A Finitely Convergent Cutting Plane, and a Bender's Decomposition Algorithm for Mixed-Integer Convex and Two-Stage Convex Programs using Cutting Planes

Abstract: We present a finitely convergent cutting-plane algorithm for solving a general mixed-integer convex programs given an oracle for solving general convex programs. This method is extended to solve a family of two-stage mixed-integer convex programs using cutting planes, with applications to solving distributionally-robust two-stage stochastic mixed-integer convex programs. Since algorithms purely using cutting planes are not very practical for implementation, we combined the cut generation with a branch-and-union scheme to develop a more practical algorithm. Analysis is also given for the case where convex programming oracle provides an $\epsilon-$optimal solution. Computational results on generated test problems show the practicality of our algorithm. Specifically, results show that addition of cuts speed up solution times by nearly 10-fold on the largest test problems that are solved.