A Comparison of Mixed-Integer Programming Models for Non-Convex Piecewise Linear Cost Minimization Problems
Name
OR-363-02.pdf
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712.04 KB
Format
Adobe PDF
Checksum (MD5)
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Author(s)
Croxton, Keely L.
Gendon, Bernard
Magnanti, Thomas L.
Date Issued
July 2002
Publisher
Massachusetts Institute of Technology, Operations Research Center
Series/Report no.
Operations Research Center Working Paper;OR 363-02
Abstract
We study a generic minimization problem with separable non-convex piecewise linear costs, showing that the linear programming (LP) relaxation of three textbook mixed integer programming formulations each approximates the cost function by its lower convex envelope. We also show a relationship between this result and classical Lagrangian duality theory.
Subjects
piecewise-linear, integer programming, linear relaxation, Lagrangian relaxation.
MIT Department
Massachusetts Institute of Technology. Operations Research Center
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