QUANTITATIVE METHODS II

TERM II, PGP

SESSION 14
INSTRUCTOR: ANAND KUMAR
Relationship between LP and IP
Assuming that we are solving a Maximization problem, let
Z*LP = Value of LP optimal solution
Z*IP = Value of IP optimal solution
What is the relationship between these?
Z*LP ≥ Z*IP Why?
What about Minimization problem?

A solution feasible to IP is also feasible to LP.

IP solution set is a subset of LP solution set
LP solution provides a Upper Bound for IP problem (Max Prob.)
Lower Bound (Min Prob.)

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Implicit Enumeration

Consider a subset of possible solutions

(say those which satisfy some additional constraints, e.g. x1 = 1 and x5 =

0)
Suppose we can show that none of the solutions in this subset can be
optimal.
Then, this entire subset can be ignored.

No need to examine each individual solution in this subset.

This subset has been implicitly enumerated.
How to systematically identify such subsets and show that they do not
contain optimal solution?

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Implicit Enumeration (Maximization Prob.)

Find the best LP solution for this subset by solving the LP

LP solution value = Z*LP(S)

Suppose we already know an integer solution outside this subset (not
necessarily optimal) with value ZIP
Suppose that Z*LP(S) < ZIP
What does it imply? Can any integer solution in subset S be better than
ZIP ? Why not?
Even the best LP solution has value worse than a known solution. An IP
solution must be even worse.
This subset cannot contain the optimal solution.

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Maximization Problem

ZIP=105
105
Z*LP=100

100 How to identify such groups

systematically, without missing
≤100 any possible solutions?
Divide and Conquer approach!

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Branch and Bound Algorithm
Solve problem as an LP.
If the solution is integral, it is optimum. Why?
If not integral, pick a variable at fractional value, e.g. x1 = 3.7
Divide the solution set into two subsets (Branching process)
Subset 1: All solutions with x1 ≤ 3
Subset 2: All solutions with x1 ≥ 4
What about the subset of solutions with 4 > x1 > 3 ?
BUT, this subset does not contain any integer solution.
For each subset, solve the LP, yielding an upper bound for each set
(Bounding Process)
These subsets will be further sub-divided into still smaller subsets.

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As the sets are sub-divided, for some of them the LP solution will turn out to be integral
(Why?)

(3.7,2.9)

(3.4,2.0)

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Fathoming
Suppose for a given subset, LP solution is integral.
What is the implication of this?
Do we need to further sub-divide this set? Why or why not.
If LP solution is integral, it is the best IP solution in that set.
No need to search this set any more.
The set has been Fathomed or implicitly enumerated.
A set is said to be fathomed when
either a) we know the best IP solution in this set.
Or b) We know it cannot contain the optimum solution, because its LP
solution is worse than a known IP solution.
There is no need to further sub-divide a fathomed set. Why?

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Incumbent Solution

As the sets are sub-divided, for some of them LP solution will be integral.
Keep track of the best integer solution that you come across.
The current best known integer solution is the incumbent solution.
As and when a better integer solution is found, the incumbent is updated.
ZINC is the value of incumbent solution.
ZINC provides
a lower bound on optimum IP solution (Maximization Problem)
a upper bound on optimum IP solution (Minimization Problem)
ZINC ≤ Z*IP (Max Prob.), ZINC ≥ Z*IP (Min Prob.)

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Branch and Bound Tree

Solution set is progressively sub-divided into smaller sets.

How to systematically keep track of all the sub-sets.
A tree structure is useful.
75.3
Root node represents original set. x1 ≤ x1 ≥
Child nodes are created to represent division into subsets. 3 4
Keep LP solution at every node 72.5 68.5
Dangling node: A node that needs to be further explored.
Fathomed Node: Need not be explored further.
Node Selection Rule:
Which of dangling nodes to explore next.
Branch Selection Rule:
Which variable should be selected for further branching.

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Zinc = 13
14
∞
(0.72,1.23) 9.04
Minimization
x1 ≤ 0 x1 ≥ 1

(0,2.5) 12.5 9.625 (1, 1.125)

x2 ≤ 2 x2 ≥ 3
x2 ≤ 1 x2 ≥ 2
(0,3)
15.3 15 (1,2)
(1.33,1) 10.33 14.0
x1 ≤ 1 x1 ≥ 2

(2,0.75)
14.8 11.75
x2 ≤ 0 x2 ≥ 1

(4,0) (2,1)
16 13

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Branch and Bound Algorithm (Minimization
Problem)
Step 0: (Initialization) Let Zinc = ∞. Solve the LP relaxation. If integral, the solution is
optimal, STOP. Otherwise, create the root node and put it on the list of dangling nodes.
Step 1: (Node Selection) If the list of dangling nodes is empty, the current incumbent
solution is optimal, STOP. Otherwise, select a dangling node according to the node selection
criterion, and go to step 2.
Step 2: (Branching) Pick a branch variable as per branch selection rule, create the two new
dangling nodes corresponding to the two branches and solve the LP corresponding to them.
Step 3: (Incumbent Updation) If the LP solution for either node is integral and less than the
current incumbent, update the incumbent solution.
Step 4: (Fathoming)
a) If at either node ZLP ≥ Zinc, remove the node from the list of dangling nodes.
b) If incumbent was updated in Step 3, compare Zinc with ZLP for each dangling node,
and remove any node with ZLP ≥ Zinc from the list of dangling nodes.
Go back to Step 1.

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Maximize Z=4x1-2x2+7x3-x4

x1+5x3 <= 10
x1+x2-x3 <= 1
6x1-5x2 <= 0
-x1+2x3-2x4 <= 3

xi >= 0, integer for i=1,2,3

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Travelling Salesman Problem
Given a set of cities and distances among them, find a minimum distance tour
that visits each city exactly once.
Applications
Routing of trucks
Circuit board drilling
Machine Scheduling (when setup time depends on previous as well as next
job)
Decision Variables?
Constraints?
Objective Function?

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xij = 1 if salesman travels from city i to city j, =0 otherwise
n(n-1) variables
Minimize ∑i ∑j cijxij
subject to: ∑j xij = 1 ∀i (I)
∑i xij = 1 ∀j (II)
∑i∈S∑j∈S′ xij ≥ 1 ∀ S⊂N (III) sub-tour breaking cons.
xij = 0,1
Relax (III), yields an assignment problem.
Easy to solve.
Provides a lower bound.
Solution is integral.
What is violated? Sub-tour breaking constraints.
How to fix that?

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Vehicle Routing Problem
Given
- a central depot,
- a number of customer locations, each with demand wi
- vehicles with capacity W
- matrix of distances dij
Find a set of vehicle routes, each originating and terminating at the depot such that
- all customers are served
- total quantity loaded on each vehicle does not exceed the vehicle capacity W
- total distance traveled by all vehicles is minimized
Splitting of customer demands not permitted
No limit on number of trucks available

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