On the Structure of Decision Diagram-Representable Mixed-Integer Programs with Application to Unit Commitment

• 成果类型: Article
• 署名作者: Salemi, Hosseinali; Davarnia, Danial
• 署名单位: Iowa State University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2022.2353
• 发表日期: 2023
• 关键词: adaptive robust optimization; Benders decomposition; formulations; cuts

摘要

Over the past decade, decision diagrams (DDs) have been used to model and solve integer programming and combinatorial optimization problems. Despite successful performance of DDs in solving various discrete optimization problems, their extension to model mixed-integer programs (MIPs), such as those appearing in energy applications, is lacking. More broadly, the question of which problem structures admit a DD representation is still open in the DD community. In this paper, we address this question by introducing a geometric decomposition framework based on rectangular formations that provides both necessary and sufficient conditions for a general MIP to be representable by DDs. As a special case, we show that any bounded mixed-integer linear program admits a DD representation through a specialized Benders decomposition technique. The resulting DD encodes both integer and continuous variables and, therefore, is amenable to the addition of feasibility and optimality cuts through refinement procedures. As an application for this framework, we develop a novel solution methodology for the unit commitment problem (UCP) in the wholesale electricity market. Computational experiments conducted on a stochastic variant of the UCP show a significant improvement of the solution time for the proposed method when compared with the outcome of modern solvers.