Constraint qualification failure in action

This note presents a theoretical analysis of disjunctive constraints featuring unbounded variables. In this framework, classical modeling techniques, including big-M approaches, are not applicable. We introduce a lifted second-order cone formulation of such on/off constraints and discuss related constraint qualification issues. A solution is proposed to avoid solvers' failure.Financial support by grants: Digiteo Emergence ‘‘PASO’’, Digiteo Chair 2009-14D ‘‘RMNCCO’’, Digiteo Emergence 2009-55D ‘‘ARM’’ is gratefully acknowledged

Convex Relaxations for Gas Expansion Planning

Expansion of natural gas networks is a critical process involving substantial capital expenditures with complex decision-support requirements. Given the non-convex nature of gas transmission constraints, global optimality and infeasibility guarantees can only be offered by global optimisation approaches. Unfortunately, state-of-the-art global optimisation solvers are unable to scale up to real-world size instances. In this study, we present a convex mixed-integer second-order cone relaxation for the gas expansion planning problem under steady-state conditions. The underlying model offers tight lower bounds with high computational efficiency. In addition, the optimal solution of the relaxation can often be used to derive high-quality solutions to the original problem, leading to provably tight optimality gaps and, in some cases, global optimal soluutions. The convex relaxation is based on a few key ideas, including the introduction of flux direction variables, exact McCormick relaxations, on/off constraints, and integer cuts. Numerical experiments are conducted on the traditional Belgian gas network, as well as other real larger networks. The results demonstrate both the accuracy and computational speed of the relaxation and its ability to produce high-quality solutions

Between steps: Intermediate relaxations between big-M and convex hull formulations

This work develops a class of relaxations in between the big-M and convex hull formulations of disjunctions, drawing advantages from both. The proposed "P-split" formulations split convex additively separable constraints into P partitions and form the convex hull of the partitioned disjuncts. Parameter P represents the trade-off of model size vs. relaxation strength. We examine the novel formulations and prove that, under certain assumptions, the relaxations form a hierarchy starting from a big-M equivalent and converging to the convex hull. We computationally compare the proposed formulations to big-M and convex hull formulations on a test set including: K-means clustering, P_ball problems, and ReLU neural networks. The computational results show that the intermediate P-split formulations can form strong outer approximations of the convex hull with fewer variables and constraints than the extended convex hull formulations, giving significant computational advantages over both the big-M and convex hull

Compact extended formulations for low-rank functions with indicator variables

We study the mixed-integer epigraph of a low-rank convex function with non-convex indicator constraints, which are often used to impose logical constraints on the support of the solutions. Extended formulations describing the convex hull of such sets can easily be constructed via disjunctive programming, although a direct application of this method often yields prohibitively large formulations, whose size is exponential in the number of variables. In this paper, we propose a new disjunctive representation of the sets under study, which leads to compact formulations with size exponential in the rank of the function, but polynomial in the number of variables. Moreover, we show how to project out the additional variables for the case of rank-one functions, recovering or generalizing known results for the convex hulls of such sets (in the original space of variables)

Penalty and relaxation methods for the optimal placement and operation of control valves in water supply networks

In this paper, we investigate the application of penalty and relaxation methods to the problem of optimal placement and operation of control valves in water supply networks, where the minimization of average zone pressure is the objective. The optimization framework considers both the location and settings of control valves as decision variables. Hydraulic conservation laws are enforced as nonlinear constraints and binary variables are used to model the placement of control valves, resulting in a mixed-integer nonlinear program. We review and discuss theoretical and algorithmic properties of two solution approaches. These include penalty and relaxation methods that solve a sequence of nonlinear programs whose stationary points converge to a stationary point of the original mixed-integer program. We implement and evaluate the algorithms using a benchmarking water supply network. In addition, the performance of different update strategies for the penalty and relaxation parameters are investigated under multiple initial conditions. Practical recommendations on the numerical implementation are provided