Symmetry-Exploiting Cuts for a Class of Mixed-0/1 Second-Order Cone Programs

Sarah Drewes* and Sebastian Pokutta

We analyze mixed-0/1 second-order cone programs where the continuous and binary variables are solely coupled via the conic constraints. These problems are solved using a cutting-plane algorithm which is based on an implicit Sherali-Adams reformulation. Symmetric solutions are automatically cut off such that each equivalence class of 0/1 solutions is visited at most once. We present computational results for an application in optimal pooling of securities showing the effectiveness of the proposed method.

Mathematics Subject Classification: 90C11 90C30

Keywords: mixed integer nonlinear; second order cone; cutting planes

Minisymposion: Nonlinear Mixed Integer Programming and Conic Relaxations