Convexification of mixed-integer quadratic optimization via decision diagrams

Abstract

We study mixed-integer quadratic optimization (MIQO) problems with indicator variables. We propose a unified framework, based on decision diagrams, that serves both to solve the associated optimization problems and to construct ideal conic quadratic extended formulations of the closure of the convex hull of the underlying mixed-integer set. The construction applies to arbitrary quadratics and to any combinatorial constraints admitting a tractable dynamic programming representation. The resulting diagrams and the ensuing convex hull descriptions are of polynomial size when the quadratic is low-rank, or when the support graph of the Hessian or of its inverse is a tree, recovering and generalizing several results from the literature. For structured sparse and inverse-sparse quadratics, we show that approximate decision diagrams have size linear in the dimension while yielding solutions with arbitrarily low optimality gap. Computational experiments demonstrate the effectiveness of the proposed approach.