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    On the Relation between the Extended Supporting Hyperplane Algorithm and Kelley’s Cutting Plane Algorithm (2019)
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    Publication Date: 2020-08-05
    Description: Recently, Kronqvist et al. (2016) rediscovered the supporting hyperplane algorithm of Veinott (1967) and demonstrated its computational benefits for solving convex mixed-integer nonlinear programs. In this paper we derive the algorithm from a geometric point of view. This enables us to show that the supporting hyperplane algorithm is equivalent to Kelley's cutting plane algorithm applied to a particular reformulation of the problem. As a result, we extend the applicability of the supporting hyperplane algorithm to convex problems represented by general, not necessarily convex, differentiable functions that satisfy a mild condition.
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/pdf
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