Support cutting planes technique.

[dnguyen227]

This PR adds the cutting planes reformulation technique. The method iteratively generates cutting planes using a separation problem and relaxed Big-M formulation before applying a final reformulation.

model = GDPModel()
@variable(model, x[1:2])
@variable(model, Y[1:2], Logical)
@constraint(model, x[1] <= 3, Disjunct(Y[1]))
@constraint(model, x[1] <= 4, Disjunct(Y[2]))
@disjunction(model, [Y[1], Y[2]])
@objective(model, Max, sum(x))

# Use with default settings (3 iterations, BigM final reformulation)
optimize!(model, gdp_method = cutting_planes(HiGHS.Optimizer))

# Or customize parameters
optimize!(model, gdp_method = cutting_planes(HiGHS.Optimizer;max_iter=10, seperation_tolerance=1e-4, final_reform_method=Indicator(), M_value=1e6))

[codecov-commenter]

Codecov Report

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Additional details and impacted files

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[dnguyen227]

@pulsipher Ready for review 🙂

[pulsipher]

See comments below, I am not also sure why the patch coverage is detecting something with the constraints file.

[pulsipher]

Looking pretty good, please add comments and address the comments below.

[pulsipher]

Looks good!