Built-in solver for mixed-integer conic problems


CUTSDP is invoked by using 'cutsdp' as solver flag in sdpsettings


CUTSDP is a solver for mixed-integer second-order cone and (primarily) semidefinite programs, implementing a cutting plane (outer approximation) approach. In contrast to the other internal mixed-integer programming solver BNB which relaxes the integer variables in the problem and proceeds by branch-and-bound, solving conic programs problem in every node, CUTSDP relaxes the conic constraints to linear constraints, solves a mixed-integer linear program, and adds violated linear cuts to the model and repeats.

The solver relies on a fast external mixed-integer linear programming solver.

An indepth description can be found in CUTSDP explained.