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An enhanced logical benders approach for linear programs with complementarity constraints

Author

Listed:
  • Francisco Jara-Moroni

    (Universidad de Santiago de Chile)

  • John E. Mitchell

    (Rensselaer Polytechnic Institute)

  • Jong-Shi Pang

    (University of Southern California)

  • Andreas Wächter

    (Northwestern University)

Abstract

This work extends the logical benders approach for solving linear programs with complementarity constraints proposed by Hu et al. (SIAM J Optim 19(1):445–471, 2008) and Bai et al. (Comput Optim Appl 54(3):517–554, 2013). We develop a novel interpretation of the logical Benders method as a reversed branch-and-bound search, where the whole exploration procedure starts from the leaf nodes in an enumeration tree. This insight enables us to provide a new framework over which we can combine master problem and cut generation in a single process. It also allows us to diversify the search, leading computationally to stronger cuts. We also present an optimization-based sparsification process which makes the cut generation more efficient. Numerical results are presented to show the effectiveness of this enhanced method. Results are also extended to problems with more complementarity constraints, exceeding those that can be handled by the original method in the cited references.

Suggested Citation

  • Francisco Jara-Moroni & John E. Mitchell & Jong-Shi Pang & Andreas Wächter, 2020. "An enhanced logical benders approach for linear programs with complementarity constraints," Journal of Global Optimization, Springer, vol. 77(4), pages 687-714, August.
    • Handle: RePEc:spr:jglopt:v:77:y:2020:i:4:d:10.1007_s10898-020-00905-z
    DOI: 10.1007/s10898-020-00905-z
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    References listed on IDEAS

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    1. Toshihide Ibaraki, 1973. "Technical Note—The Use of Cuts in Complementary Programming," Operations Research, INFORMS, vol. 21(1), pages 353-359, February.
    2. Pietro Belotti & Pierre Bonami & Matteo Fischetti & Andrea Lodi & Michele Monaci & Amaya Nogales-Gómez & Domenico Salvagnin, 2016. "On handling indicator constraints in mixed integer programming," Computational Optimization and Applications, Springer, vol. 65(3), pages 545-566, December.
    3. Andrea Lodi & Giulia Zarpellon, 2017. "Rejoinder on: On learning and branching: a survey," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(2), pages 247-248, July.
    4. Toshihide Ibaraki, 1971. "Technical Note—Complementary Programming," Operations Research, INFORMS, vol. 19(6), pages 1523-1529, October.
    5. Alejandro Marcos Alvarez & Quentin Louveaux & Louis Wehenkel, 2017. "A Machine Learning-Based Approximation of Strong Branching," INFORMS Journal on Computing, INFORMS, vol. 29(1), pages 185-195, February.
    6. Andrea Lodi & Giulia Zarpellon, 2017. "On learning and branching: a survey," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(2), pages 207-236, July.
    7. Jing Hu & John Mitchell & Jong-Shi Pang & Bin Yu, 2012. "On linear programs with linear complementarity constraints," Journal of Global Optimization, Springer, vol. 53(1), pages 29-51, May.
    8. Matteo Fischetti & Michele Monaci, 2014. "Exploiting Erraticism in Search," Operations Research, INFORMS, vol. 62(1), pages 114-122, February.
    9. Lijie Bai & John Mitchell & Jong-Shi Pang, 2013. "On convex quadratic programs with linear complementarity constraints," Computational Optimization and Applications, Springer, vol. 54(3), pages 517-554, April.
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