Sequential pairing of mixed integer inequalities

Sequential pairing of mixed integer inequalities

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Article ID: iaor20073110
Country: Netherlands
Volume: 4
Issue: 1
Start Page Number: 21
End Page Number: 39
Publication Date: Mar 2007
Journal: Discrete Optimization
Authors: , ,
Abstract:

We investigate a scheme, called pairing, for generating new valid inequalities for mixed integer programs by taking pairwise combinations of existing valid inequalities. The pairing scheme essentially produces a split cut corresponding to a specific disjunction, and can also be derived through the mixed integer rounding procedure. The scheme is in general sequence-dependent and therefore leads to an exponential number of inequalities. For some important cases, we identify combination sequences that lead to a manageable set of non-dominated inequalities. We illustrate the framework for some deterministic and stochastic integer programs and we present computational results showing the efficiency of adding the new generated inequalities as cuts.

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