We present a scheme for generating new valid inequalities for mixed integer programs by taking pair-wise combinations of existing valid inequalities. Our scheme is related to mixed integer rounding and mixing. The scheme is in general sequence-dependent and therefore leads to an exponential number of inequalities. For some important cases, we identify combination sequences that lead to a manageable set of non dominated inequalities. We illustrate the framework for some deterministic and stochastic integer programs and we present computational results which show the efficiency of adding the new generated inequalities as cuts.
Citation
Technical report, School of Industrial & Systems Engineering, Georgia Institute of Technology, 2004.