Generalized Nash equilibrium problems with mixed-integer variables constitute an important class of games in which each player solves a mixed-integer optimization problem, where both the objective and the feasible set is parameterized by the rivals’ strategies. However, such games are known for failing to admit exact equilibria and also the assumption of all players being … Read more
We investigate mixed-integer second-order conic (SOC) sets with a nonlinear right-hand side in the SOC constraint, a structure frequently arising in mixed-integer quadratically constrained programming (MIQCP). Under mild assumptions, we show that the convex hull can be exactly described by replacing the right-hand side with its concave envelope. This characterization enables strong relaxations for MIQCPs … Read more
For mixed-integer programs (MIPs), strong branching is a highly effective variable selection method to reduce the number of nodes in the branch-and-bound algorithm. Extending it to nonlinear problems is conceptually simple but practically limited. Branching on a binary variable fixes the variable to 0 or 1, whereas branching on a continuous variable requires an additional … Read more
This paper introduces a generalized isotonic optimization framework over an arborescence graph, where each node incurs state-dependent convex costs and a fixed cost upon strict increases. We begin with the special case in which the arborescence is a path and develop a dynamic programming (DP) algorithm with an initial complexity of $O(n^3)$, which we improve … Read more
We consider the problem of minimizing a sparse nonconvex quadratic function over the unit hypercube. By developing an extension of the Reformulation Linearization Technique (RLT) to continuous quadratic sets, we propose a novel second-order cone (SOC) representable relaxation for this problem. By exploiting the sparsity of the quadratic function, we establish a sufficient condition under … Read more
We present the architecture and central parts of the FICO Xpress Global optimization solver. In particular, we focus on how we built a global solver for the general class of mixed-integer nonlinear optimization problems by combining and extending two existing components of the FICO Xpress Solver, namely the mixed-integer linear optimization solver and the successive … Read more
This paper introduces a novel algorithm for Mixed-Integer Nonlinear Programming (MINLP) problems with multilinear interpolations of look-up tables. These problems arise when objectives or constraints contain black-box functions only known at a finite set of evaluations on a predefined grid. We derive a piecewise-linear relaxation for the multilinear interpolants, which require an MINLP formulation. Supported … Read more
Security-constrained unit commitment with alternating current optimal power flow (SCUC-ACOPF) is a central problem in power grid operations that optimizes commitment and dispatch of generators under a physically accurate power transmission model while encouraging robustness against component failures. SCUC-ACOPF requires solving large-scale problems that involve multiple time periods and networks with thousands of buses within … Read more
Optimization problems with norm-bounding constraints appear in various applications, from portfolio optimization to machine learning, feature selection, and beyond. A widely used variant of these problems relaxes the norm-bounding constraint through Lagrangian relaxation and moves it to the objective function as a form of penalty or regularization term. A challenging class of these models uses … Read more
Multiobjective binary quadratic programming refers to optimization problems involving multiple quadratic – potentially non-convex – objective functions and a feasible set that includes binary constraints on the variables. In this paper, we extend the well-established Quadratic Convex Reformulation technique, originally developed for single-objective binary quadratic programs, to the multiobjective setting. We propose a branch-and-bound algorithm … Read more