Global optimization of multi-parametric MILP problems

  • Authors:
  • N. P. Faísca;V. D. Kosmidis;B. Rustem;E. N. Pistikopoulos

  • Affiliations:
  • Centre for Process Systems Engineering, Imperial College London, London, UK SW7 2AZ;EDF Trading Markets Limited, London, UK WC1V 6ED;Centre for Process Systems Engineering, Imperial College London, London, UK SW7 2AZ;Centre for Process Systems Engineering, Imperial College London, London, UK SW7 2AZ

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2009

Quantified Score

Hi-index 0.00

Visualization

Abstract

In this paper, we present a novel global optimisation approach for the general solution of multi-parametric mixed integer linear programs (mp-MILPs). We describe an optimisation procedure which iterates between a (master) mixed integer nonlinear program and a (slave) multi-parametric program. Moreover, we explain how to overcome the presence of bilinearities, responsible for the non-convexity of the multi-parametric program, in two classes of mp-MILPs, with (i) varying parameters in the objective function and (ii) simultaneous presence of varying parameters in the objective function and the right-hand side of the constraints. Examples are provided to illustrate the solution steps.