2019 journal article
Valid inequalities for concave piecewise linear regression
OPERATIONS RESEARCH LETTERS, 47(1), 52–58.
author keywords: Concave regression; Piecewise linear fitting; Valid inequalities; Clearing function
TL;DR:
Results with univariate data show that the proposed valid inequalities improve the root relaxation lower bound, permitting significant improvements in solution time.
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Added: February 18, 2019
We consider the problem of fitting a concave piecewise linear function to multivariate data using the Least Absolute Deviation objective. We propose new valid inequalities for the problem using the properties of concave functions. Results with univariate data show that the proposed valid inequalities improve the root relaxation lower bound, permitting significant improvements in solution time.