Integer Programming: Wolfram Wiesemann
Integer Programming: Wolfram Wiesemann
Integer Programming: Wolfram Wiesemann
Wolfram Wiesemann
Examples
Capital Budgeting
Depot Location
Examples
Capital Budgeting
Depot Location
min x0 = c T x
subject to
Ax = b
xj ≥ 0 for j ∈ N = {1, . . . , n}
xj ∈ Z for j ∈ Z ⊆ N.
Examples
Capital Budgeting
Depot Location
subject to
2x1 + x2 ≤ 4 (∗3)
3x1 − 9x2 ≤ 4 (∗6)
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Obtaining a Pure Integer Progamming Problem
subject to
2x1 + x2 + x3 = 4
3x1 − 9x2 + x4 = 4
x1 , x2 , x3 , x4 ≥ 0
x1 , x2 , x3 , x4 ∈ Z.
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
n
X
max cj xj
x
j=1
subject to
n
X
aij xj ≤ bi ∀ i ∈ {1, . . . , m}
j=1
xj ∈ {0, 1} ∀ j ∈ {1, . . . , n}
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
m
X m X
X n
min f i yi + cij xij
x,y
i =1 i =1 j=1
subject to
m
X
xij = 1 ∀ j ∈ {1, . . . , n}
i =1
xij ≤ yi ∀ i ∈ {1, . . . , m} , j ∈ {1, . . . , n}
xij ≥ 0 ∀ i ∈ {1, . . . , m} , j ∈ {1, . . . , n}
yi ∈ {0, 1} ∀ i ∈ {1, . . . , m}
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
xj ∈ {p1 , . . . , pm } .
zj1 + . . . + zjm = 1.
p1 zj1 + . . . + pm zjm
Examples
Capital Budgeting
Depot Location
aT x ≤ b ∨ d Tx ≤ e
aT x − Mδ ≤ b
d T x − M(1 − δ) ≤ e
δ ∈ {0, 1} ,
min x
subject to
x ∈ [0, 1] ∨ x ≥ 2.
Solution. This can be expressed as:
min x
subject to
x ≤ 1 + Mδ
x ≥ 2 − M(1 − δ)
x ≥ 0.
Logical Operations
min x1 − x2
subject to
x1 + x2 ≤ 4
x1 ≥ 1 ∨ x2 ≥ 1 but not both x1 , x2 > 1
x1 , x2 ≥ 0.
Logical Operations
min x1 + x2
subject to
x1 + x2 ≤ 4
x1 ≥ 1 − Mδ
x2 ≥ 1 − M(1 − δ)
x1 ≤ 1 + M(1 − δ)
x2 ≤ 1 + Mδ
x1 , x2 ≥ 0.
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
Continuous relaxation: xj ∈ Z xj ∈ R.
Tightening: Add cutting planes (cut off current optimum).
The Big Picture
subject to
x1 + x2 ≤ 6
5x1 + 9x2 ≤ 45
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Example
5o
4o o
3o o o o
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
Example
5o
4o o
x
3o o o o
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
5o
4o o
x
3o o o o
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
5o
4o o
3o o o o
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
5o
4o o
3o o o xo
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
5o
4o o
3o o o o
2o o o o o
1o o o o o o
0o o o o o o o
0 1 2 3 4 5 6 7 8
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
(⌊a1 ⌋+[a1 − ⌊a1 ⌋])x1 +. . .+(⌊an ⌋+[an − ⌊an ⌋])xn = ⌊b⌋+[b − ⌊b⌋],
| {z } | {z } | {z }
f1 fn f
Observations.
1. As xj ∈ Z for all feasible x, right-hand side is integral.
2. Thus, for all feasible x, left-hand side must be integral, too.
3. As 0 ≤ f < 1, x ≥ 0 and left-hand side integral, left-hand side
must be non-negative.
Consequence. f1 x1 + . . . + fn xn − f ≥ 0 ⇔ f1 x1 + . . . + fn xn ≥ f
for every feasible x.
Gomory Cut
with yi 0 ∈
/ Z.
Gomory Cut. Setting fj := yij − ⌊yij ⌋, f := yi 0 − ⌊yi 0 ⌋, we get:
X
f j xj ≥ f . (∗)
/
j ∈I
P
(∗) is fulfilled for all feasible x but not for x ∗ : ∗
/ f j xj
j ∈I = 0 < f.
Contents of this Lecture
Examples
Capital Budgeting
Depot Location
subject to
2
x1 + x2 ≤ 3
5
2 2
x1 − x2 ≤ 1
5 5
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Example
subject to
2
x1 + x2 ≤ 3
5
2 2
x1 − x2 ≤ 1
5 5
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Example
subject to
2
x1 + x2 ≤ 3 (∗5)
5
2 2
x1 − x2 ≤ 1 (∗5)
5 5
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Example
subject to
2x1 + 5x2 ≤ 15
2x1 − 2x2 ≤ 5
x1 , x2 ≥ 0
x1 , x2 ∈ Z.
Example
subject to
2x1 + 5x2 + x3 = 15
2x1 − 2x2 + x4 = 5
x1 , x2 , x3 , x4 ≥ 0
x1 , x2 , x3 , x4 ∈ Z.
Example
BV x1 x2 x3 x4 RHS
x0 3 4 0
x3 2 5 1 15
x4 2 -2 1 5
Example
1 5 13
x3 + x4 ≥
7 14 14
1 5 13
⇔ (15 − 2x1 − 5x2 ) + (5 − 2x1 − 2x2 ) ≥
7 14 14
⇔ x1 ≤ 3
x0 − 45 − 57 − 81
5
1
x2 1 5 − 52 9
5
x1 1 1 3
2
x4 5 1 − 14
5
13
5
1 3 4
x3 + x5 ≥
5 5 5
1 3 4
⇔ (15 − 2x1 − 5x2 ) + (3 − x1 ) ≥
5 5 5
⇔ x1 + x2 ≤ 4
x0 − 31 − 37 − 43
3
1
x2 1 3 − 32 7
3
x1 1 − 31 5
3
5
3
4
x4 3 1 − 14
3
19
3
1
x5 3 1 − 35 4
3
Solution optimal; Simplex stops.
Example
1 1 1
x3 + x6 ≥
3 3 3
1 1 1
⇔ (15 − 2x1 − 5x2 ) + (4 − x1 − x2 ) ≥
3 3 3
⇔ x1 + 2x2 ≤ 6
x1 1 − 31 5
3
5
3
4
x4 3
1 − 14
3
19
3
1
x5 3
1 − 35 4
3
1 1 1
ζ 3 3
-1 3
x0 -2 -1 -14
x2 1 -1 1 2
x1 1 2 -1 2
x4 1 -6 4 5
x5 1 -2 1 1
x3 1 1 -3 1