A trust-region-based derivative free algorithm for mixed integer programming

A trust-region-based derivative free algorithm for solving bound constrained mixed integer nonlinear programs is developed in this paper. The algorithm is proven to converge to a local minimum after a finite number of function evaluations. In addition, an improved definition of local minima of mixed integer programs is proposed. Computational results showing the effectiveness of the derivative free algorithm are presented. Copyright Springer Science+Business Media New York 2015