Dissecting the duality gap: the supporting hyperplane interpretation revisited

We revisit the classic supporting hyperplane illustration of the duality gap for non-convex optimization problems. It is refined by dissecting the duality gap into two terms: the first measures the degree of near-optimality in a Lagrangian relaxation, while the second measures the degree of near-complementarity in the Lagrangian relaxed constraints. We also give an example of how this dissection may be exploited in the design of a solution approach within discrete optimization.

Polyhedral approximation strategies for nonconvex mixed-integer nonlinear programming in SHOT

Different versions of polyhedral outer approximation are used by many algorithms for mixed-integer nonlinear programming (MINLP). While it has been demonstrated that such methods work well for convex MINLP, extending them to solve nonconvex problems has traditionally been challenging. The Supporting Hyperplane Optimization Toolkit (SHOT) is a solver based on polyhedral approximations of the nonlinear feasible set of MINLP problems. SHOT is an open source COIN-OR project, and is currently one of the most efficient global solvers for convex MINLP. In this paper, we discuss some extensions to SHOT that significantly extend its applicability to nonconvex problems. The functionality include utilizing convexity detection for selecting the nonlinearities to linearize, lifting reformulations for special classes of functions, feasibility relaxations for infeasible subproblems and adding objective cuts to force the search for better feasible solutions. This functionality is not unique to SHOT, but can be implemented in other similar methods as well. In addition to discussing the new nonconvex functionality of SHOT, an extensive benchmark of deterministic solvers for nonconvex MINLP is performed that provides a snapshot of the current state of nonconvex MINLP.