We present an algorithm for finding a feasible solution to a convex mixed integer nonlinear program. This algorithm, called Feasibility Pump, alternates between solving nonlinear programs and mixed integer linear programs. We also discuss how the algorithm can be iterated so as to improve the first solution it finds, as well as its integration within an outer approximation scheme. We report computational results.
By: Pierre Bonami, Gérard Cornuéjols, Andrea Lodi, François Margot
Published in: RC23862 in 2006
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