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Bishram

Topics

Computer Solution of Integer Programming

Problems With Excel

1

Integer Programming Models

Types of Models

Model: integer solution values.

integer values of zero or one.

Model: all) required to have integer values.

■ Marginal profitability: each press $100/day; each lathe $150/day.

■ Resource constraints: $40,000 budget, 200 sq. ft. floor space.

■ Machine purchase prices and space requirements:

Required

Machine Floor Space (ft.2) Purchase Price

Press 15 $8,000

Lathe 30 4,000

2

A Total Integer Model (2 of 2)

subject to:

$8,000x1 + 4,000x2 ≤ $40,000

15x1 + 30x2 ≤ 200 ft2

x1, x2 ≥ 0 and integer

x1 = number of presses

x2 = number of lathes

A 0 - 1 Integer Model (1 of 2)

■ Selection constraint: either swimming pool or tennis center (not

both).

Recreation

(people/day) Cost ($) (acres)

Facility

Swimming pool 300 35,000 4

Tennis Center 90 10,000 2

Athletic field 400 25,000 7

Gymnasium 150 90,000 3

3

A 0 - 1 Integer Model (2 of 2)

Maximize Z = 300x1 + 90x2 + 400x3 + 150x4

subject to:

$35,000x1 + 10,000x2 + 25,000x3 + 90,000x4 ≤ $120,000

4x1 + 2x2 + 7x3 + 3x4 ≤ 12 acres

x1 + x2 ≤ 1 facility

x1, x2, x3, x4 = 0 or 1

x1 = construction of a swimming pool

x2 = construction of a tennis center

x3 = construction of an athletic field

x4 = construction of a gymnasium

one year.

■ Data:

Condominium cost $50,000/unit; $9,000 profit if sold after one

year.

Land cost $12,000/ acre; $1,500 profit if sold after one year.

Municipal bond cost $8,000/bond; $1,000 profit if sold after

one year.

Only 4 condominiums, 15 acres of land, and 20 municipal bonds

available.

4

A Mixed Integer Model (2 of 2)

Maximize Z = $9,000x1 + 1,500x2 + 1,000x3

subject to:

50,000x1 + 12,000x2 + 8,000x3 ≤ $250,000

x1 ≤ 4 condominiums

x2 ≤ 15 acres

x3 ≤ 20 bonds

x2 ≥ 0

x1, x3 ≥ 0 and integer

x1 = condominiums purchased

x2 = acres of land purchased

x3 = bonds purchased

value can result in an infeasible solution.

solution values but may result in a less than optimal (sub-optimal)

solution.

10

5

Integer Programming Example

Graphical Solution of Machine Shop Model

subject to:

8,000x1 + 4,000x2 ≤ $40,000

15x1 + 30x2 ≤ 200 ft2

x1, x2 ≥ 0 and integer

Optimal Solution:

Z = $1,055.56

x1 = 2.22 presses

x2 = 5.55 lathes

11

Total Integer Model with Excel (1 of 5)

subject to:

8,000x1 + 4,000x2 ≤ $40,000

15x1 + 30x2 ≤ 200 ft2

x1, x2 ≥ 0 and integer

12

6

Computer Solution of IP Problems

Total Integer Model with Excel (2 of 5)

13

Total Integer Model with Excel (4 of 5)

14

7

Computer Solution of IP Problems

Total Integer Model with Excel (3 of 5)

15

Total Integer Model with Excel (5 of 5)

16

8

Computer Solution of IP Problems

0 – 1 Model with Excel (1 of 5)

subject to:

$35,000x1 + 10,000x2 + 25,000x3 + 90,000x4 ≤ $120,000

4x1 + 2x2 + 7x3 + 3x4 ≤ 12 acres

x1 + x2 ≤ 1 facility

x1, x2, x3, x4 = 0 or 1

17

0 – 1 Model with Excel (2 of 5)

18

9

Computer Solution of IP Problems

0 – 1 Model with Excel (3 of 5)

19

0 – 1 Model with Excel (4 of 5)

20

10

Computer Solution of IP Problems

0 – 1 Model with Excel (5 of 5)

21

Mixed Integer Model with Excel (1 of 3)

Maximize Z = $9,000x1 + 1,500x2 + 1,000x3

subject to:

50,000x1 + 12,000x2 + 8,000x3 ≤ $250,000

x1 ≤ 4 condominiums

x2 ≤ 15 acres

x3 ≤ 20 bonds

x2 ≥ 0

x1, x3 ≥ 0 and integer

22

11

Computer Solution of IP Problems

Total Integer Model with Excel (2 of 3)

23

Solution of Total Integer Model with Excel (3 of 3)

24

12

25

General Idea:

Begin by solving the LP relaxation of the IP problem. If the LP

relaxation results in an integer solution, then done. Else, add a

constraint that “cuts” off the optimal solution obtained from the

relaxed problem. Solve this new LP problem. If the new solution is

integer, then stop. Else keep repeating this process until an integer

solution is obtained.

solutions are cut off when the new constraint is added, but which

also eliminates the optimal solution of the relaxed problem from the

feasible region.

13

Solving IPs – Cutting Plane Algorithm

Example: Max z = 8x1 + 5x2

s.t. x1 + x2 <= 6

9x1 + 5x2 <= 45

x1, x2 >= 0; x1, x2 are integer

z x1 x2 s1 s2 rhs

LP Solution: z = 41.25

x1 = 2.25

x2 = 3.75

Therefore, choose row from simplex tableau where basic variable

has the larger fractional component.

integer is the largest integer less than the coefficient:

x1 - 2s1 + .75s1 + 0s2 + .25s2 = 3 + .75

or

x1 – 2s1 – 3 = -.75s1 - .25s2 + .75

14

Solving IPs – Cutting Plane Algorithm

The cutting plane algorithm suggests that the equation where the

fractional components are set <= 0 be used as a new constraint to

the original problem.

Knowing that: s1 = 6 – x1 – x2

and s2 = 45 – 9x1 – 5x2,

3x1 + x2 <= 15

Since, Row 2: x1 – 2s1 – 3 = -.75s1 - .25s2 + .75

-.75s1 - .25s2 + .75 <= 0

satisfy the desire not to eliminate any feasible integer solutions, while eliminating

the optimal solution to the LP?

Any feasible solution to original problem satisfies Row 2 above. Also, any

feasible solution must have s1 and s2 >= 0 (non-negativity constraint). Thus, the

rhs of row 2 <= .75 < 1. Also because all decision variables are integer, then the

lhs of row 2 is integer. Thus the rhs must also be an integer that is less than 1.

This implies that point that is feasible for the IP satisfies the constraint:

-.75s1 - .25s2 + .75 <= 0

15

Solving IPs – Cutting Plane Algorithm

Since, Row 2: x1 – 2s1 – 3 = -.75s1 - .25s2 + .75

-.75s1 - .25s2 + .75 <= 0

satisfy the desire to eliminate the optimal solution of the LP?

z = 41.25, x1 = 2.25, x2 = 3.75, s1 and s2 = 0.

Thus: -.75s1 - .25s2 + .75 <= 0, so the current optimal solution is not in the

feasible region when this constraint is added.

problem: -.75s1 - .25s2 + .75 <= 0

z x1 x2 s1 s2 s3 rhs

16

Solving IPs – Cutting Plane Algorithm

(because of negative rhs) and the entering non-basic variable is s1

(min ratio test).

z x1 x2 s1 s2 s3 rhs

z 1 0 0 0 0.33 1.67 40

x2 0 0 1 0 -1 3 0

x1 0 1 0 0 0.67 -1.67 5

s1 0 0 0 1 0.33 -1.33 1

to original IP.

Dr. Bishram

17

Branch and Bound Method

■ Traditional approach to solving integer programming problems.

Feasible solutions can be partitioned into smaller subsets

Smaller subsets evaluated until best solution is found.

Method is a tedious and complex mathematical process.

■ Excel

35

Max z = 8x1 + 5x2

ST

x1 + 2x2 <= 10

5x1 + 2x2 <= 20

X1, x2 >=0

X1 2.50

X2 3.75 A

Z= 38.75

X2 <= 3 X2 >= 4

X1=2.8 X1 = 2

X2 = 3 X2 = 4

Z=37.4 Z = 36

B C

18

Branch & Bound - Continued

X1=2.8

X2 = 3

Z=37.4

X1 <= 2 X1 >= 3

X1=2 X1=3

X2 = 3 X2 = 2.5

D E

Z=31 Z=36.5

X2 <= 2 X2 >= 3

X1=3.2

X2 = 2 Infeasible Solution

F G

Z=35.6

in F, we need not carry out further

The solution is

X1 = 2

X2 = 4

Z = 36

19

Additional Computer Solution

Capital Budgeting Example (1 of 4)

■ University bookstore expansion project.

■ Not enough space available for both a computer department and a

clothing department.

Project

($1,000s) 1 2 3

2. Warehouse 85 45 35 20

3. Clothing department 105 60 25 --

4. Computer department 140 50 35 30

5. ATMs 75 30 30 --

40

20

0 – 1 Integer Programming Modeling Examples

Capital Budgeting Example (2 of 4)

x1 = selection of web site project

x2 = selection of warehouse project

x3 = selection clothing department project

x4 = selection of computer department project

x5 = selection of ATM project

xi = 1 if project “i” is selected, 0 if project “i” is not selected

subject to:

55x1 + 45x2 + 60x3 + 50x4 + 30x5 ≤ 150

40x1 + 35x2 + 25x3 + 35x4 + 30x5 ≤ 110

25x1 + 20x2 + 30x4 ≤ 60

x3 + x4 ≤ 1

xi = 0 or 1

41

Capital Budgeting Example (3 of 4)

42

21

0 – 1 Integer Programming Modeling Examples

Capital Budgeting Example (4 of 4)

43

Fixed Charge and Facility Example (1 of 4)

Which of six farms should be purchased that will meet current

production capacity at minimum total cost, including annual fixed

costs and shipping costs?

Available Plant ($/ton shipped)

Plant Capacity

(tons,1000s) Farm A B C

A 12

B 10 1 18 15 12

C 14

2 13 10 17

Farms Annual Fixed Projected Annual 3 16 14 18

Costs Harvest (tons, 1000s) 4 19 15 16

($1000)

1 405 11.2 5 17 19 12

2 390 10.5 6 14 16 12

3 450 12.8

4 368 9.3

5 520 10.8

6 465 9.6

44

22

0 – 1 Integer Programming Modeling Examples

Fixed Charge and Facility Example (2 of 4)

yi = 0 if farm i is not selected, and 1 if farm i is selected; i = 1,2,3,4,5,6

xij = potatoes (1000 tons) shipped from farm I to plant j; j = A,B,C.

Minimize Z = 18x1A+ 15x1B+ 12x1C+ 13x2A+ 10x2B+ 17x2C+ 16x3+ 14x3B

+18x3C+ 19x4A+ 15x4b+ 16x4C+ 17x5A+ 19x5B+12x5C+ 14x6A

+ 16x6B+ 12x6C+ 405y1+ 390y2+ 450y3+ 368y4+ 520y5+ 465y6

subject to:

x1A + x1B + x1B - 11.2y1 ≤ 0 x2A + x2B + x2C -10.5y2 ≤ 0

x3A + x3A + x3C - 12.8y3 ≤ 0 x4A + x4b + x4C - 9.3y4 ≤ 0

x5A + x5B + x5B - 10.8y5 ≤ 0 x6A + x6B + X6C - 9.6y6 ≤ 0

x1B + x2B + x3B + x4B + x5B + x6B = 10

x1C + x2C + x3C + x4C + x5C + x6C = 14

xij ≥ 0 yi = 0 or 1

45

Fixed Charge and Facility Example (3 of 4)

46

23

0 – 1 Integer Programming Modeling Examples

Fixed Charge and Facility Example (4 of 4)

47

Set Covering Example (1 of 4)

APS wants to construct the minimum set of new hubs in these twelve

cities such that there is a hub within 300 miles of every city:

Cities Cities within 300 miles

1. Atlanta Atlanta, Charlotte, Nashville

2. Boston Boston, New York

3. Charlotte Atlanta, Charlotte, Richmond

4. Cincinnati Cincinnati, Detroit, Indianapolis, Nashville, Pittsburgh

5. Detroit Cincinnati, Detroit, Indianapolis, Milwaukee, Pittsburgh

6. Indianapolis Cincinnati, Detroit, Indianapolis, Milwaukee, Nashville, St. Louis

7. Milwaukee Detroit, Indianapolis, Milwaukee

8. Nashville Atlanta, Cincinnati, Indianapolis, Nashville, St. Louis

9. New York Boston, New York, Richmond

10. Pittsburgh Cincinnati, Detroit, Pittsburgh, Richmond

11. Richmond Charlotte, New York, Pittsburgh, Richmond

12. St. Louis Indianapolis, Nashville, St. Louis

48

24

0 – 1 Integer Programming Modeling Examples

Set Covering Example (2 of 4)

xi = city i, i = 1 to 12; xi = 0 if city is not selected as a hub and xi = 1 if it is.

Minimize Z = x1 + x2 + x3 + x4 + x5 + x6 + x7 + x8 + x9 + x10 + x11 + x12

subject to: Atlanta: x1 + x3 + x8 ≥ 1

Boston: x2 + x10 ≥ 1

Charlotte: x1 + x3 + x11 ≥ 1

Cincinnati: x4 + x5 + x6 + x8 + x10 ≥ 1

Detroit: x4 + x5 + x6 + x7 + x10 ≥ 1

Indianapolis: x4 + x5 + x6 + x7 + x8 + x12 ≥ 1

Milwaukee: x5 + x6 + x7 ≥ 1

Nashville: x1 + x4 + x6+ x8 + x12 ≥ 1

New York: x2 + x9+ x11 ≥ 1

Pittsburgh: x4 + x5 + x10 + x11 ≥ 1

Richmond: x3 + x9 + x10 + x11 ≥ 1

St Louis: x6 + x8 + x12 ≥ 1 xij = 0 or 1

49

Set Covering Example (3 of 4)

25

0 – 1 Integer Programming Modeling Examples

Set Covering Example (4 of 4)

51

Thank You

52

26

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