A Feasibility Pump for mixed integer nonlinear programs

Authors:
Pierre Bonami;Gérard Cornuéjols;Andrea Lodi;François Margot
Affiliations:
LIF, Faculté des Sciences de Luminy, 13288, Marseille, France;LIF, Faculté des Sciences de Luminy, 13288, Marseille, France and Carnegie Mellon University, Tepper School of Business, 15213, Pittsburgh, PA, USA;University of Bologna, DEIS, viale Risorgimento 2, 40136, Bologna, Italy;Carnegie Mellon University, Tepper School of Business, 15213, Pittsburgh, PA, USA
Venue:
Mathematical Programming: Series A and B
Year:
2009

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Abstract

We present an algorithm for finding a feasible solution to a convex mixed integer nonlinear program. This algorithm, called Feasibility Pump, alternates between solving nonlinear programs and mixed integer linear programs. We also discuss how the algorithm can be iterated so as to improve the first solution it finds, as well as its integration within an outer approximation scheme. We report computational results.