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On mathematical programming with indicator constraints

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Abstract

In this paper we review the relevant literature on mathematical optimization with logical implications, i.e., where constraints can be either active or disabled depending on logical conditions to hold. In the case of convex functions, the theory of disjunctive programming allows one to formulate these logical implications as convex nonlinear programming problems in a space of variables lifted with respect to its original dimension. We concentrate on the attempt of avoiding the issue of dealing with large NLPs. In particular, we review some existing results that allow to work in the original space of variables for two relevant special cases where the disjunctions corresponding to the logical implications have two terms. Then, we significantly extend these special cases in two different directions, one involving more general convex sets and the other with disjunctions involving three terms. Computational experiments comparing disjunctive programming formulations in the original space of variables with straightforward bigM ones show that the former are computationally viable and promising.

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Acknowledgments

The second author acknowledges the support of MIUR, Italy, under the grant PRIN 2012. The fourth author acknowledges the support of the EU ITN 316647 “Mixed-Integer Nonlinear Optimization” (MINO). We are indebted to four anonymous referees for a careful reading and insightful suggestions.

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Authors and Affiliations

  1. CPLEX Optimization, IBM Spain, Sta. Hortensia 26-28, 28002, Madrid, Spain

    Pierre Bonami

  2. Dipartimento di Ingegneria dell’Energia Elettrica e dell’Informazione “Guglielmo Marconi”, Università di Bologna, Viale Risorgimento 2, 40136, Bologna, Italy

    Andrea Lodi & Sven Wiese

  3. CPLEX Optimization, IBM Italy, Via Martin Luther King 38/2, 40132, Bologna, Italy

    Andrea Tramontani

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  1. Pierre Bonami
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  2. Andrea Lodi
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  3. Andrea Tramontani
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  4. Sven Wiese
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Correspondence to Andrea Lodi.

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Bonami, P., Lodi, A., Tramontani, A. et al. On mathematical programming with indicator constraints. Math. Program. 151, 191–223 (2015). https://doi.org/10.1007/s10107-015-0891-4

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