论文标题
多线性程序的递归麦考密克线性化
Recursive McCormick Linearization of Multilinear Programs
论文作者
论文摘要
线性编程(LP)松弛被广泛用于多线性程序(MLP)的精确解决方案方法中。一个例子是递归麦考米克线性化(RML)策略的家族,其中双线性产品被取代用于人造变量,当与凹面和凸信信中引入时,它可以放松原始问题。在本文中,我们介绍了识别RML的第一种系统方法,其中我们专注于用少数人工变量和强LP界限的线性放松识别。我们提出了一种新的机制,用于表示所有可能的RML,我们用来设计一种精确的混合智能编程(MIP)公式,以识别最小尺寸的RML;我们表明,这个问题通常是NP-HARD,而特殊情况是固定参数可进行的。此外,我们探索公式的结构特性,以得出一个精确的MIP模型,该模型识别具有最佳弛豫结合的给定大小的RML是最佳的。我们对基准集合的数值结果表明,我们的算法的表现优于最先进的全球优化求解器中实施的RML策略。
Linear programming (LP) relaxations are widely employed in exact solution methods for multilinear programs (MLP). One example is the family of Recursive McCormick Linearization (RML) strategies, where bilinear products are substituted for artificial variables, which deliver a relaxation of the original problem when introduced together with concave and convex envelopes. In this article, we introduce the first systematic approach for identifying RMLs, in which we focus on the identification of linear relaxation with a small number of artificial variables and with strong LP bounds. We present a novel mechanism for representing all the possible RMLs, which we use to design an exact mixed-integer programming (MIP) formulation for the identification of minimum-size RMLs; we show that this problem is NP-hard in general, whereas a special case is fixed-parameter tractable. Moreover, we explore structural properties of our formulation to derive an exact MIP model that identifies RMLs of a given size with the best possible relaxation bound is optimal. Our numerical results on a collection of benchmarks indicate that our algorithms outperform the RML strategy implemented in state-of-the-art global optimization solvers.