Group for Research in Decision Analysis

G-2015-98

Disjunctive conic cuts for mixed integer second order cone optimization

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We investigate the derivation of disjunctive conic cuts for mixed integer second order cone optimization (MISOCO). These conic cuts characterize the convex hull of the intersection of a disjunctive set and the feasible set of a MISOCO problem. We present a full characterization of these inequalities when the disjunctive set considered is defined by parallel hyperplanes.

, 24 pages