Kin-Yee Chan, Wei-Yin Loh, LOTUS: An Algorithm for Building Accurate and Comprehensible Logistic Regression Trees, Journal of Computational and Graphical Statistics, Vol. 13, No. 4 (Dec., 2004), pp.

We give a branch-and-cut algorithm for solving linear programs (LPs) with continuous separable piecewise-linear cost functions (PLFs). Models for PLFs use continuous variables in special-ordered sets ...