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Title: Differentiable McCormick relaxations

McCormick's classical relaxation technique constructs closed-form convex and concave relaxations of compositions of simple intrinsic functions. These relaxations have several properties which make them useful for lower bounding problems in global optimization: they can be evaluated automatically, accurately, and computationally inexpensively, and they converge rapidly to the relaxed function as the underlying domain is reduced in size. They may also be adapted to yield relaxations of certain implicit functions and differential equation solutions. However, McCormick's relaxations may be nonsmooth, and this nonsmoothness can create theoretical and computational obstacles when relaxations are to be deployed. This article presents a continuously differentiable variant of McCormick's original relaxations in the multivariate McCormick framework of Tsoukalas and Mitsos. Gradients of the new differentiable relaxations may be computed efficiently using the standard forward or reverse modes of automatic differentiation. Furthermore, extensions to differentiable relaxations of implicit functions and solutions of parametric ordinary differential equations are discussed. A C++ implementation based on the library MC++ is described and applied to a case study in nonsmooth nonconvex optimization.
 [1] ;  [2] ;  [2]
  1. Argonne National Lab. (ANL), Lemont, IL (United States)
  2. Massachusetts Inst. of Technology (MIT), Cambridge, MA (United States)
Publication Date:
Grant/Contract Number:
Accepted Manuscript
Journal Name:
Journal of Global Optimization
Additional Journal Information:
Journal Volume: 67; Journal Issue: 4; Journal ID: ISSN 0925-5001
Research Org:
Argonne National Lab. (ANL), Argonne, IL (United States)
Sponsoring Org:
USDOE Office of Science (SC)
Country of Publication:
United States
97 MATHEMATICS AND COMPUTING; Nonconvex optimization; Convex underestimators; McCormick relaxations; Implicit functions
OSTI Identifier: