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.
Technical Report, Technische Universität Darmstadt, 06/2010
View Symmetry-exploiting cuts for a class of mixed-0/1 second order cone programs