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Bounding the gap between the McCormick relaxation and the convex hull for bilinear functions. (English) Zbl 1384.90073
Summary: We investigate how well the graph of a bilinear function \(b:\;[0,1]^n\rightarrow \mathbb {R}\) can be approximated by its McCormick relaxation. In particular, we are interested in the smallest number \(c\) such that the difference between the concave upper bounding and convex lower bounding functions obtained from the McCormick relaxation approach is at most \(c\) times the difference between the concave and convex envelopes. Answering a question of J. Luedtke et al. [ibid. 136, No. 2 (B), 325–351 (2012; Zbl 1286.90117)], we show that this factor \(c\) cannot be bounded by a constant independent of \(n\). More precisely, we show that for a random bilinear function \(b\) we have asymptotically almost surely \(c\geqslant \sqrt{n}/4\). On the other hand, we prove that \(c\leqslant 600\sqrt{n}\), which improves the linear upper bound proved by Luedtke, Namazifar and Linderoth [loc. cit.]. In addition, we present an alternative proof for a result of R. Misener et al. [Optim. Methods Softw. 30, No. 1, 215–249 (2015; Zbl 1325.90071)] characterizing functions \(b\) for which the McCormick relaxation is equal to the convex hull.

MSC:
90C26 Nonconvex programming, global optimization
90C20 Quadratic programming
Software:
GloMIQO; BARON
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References:
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