Coordinate Optimality Reformulation for Mixed-Integer Convex Programs with Indicators
TL;DR
This work develops the main components of CORe, including coordinate-wise optimality conditions, closed-form characterizations, and disjunctive reformulations, and demonstrates the framework across multiple problem families, including quadratic problems and robust single-index models.
Abstract
We consider mixed-integer convex optimization problems in which binary indicators control continuous variables. We introduce the \emph{Coordinate Optimality Reformulation} (CORe) framework, which augments standard indicator formulations by incorporating coordinate-wise optimality information. The resulting reformulations preserve global optimality while substantially improving branch-and-bound performance, particularly in sparse and structured settings where the coordinate-wise optimality conditions expose exploitable problem structure. We first develop the main components of CORe, including coordinate-wise optimality conditions, closed-form characterizations, and disjunctive reformulations. We then demonstrate the framework across multiple problem families, including quadratic problems and robust single-index models. Computational experiments show that CORe can substantially improve solver performance compared with standard big-$M$ formulations.