Outer approximation algorithms for separable nonconvex mixed-integer nonlinear programs

  • Authors:

  • Padmanaban Kesavan;Russell J. Allgor;Edward P. Gatzke;Paul I. Barton

  • Affiliations:

  • Sensitron Semiconductors, Deer Park, NY;Amazon Com Inc., Seattle, WA;Department of Chemical Engineering;Department of Chemical Engineering

  • Venue:
  • Mathematical Programming: Series A and B
  • Year:
  • 2004

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Abstract

A rigorous decomposition approach to solve separable mixed-integer nonlinear programs where the participating functions are nonconvex is presented. The proposed algorithms consist of solving an alternating sequence of Relaxed Master Problems (mixed-integer linear program) and two nonlinear programming problems (NLPs). A sequence of valid nondecreasing lower bounds and upper bounds is generated by the algorithms which converge in a finite number of iterations. A Primal Bounding Problem is introduced, which is a convex NLP solved at each iteration to derive valid outer approximations of the nonconvex functions in the continuous space. Two decomposition algorithms are presented in this work. On finite termination, the first yields the global solution to the original nonconvex MINLP and the second finds a rigorous bound to the global solution. Convergence and optimality properties, and refinement of the algorithms for efficient implementation are presented. Finally, numerical results are compared with currently available algorithms for example problems, illuminating the potential benefits of the proposed algorithm.