Between steps: Intermediate relaxations between big-M and convex hull formulations

• URL: http://arxiv.org/abs/2101.12708v1
• Date: Fri, 29 Jan 2021 18:03:15 GMT
• Title: Between steps: Intermediate relaxations between big-M and convex hull formulations
• Authors: Jan Kronqvist and Ruth Misener and Calvin Tsay
• Abstract summary: We develop a class of relaxations in between the big-M and convex hull formulations of disjunctions. The proposed "P-split" formulations split convex additively separable constraints into P partitions and form the convex hull of the disjuncts.
• Score: 4.769747792846004
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This work develops a class of relaxations in between the big-M and convex hull formulations of disjunctions, drawing advantages from both. The proposed "P-split" formulations split convex additively separable constraints into P partitions and form the convex hull of the partitioned disjuncts. Parameter P represents the trade-off of model size vs. relaxation strength. We examine the novel formulations and prove that, under certain assumptions, the relaxations form a hierarchy starting from a big-M equivalent and converging to the convex hull. We computationally compare the proposed formulations to big-M and convex hull formulations on a test set including: K-means clustering, P_ball problems, and ReLU neural networks. The computational results show that the intermediate P-split formulations can form strong outer approximations of the convex hull with fewer variables and constraints than the extended convex hull formulations, giving significant computational advantages over both the big-M and convex hull.

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