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Tighten weymouth upper bound in MISOCP when f_min > 0 or f_max < 0 #200

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rb004f opened this issue Jun 24, 2020 · 0 comments
Open

Tighten weymouth upper bound in MISOCP when f_min > 0 or f_max < 0 #200

rb004f opened this issue Jun 24, 2020 · 0 comments

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@rb004f
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rb004f commented Jun 24, 2020

The current implementation constructs an upperbound on the SOC relaxation of the form wl <= f_max * f or wl <= f_min * f, which draws a line from (0,0) to (f_max, f_max^2) or (f_min, f_min^2) when f is positive or negative respectively. However, this can be tightened. It should be the line from (max(0,f_min),max(0,f_min)^2) to (f_max, f_max^2) or (max(0,-f_max),max(0,-f_max)^2) to (f_min, f_min^2) to cover the cases where f_min > 0 or f_max < 0.

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