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Nonlinearoptimizationproblemscontainingbothcontinuousanddiscretevariables
are called mixed integer nonlinear programs (MINLP). Such problems
arise in many ?elds, such as process industry, engineering design,
communications, and ?nance. There is currently a huge gap between
MINLP and mixed integer linear programming(MIP)
solvertechnology.With a modernstate-of-the-artMIP solver
itispossibletosolvemodelswithmillionsofvariablesandconstraints,whereasthe
dimensionofsolvableMINLPsisoftenlimitedbyanumberthatissmallerbythree
or four orders of magnitude. It is theoretically possible to
approximate a general MINLP by a MIP with arbitrary precision.
However, good MIP approximations are usually much larger than the
original problem. Moreover, the approximation of nonlinear
functions by piecewise linear functions can be di?cult and ti-
consuming. In this book relaxation and decomposition methods for
solving nonconvex structured MINLPs are proposed. In particular, a
generic branch-cut-and-price (BCP) framework for MINLP is
presented. BCP is the underlying concept in almost all modern MIP
solvers. Providing a powerful decomposition framework for both
sequential and parallel solvers, it made the success of the current
MIP technology possible. So far generic BCP frameworks have been
developed only for MIP, for example,COIN/BCP (IBM, 2003) andABACUS
(OREAS GmbH, 1999). In order to generalize MIP-BCP to MINLP-BCP,
the following points have to be taken into account: * A given
(sparse) MINLP is reformulated as a block-separable program with
linear coupling constraints.The block structure makes it possible
to generate Lagrangian cuts and to apply Lagrangian heuristics. *
In order to facilitate the generation of polyhedral relaxations,
nonlinear c- vex relaxations are constructed. * The MINLP
separation and pricing subproblems for generating cuts and columns
are solved with specialized MINLP solvers.
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