On the ReLU Lagrangian Cuts for Stochastic Mixed Integer Programming

Haoyun Deng; Weijun Xie

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arXiv · 2411.01229

On the ReLU Lagrangian Cuts for Stochastic Mixed Integer Programming

Haoyun Deng·Weijun Xie

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Abstract

We study stochastic mixed integer programs with both first-stage and recourse decisions involving mixed integer variables. A new family of Lagrangian cuts, termed ``ReLU Lagrangian cuts," is introduced by reformulating the nonanticipativity constraints using ReLU functions. These cuts can be integrated into scenario decomposition methods. We show that including ReLU Lagrangian cuts is sufficient to achieve optimality in the original stochastic mixed integer programs. Without solving the Lagrangian dual problems, we derive closed-form expressions for these cuts. Furthermore, to speed up the cut-generating procedures, we introduce linear programming-based methods to enhance the cut coefficients. Numerical studies demonstrate the effectiveness of the proposed cuts compared to existing cut families.

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Haoyun Deng, Weijun Xie. 2024-11-02. On the ReLU Lagrangian Cuts for Stochastic Mixed Integer Programming. https://arxiv.org/abs/2411.01229

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