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A Feasibility Pump for mixed integer nonlinear programs

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Abstract

We present an algorithm for finding a feasible solution to a convex mixed integer nonlinear program. This algorithm, called Feasibility Pump, alternates between solving nonlinear programs and mixed integer linear programs. We also discuss how the algorithm can be iterated so as to improve the first solution it finds, as well as its integration within an outer approximation scheme. We report computational results.

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Authors and Affiliations

  1. LIF, Faculté des Sciences de Luminy, 13288, Marseille, France

    Pierre Bonami & Gérard Cornuéjols

  2. Tepper School of Business, Carnegie Mellon University, Pittsburgh, PA, 15213, USA

    Gérard Cornuéjols & François Margot

  3. DEIS, University of Bologna, viale Risorgimento 2, 40136, Bologna, Italy

    Andrea Lodi

Authors
  1. Pierre Bonami
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  2. Gérard Cornuéjols
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  3. Andrea Lodi
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  4. François Margot
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Corresponding author

Correspondence to François Margot.

Additional information

P. Bonami is supported in part by a grant from IBM and by ANR grant BLAN06-1-138894.

G. Cornuéjols is supported in part by NSF grant CMMI-0653419, ANR grant BLAN06-1-138894 and ONR grant N00014-03-1-0188.

Part of this research was carried out when Andrea Lodi was Herman Goldstine Fellow of the IBM T.J. Watson Research Center whose support is gratefully acknowledged.

F. Margot is supported in part by a grant from IBM and by ONR grant N00014-03-1-0188.

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Bonami, P., Cornuéjols, G., Lodi, A. et al. A Feasibility Pump for mixed integer nonlinear programs. Math. Program. 119, 331–352 (2009). https://doi.org/10.1007/s10107-008-0212-2

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  • DOI: https://doi.org/10.1007/s10107-008-0212-2

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