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International Series in
Operations Research & Management Science
Josef Kallrath
Business Optimization
Using Mathematical
Programming
An Introduction with Case Studies and
Solutions in Various Algebraic Modeling
Languages
Second Edition
International Series in Operations Research
& Management Science
Founding Editor
Frederick S. Hillier
Stanford University, Stanford, CA, USA
Volume 307
Series Editor
Camille C. Price
Department of Computer Science, Stephen F. Austin State University,
Nacogdoches, TX, USA
Associate Editor
Joe Zhu
Foisie Business School, Worcester Polytechnic Institute, Worcester, MA, USA
More information about this series at http://www.springer.com/series/6161
Josef Kallrath
Second Edition
Josef Kallrath
Department of Astronomy
University of Florida
Gainesville, FL, USA
This Springer imprint is published by the registered company Springer Nature Switzerland AG.
The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Dedication (2nd Edition)
1 Josef Kallrath.
2 John M. Wilson.
Foreword
ix
x Foreword
book, the reader gets a convincing report on the practical relevance of contemporary
mathematical optimization.
As a coordinating editor of the European Journal of Operational Research
(EJOR) since 20 years, I can say that the character of this book is perfectly consistent
with our editorial policy, in the sense that, similarly to EJOR, it underlines the link
between the state-of-the-art methodology of optimization with practice of decision-
making. Thus, I am pleased to congratulate Josef Kallrath on the excellent update of
the first edition, and I am confidently recommending this book to students, teachers,
researchers, and industrial practitioners who wish to learn how to effectively cope
with complex decision problems using mathematical optimization.
xi
xii Preface to the 2nd Edition
Department of Mathematical Modeling and Optimal Design, Kharkiv, Ukraine and Kharkiv
National University of Radioelectronics, Department of Applied Mathematics.
Preface to the 2nd Edition xiii
In the first edition, a few larger case studies had been analyzed and solved with
XPRESS-MP, the predecessor of what is now FICO Xpress Mosel and FICO
Xpress Optimization, or Xpress in short. We have kept the text from the
first edition in this second edition and continue referring to this modeling and solver
XPRESS-MP from the 1990s in this context. We proceed similarly for currencies
as well as the hardware or software equipment used. The real-world case studies
from the 1990s remain unchanged. As XPRESS-MP and its modeling language
mp-model use integer indices but not index sets, the first edition and its case
studies are formulated using numerical indices. In this second edition, we leave
the case studies untouched but use index sets in all material added. The formerly
large MILP problems from 20 years ago have become toy examples for commercial
solvers in 2020 — and the spreadsheet software LOTUS-1-2-3 does not seem
to be in use any longer. This should serve as a good warning and advise for the
future. Only ASCII data has a reasonably long lifetime. Everything else strongly
depends on market changes. The lifetime of software seems to be very limited —
and even if the software still exists, backward compatibility is not guaranteed either.
Fortunately, the first edition has been written in LATEX, and is retained, largely, in
the second edition.
Overall, we hope that the reader benefits from this second edition in various
ways: providing a path to efficient modeling, and learning what is relevant nowa-
days, and which problems can be handled efficiently concerning mixed integer
optimization and non-convex nonlinear optimization. If the reader has fun on the
way reading this book, all the better.
Acknowledgment
It is a pleasure to again thank some friends and colleagues who have accompanied
me for many years in my work or private environment and who in various ways
have directly or indirectly contributed to the success of this book. This applies
to everyone who has already been mentioned in the acknowledgment of the first
edition. Between 1997 and 2020, I established close relationships or friendships
with many new collaboration partners. These are, especially, Dr. Franz Nelißen
and Dr. Michael Bussieck (GAMS Software GmbH, Frechen and Braunschweig,
Germany), Prof. Dr. Christoudoulos A. Floudas (Princeton University, Princeton,
xiv Preface to the 2nd Edition
NJ, USA),4 and Prof. Dr. Panos M. Pardalos (Center of Applied Optimization,
University of Florida, Gainesville, FL). The contacts from my leadership of the
GOR working group Praxis der Mathematischen Optimierung have also contributed
indirectly to this expanded second edition.
A special word of thanks is directed to all the (new) project partners during
the last 20 years: I have cherished many of them because of their enthusiasm and
their in-depth knowledge of their application areas — and I have all of them in
good memory. They all had in common that, for improving the benefits of their
company, they wanted to enhance their methods in their applications areas by
thorough mathematical modeling, which often led to mixed integer optimization.
Interacting and communicating with them has been an important element during
the projects and has some influence on this book. From the many German BASF
project partners who have contributed indirectly to this book over several years, I
would like to mention a few: Dr. Wolfram Schmidt and his team with Dr. Markus
Klumpe and Bernd Heisel-Hoffmann, Norbert Vormbrock with a common history
at Bonn University, and Dr. Gerd Fischer with his exciting rail car projects. It has
been a pleasure to work with such people who feel the need to understand and solve
a problem as deeply and as thoroughly as possible. High quality and sustainable
solutions require deep understanding, dedication to detail, and the will to solve a
problem on one’s own initiative. I strongly hope that the project partners mentioned
above will still have sufficient time left for focusing deeply on their projects and that
they can enjoy their work.
For a thorough examination and proofreading of the manuscript as well as
many constructive comments and suggestions that have improved the book, it is a
pleasure to thank Dr. Jens Schulz and Dr. Susanne Heipcke (FICO, Berlin, Germany
and Marseille, France); Jan-Erik Justkowiak (Siegen University, Siegen, Germany);
Dr. Philipp M. Christophel (SAS Institute, Heidelberg, Germany); Dr. Johannes
Schlöder (IWR, Heidelberg University, Heidelberg, Germany); Prof. Dr. Iiro Har-
junkoski (Hitachi ABB Power Grids, Mannheim, Germany); Prof. Dr. Eugene
F. Milone (University of Calgary, Calgary, Canada); Prof. Dr. Tapio Westerlund
(Abo University, Finland); Prof. Dr. Ivo Nowak (Hochschule für angewandte
Wissenschaften Hamburg, Hamburg, Germany); Prof. Dr. Alexandra Newman and
Prof. Dr. Tulay Flamand and Phillip Bülow and Louis Kamga and Oluwaseun
Ogunmodede (Colorado School of Mines, Golden, CO, USA); John Cox (US Air
Force, Colorado School of Mines, Golden, CO, USA); Prof. Dr. David Morton
(Northwestern University, Evanston, IL, USA); Dr. Joonghyun Ryu (Hanyang
University, Seoul, Korea); Dominik Schweisgut who also wrote a first draft of
Appendix C (Heidelberg University, Heidelberg, Germany); Prof. Eli V. Olinick
(Southern Methodist University in Dallas, TX, USA); Prof. Dr. Ignacio E. Gross-
mann, Can Li, and Prof. Dr. Destenie Nock (Carnegie Mellon University, PA, USA);
4 Unfortunately, for the whole community, Prof. Floudas passed away in August 2016. I lost a
close collaborator and friend, we shared many common ideas and had joint activities since the
early 1990s.
Preface to the 2nd Edition xv
Dr. Michael Bussieck, Frederick Fiand, and Dr. Stefan Vigerske (GAMS Software
GmbH, Braunschweig, Germany); Dr. Anna Schreieck (Neustadt a.d. Weinstraße,
Germany); Prof. Dr. Stefan Helber (Leibniz University Hanover, Hanover, Ger-
many); and Prof. Dr. Siegfried Jetzke (Ostfalia University of Applied Sciences,
Salzgitter, Germany).
I thank Erwin Kalvelagen (www.amsterdamoptimization.com) for his kind
permission to use his GAMS file lagRel.gms in MCOL and parts of his description
on Lagrange relaxation in this book. From Fair Issac Corporation, I received the
permission to use the FICO® Xpress Mosel modeling examples and FICO® Xpress
Insight visualization examples. FICO is a trademark of Fair Isaac Corporation.
Finally, I thank my daughter Diana for producing the cartoon-like illustrations in
this book and proofreading, and Christian Rauscher, the editor in charge at Springer
(Heidelberg), with whom I had been working for many years — and who has
promoted this second edition of the book.
This book arose from a realization that modeling using mathematical programming
should be tightly linked with algorithms and their software implementation to solve
optimization problems. Such linkage is necessary for a full appreciation of the meth-
ods used to model problems that will ensure they can be solved successfully. While
there exist textbooks concentrating on the pure mathematics aspects of optimization,
and others which just describe applications without providing sufficient technical
background, we see our book as trying to provide a link between applications and the
mathematics required to solve real-world problems. Few textbooks have integrated
modeling with state-of-the-art commercially available software. Our book will also
incorporate this missing link and will include the software to solve the models
discussed.
Optimization using mathematical programming is an important subject area as
it can determine the dramatic savings available to organizations that could not be
achieved by other means. In this book, examples are cited where organizations are
saving many millions of pounds (sterling) or dollars (US) by using optimization
methods. Mathematical optimization models are part of tools that can help people
in the process of making decisions concerning the use of resources and saving costs.
Mathematical programming also provides a way to solve problems that, because
of their size or other features, would not otherwise be solvable by other methods. In
major cities, e.g., London, mathematical programming models influence the control
of the flow of domestic water through the city as the model is used to determine the
most efficient strategy to move water from source to user as peaks and troughs in the
usage pattern develop. Thus, the results from mathematical programming models
are literally all around many of us.
The need for a source book of material on the subject was recognized while
teaching at Heidelberg University and Loughborough University and while planning
conference sessions on the practical relevance of mixed integer optimization.
Although there is an extensive literature on mathematical programming, the
paucity of instructional materials in the area of efficient modeling and solving real-
world problems is striking. The student, researcher, or industrial practitioner must
read between the lines of material, usually only available in journal articles or
xvii
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