Duality for mixed-integer convex minimization

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Abstract: We extend in two ways the standard Karush-Kuhn-Tucker optimality conditions to problems with a convex objective, convex functional constraints, and the extra requirement that some of the variables must be integral. While the standard Karush-Kuhn-Tucker conditions involve separating hyperplanes, our extension is based on lattice-free polyhedra. Our optimality conditions allow us to define an exact dual of our original mixed-integer convex problem.


This paper studies duality in a combinatorial optimization problem with convex objective, convex constraints and the requirement that some of the variables are integer. In particular, this work extends the standard Karush-Kuhn-Tucker conditions so that it involves mixed integer-free polyhedra instead of separating hyperplanes. The authors begin with an overview of duality and previous attempts to extend the standard conditions followed by a presentation of mixed integer optimality certificates which are used for the proposed extension. The last sections of the article present the case of mixed integer convex dual programs and a technical appendix containing the details of some of the proofs of the presented theorems.











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