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Integrating SQP and branch-and-bound for mixed integer nonlinear programming.pdf

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Integrating SQP and branch-and-bound for mixed integer nonlinear programming

Integrating SQP and branch-and-boundfor Mixed Integer Nonlinear ProgrammingSven LeyeryzAugust 6, 1998AbstractThis paper considers the solution of Mixed Integer Nonlinear Programming (MINLP)problems. Classical methods for the solution of MINLP problems decompose the problemby separating the nonlinear part from the integer part. This approach is largely due tothe existence of packaged software for solving Nonlinear Programming (NLP) and MixedInteger Linear Programming problems.In contrast, an integrated approach to solving MINLP problems is considered here.This new algorithm is based on branch-and-bound, but does not require the NLP problemat each node to be solved to optimality. Instead, branching is allowed after each iterationof the NLP solver. In this way, the nonlinear part of the MINLP problem is solved whilstsearching the tree. The nonlinear solver that is considered in this paper is a SequentialQuadratic Programming solver.A numerical comparison of the new method with nonlinear branch-and-bound is pre-sented and a factor of about 3 improvement over branch-and-bound is observed.Keywords: Mixed Integer Nonlinear Programming, Branch-and-Bound,Sequential Quadratic Programming1 IntroductionThis paper considers the solution of Mixed Integer Nonlinear Programming (MINLP) problems.Problems of this type arise when some of the variables are required to take integer values. Appli-cations of MINLP problems include the design of batch plants (e.g. [14] and [18]), the synthesisof processes (e.g. [6]), the design of distillation sequences (e.g. [24]), the optimal positioning ofproducts in a multi-attribute space (e.g. [6]), the minimization of waste in paper cutting [26]and the optimization of core reload patterns for nuclear reactors [22]. For a comprehensivesurvey of applications of MINLP applications see Grossmann and Kravanja [13].MINLP problems can be modelled in the following form(P )8: minimizex;y f(x; y)subject to g(x; y) 0x 2 X; y 2 Y integer,University of Dund