Generalized McCormick relaxations

  • Authors:

  • Joseph K. Scott;Matthew D. Stuber;Paul I. Barton

  • Affiliations:

  • Department of Chemical Engineering, MIT, Cambridge, USA 02139;Department of Chemical Engineering, MIT, Cambridge, USA 02139;Department of Chemical Engineering, MIT, Cambridge, USA 02139

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2011

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Abstract

Convex and concave relaxations are used extensively in global optimization algorithms. Among the various techniques available for generating relaxations of a given function, McCormick's relaxations are attractive due to the recursive nature of their definition, which affords wide applicability and easy implementation computationally. Furthermore, these relaxations are typically stronger than those resulting from convexification or linearization procedures. This article leverages the recursive nature of McCormick's relaxations to define a generalized form which both affords a new framework within which to analyze the properties of McCormick's relaxations, and extends the applicability of McCormick's technique to challenging open problems in global optimization. Specifically, relaxations of the parametric solutions of ordinary differential equations are considered in detail, and prospects for relaxations of the parametric solutions of nonlinear algebraic equations are discussed. For the case of ODEs, a complete computational procedure for evaluating convex and concave relaxations of the parametric solutions is described. Through McCormick's composition rule, these relaxations may be used to construct relaxations for very general optimal control problems.