论文标题

圆锥混合二进制组:凸船体表征和应用

Conic Mixed-Binary Sets: Convex Hull Characterizations and Applications

论文作者

Kılınç-Karzan, Fatma, Küçükyavuz, Simge, Lee, Dabeen, Shafieezadeh-Abadeh, Soroosh

论文摘要

我们考虑了一个通用的圆锥混合二进制组,其中每个均匀的圆锥约束$ j $涉及独立连续变量的仿射功能,以及与非负函数($ f_j $ of comential二进制变量)相关的ePigraph变量。这种形式的集合自然而然地是在许多应用中的子结构中出现的,包括含义风险优化,机会约束问题,投资组合优化,大小和调度,分数编程,最佳子集选择问题的变体,一类稀疏的半险恶程序以及分配强大的机会限制的机会。我们给出了此集合的凸面描述,该集合依赖于$ f_j $'s的题词的同时表征,当所有功能$ f_j $ s is subsodular时,这很容易执行。我们的结果统一并概括了两个重要方向的现有结果。首先,它考虑\ emph {多个常规凸锥}约束,而不是单个二阶锥类型约束。其次,它采用\ emph {任意非负函数},而不是从仿射函数的平方根获得的特定supdodular函数。我们通过在许多问题类别的背景下证明结果的适用性结束。

We consider a general conic mixed-binary set where each homogeneous conic constraint $j$ involves an affine function of independent continuous variables and an epigraph variable associated with a nonnegative function, $f_j$, of common binary variables. Sets of this form naturally arise as substructures in a number of applications including mean-risk optimization, chance-constrained problems, portfolio optimization, lot-sizing and scheduling, fractional programming, variants of the best subset selection problem, a class of sparse semidefinite programs, and distributionally robust chance-constrained programs. We give a convex hull description of this set that relies on simultaneous characterization of the epigraphs of $f_j$'s, which is easy to do when all functions $f_j$'s are submodular. Our result unifies and generalizes an existing result in two important directions. First, it considers \emph{multiple general convex cone} constraints instead of a single second-order cone type constraint. Second, it takes \emph{arbitrary nonnegative functions} instead of a specific submodular function obtained from the square root of an affine function. We close by demonstrating the applicability of our results in the context of a number of problem classes.

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