not use continuous auxiliary variables. We introduce a technique to construct formulations without these detrimental continuous auxiliary variables. To develop this technique we introduce a natural non-polyhedral generalization of the Cayley embedding of a family of polytopes and show it inherits many geometric properties of the original embedding. We then show how the associated formulation technique can be used to construct small and strong formulation for a wide range of disjunctive constraints. In particular, we show it can recover and generalize all known strong formulations without continuous auxiliary variables.

Keywords

Mixed integer nonlinear programming Mixed integer programming formulations Disjunctive constraints 

Mathematics Subject Classification

90C11 90C25 90C30 

Notes

Acknowledgements

This research was partially supported by NSF under Grant CMMI-1351619. We thank two anonymous referees for their constructive comments that improved the paper’s presentation.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society 2018

Authors and Affiliations

  1. 1.Sloan School of ManagementMassachusetts Institute of TechnologyCambridgeUSA

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