Convex Mixed-Integer Nonlinear Programs Derived from Generalized Disjunctive Programming using Cones

Abstract

We propose the formulation of convex Generalized Disjunctive Programming (GDP) problems using conic inequalities leading to conic GDP problems. We then show the reformulation of conic GDPs into Mixed-Integer Conic Programming (MICP) problems through both the Big-M and Hull Reformulations. These reformulations have the advantage that they are representable using the same cones as the original conic GDP. In the case of HR, they require no approximation of the perspective function. Moreover, the MICP problems derived can be solved by specialized conic solvers and offer a natural extended formulation amenable to both conic and gradient-based solvers. We present the closed-form of several convex functions and their respective perspectives in conic sets, allowing users to easily formulate their conic GDP problems. We finally implement a large set of conic GDP examples and solve them via the traditional and conic mixed-integer reformulations. These examples include applications from Process Systems Engineering, Machine learning, and randomly generated instances. Our results show that the conic structure can be exploited to solve these challenging MICP problems more efficiently.