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Alternative regularizations for Outer-Approximation algorithms for convex MINLP
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0003-0299-5745
2022 (English)In: Journal of Global Optimization, ISSN 0925-5001, E-ISSN 1573-2916, Vol. 84, no 4, p. 807-842Article in journal (Refereed) Published
Abstract [en]

In this work, we extend the regularization framework from Kronqvist et al. (Math Program 180(1):285–310, 2020) by incorporating several new regularization functions and develop a regularized single-tree search method for solving convex mixed-integer nonlinear programming (MINLP) problems. We propose a set of regularization functions based on distance metrics and Lagrangean approximations, used in the projection problem for finding new integer combinations to be used within the Outer-Approximation (OA) method. The new approach, called Regularized Outer-Approximation (ROA), has been implemented as part of the open-source Mixed-integer nonlinear decomposition toolbox for Pyomo—MindtPy. We compare the OA method with seven regularization function alternatives for ROA. Moreover, we extend the LP/NLP Branch and Bound method proposed by Quesada and Grossmann (Comput Chem Eng 16(10–11):937–947, 1992) to include regularization in an algorithm denoted RLP/NLP. We provide convergence guarantees for both ROA and RLP/NLP. Finally, we perform an extensive computational experiment considering all convex MINLP problems in the benchmark library MINLPLib. The computational results show clear advantages of using regularization combined with the OA method. 

Place, publisher, year, edition, pages
Springer Nature , 2022. Vol. 84, no 4, p. 807-842
Keywords [en]
Convex MINLP, Outer-Approximation, Regularization for mixed-integer optimization, Approximation algorithms, Integer programming, Nonlinear programming, Open source software, Trees (mathematics), Convex mixed-integer nonlinear programming, Mixed integer non-linear programming problems, Mixed integer optimization, Mixed-integer nonlinear programming, Outer approximation, Outer approximation algorithm, Outer approximation methods, Regularisation, Regularization function, Branch and bound method
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-325264DOI: 10.1007/s10898-022-01178-4ISI: 000819383500001Scopus ID: 2-s2.0-85133280239OAI: oai:DiVA.org:kth-325264DiVA, id: diva2:1748744
Note

QC 20230404

Available from: 2023-04-04 Created: 2023-04-04 Last updated: 2023-04-04Bibliographically approved

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