For continuous decision spaces, nonlinear programs (NLPs) can be efficiently solved via sequential quadratic programming (SQP) and, more generally, sequential convex programming (SCP). These algorithms linearize only the nonlinear equality constraints and keep the outer convex structure of the problem intact, such as (conic) inequality constraints or convex objective terms. The aim of the presented sequential mixed-integer quadratic programming (MIQP) algorithm for mixed-integer nonlinear problems (MINLPs) is to extend the SQP/SCP methodology to MINLPs and leverage the availability of efficient MIQP solvers.
The algorithm employs a three-step method in each iterate: First, the MINLP is linearized at a given iterate (“linearization point”). Second, an MIQP with its feasible set restricted to a specific region around the current linearization point is formulated and solved. Third, the integer variables obtained from the MIQP solution are fixed, and only an NLP in the continuous variables is solved. The outcome of the third step is compared to previous iterates, and the best iterate so far is used as a linearization point in the next iterate. Crucially, the objective values and derivatives from all previous iterates are used to formulate the polyhedral region in the second step. The linear inequalities that define the region build on concepts from generalized Benders’ decomposition (GBD) for MINLPs. Although the presented MINLP algorithm is a heuristic method without any global optimality guarantee, it converges to the exact integer solution when applied to convex MINLP with a linear outer structure.
The conducted numerical experiments demonstrate that the proposed algorithm is competitive with other open-source solvers for MINLP. Finally, we utilize the proposed algorithm to solve two mixed-integer optimal control problems (MIOCPs) transcribed into MINLPs via direct methods. By approximately solving such problems we aim to demonstrate that the presented algorithm can effectively deal with nonlinear equality constraints, a major hurdle for generic MINLP solvers.