A special ordered set approach for optimizing a discontinuous separable piecewise linear function

Authors:
I. R. De Farias, Jr.;M. Zhao;H. Zhao
Affiliations:
Department of Industrial and Systems Engineering, State University of New York, University at Buffalo, 403 Bell Hall, Buffalo, NY 14260, USA;Department of Industrial and Systems Engineering, State University of New York, University at Buffalo, 403 Bell Hall, Buffalo, NY 14260, USA;Department of Industrial and Systems Engineering, State University of New York, University at Buffalo, 403 Bell Hall, Buffalo, NY 14260, USA
Venue:
Operations Research Letters
Year:
2008

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Abstract

We give a special ordered set (SOS) approach that optimizes a discontinuous separable piecewise linear function, even when a mixed-integer programming (MIP) model is not available for it. When a MIP model is available, our SOS model gives a linear programming relaxation bound that is as good as the MIPs.