Three ideas for a feasibility pump for nonconvex MINLP

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• 作者：Pietro Belotti ; Timo Berthold
• 关键词：Feasibility Pump ; MINLP ; Hessian
• 刊名：Optimization Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：11
• 期：1
• 页码：3-15
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Optimization; Operation Research/Decision Theory; Computational Intelligence; Numerical and Computational Physics, Simulation;
• 出版者：Springer Berlin Heidelberg
• ISSN：1862-4480
• 卷排序：11

文摘

We describe an implementation of the Feasibility Pump heuristic for nonconvex MINLPs. Our implementation takes advantage of three novel techniques, which we discuss here: a hierarchy of procedures for obtaining an integer solution, a generalized definition of the distance function that takes into account the nonlinear character of the problem, and the insertion of linearization cuts for nonconvex constraints at every iteration. We implemented this new variant of the Feasibility Pump as part of the global optimization solver Couenne. We present experimental results that compare the impact of the three discussed features on the ability of the Feasibility Pump to find feasible solutions and on the solution quality.