Extended Formulations in Mixed-Integer Convex Programming

We present a unifying framework for generating extended formulations for the polyhedral outer approximations used in algorithms for mixed-integer convex programming (MICP). Extended formulations lead to fewer iterations of outer approximation algorithms and generally faster solution times. First, we observe that all MICP instances from the MINLPLIB2 benchmark library are conic representable with standard symmetric and nonsymmetric cones. Conic reformulations are shown to be effective extended formulations themselves because they encode separability structure. For mixed-integer conic-representable problems, we provide the first outer approximation algorithm with finite-time convergence guarantees, opening a path for the use of conic solvers for continuous relaxations. We then connect the popular modeling framework of disciplined convex programming (DCP) to the existence of extended formulations independent of conic representability. We present evidence that our approach can yield significant gains in practice, with the solution of a number of open instances from the MINLPLIB2 benchmark library.United States. Department of Energy. Computational Science Graduate Fellowship Program (Grant DE-FG02-97ER25308)United States. National Science Foundation. (Grant CMMI-1351619

Resilient Upgrade of Electrical Distribution Grids

Modern society is critically dependent on the services provided by engineered infrastructure networks. When natural disasters (e.g. Hurricane Sandy) occur, the ability of these networks to provide service is often degraded because of physical damage to network components. One of the most critical of these networks is the electrical distribution grid, with medium voltage circuits often suffering the most severe damage. However, well-placed upgrades to these distribution grids can greatly improve post-event network performance. We formulate an optimal electrical distribution grid design problem as a two-stage, stochastic mixed-integer program with damage scenarios from natural disasters modeled as a set of stochastic events. We develop and investigate the tractability of an exact and several heuristic algorithms based on decompositions that are hybrids of techniques developed by the AI and operations research communities. We provide computational evidence that these algorithms have significant benefits when compared with commercial, mixed-integer programming software

Polyhedral approximation in mixed-integer convex optimization

Generalizing both mixed-integer linear optimization and convex optimization, mixed-integer convex optimization possesses broad modeling power but has seen relatively few advances in general-purpose solvers in recent years. In this paper, we intend to provide a broadly accessible introduction to our recent work in developing algorithms and software for this problem class. Our approach is based on constructing polyhedral outer approximations of the convex constraints, resulting in a global solution by solving a finite number of mixed-integer linear and continuous convex subproblems. The key advance we present is to strengthen the polyhedral approximations by constructing them in a higher-dimensional space. In order to automate this extended formulation we rely on the algebraic modeling technique of disciplined convex programming (DCP), and for generality and ease of implementation we use conic representations of the convex constraints. Although our framework requires a manual translation of existing models into DCP form, after performing this transformation on the MINLPLIB2 benchmark library we were able to solve a number of unsolved instances and on many other instances achieve superior performance compared with state-of-the-art solvers like Bonmin, SCIP, and Artelys Knitro.United States. Department of Energy. Computational Science Graduate Fellowship Program (grant number DE-FG02-97ER25308)United States. Department of Energy (Contract No. DE-AC52-06NA25396