Assume you have the problem
min v
st. |x|^3 / y^2 <= v, y>=0
A customer asked me if that can be formulated as conic quadratic problem. Indeed it can and my solution is
z^2 <= 2ty
2t <= a
a^2 <= 2 uv
z = 2u
x <= z
-x <= z
0 <= y,t,u,v
This blog is about my work at MOSEK ApS where I am the CEO, a computer programmer and tea maker.
Friday, March 19, 2010
Effective cuts for mixed integer goal programs
Assume you have the problem
min c'x + ||Fx-f||_1
st. A x = b
x binary
This is sort of a goal programming model I have seen frequently. Now the typical LP formulation is
min c'x +e'(s+t)
st. F x - f = s-t
A x = b
s,t >= 0
x binary
Note this model includes continuous variables too. At least for an application I have seen then
min c'x + ||Fx-f||_1
st. A x = b
x binary
This is sort of a goal programming model I have seen frequently. Now the typical LP formulation is
min c'x +e'(s+t)
st. F x - f = s-t
A x = b
s,t >= 0
x binary
Note this model includes continuous variables too. At least for an application I have seen then
- It easy to find a feasible solution.
- There is huge gap between the LP relaxation and the feasible solution.
- It is hard to close the gap. A huge number of nodes is required and the standard cuts works poorly.
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