A Comparison of Mixed-Integer Programming Models for Nonconvex Piecewise Linear Cost Minimization Problems

  • Authors:
  • Keely L. Croxton;Bernard Gendron;Thomas L. Magnanti

  • Affiliations:
  • -;-;-

  • Venue:
  • Management Science
  • Year:
  • 2003

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Abstract

We study a generic minimization problem with separable nonconvex piecewise linear costs, showing that the linear programming (LP) relaxation of three textbook mixed-integer programming formulations each approximates the cost function by its lower convex envelope. We also show a relationship between this result and classical Lagrangian duality theory.