Convex Mixed-Integer Nonlinear Programs Derived from Generalized Disjunctive Programming using Cones

TL;DR

This paper introduces a conic reformulation framework for convex generalized disjunctive programming, enabling more efficient solutions via conic solvers and extending applicability to various fields.

Contribution

It develops a systematic way to reformulate convex GDP problems into conic mixed-integer programs using big-M and hull reformulations, avoiding approximations and leveraging conic structures.

Findings

Conic reformulations improve solution efficiency for convex GDP problems.

The approach applies to diverse applications including engineering and machine learning.

Numerical experiments demonstrate computational advantages over traditional methods.

Abstract

We propose the formulation of convex Generalized Disjunctive Programming (GDP) problems using conic inequalities leading to conic GDP problems. We then show the reformulation of conic GDPs into Mixed-Integer Conic Programming (MICP) problems through both the big-M and hull reformulations. These reformulations have the advantage that they are representable using the same cones as the original conic GDP. In the case of the hull reformulation, they require no approximation of the perspective function. Moreover, the MICP problems derived can be solved by specialized conic solvers and offer a natural extended formulation amenable to both conic and gradient-based solvers. We present the closed form of several convex functions and their respective perspectives in conic sets, allowing users to formulate their conic GDP problems easily. We finally implement a large set of conic GDP examples and solve them via the scalar nonlinear and conic mixed-integer reformulations. These examples include applications from Process Systems Engineering, Machine learning, and randomly generated instances. Our results show that the conic structure can be exploited to solve these challenging MICP problems more efficiently. Our main contribution is providing the reformulations, examples, and computational results that support the claim that taking advantage of conic formulations of convex GDP instead of their nonlinear algebraic descriptions can lead to a more efficient solution to these problems.