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Integer Programming

Robert J. Vanderbei

April 21, 2009

http://www.princeton.edu/rvdb

Given:

A set of flight legs (e.g. Newark to Chicago departing 7:45am).

A set of aircraft.

Model:

Generate a set of feasible routes (i.e., a collection of legs which taken together can be

flown by one airplane).

Assign a cost to each route (e.g. 1).

Pick a minimum cost collection of routes that exactly covers all of the legs.

Let:

xj =

1

0

if route j is selected,

otherwise

1

if leg i is part of route j,

0

otherwise

cj = cost of using route j.

aij =

minimize

subject to

n

X

j=1

n

X

cj xj

aij xj = 1

i = 1, 2, . . . , m,

j=1

xj {0, 1}

An example of set-partitioning problems.

j = 1, 2, . . . , n.

Similar to equipment scheduling except:

Its possible to put more than one crew on a flight:

only one crew works

any others are just being shuttled

Integer Programming Problem:

minimize

subject to

n

X

j=1

n

X

cj xj

aij xj 1

i = 1, 2, . . . , m,

j=1

xj {0, 1}

j = 1, 2, . . . , n.

Column Generation

The problem of producing a set of possible routes is called column generation.

If there are m legs in total, then there are up to m20 possible routes.

Most famous example of a hard problem:

Given n cities, determine the order in which to visit them so as to minimize the total

travel distance.

Fixed Costs

c(x) =

0

K + cx

if x = 0

if x > 0.

Equivalent to:

c(x) = Ky + cx

together with the following constraints:

x uy

x 0

y {0, 1}.

Nonlinear objective functions are sometimes approximated by piecewise linear functions.

Piecewise linear functions can be treated using techniques similar to the fixed cost

method above.

LP Relaxation

General Integer Programming Problem

maximize cT x

subject to Ax b

x 0

x has integer components.

Example

x2

6

10x1+7x2=40

3333333333

Optimal Solution

3333333333

to LPrelaxation

43333333333

3333333333

33333333333

x1+x2=5

3333333333

3333333333

2

3333333333 17x1+12x0 2=68.33

3333333333 =z

13333333333

3333333333

03333333333

x

5

subject to 10x1 + 7x2

x1 + x2

x1 , x 2

x1 , x 2

40

5

0

integers.

Optimal solution is (x1, x2) = (1.67, 3.33) with objective value 68.33.

Rounding to integers: (2, 3)

Closest feasible: (1, 3)

infeasible.

suboptimal.

Branch-and-Bound

x2

333

333

4333

333

3333

333

P1

333

2

333

333

1333

333

0333

5

x1 1

x1 2

Let

P1 = LP relaxation plus: x1 1

P2 = LP relaxation plus: x1 2

Optimal Solutions

P1: (1, 4)

P2: (2, 2.86)

integer solution!

33333

33333

33333

33333

33333

P2

33333

33333

x1

Enumeration Tree

P0: x1=1.67, x2=3.33

=68.33

x1>2

x1<1

P1: x1=1, x2=4

=65

=68.29

x2<2

x2>3

Integer solutions provide lower bounds on optimal integer solution.

LP relaxations at each node provide upper bounds for the subtree below it.

Refinement of P2 to P3

Feasible Region:

Enumeration Tree:

P0: x1=1.67, x2=3.33

x2

=68.33

333

333

4 333

333

3 333

333

P1

2 333

333

333

1

333

333

0

333

0

1

x1>2

x1<1

=65

=68.29

x2<2

33333

33333

33333

33333

P3

33333

33333

2

3

4

x2>3

=68.2

x1<2

x1

x1>3

Enumeration Tree is Growing

Enumeration Tree is Growing

P0: x1=1.67, x2=3.33

=68.33

x2

6

333

333

4333

333

333

3

333

P1

333

2333

333

1333

333

0333

=65

x1>2

x1<1

=68.29

x2<2

x2>3

33

33

33

33

P4

33

33

33

2

=68.2

333

333

333

P5

333

3

x1<2

P4: x1=2, x2=2

x1>3

P5: x1=3, x2=1.43

=58

x1

=68.14

x2<1

x2>2

More Branching

x2

x2

333

333

4333

333

333

3

333

P1

333

2333

333

1333

333

0333

5

333

333

4333

333

333

3

333

P1

333

2333

333

1333

333

0333

5

33

33

33

33

333

P4 333

33

P6

33

333

33

2

3

4

x1

33

33

33

33

P5

33

33

33

2

3

P7 P

3

8

3

33

33 33

4

x1

P0: x1=1.67, x2=3.33

=68.33

x1>2

x1<1

P1: x1=1, x2=4

=65

=68.29

x2<2

x2>3

=68.2

x1<2

x1>3

=58

=68.14

x2<1

x2>2

=68.1

x1<3

P7: x1=3, x2=1

=63

x1>4

P8: x1=4, x2=0

=68

P0: x1=1.67, x2=3.33

=68.33

x1>2

x1<1

P1: x1=1, x2=4

=65

=68.29

x2<2

x2>3

P9: Infeasible

=68.2

x1<2

x1>3

=58

=68.14

x2<1

x2>2

P10: Infeasible

=68.1

x1<3

P7: x1=3, x2=1

=63

x1>4

P8: x1=4, x2=0

=68

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