Convex Mixed-integer Nonlinear Programming Problems Research Articles

The supporting hyperplane optimization toolkit for convex MINLP

In this paper, an open-source solver for mixed-integer nonlinear programming (MINLP) problems is presented. The Supporting Hyperplane Optimization Toolkit (SHOT) combines a dual strategy based on polyhedral outer approximations (POA) with primal heuristics. The POA is achieved by expressing the nonlinear feasible set of the MINLP problem with linearizations obtained with the extended supporting hyperplane (ESH) and extended cutting plane (ECP) algorithms. The dual strategy can be tightly integrated with the mixed-integer programming (MIP) subsolver in a so-called single-tree manner, i.e., only a single MIP optimization problem is solved, where the polyhedral linearizations are added as lazy constraints through callbacks in the MIP solver. This enables the MIP solver to reuse the branching tree in each iteration, in contrast to most other POA-based methods. SHOT is available as a COIN-OR open-source project, and it utilizes a flexible task-based structure making it easy to extend and modify. It is currently available in GAMS, and can be utilized in AMPL, Pyomo and JuMP as well through its ASL interface. The main functionality and solution strategies implemented in SHOT are described in this paper, and their impact on the performance are illustrated through numerical benchmarks on 406 convex MINLP problems from the MINLPLib problem library. Many of the features introduced in SHOT can be utilized in other POA-based solvers as well. To show the overall effectiveness of SHOT, it is also compared to other state-of-the-art solvers on the same benchmark set.

Energy-Efficient Parallel Multi-Access Edge Computing in OFDMA Wireless Networks

We study a parallel multi-access edge computing (MEC) system in this work and investigate its energy-efficient resources management. Particularly, the MEC system consists of an edge node and a number of mobile users, where each user has an inelastic computing task with nonnegligible duration of task execution and nonnegligible size of task result. In addition, the MEC system operates in orthogonal frequency division multiple access (OFDMA) wireless networks and can support the transmission as well as the execution of different tasks in parallel. On this basis, we build a nonconvex mixed-integer nonlinear programming (MINLP) problem aiming to minimize the energy consumed by the system. By using the McCormick method and exploring the problem's structural properties, we first equivalently transform it to a manageable convex MINLP problem, and then devise two low-complexity suboptimal algorithms. Finally, numerical results are presented to show the effectiveness of our proposed algorithms.

A disjunctive cut strengthening technique for convex MINLP

Generating polyhedral outer approximations and solving mixed-integer linear relaxations remains one of the main approaches for solving convex mixed-integer nonlinear programming (MINLP) problems. There are several algorithms based on this concept, and the efficiency is greatly affected by the tightness of the outer approximation. In this paper, we present a new framework for strengthening cutting planes of nonlinear convex constraints, to obtain tighter outer approximations. The strengthened cuts can give a tighter continuous relaxation and an overall tighter representation of the nonlinear constraints. The cuts are strengthened by analyzing disjunctive structures in the MINLP problem, and we present two types of strengthened cuts. The first type of cut is obtained by reducing the right-hand side value of the original cut, such that it forms the tightest generally valid inequality for a chosen disjunction. The second type of cut effectively uses individual right-hand side values for each term of the disjunction. We prove that both types of cuts are valid and that the second type of cut can dominate both the first type and the original cut. We use the cut strengthening in conjunction with the extended supporting hyperplane algorithm, and numerical results show that the strengthening can significantly reduce both the number of iterations and the time needed to solve convex MINLP problems.

Joint Optimal Software Caching, Computation Offloading and Communications Resource Allocation for Mobile Edge Computing

As software may be used by multiple users, caching popular software at the wireless edge has been considered to save computation and communications resources for mobile edge computing (MEC). However, fetching uncached software from the core network and multicasting popular software to users have so far been ignored. Thus, existing design is incomplete and less practical. In this paper, we propose a joint caching, computation and communications mechanism which involves software fetching, caching and multicasting, as well as task input data uploading, task executing (with non-negligible time duration) and computation result downloading, and mathematically characterize it. Then, we optimize the joint caching, offloading and time allocation policy to minimize the weighted sum energy consumption subject to the caching and deadline constraints. The problem is a challenging two-timescale mixed integer nonlinear programming (MINLP) problem, and is NP-hard in general. We convert it into an equivalent convex MINLP problem by using some appropriate transformations and propose two low-complexity algorithms to obtain suboptimal solutions of the original non-convex MINLP problem. Specifically, the first suboptimal solution is obtained by solving a relaxed convex problem using the consensus alternating direction method of multipliers (ADMM), and then rounding its optimal solution properly. The second suboptimal solution is proposed by obtaining a stationary point of an equivalent difference of convex (DC) problem using the penalty convex-concave procedure (Penalty-CCP) and ADMM. Finally, by numerical results, we show that the proposed solutions outperform existing schemes and reveal their advantages in efficiently utilizing storage, computation and communications resources.

Nonlinear chance-constrained problems with applications to hydro scheduling

We present a Branch-and-Cut algorithm for a class of nonlinear chance-constrained mathematical optimization problems with a finite number of scenarios. Unsatisfied scenarios can enter a recovery mode. This class corresponds to problems that can be reformulated as deterministic convex mixed-integer nonlinear programming problems with indicator variables and continuous scenario variables, but the size of the reformulation is large and quickly becomes impractical as the number of scenarios grows. The Branch-and-Cut algorithm is based on an implicit Benders decomposition scheme, where we generate cutting planes as outer approximation cuts from the projection of the feasible region on suitable subspaces. The size of the master problem in our scheme is much smaller than the deterministic reformulation of the chance-constrained problem. We apply the Branch-and-Cut algorithm to the mid-term hydro scheduling problem, for which we propose a chance-constrained formulation. A computational study using data from ten hydroplants in Greece shows that the proposed methodology solves instances faster than applying a general-purpose solver for convex mixed-integer nonlinear programming problems to the deterministic reformulation, and scales much better with the number of scenarios.

Joint Uplink/Downlink Sub-Channel, Bit and Time Allocation for Multi-Access Edge Computing

We consider an orthogonal frequency division multiple access (OFDMA)-based Multi-access Edge Computing (MEC) system, consisting of one serving node and multiple users each with an inelastic computation task of a non-negligible task processing duration and a non-negligible computation result size. A joint uplink/downlink sub-channel, bit and time allocation problem is investigated to minimize the energy consumption, which happens to be a very challenging non-convex mixed integer nonlinear programming (MINLP) problem. We equivalently convert it into a convex MINLP problem by using the McCormick envelope, and develop two low-complexity algorithms to obtain two suboptimal solutions. Specifically, one is based on continuous relaxation with greedy rounding and the other one bases on penalty convex–concave procedure. Simulation results show the advantages of our suboptimal solutions.

Improving the performance of DICOPT in convex MINLP problems using a feasibility pump

ABSTRACTThe solver DICOPT is based on the outer-approximation algorithm used for solving mixed-integer nonlinear programming (MINLP) problems. This algorithm is very effective for solving some types of convex MINLPs. However, it has been observed that DICOPT has difficulties solving instances in which some of the nonlinear constraints are so restrictive that nonlinear subproblems generated by the algorithm are infeasible. This problem is addressed in this paper with a feasibility pump algorithm, which modifies the objective function in order to efficiently find feasible solutions. It has been implemented as a preprocessing algorithm, which is used to initialize both the incumbent and the mixed-integer linear relaxation of the outer-approximation algorithm. Computational comparisons with previous versions of DICOPT on a set of convex MINLPs demonstrate the effectiveness of the proposed algorithm in terms of solution quality and solution time.

Using regularization and second order information in outer approximation for convex MINLP

In this paper, we present two new methods for solving convex mixed-integer nonlinear programming problems based on the outer approximation method. The first method is inspired by the level method and uses a regularization technique to reduce the step size when choosing new integer combinations. The second method combines ideas from both the level method and the sequential quadratic programming technique and uses a second order approximation of the Lagrangean when choosing the new integer combinations. The main idea behind the methods is to choose the integer combination more carefully at each iteration, in order to obtain the optimal solution in fewer iterations compared to the original outer approximation method. We prove rigorously that both methods will find and verify the optimal solution in a finite number of iterations. Furthermore, we present a numerical comparison of the methods based on 109 test problems to illustrate their advantages.

A center-cut algorithm for quickly obtaining feasible solutions and solving convex MINLP problems

Here we present a center-cut algorithm for convex mixed-integer nonlinear programming (MINLP) that can either be used as a primal heuristic or as a deterministic solution technique. Like several other algorithms for convex MINLP, the center-cut algorithm constructs a linear approximation of the original problem. The main idea of the algorithm is to use the linear approximation differently in order to find feasible solutions within only a few iterations. The algorithm chooses trial solutions as the center of the current linear outer approximation of the nonlinear constraints, making the trial solutions more likely to satisfy the constraints. The ability to find feasible solutions within only a few iterations makes the algorithm well suited as a primal heuristic, and we prove that the algorithm finds the optimal solution within a finite number of iterations. Numerical results show that the algorithm obtains feasible solutions quickly and is able to obtain good solutions.

On solving generalized convex MINLP problems using supporting hyperplane techniques

Solution methods for convex mixed integer nonlinear programming (MINLP) problems have, usually, proven convergence properties if the functions involved are differentiable and convex. For other classes of convex MINLP problems fewer results have been given. Classical differential calculus can, though, be generalized to more general classes of functions than differentiable, via subdifferentials and subgradients. In addition, more general than convex functions can be included in a convex problem if the functions involved are defined from convex level sets, instead of being defined as convex functions only. The notion generalized convex, used in the heading of this paper, refers to such additional properties. The generalization for the differentiability is made by using subgradients of Clarke’s subdifferential. Thus, all the functions in the problem are assumed to be locally Lipschitz continuous. The generalization of the functions is done by considering quasiconvex functions. Thus, instead of differentiable convex functions, nondifferentiable \(f^{\circ }\)-quasiconvex functions can be included in the actual problem formulation and a supporting hyperplane approach is given for the solution of the considered MINLP problem. Convergence to a global minimum is proved for the algorithm, when minimizing an \(f^{\circ }\)-pseudoconvex function, subject to \(f^{\circ }\)-pseudoconvex constraints. With some additional conditions, the proof is also valid for \(f^{\circ }\)-quasiconvex functions, which sums up the properties of the method, treated in the paper. The main contribution in this paper is the generalization of the Extended Supporting Hyperplane method in Eronen et al. (J Glob Optim 69(2):443–459, 2017) to also solve problems with \(f^{\circ }\)-pseudoconvex objective function.

Outer-approximation algorithms for nonsmooth convex MINLP problems

In this work, we combine outer-approximation (OA) and bundle method algorithms for dealing with mixed-integer non-linear programming (MINLP) problems with nonsmooth convex objective and constraint functions. As the convergence analysis of OA methods relies strongly on the differentiability of the involved functions, OA algorithms may fail to solve general nonsmooth convex MINLP problems. In order to obtain OA algorithms that are convergent regardless the structure of the convex functions, we solve the underlying OA’s non-linear subproblems by a specialized bundle method that provides necessary information to cut off previously visited (non-optimal) integer points. This property is crucial for proving (finite) convergence of OA algorithms. We illustrate the numerical performance of the given proposal on a class of hybrid robust and chance-constrained problems that involve a random variable with finite support.

The extended supporting hyperplane algorithm for convex mixed-integer nonlinear programming

A new deterministic algorithm for solving convex mixed-integer nonlinear programming (MINLP) problems is presented in this paper: The extended supporting hyperplane (ESH) algorithm uses supporting hyperplanes to generate a tight overestimated polyhedral set of the feasible set defined by linear and nonlinear constraints. A sequence of linear or quadratic integer-relaxed subproblems are first solved to rapidly generate a tight linear relaxation of the original MINLP problem. After an initial overestimated set has been obtained the algorithm solves a sequence of mixed-integer linear programming or mixed-integer quadratic programming subproblems and refines the overestimated set by generating more supporting hyperplanes in each iteration. Compared to the extended cutting plane algorithm ESH generates a tighter overestimated set and unlike outer approximation the generation point for the supporting hyperplanes is found by a simple line search procedure. In this paper it is proven that the ESH algorithm converges to a global optimum for convex MINLP problems. The ESH algorithm is implemented as the supporting hyperplane optimization toolkit (SHOT) solver, and an extensive numerical comparison of its performance against other state-of-the-art MINLP solvers is presented.

Outer Approximation Algorithm for One Class of Convex Mixed-Integer Nonlinear Programming Problems with Partial Differentiability

In this paper, we mainly study one convex mixed-integer nonlinear programming problem with partial differentiability and establish one outer approximation algorithm for solving this problem. With the help of subgradients, we use the outer approximation method to reformulate this convex problem as one equivalent mixed-integer linear program and construct an algorithm for finding optimal solutions. The result on finite steps convergence of the algorithm is also presented.

Convex mixed integer nonlinear programming problems and an outer approximation algorithm

In this paper, we mainly study one class of convex mixed-integer nonlinear programming problems (MINLPs) with non-differentiable data. By dropping the differentiability assumption, we substitute gradients with subgradients obtained from KKT conditions, and use the outer approximation method to reformulate convex MINLP as one equivalent MILP master program. By solving a finite sequence of subproblems and relaxed MILP problems, we establish an outer approximation algorithm to find the optimal solution of this convex MINLP. The convergence of this algorithm is also presented. The work of this paper generalizes and extends the outer approximation method in the sense of dealing with convex MINLPs from differentiable case to non-differentiable one.

A deterministic global approach for mixed-discrete structural optimization

This study proposes a novel approach for finding the exact global optimum of a mixed-discrete structural optimization problem. Although many approaches have been developed to solve the mixed-discrete structural optimization problem, they cannot guarantee finding a global solution or they adopt too many extra binary variables and constraints in reformulating the problem. The proposed deterministic method uses convexification strategies and linearization techniques to convert a structural optimization problem into a convex mixed-integer nonlinear programming problem solvable to obtain a global optimum. To enhance the computational efficiency in treating complicated problems, the range reduction technique is also applied to tighten variable bounds. Several numerical experiments drawn from practical structural design problems are presented to demonstrate the effectiveness of the proposed method.

Design Optimization of a Speed Reducer Using Deterministic Techniques

The optimal design problem of minimizing the total weight of a speed reducer under constraints is a generalized geometric programming problem. Since the metaheuristic approaches cannot guarantee to find the global optimum of a generalized geometric programming problem, this paper applies an efficient deterministic approach to globally solve speed reducer design problems. The original problem is converted by variable transformations and piecewise linearization techniques. The reformulated problem is a convex mixed-integer nonlinear programming problem solvable to reach an approximate global solution within an acceptable error. Experiment results from solving a practical speed reducer design problem indicate that this study obtains a better solution comparing with the other existing methods.

Optimization of Supply Chain Systems with Price Elasticity of Demand

A centralized multiechelon, multiproduct supply chain network is presented in a multiperiod setting with products that show varying demand against price. An important consideration in such complex supply chains is to maintain system performance at high levels for varying demands that may be sensitive to product price. To examine the price-centric behavior of the customers, the concept of price elasticity of demand is addressed. The proposed approach includes many realistic features of typical supply chain systems such as production planning and scheduling, inventory management, transportation delay, transportation cost, and transportation limits. In addition, the proposed system can be extended to meet unsatisfied demand in future periods by backordering. Effects of the elasticity in price demand in production and inventory decisions are also examined. The supply chain model is formulated as a convex mixed-integer nonlinear programming problem. Reformulations are presented to make the problem tractable. The differential equations are reformulated as difference equations, and unbounded derivatives in the nonlinear objective function are handled with an approximation, with guaranteed bounds on the loss of optimality. The approach is illustrated on a multiechelon, multiproduct supply chain network.

Range reduction techniques for improving computational efficiency in global optimization of signomial geometric programming problems

Many global optimization approaches for solving signomial geometric programming problems are based on transformation techniques and piecewise linear approximations of the inverse transformations. Since using numerous break points in the linearization process leads to a significant increase in the computational burden for solving the reformulated problem, this study integrates the range reduction techniques in a global optimization algorithm for signomial geometric programming to improve computational efficiency. In the proposed algorithm, the non-convex geometric programming problem is first converted into a convex mixed-integer nonlinear programming problem by convexification and piecewise linearization techniques. Then, an optimization-based approach is used to reduce the range of each variable. Tightening variable bounds iteratively allows the proposed method to reach an approximate solution within an acceptable error by using fewer break points in the linearization process, therefore decreasing the required CPU time. Several numerical experiments are presented to demonstrate the advantages of the proposed method in terms of both computational efficiency and solution quality.

Finding multiple optimal solutions of signomial discrete programming problems with free variables

With the increasing reliance on mathematical programming based approaches in various fields, signomial discrete programming (SDP) problems occur frequently in real applications. Since free variables are often introduced to model problems and alternative optima are practical for decision making among multiple strategies, this paper proposes a generalized method to find multiple optimal solutions of SDP problems with free variables. By means of variable substitution and convexification strategies, an SDP problem with free variables is first converted into another convex mixed-integer nonlinear programming problem solvable to obtain an exactly global optimum. Then a general cut is utilized to exclude the previous solution and an algorithm is developed to locate all alternative optimal solutions. Finally, several illustrative examples are presented to demonstrate the effectiveness of the proposed approach.

Global solution of optimization problems with signomial parts

In this paper a new approach for the global solution of nonconvex MINLP (Mixed Integer NonLinear Programming) problems that contain signomial (generalized geometric) expressions is proposed and illustrated. By applying different variable transformation techniques and a discretization scheme a lower bounding convex MINLP problem can be derived. The convexified MINLP problem can be solved with standard methods. The key element in this approach is that all transformations are applied termwise. In this way all convex parts of the problem are left unaffected by the transformations. The method is illustrated by four example problems.