A Hierarchy of Relaxations Leading to the Convex Hull Representation for General Discrete Optimization Problems

We consider linear mixed-integer programs where a subset of the variables are restricted to take on a finite number of general discrete values. For this class of problems, we develop a reformulation-linearization technique (RLT) to generate a hierarchy of linear programming relaxations that spans the spectrum from the continuous relaxation to the convex hull representation. This process involves a reformulation phase in which suitable products using a defined set of Lagrange interpolating polynomials (LIPs) are constructed, accompanied by the application of an identity that generalizes x(1−x) for the special case of a binary variable x. This is followed by a linearization phase that is based on variable substitutions. The constructs and arguments are distinct from those for the mixed 0-1 RLT, yet they encompass these earlier results. We illustrate the approach through some examples, emphasizing the polyhedral structure afforded by the linearized LIPs. We also consider polynomial mixed-integer programs, exploitation of structure, and conditional-logic enhancements, and provide insight into relationships with a special-structure RLT implementation.