Continuous reformulations of discrete-continuous optimization problems

Oliver Stein, Jan Oldenburg and Wolfgang Marquardt

Abstract. This paper treats the solution of nonlinear optimization problems involving discrete decision variables, also known as generalized disjunctive programming (GDP) or mixed-integer nonlinear programming (MINLP) problems, that arise in process engineering. The key idea is to eliminate the discrete decision variables by adding a set of continuous variables and constraints that represent the discrete decision space of the optimization problem. With such a reformulation, we are able to apply solution algorithms for purely continuous nonlinear optimization problems to efficiently calculate local minima of GDP or MINLP problems. In this contribution we propose different alternatives to reformulate GDP/MINLP problems as continuous optimization problems. We furthermore investigate theoretical properties of the different reformulations with regard to their numerical solution. The proposed formulations are illustrated and analyzed on the basis of optimization problems dealing with process engineering applications involving stationary as well as dynamic process models.

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