A joint decomposition method for global optimization of multiscenario nonconvex mixed-integer nonlinear programs
From MaRDI portal
Publication:2010085
DOI10.1007/S10898-019-00786-XzbMATH Open1432.90092arXiv1802.07342OpenAlexW2963548325MaRDI QIDQ2010085FDOQ2010085
Authors: Emmanuel Ogbe, Xiang Li 
Publication date: 3 December 2019
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: This paper proposes a joint decomposition method that combines La- grangian decomposition and generalized Benders decomposition, to efficiently solve multiscenario nonconvex mixed-integer nonlinear programming (MINLP) problems to global optimality, without the need for explicit branch and bound search. In this approach, we view the variables coupling the scenario dependent variables and those causing nonconvexity as complicating variables. We systemat- ically solve the Lagrangian decomposition subproblems and the generalized Ben- ders decomposition subproblems in a unified framework. The method requires the solution of a difficult relaxed master problem, but the problem is only solved when necessary. Enhancements to the method are made to reduce the number of the relaxed master problems to be solved and ease the solution of each relaxed master problem. We consider two scenario-based, two-stage stochastic nonconvex MINLP problems that arise from integrated design and operation of process net- works in the case study, and we show that the proposed method can solve the two problems significantly faster than state-of-the-art global optimization solvers.
Full work available at URL: https://arxiv.org/abs/1802.07342
Recommendations
- A lagrangean based branch-and-cut algorithm for global optimization of nonconvex mixed-integer nonlinear programs with decomposable structures
- A Global-Optimization Algorithm for Mixed-Integer Nonlinear Programs Having Separable Non-convexity
- On a decomposition method for nonconvex global optimization
- The decomposition-based outer approximation algorithm for convex mixed-integer nonlinear programming
- scientific article; zbMATH DE number 5630592
- Global optimization of mixed-integer nonlinear programs: a theoretical and computational study
- A global optimization method for nonconvex separable programming problems
- Multi-Tree Decomposition Methods for Large-Scale Mixed Integer Nonlinear Optimization
- A decomposition-based solution method for stochastic mixed integer nonlinear programs
- Nonconvex generalized Benders decomposition for stochastic separable mixed-integer nonlinear programs
global optimizationstochastic programmingmixed integer nonlinear programmingDantzig-Wolfe decompositiongeneralized Benders decompositionLagrangian decompositionjoint decomposition
Cites Work
- CONOPT—A Large-Scale GRG Code
- SCIP: solving constraint integer programs
- Partitioning procedures for solving mixed-variables programming problems
- A branch-and-bound method for discretely-constrained mathematical programs with equilibrium constraints
- Title not available (Why is that?)
- A multicut algorithm for two-stage stochastic linear programs
- Dual decomposition in stochastic integer programming
- Generalized Benders decomposition
- Branch-and-price: Column generation for solving huge integer programs
- The Lagrangian Relaxation Method for Solving Integer Programming Problems
- Introduction to Stochastic Programming
- Validation of subgradient optimization
- An Algorithm for Separable Nonconvex Programming Problems
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Handbook of test problems in local and global optimization
- ANTIGONE: algorithms for coNTinuous/Integer global optimization of nonlinear equations
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- A branch and contract algorithm for problems with concave univariate, bilinear and linear fractional terms
- Global optimization of mixed-integer nonlinear programs: a theoretical and computational study
- A branch-and-reduce approach to global optimization
- Mean value cross decomposition applied to integer programming problems
- A cross-decomposition scheme with integrated primal-dual multi-cuts for two-stage stochastic programming investment planning problems
- Lagrangean decomposition: A model yielding stronger lagrangean bounds
- Cross decomposition for mixed integer programming
- On the convergence of cross decomposition
- A lagrangean based branch-and-cut algorithm for global optimization of nonconvex mixed-integer nonlinear programs with decomposable structures
- Title not available (Why is that?)
- Construction of convex relaxations using automated code generation techniques
- Optimal design of mixed AC-DC distribution systems for commercial buildings: a nonconvex generalized Benders decomposition approach
- A Cross Decomposition Algorithm for Capacitated Facility Location
- Solving an Electricity Generating Capacity Expansion Planning Problem by Generalized Benders' Decomposition
- A framework for globally optimizing mixed-integer signomial programs
- Nonconvex generalized Benders decomposition for stochastic separable mixed-integer nonlinear programs
- A Proximal‐Projection Bundle Method for Lagrangian Relaxation, Including Semidefinite Programming
- An Algorithm for Separable Nonconvex Programming Problems II: Nonconvex Constraints
- A new cross decomposition method for stochastic mixed-integer linear programming
Cited In (7)
- Non-convex nested Benders decomposition
- A lagrangean based branch-and-cut algorithm for global optimization of nonconvex mixed-integer nonlinear programs with decomposable structures
- Multi-Tree Decomposition Methods for Large-Scale Mixed Integer Nonlinear Optimization
- Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation
- A generalized Benders decomposition-based branch and cut algorithm for two-stage stochastic programs with nonconvex constraints and mixed-binary first and second stage variables
- Nonconvex sensitivity-based generalized Benders decomposition
- Solving a class of two-stage stochastic nonlinear integer programs using value functions
Uses Software
This page was built for publication: A joint decomposition method for global optimization of multiscenario nonconvex mixed-integer nonlinear programs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010085)
