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 semidefinite programs, implementing a cutting plane (outer approximation) approach. In contrast to 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 violating linear cuts to the model and repeats.

CUTSDP is an internal experimental implementation with little testing performed, although it has been successfully applied on some real-world problems.

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

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