Spreadsheet Modeling

& Decision Analysis

A Practical Introduction to
Management Science
5th edition

Cliff T. Ragsdale
 Chapter 6

Integer Linear Programming

 Introduction
 When one or more variables in an LP problem
must assume an integer value we have an
Integer Linear Programming (ILP) problem.
 ILPs occur frequently…
– Scheduling workers
– Manufacturing airplanes
 Integer variables also allow us to build more
accurate models for a number of common
business problems.
 Integrality Conditions
MAX: 350X1 + 300X2 } profit
S.T.: 1X1 + 1X2 <= 200 } pumps
9X1 + 6X2 <= 1566 } labor
12X1 + 16X2 <= 2880 } tubing
X1, X2>= 0 } nonnegativity
X1, X2 must be integers } integrality
Integrality conditions are easy to state but make the
problem much more difficult (and sometimes impossible)
to solve.
 Relaxation
 Original ILP
MAX: 2X1 + 3X2
S.T.: X1 + 3X2 <= 8.25
2.5X1 + X2 <= 8.75
X1, X2 >= 0
X1, X2 must be integers
 LP Relaxation
MAX: 2X1 + 3X2
S.T.: X1 + 3X2 <= 8.25
2.5X1 + X2 <= 8.75
X1, X2 >= 0
 Integer Feasible vs.
LP Feasible Region
X2
Integer Feasible Solutions
3

0
0 1 2 3 4 X1
 Solving ILP Problems
 When solving an LP relaxation, sometimes
you “get lucky” and obtain an integer feasible
solution.
 This was the case in the original Blue Ridge
Hot Tubs problem in earlier chapters.
 But what if we reduce the amount of labor
available to 1520 hours and the amount of
tubing to 2650 feet?
See file Fig6-2.xls
 Bounds
 The optimal solution to an LP relaxation of an ILP
problem gives us a bound on the optimal objective
function value.
 For maximization problems, the optimal relaxed
objective function values is an upper bound on the
optimal integer value.
 For minimization problems, the optimal relaxed
objective function values is a lower bound on the
optimal integer value.
 Rounding
 It is tempting to simply round a
fractional solution to the closest integer
solution.
 In general, this does not work reliably:
– The rounded solution may be infeasible.
– The rounded solution may be suboptimal.
How Rounding Down Can Result
in an Infeasible Solution
X2

2
optimal relaxed solution
infeasible solution obtained
by rounding down
1

0
0 1 2 3 4 X1
 Branch-and-Bound

 The Branch-and-Bound (B&B) algorithm

can be used to solve ILP problems.
 Requires the solution of a series of LP
problems termed “candidate problems”.
 Theoretically, this can solve any ILP.
 Practically, it often takes LOTS of
computational effort (and time).
 Stopping Rules
 Because B&B can take so long, most ILP packages
allow you to specify a suboptimality tolerance factor.
 This allows you to stop once an integer solution is
found that is within some % of the global optimal
solution.
 Bounds obtained from LP relaxations are helpful here.
– Example
LP relaxation has an optimal obj. value of $64,306.
95% of $64,306 is $61,090.
Thus, an integer solution with obj. value of $61,090
or better must be within 5% of the optimal solution.
 Using Solver

Let’s see how to specify integrality conditions

and suboptimality tolerances using Solver…

See file Fig6-8.xls

An Employee Scheduling Problem:
Air-Express
Day of Week Workers Needed Shift Days Off Wage
Sunday 18 1 Sun & Mon $680
Monday 27 2 Mon & Tue $705
Tuesday 22 3 Tue & Wed $705
Wednesday 26 4 Wed & Thr $705
Thursday 25 5 Thr & Fri $705
Friday 21 6 Fri & Sat $680
Saturday 19 7 Sat & Sun $655
 Defining the Decision Variables

X1 = the number of workers assigned to shift 1

X2 = the number of workers assigned to shift 2

X3 = the number of workers assigned to shift 3

X4 = the number of workers assigned to shift 4

X5 = the number of workers assigned to shift 5

X6 = the number of workers assigned to shift 6

X7 = the number of workers assigned to shift 7

 Defining the Objective Function

Minimize the total wage expense.

MIN: 680X1 +705X2 +705X3 +705X4 +705X5 +680X6 +655X7
 Defining the Constraints
 Workers required each day
0X1+ 1X2+ 1X3+ 1X4+ 1X5+ 1X6+ 0X7 >= 18 } Sunday
0X1+ 0X2+ 1X3+ 1X4+ 1X5+ 1X6+ 1X7 >= 27 } Monday
1X1+ 0X2+ 0X3+ 1X4+ 1X5+ 1X6+ 1X7 >= 22 }Tuesday
1X1+ 1X2+ 0X3+ 0X4+ 1X5+ 1X6+ 1X7 >= 26 } Wednesday
1X1+ 1X2+ 1X3+ 0X4+ 0X5+ 1X6+ 1X7 >= 25 } Thursday
1X1+ 1X2+ 1X3+ 1X4+ 0X5+ 0X6+ 1X7 >= 21 } Friday
1X1+ 1X2+ 1X3+ 1X4+ 1X5+ 0X6+ 0X7 >= 19 } Saturday

 Nonnegativity & integrality conditions

Xi >= 0 and integer for all i
Implementing the Model
See file Fig6-14.xls
 Binary Variables

 Binary variables are integer variables that

can assume only two values: 0 or 1.
 These variables can be useful in a number
of practical modeling situations….
 A Capital Budgeting Problem:
CRT Technologies
Expected NPV Capital (in $000s) Required in
Project (in $000s) Year 1 Year 2 Year 3 Year 4 Year 5
1 $141 $75 $25 $20 $15 $10
2 $187 $90 $35 $0 $0 $30
3 $121 $60 $15 $15 $15 $15
4 $83 $30 $20 $10 $5 $5
5 $265 $100 $25 $20 $20 $20
6 $127 $50 $20 $10 $30 $40

 The company has $250,000 available to invest in new projects.

It has budgeted $75,000 for continued support for these
projects in year 2 and $50,000 per year for years 3, 4, and 5.
 Unused funds in any year cannot be carried over.
 Defining the Decision Variables

1, if project i is selected

X  i  1,2,...,6
i  0, otherwise
 Defining the Objective Function

Maximize the total NPV of selected projects.

MAX: 141X1 + 187X2 + 121X3

+ 83X4 + 265X5 + 127X6
 Defining the Constraints
 Capital Constraints
75X1 + 90X2 + 60X3 + 30X4 + 100X5 + 50X6 <= 250 } year 1
25X1 + 35X2 +15X3 + 20X4 + 25X5 + 20X6 <= 75 } year 2
20X1 + 0X2 + 15X3 + 10X4 + 20X5 + 10X6 <= 50 } year 3
15X1 + 0X2 + 15X3 + 5X4 + 20X5 + 30X6 <= 50 } year 4
10X1 +30X2 +15X3 + 5X4 + 20X5 + 40X6 <= 50 } year 5
 Binary Constraints
All Xi must be binary
Implementing the Model
See file Fig6-17.xls
 Binary Variables
& Logical Conditions
 Binary variables are also useful in modeling a number
of logical conditions.
– Of projects 1, 3 & 6, no more than one may be
selected
X1 + X3 + X6 <= 1
– Of projects 1, 3 & 6, exactly one must be selected
X1 + X3 + X6 = 1
– Project 4 cannot be selected unless project 5 is
also selected
X4 – X5 <= 0
 The Fixed-Charge Problem
 Many decisions result in a fixed or lump-sum
cost being incurred:
– The cost to lease, rent, or purchase a piece of
equipment or a vehicle that will be required if a
particular action is taken.
– The setup cost required to prepare a machine or
to produce a different type of product.
– The cost to construct a new production line that
will be required if a particular decision is made.
– The cost of hiring additional personnel that will be
required if a particular decision is made.
 Example Fixed-Charge Problem:
Remington Manufacturing
Hours Required By:
Operation Prod. 1 Prod. 2 Prod. 3 Hours Available
Machining 2 3 6 600
Grinding 6 3 4 300
Assembly 5 6 2 400
Unit Profit $48 $55 $50
Setup Cost $1000 $800 $900
Defining the Objective Function

Maximize total profit.

MAX: 48X1 + 55X2 + 50X3 – 1000Y1 – 800Y2 – 900Y3

 Defining the Decision Variables
Xi = the amount of product i to be produced, i = 1, 2, 3

1, if X i  0

Yi   i = 1, 2, 3
0, if X i  0

 Defining the Constraints
 Resource Constraints
2X1 + 3X2 + 6X3 <= 600 } machining
6X1 + 3X2 + 4X3 <= 300 } grinding
5X1 + 6X2 + 2X3 <= 400 } assembly
 Binary Constraints
All Yi must be binary
 Nonnegativity conditions
Xi >= 0, i = 1, 2, ..., 6
 Is there a missing link?
 Defining the Constraints (cont’d)

 Linking Constraints (with “Big M”)

X1 <= M1Y1 or X1 - M1Y1 <= 0
X2 <= M2Y2 or X2 - M2Y2 <= 0
X3 <= M3Y3 or X3 - M3Y3 <= 0
 If Xi > 0 these constraints force the
associated Yi to equal 1.
 If Xi = 0 these constraints allow Yi to equal 0
or 1, but the objective will cause Solver to
choose 0.
 Note that Mi imposes an upper bounds on Xi.
 It helps to find reasonable values for the Mi.
Finding Reasonable Values for M1
 Consider the resource constraints
2X1 + 3X2 + 6X3 <= 600 } machining
6X1 + 3X2 + 4X3 <= 300 } grinding
5X1 + 6X2 + 2X3 <= 400 } assembly
 What is the maximum value X1 can assume?
Let X2 = X3 = 0
X1 = MIN(600/2, 300/6, 400/5)
= MIN(300, 50, 80)
= 50
 Maximum values for X2 & X3 can be found
similarly.
 Summary of the Model
MAX: 48X1 + 55X2 + 50X3 - 1000Y1 - 800Y2 - 900Y3
S.T.: 2X1 + 3X2 + 6X3 <= 600 } machining
6X1 + 3X2 + 4X3 <= 300 } grinding
5X1 + 6X2 + 2X3 <= 400 } assembly
X1 - 50Y1 <= 0
X2 - 67Y2 <= 0 linking constraints
X3 - 75Y3 <= 0
All Yi must be binary
Xi >= 0, i = 1, 2, 3
 Potential Pitfall
 Do not use IF( ) functions to model the
relationship between the Xi and Yi.
– Suppose cell A5 represents X1
– Suppose cell A6 represents Y1
– You’ll want to let A6 = IF(A5>0,1,0)
– This will not work with Solver!
 Treat the Yi just like any other variable.
– Make them changing cells.
– Use the linking constraints to enforce the
proper relationship between the Xi and Yi.
Implementing the Model
See file Fig6-21.xls
Minimum Order Size Restrictions
Suppose Remington doesn’t want to manufacture any units of
product 3 unless it produces at least 40 units...

Consider,
X3 <= M3Y3
X3 >= 40 Y3
 Quantity Discounts
 Assume…
– If Blue Ridge Hot Tubs produces more
than 75 Aqua-Spas, it obtains discounts
that increase the unit profit to $375.
– If it produces more than 50 Hydro-
Luxes, the profit increases to $325.
 Quantity Discount Model
MAX: 350X11 + 375X12 + 300X21 + 325X22
S.T.: 1X11 + 1X12 + 1X21 + 1X22 <= 200 } pumps
9X11 + 9X12 + 6X21 + 6X22 <= 1566 } labor
12X11+ 12X12+ 16X21+16X22 <= 2880 } tubing
X12<=M12Y1
X11>=75Y1
X22<=M22Y2
X21>=50Y2
Xij >= 0
Xij must be integers, Yi must be binary
 A Contract Award Problem
 B&G Construction has 4 building projects and
can purchase cement from 3 companies for the
following costs:

Cost per Delivered Ton of Cement Max.

Project 1 Project 2 Project 3 Project 4 Supply
Co. 1 $120 $115 $130 $125 525
Co. 2 $100 $150 $110 $105 450
Co. 3 $140 $95 $145 $165 550
Needs 450 275 300 350
(tons)
 A Contract Award Problem

 Side constraints:
– Co. 1 will not supply orders of less than 150 tons for any project
– Co. 2 can supply more than 200 tons to no more than one of the projects
– Co. 3 will accept only orders that total 200, 400, or 550 tons
Defining the Decision Variables

Xij = tons of cement purchased

from company i for project j
Defining the Objective Function

Minimize total cost

MIN: 120X11 + 115X12 + 130X13 + 125X14

+ 100X21 + 150X22 + 110X23 + 105X24

+ 140X31 + 95X32 + 145X33 + 165X34

 Defining the Constraints
 Supply Constraints
X11 + X12 + X13 + X14 <= 525 } company 1
X21 + X22 + X23 + X24 <= 450 } company 2
X31 + X32 + X33 + X34 <= 550 } company 3
 Demand Constraints
X11 + X21 + X31 = 450 } project 1
X12 + X22 + X32 = 275 } project 2
X13 + X23 + X33 = 300 } project 3
X14 + X24 + X34 = 350 } project 4
 Implementing the
Transportation Constraints

See file Fig6-25.xls

 Defining the Constraints-I
 Company 1 Side Constraints
X11<=525Y11
X12<=525Y12
X13<=525Y13
X14<=525Y14
X11>=150Y11
X12>=150Y12
X13>=150Y13
X14>=150Y14

Yij binary
 Defining the Constraints-II
 Company 2 Side Constraints
X21<=200+250Y21
X22<=200+250Y22
X23<=200+250Y23
X24<=200+250Y24
Y21 + Y22 + Y23 + Y24 <= 1

Yij binary
 Defining the Constraints-III

 Company 3 Side Constraints

X31 + X32 + X33 + X34 = 200Y31 + 400Y32 + 550Y33

Y31 + Y32 + Y33 <= 1

Implementing the Side Constraints

See file Fig6-25.xls

The Branch-And-Bound Algorithm

MAX: 2X1 + 3X2

S.T. X1 + 3X2 <= 8.25

2.5X1 + X2 <= 8.75

X1, X2 >= 0 and integer

 Solution to LP Relaxation
X2
3 Feasible Integer Solutions

Optimal Relaxed Solution

X1 = 2.769, X2=1.826
2 Obj = 11.019

0
0 3 4
1 2 X1
The Branch-And-Bound Algorithm
Problem I MAX: 2X1 + 3X2
S.T. X1 + 3X2 <= 8.25

2.5X1 + X2 <= 8.75

X1 <= 2

X1, X2 >= 0 and integer

Problem II MAX: 2X1 + 3X2

S.T. X1 + 3X2 <= 8.25

2.5X1 + X2 <= 8.75

X1 >= 3

X1, X2 >= 0 and integer

 Solution to LP Relaxation
X2
3 Problem I

X1=2, X2=2.083, Obj = 10.25

Problem II

0
0 3 4
1 2 X1
The Branch-And-Bound Algorithm
Problem III MAX: 2X1 + 3X2

S.T. X1 + 3X2 <= 8.25

2.5X1 + X2 <= 8.75

X1 <= 2

X2 <= 2

X1, X2 >= 0 and integer

Problem IV MAX: 2X1 + 3X2

S.T. X1 + 3X2 <= 8.25

2.5X1 + X2 <= 8.75

X1 <= 2

X2 >= 3

X1, X2 >= 0 and integer

X2 Solution to LP Relaxation
3 Problem III

X1=2, X2=2, Obj = 10

2
Problem II

X1=3, X2=1.25, Obj = 9.75

0
0 3 4
1 2 X1
 B&B Summary
Original Problem
X1=2.769
X2=1.826
Obj = 11.019 X1>=3
X1<=2
Problem II
Problem I
X1=2 X1=3
X2=2.083 X2=1.25
Obj = 10.25 Obj = 9.75

X2<=2 X2>=3

Problem III Problem IV

X1=2
X2=2 infeasible
Obj = 10
End of Chapter 6