Symmetry-exploiting cuts for a class of mixed-0/1 second-order cone programs |
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Institution: | 1. MathWorks Consulting Services, Germany;2. ISyE, Georgia Institute of Technology, Atlanta, USA |
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Abstract: | We will analyze mixed-0/1 second-order cone programs where the continuous and binary variables are solely coupled via the conic constraints. We devise a cutting-plane framework based on an implicit Sherali–Adams reformulation. The resulting cuts are very effective as symmetric solutions are automatically cut off and each equivalence class of 0/1 solutions is visited at most once. Further, we present computational results showing the effectiveness of our method and briefly sketch an application in optimal pooling of securities. |
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Keywords: | Mixed-integer nonlinear programming Cutting planes Second order cone programming Outer approximation |
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