On mathematical programming with indicator constraints

• 成果类型: Article; Proceedings Paper
• 署名作者: Bonami, Pierre; Lodi, Andrea; Tramontani, Andrea; Wiese, Sven
• 署名单位: University of Bologna
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-015-0891-4
• 发表日期: 2015
• 页码: 191-223
• 关键词: lift-and-project; convex-hull; cuts

摘要

In this paper we review the relevant literature on mathematical optimization with logical implications, i.e., where constraints can be either active or disabled depending on logical conditions to hold. In the case of convex functions, the theory of disjunctive programming allows one to formulate these logical implications as convex nonlinear programming problems in a space of variables lifted with respect to its original dimension. We concentrate on the attempt of avoiding the issue of dealing with large NLPs. In particular, we review some existing results that allow to work in the original space of variables for two relevant special cases where the disjunctions corresponding to the logical implications have two terms. Then, we significantly extend these special cases in two different directions, one involving more general convex sets and the other with disjunctions involving three terms. Computational experiments comparing disjunctive programming formulations in the original space of variables with straightforward bigM ones show that the former are computationally viable and promising.