DualBi: A dual bisection algorithm for non-convex problems with a scalar complicating constraint

Abstract: This paper addresses non-convex constrained optimization problems that are characterized by a scalar complicating constraint. We propose an iterative bisection method for the dual problem (DualBi Algorithm) that recovers a feasible primal solution, with a performance that is progressively improving throughout iterations. Application to multi-agent problems with a scalar coupling constraint results in a decentralized resolution scheme where a central unit is in charge of the update of the (scalar) dual variable while agents compute their local primal variables. In the case of multi-agent MILPs, simulations showcase the performance of the proposed method compared with state-of-the-art duality-based approaches.