Symmetry-exploiting cuts for a class of mixed-0/1 second order cone programs

We will analyze mixed 0/1 second order cone programs where the fractional and binary variables are solely coupled via the conic constraints. For this special type of mixed-integer second order cone programs we devise a cutting-plane framework based on the generalized Benders cut and an implicit Sherali-Adams reformulation. We show that the resulting cuts are very effective as symmetric solutions are automatically cut off and each equivalence class of 0/1 solutions is visited at most once. Further, we present computational results showing the effectiveness of our method and briefly sketch an application in optimal pooling of securities.

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Technical Report, Technische Universit├Ąt Darmstadt, 06/2010

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