Mixed-integer nonlinear optimization. (English) Zbl 1291.65172

Belotti, Pietro; Kirches, Christian; Leyffer, Sven; Linderoth, Jeff; Luedtke, James; Mahajan, Ashutosh

Acta Numerica 22, 1-131 (2013).

Summary: Many optimal decision problems in scientific, engineering, and public sector applications involve both discrete decisions and nonlinear system dynamics that affect the quality of the final design or plan. These decision problems lead to mixed-integer nonlinear programming (MINLP) problems that combine the combinatorial difficulty of optimizing over discrete variable sets with the challenges of handling nonlinear functions. We review models and applications of MINLP, and survey the state of the art in methods for solving this challenging class of problems.
Most solution methods for MINLP apply some form of tree search. We distinguish two broad classes of methods: single-tree and multitree methods. We discuss these two classes of methods first in the case where the underlying problem functions are convex. Classical single-tree methods include nonlinear branch-and-bound and branch-and-cut methods, while classical multitree methods include outer approximation and Benders decomposition. The most efficient class of methods for convex MINLP are hybrid methods that combine the strengths of both classes of classical techniques.
Non-convex MINLPs pose additional challenges, because they contain non-convex functions in the objective function or the constraints; hence even when the integer variables are relaxed to be continuous, the feasible region is generally non-convex, resulting in many local minima. We discuss a range of approaches for tackling this challenging class of problems, including piecewise linear approximations, generic strategies for obtaining convex relaxations for non-convex functions, spatial branch-and-bound methods, and a small sample of techniques that exploit particular types of non-convex structures to obtain improved convex relaxations.
We finish our survey with a brief discussion of three important aspects of MINLP. First, we review heuristic techniques that can obtain good feasible solution in situations where the search-tree has grown too large or we require real-time solutions. Second, we describe an emerging area of mixed-integer optimal control that adds systems of ordinary differential equations to MINLP. Third, we survey the state of the art in software for MINLP.

MSC:

65K05	Numerical mathematical programming methods
65-02	Research exposition (monographs, survey articles) pertaining to numerical analysis
90-02	Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming
90C30	Nonlinear programming
90C11	Mixed integer programming
90C57	Polyhedral combinatorics, branch-and-bound, branch-and-cut
49J15	Existence theories for optimal control problems involving ordinary differential equations
49M37	Numerical methods based on nonlinear programming
90C59	Approximation methods and heuristics in mathematical programming

Keywords:

research survey; algorithm; numerical example; mixed-integer nonlinear programming; single-tree and multitree methods; branch-and-bound; branch-and-cut; heuristic technique; optimal control