Split cuts and extended formulations for Mixed Integer Conic Quadratic Programming
Author(s)Modaresi, Sina; Kılınç, Mustafa R.; Vielma Centeno, Juan Pablo
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We study split cuts and extended formulations for Mixed Integer Conic Quadratic Programming (MICQP) and their relation to Conic Mixed Integer Rounding (CMIR) cuts. We show that CMIR is a linear split cut for the polyhedral portion of an extended formulation of a quadratic set and it can be weaker than the nonlinear split cut of the same quadratic set. However, we also show that families of CMIRs can be significantly stronger than the associated family of nonlinear split cuts. Keywords Split cut Conic MIR Mixed Integer Conic Quadratic Programming
DepartmentSloan School of Management
Operations Research Letters
Modaresi, Sina et al. “Split Cuts and Extended Formulations for Mixed Integer Conic Quadratic Programming.” Operations Research Letters 43, 1 (January 2015): 10–15 © 2014 Elsevier B.V.