Using Cutting Planes

Optimum
(integer)
solution

P
x

Example. Minimize x + 10y

subject to x, y are in P
x, y integer
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Optimum
fractional
(i.e. infeasible)
solution

Using Cutting Planes

Idea: add
constraints that
eliminate fractional
solutions to the LP
without eliminating
any integer
solutions.

add

x
Example. Minimize x + 10y
subject to x, y are in P
x, y integer
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y 1

add y x 1
These constraints
were obtained by
inspection. There are
2
formal techniques.

Using Cutting Planes

If we add exactly
the right
inequalities, then
every corner point
of the LP will be
integer, and the IP
can be solved by
solving the LP

Optimum
(integer)
solution

P
x

Example. Minimize x + 10y

subject to x, y are in P
x, y integer
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We call this
minimal LP, the
convex hull of the IP
solutions.
For large problems,
these constraints
are hard to find.3

More on adding constraints

The tightest possible constraints are very

useful, and are called facets.
Suppose that we are maximizing, and zLP
is the opt for the LP relaxation, and zIP is
the opt for the IP. Then zIP zLP
Ideally, we want zIP to be close to zLP. This
is GREAT for branch and bound.
Adding lots of valid inequalities can be
very helpful.
It has no effect on zIP.
It can reduce zLP significantly.
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Pure Cutting Plane Technique

Instead of partitioning the feasible region, the

(pure) cutting plane technique works with a single
LP

It adds cutting planes (valid linear programming

inequalities) to this LP iteratively.

At each iteration the feasible region is successively

reduced until an integer optimal is found by solving
the LP.

In practice, it is also used as part of branch and

bound. The essential idea is finding valid cuts or
inequalities.
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Where do these cuts come from?

Two approaches
Problem specific
Set Packing
Capital Budgeting (knapsack)
Traveling Salesman Problem
LP-based approach, that works for general
integer programs
Gomory cutting planes (not covered in this
course)
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Problem Specific

The capital budgeting (knapsack) problem

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6

subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

xj binary for j = 1 to 6

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The LP Relaxation

The capital budgeting (knapsack) problem

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6

subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

0 xj 1 for j = 1 to 6

The optimal solution: x1 = 1, x2 = 3/7, x3 = 0

x4 = 0, x5 = 0, x6 = 1
We say that a subset S is a cover if the sum of its weights is
more than 14 (more than the budget)
What are some covers of this capital budgeting problem?
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Getting constraints from covers

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

Consider the cover S = {1, 2, 3}

We have the constraint 5x1 + 7x2 + 4x3 14

We can obtain the constraint x1 + x2 + x3 2.
This is a cover constraint
This constraint is stronger
It does not eliminate any IP solutions, but it cuts off
fractional LP solutions.

In general, for each cover S,we obtain the constraint

jS xj |S| - 1
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The LP Relaxation

The capital budgeting (knapsack) problem

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6

subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

0 xj 1 for j = 1 to 6

The optimal solution: x1 = 1, x2 = 3/7, x3 = 0

x4 = 0, x5 = 0, x6 = 1
z = 44 3/7
5x1 + 7x2 + 6x6 14

x1 + x2 + x6 2

Our approach: Given the linear solution, try to find a

violated cover constraint.
A violated cover is {1, 2, 6}
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After one cut

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6
subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

x1 + x 2

x6 2

0 xj 1 for j = 1 to 6
The optimal solution: x1 = 0, x2 = 1, x3 = 1/4
z = 44
x4 = 0, x5 = 0, x6 = 1
Exercise: find a violated cover.
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After two cuts

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6
subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

+

x6 2

x2 + x3 +

x6 2

x1 + x 2

0 xj 1 for j = 1 to 6
The optimal solution: x1 = 1/3, x2 = 1, x3 = 1/3
z = 44
x4 = 0, x5 = 0, x6 = 2/3
Exercise: Find a violated cover:
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Obtaining a stronger constraint

5x1 + 7x2 + 4x3 + 6x6 14
At most 2 of x1, x2, x3, x6 can be 1.
So x1 + x2 + x3 + x6 2.

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After three cuts

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6
subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

+

x6 2

x 2 + x3 +

x6 2

x1 + x 2

x1 + x2 + x3 +

x6 2

0 xj 1 for j = 1 to 6
Note: the new cuts dominates the other cuts.
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We eliminate the redundant constraints

maximize 16x1 + 22x2 + 12x3 + 8x4 +11x5 + 19x6
subject to

5x1 + 7x2 + 4x3 + 3x4 +4x5 + 6x6 14

x1 + x2 + x3 +

x6 2

0 xj 1 for j = 1 to 6
The optimal solution: x1 = 0, x2 = 1, x3 = 0, x4 = 0,
x5 = 1/4, x6 = 1
z = 43 3/4
So, z* 43
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Summary for knapsack problem

We could find some simple valid inequalities that

showed that z* 43. This is the optimal objective
value.

It took 3 cuts
Had we been smarter it would have taken 1 cut

We had a simple approach for finding cuts.

This does not find all of the cuts.

Recall, it took 14 nodes of a branch and bound tree

In fact, researchers have found cutting plane

techniques to be necessary to solve large integer
programs (usually as a way of getting better bounds.)
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Traveling Salesman Problem (TSP)

What is a minimum length tour that visits each point?

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Comments on the TSP

Very well studied problem

Its often the problem for testing out new

algorithmic ideas

NP-complete (it is intrinsically difficult in some

technical sense)

Large instances have been solved optimally (5000

cities and larger)

Very large instances have been solved

approximately (10 million cities to within a couple
of percent of optimum.)

We will formulate it by adding constraints that look

like cuts
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The TSP as an IP, almost

Let xe = 1 if arc e is in the tour

xe = 0 otherwise
Let A(i) = arcs incident to node i

Minimize

subject to eA(i) xe = 2

ce xe

xe is binary

Are these
constraints
enough?
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Subtour: a cycle that passes

through a strict subset of cities
Fact: Any integer
solution with
exactly two arcs
incident to every
node is the union
of cycles.
Why?

4
9

Improved IP/LP: for each possible subtour, add a constraints

that makes the subtour infeasible for the IP. These are called20
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subtour breaking constraints.

A subtour breaking constraint

Let S be any proper subset of
nodes, e.g., S = {2, 3, 4, 7, 9}.

Observations:
7

iS , jS

xij S 1

1. A subtour that includes all

nodes of S has |S| arcs
2. A tour for the entire
network has at most |S| - 1
arcs with two endpoints in S.

This ensures that the set S will not have a subtour going
through all five nodes.
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A traveling salesman tour

7
2
9

3
4

There are at most 4 arcs of any tour incident to 2, 3, 4, 7, 9

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Formulation of the TSP as an IP

Minimize

e ce x e

subject to

e inc to i xe = 2
e in S xe |S| - 1
(subtour breaking constraints)

xe is binary
Exponentially many constraints, too many to include in an IP or
an LP
In practice:
Include only some of the constraints. Solve the LP.
If a subtour appears as part of the LP solution, add a new
23
subtour
elimination
constraint
to
the
LP,
and
solve
again.
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More on the TSP

The IP formulation is a very good formulation

good in the following sense: for practical problem
the LP bound is usually 1% to 2% from the
optimal TSP tour length. (The LP bound is close.)

One can add even more complex constraints to

get a better LP formulation, and people do. (and it
helps)

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FINALLY,
Midterm, Yehhhhhhhh

multiple choice problems

15% 10 minutes
Graphical B&B
16% 15 minutes
Knapsack B&B (cutting planes) 18% 25 minutes
Logical constraints(mult-choice)15% 15 minutes
IP formulation
25% 20 minutes
IP formulation
20% 16 minutes

total

100% 110 minutes

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IEOR160-2014

Other details
Monday 6-8pm, Oct 13, 2014
Location: Room 2040 Valley Life
Sciences Building
Can bring one (1) cheat sheet with your
name on it (cannot share)
No calculator needed, or allowed
No class 10-11 Monday Oct 13.
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IEOR160-2014