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Mixed-Integer Second-Order Cone Optimization (MISOCO): Disjunctive Conic Cuts (DCCs) and Portfolio Models

Tamás Terlaky, George N. and Soteria Kledaras '87 Endowed Chair Professor Chair, Department of Industrial and Systems Engineering, Lehigh University

The use of integer variables naturally occurs in Second Order Conic Optimization problems, just as in linear and nonlinear optimization, thus the need for dedicated MISOCO algorithms and software is evident. This talk gives some insight into the design of DCCs for mixed-integer CLO problems, and into the complexity of identifying disjunctive conic cuts. The novel DCCs may be used to develop Branch-and-Cut algorithms for MISOCO problems. Preliminary computational experiments by solving classes of MISOCO Portfolio Selection problems show the power of the DCC approach.


Prior to his appointment at Lehigh U., Prof. Terlaky has taught at Eötvös U., Budapest, Hungary; Delft University of Technology, Delft, Netherlands; McMaster U., ON, Canada.  At McMaster he also served as the founding Director of the School of Computational Engineering and Science.

Prof. Terlaky has published four books, edited over ten books and journal special issues and published over 160 research papers.  Topics include theoretical and algorithmic foundations of operations research (e.g., invention of the criss-cross method), design and analysis of large classes of interior point methods, computational optimization, worst case examples of the central path, nuclear reactor core reloading optimization, oil refinery and VLSI design optimization and robust radiation therapy treatment optimization.

Prof. Terlaky is Founding Editor-in-Chief of the journal, Optimization and Engineering.  He has served as associate editor of eight journals and has served as conference chair, conference organizer, and distinguished invited speaker at conferences all over the world.  He is general Chair of the INFORMS 2015 Annual Meeting, a former Chair of INFORMS' Optimization Society, Chair of the ICCOPT Steering Committee of the Mathematical Optimization Society and Fellow of the Fields Institute.  He received the MITACS Mentorship Award for his distinguished Ph.D. student supervisory record.  His research interest includes high performance optimization methods, optimization modeling and optimization problems in engineering sciences.