An Early Termination Technique for ADMM in Mixed Integer Conic Programming

Abstract

The branch-and-bound (B&B) method is a commonly used technique in mixed-integer programming, whose performance is known to improve substantially if early termination methods can be applied to accelerate the pruning of branches. We propose an early termination technique that estimates a lower bound of the objective of current node problem and can stop the computation early instead of solving it to optimality. We show that our proposed technique can be generalized to ADMM-based mixed integer conic programming and speed up convergence in practice.