Mixed Integer Linear Programming Formulation Techniques

A wide range of problems can be modeled as Mixed Integer Linear Programming (MIP) problems using standard formulation techniques. However, in some cases the resulting MIP can be either too weak or too large to be effectively solved by state of the art solvers. In this survey we review advanced MIP formulation techniques that result in stronger and/or smaller formulations for a wide class of problems

Mixed-integer convex representability

Motivated by recent advances in solution methods for mixed-integer convex optimization (MICP), we study the fundamental and open question of which sets can be represented exactly as feasible regions of MICP problems. We establish several results in this direction, including the first complete characterization for the mixed-binary case and a simple necessary condition for the general case. We use the latter to derive the first non-representability results for various non-convex sets such as the set of rank-1 matrices and the set of prime numbers. Finally, in correspondence with the seminal work on mixed-integer linear representability by Jeroslow and Lowe, we study the representability question under rationality assumptions. Under these rationality assumptions, we establish that representable sets obey strong regularity properties such as periodicity, and we provide a complete characterization of representable subsets of the natural numbers and of representable compact sets. Interestingly, in the case of subsets of natural numbers, our results provide a clear separation between the mathematical modeling power of mixed-integer linear and mixed-integer convex optimization. In the case of compact sets, our results imply that using unbounded integer variables is necessary only for modeling unbounded sets

Small and strong formulations for unions of convex sets from the Cayley embedding

There is often a significant trade-off between formulation strength and size in mixed integer programming (MIP). When modelling convex disjunctive constraints (e.g. unions of convex sets) this trade-off can be resolved by adding auxiliary continuous variables. However, adding these variables can result in a deterioration of the computational effectiveness of the formulation. For this reason, there has been considerable interest in constructing strong formulations that do not use continuous auxiliary variables. We introduce a technique to construct formulations without these detrimental continuous auxiliary variables. To develop this technique we introduce a natural nonpolyhedral generalization of the Cayley embedding of a family of polytopes and show it inherits many geometric properties of the original embedding. We then show how the associated formulation technique can be used to construct small and strong formulation for a wide range of disjunctive constraints. In particular, we show it can recover and generalize all known strong formulations without continuous auxiliary variables.National Science Foundation (U.S.) (grant CMMI-1351619