Coordinate Optimality Reformulation for Mixed-Integer Convex Programs with Indicators
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Abstract (arXiv)
We consider mixed-integer convex optimization problems in which binary indicators control continuous variables. We introduce the Coordinate Optimality Reformulation (CORe) framework, which augments standard indicator formulations by incorporating coordinate-wise optimality information. The resulting reformulations preserve global optimality while substantially improving branch-and-bound performance, particularly in sparse and structured settings where the coordinate-wise optimality conditions expose exploitable problem structure. We first develop the main components of CORe, including coordinate-wise optimality conditions, closed-form characterizations, and disjunctive reformulations. We then demonstrate the framework across multiple problem families, including quadratic problems and robust single-index models. Computational experiments show that CORe can substantially improve solver performance compared with standard big-M formulations.
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References · 28
- 2015Best Subset Selection via a Modern Optimization Lenscited by 99
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- 2020Sparse Regression at Scale: Branch-and-Bound rooted in First-Order Optimizationcited by 45
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- 2017Bayesian Network Learning via Topological Ordercited by 14
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- 2020Ideal formulations for constrained convex optimization problems with indicator variablescited by 9
- 2021A Graph-based Decomposition Method for Convex Quadratic Optimization with Indicatorscited by 5
16 more
- 2018Outer Approximation With Conic Certificates For Mixed-Integer Convex Problemscited by 4
- 2024Integer Programming for Learning Directed Acyclic Graphs from Non-identifiable Gaussian Modelscited by 4
- 2018A geometric way to build strong mixed-integer programming formulationscited by 3
- 2023Outlier detection in regression: conic quadratic formulationscited by 3
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- 2016Polyhedral approximation in mixed-integer convex optimizationcited by 1
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- 2018Subset selection in sparse matricescited by 1
- 2023Solution Path of Time-varying Markov Random Fields with Discrete Regularizationcited by 1
- 2024Polyhedral Analysis of Quadratic Optimization Problems with Stieltjes Matrices and Indicatorscited by 1
- 2024A Parametric Approach for Solving Convex Quadratic Optimization with Indicators Over Treescited by 1
- 2024Real-time solution of quadratic optimization problems with banded matrices and indicator variablescited by 1
- 2024An Asymptotically Optimal Coordinate Descent Algorithm for Learning Bayesian Networks from Gaussian Modelscited by 1
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- 2026Computation of Least Trimmed Squares: A Branch-and-Bound framework with Hyperplane Arrangement Enhancementscited by 1
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