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Integer Programming 5

Gomory cuts

Constraint generation

Formulations using set notations

1

Quote of the Day

say to them, they translate into their own language,

and forthwith it is something entirely different.

Johann Wolfgang von Goethe

2

Gomory Cuts

Gomory cuts is a general method for adding valid

inequalities (also known as cuts) to all MIPs

optimal tableau for the LP relaxation.

.2 x1 + .3 x2 + .3 x3 + .5 x4 + x5 = 1.8 (1)

.2 x1 + .3 x2 + .3 x3 + .5 x4 .8 (2) 3

Case 2: LHS coefficients are 0.

Case 2: all LHS coefficients are non-negative

1.2 x1 + .3 x2 + 2.3 x3 + 2.5 x4 + x5 = 4.8 (1)

.2 x1 + . 3 x2 + .3 x3 + .5 x4 .8 (2)

1.2 x1 + .3 x2 + 2.3 x3 + 2.5 x4 + x 5

is the same as that of

.2 x1 + .3 x2 + .3 x3 + .5 x4

4

Gomory cuts: general case

Case 3: General case

1.2 x1 - 1.3 x2 - 2.4 x3 + 11.8 x4 + x5 = 2.9 (1)

1 x1 - 2 x2 - 3 x3 + 11 x4 + x5 2 (2)

.2 x1 + . 7x2 + .6 x3 + .8 x4 .9 (3)

fractional parts of (1)

non-negative

5

Another Gomory Cut

x1 + - 2.9 x2 + - 3.4 x3 + 2.7 x4 = 2.7 (1)

Round down

x1 + - 3 x2 + - 4 x3 + 2 x4 2 (2)

.1 x2 + .6 x3 + .7 x4 .7 (3)

x1 x2 x3 x4 x5

1. x1 - 4 x2 + 3 x3 - x4 + x5 9

2. x1 - 5 x2 + 3 x3 - 2x4 + x5 9

3. .6 x1 - .7 x2 + .2 x3 - .4 x4 .4

4.

.6 x1 + .3 x2 + .2 x3 +.6 x4 .4

5. none of the above

7

Does a Gomory cut always exist? Yes!

x1 x2 x3 x4 x5

is integer, and we have solved the LP.

then there is no way of satisfying the constraint.

All of these are for non-basic variables. These are used for

the Gomory cut. 8

A brief history of Gomory cuts

Gomory -- 1963

too slow for this type of use

useful in practice

1990s with great success.

useful for solving IPs in practice.

9

Traveling Salesman Problem (TSP)

point?

10

Comments on the TSP

Applications: vehicle routing, laser drilling in

integrated circuits, manufacturing, and more.

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

11

An Integer Programming Formulation

2

3

1

4 5

cij = distance from city i to city j 6

7 8

objective?

Constraint? city j for each j.

The salesperson leaves

Constraint? city i for each i.

Is this enough? 12

The previous IP needs more constraints

1 2 3 4

What is the optimal

solution satisfying the IP

constraints?

6 5

The salesperson enters each city.

It consists of two subtours.

13

Subtour elimination constraints

1 2 3 4

We want to add

constraints so that no

subtour is feasible.

6 5

There is at least one edge of the tour

from city 1, 2 or 6 to city 3, 4 or 5.

14

Subtour elimination constraints:

general case

1 2 3 4

6 5

other cities.

that leaves S and enters N\S.

15

Actually, the number of

constraints is around 2100

, which is more than a

But if there billion times a billion

are 100 times a billion.

variables that

But, these constraints

must be more

Are you are still useful in

than a billion

trying to practice.

constraints.

make

my head

hurt?

practice is that we only

include constraints as

they are needed.

16

Constraint generation

exponentially large number, constraint generation can be

used. Let C denote the set of all constraints.

An optimal solution x* is obtained to this LP.

constraint is added to S.

constraint in C\S.

17

Constraint generation for the LP

relaxation of the TSP

Solve the LP relaxation

(1) without (5).

(2) some of the constraints of

(5), add them to the LP and

solve again.

(3)

Continue until we have no

0 xij 1 for all i, j (4) more constraints to add.

value is very close to the IP

(5) optimal solution value.

as needed (less than 2% error).

18

Yes! This technique really

works, and it is used in

Are you practice.

saying that

There are related approaches

you can really

in which one can solve LPs

solve an LP

with trillions of variables.

even though

there are They are called column

trillions of generation approaches.

constraints? My head

hurts.

for today. If you want to

learn more, you can read

about column generation

techniques in AMP in the

chapter on decomposition. 19

Mental Break

20

Rest of the lecture

subsets of a ground set.

programming

21

Subsets of a ground set

is called the ground set.

problem

refers to subsets of the ground set; e.g., we may write the

constraint

x1 + x3 + x5 + x9 1 as

where S = {1, 3, 5, 9}

22

053 Chocolates

Amit and Mita have started

a new chocolate company.

1 2 3

Locate 053

Chocolate stores so

5 6 that each district

7 has a store in it or

4 8 9 next to it.

Minimize the

11 12 13 number of stores

10 needed.

14 15 16

23

How do we represent this as an IP?

xj = 1 if a chocolate store

is put in district j Variables

xj = 0 otherwise

s.t. x1 + x2 + x4 + x5 1

Constraints

x1 + x2 + x3 + x5 + x6 1

xj {0, 1} for each j. 24

Representation as Set Covering Problem

# Subset S(j)

1 2 3

1 {1, 2, 4, 5}

5 6

7 S(j) is j plus all of the

districts that share a

4 8 9 border with j.

11 district j covers S(j).

12 13

10 Choose a minimum number of

14 15 16 subsets that cover all of the

districts.

25

Set covering Problem

Let S = {1, 2, , n}, and suppose Sj S for each j.

=S

cardinality set cover of S.

Applications

Locating fire stations.

Locating hospitals.

Locating Starbucks

and many non-obvious applications. 26

Packing diamonds into a Chinese checkerboard

27

The Diamond Packing Problem

xd = 1 if diamond d is selected

xd = 0 if diamond d is not selected.

d

d x d x d 1

(d, d) O, implies that diamonds d and d have at least

one point in common

28

Set packing problem

Let S = {1, 2, , n}, and suppose Sj S for each j.

Si Sj = for i, j J.

cover of S.

Schedule a number of activities at the same

time (activities cannot be scheduled at the

same time if they require the same resource).

Allocate building space 29

Formulating the game of Sudoku as an IP

Each row has each of the values in [1, 9]

Each column has each of the values in [1, 9]

Each of the nine 3 x 3 blocks has each of the

values in [1, 9].

30

1,1 1,2 1,3 1,4 1,5 1,6 1,7 1,8 1,9

31

9 x 9 x 9 = 729 variables.

Formulate these

for9each

constraints

i [1,9]using

and Each row has each of

integerfor

programming

each k [1,9] the numbers 1 to 9

Formulate these

for9each

constraints

j [1,9]using

and Each column has each

integerfor

programming

each k [1,9] of the numbers 1 to 9

Create

Dontsets for with

bother eachthese

block.

yet. Each block has each

We need more notation

Constraint on next page. of the numbers 1 to 9

32

S1,1 S1,2 1,1 1,2 1,3

Define 9 blocks

2,1 2,2 2,3

within the 9 x 9 S2,1

Sudoku game. 3,1 3,2 3,3

(2, 1), , (3, 3)}.

for c = 1 to 3.

3r, 3c-2 3r, 3c-1 3r, 3c

and for each k [1, 9]

33

What happens if an IP

cannot be solved efficiently?

Sometimes, an IP cannot be solved efficiently.

Alternative approaches:

Use Branch and Bound but be less restrictive.

Dont ask for a guarantee of optimality.

Be satisfied with 5% or 10% guarantees.

Use techniques from another field, such as

artificial intelligence.

Rely on simple but practical heuristics for the

problem at hand. (Illustrated in the 3rd lecture

on networks.)

34

Final remarks on integer programming

Very powerful modeling approach

Standard approach within math optimization

Can model virtually any combinatorial problem

Lots of techniques for modeling logical

constraints and non-linearities

works well if nodes can be pruned early

better bounding helps early pruning

better bounding via valid inequalities

35

MIT OpenCourseWare

http://ocw.mit.edu

Spring 2013

For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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