Scanning integer points with lex-inequalities: a finite cutting plane algorithm for integer programming with linear objective

We consider the integer points in a unimodular cone K ordered by a lexicographic rule defined by a lattice basis. To each integer point x in K we associate a family of inequalities (lex-inequalities) that define the convex hull of the integer points in K that are not lexicographically smaller than x. The family of lex-inequalities contains the Chvátal–Gomory cuts, but does not contain and is not contained in the family of split cuts. This provides a finite cutting plane method to solve the integer program $$\min \{cx: x\in S\cap \mathbb {Z}^n\}$$ min { c x : x ∈ S ∩ Z n } , where $$S\subset \mathbb {R}^n$$ S ⊂ R n is a compact set and $$c\in \mathbb {Z}^n$$ c ∈ Z n . We analyze the number of iterations of our algorithm.