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MILP in Details

Mixed-Integer Linear Programming (MILP) is an optimization technique that involves decision variables that can be continuous or must be integers, with a linear objective function and constraints. Solving MILP problems can be computationally intensive, employing methods such as Branch-and-Bound, Cutting Plane, and heuristics. Applications of MILP span various fields including scheduling, routing, finance, manufacturing, and energy.

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4 views2 pages

MILP in Details

Mixed-Integer Linear Programming (MILP) is an optimization technique that involves decision variables that can be continuous or must be integers, with a linear objective function and constraints. Solving MILP problems can be computationally intensive, employing methods such as Branch-and-Bound, Cutting Plane, and heuristics. Applications of MILP span various fields including scheduling, routing, finance, manufacturing, and energy.

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© © All Rights Reserved
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MILP in Details

Mixed-Integer Linear Programming (MILP) is a mathematical optimization technique used to


solve problems where some decision variables must take integer values (e.g., 0 or 1, whole
numbers), while others can be continuous. It combines Linear Programming (LP) with
Integer Programming (IP).

1. Key Components of MILP


A standard MILP problem consists of:

1. Decision Variables
o Continuous variables: Can take any real value within a range
o Integer variables: Must be whole numbers
o Binary variables: A special case where variables are restricted to 0 or 1
2. Objective Function
o A linear function to be maximized or minimized, e.g.,

Maximize c1x1+c2x2+d1y1+d2y2 where x are continuous, and y are integer


variables.

3. Constraints
o Linear inequalities or equalities restricting the feasible solution space, e.g.,

a11x1+a12x2+b11y1+b12y2≤C

4. Feasible Region
o The set of all points satisfying the constraints.

2. Solving MILP Problems


MILP problems are NP-Hard, meaning they can be computationally intensive for large-scale
problems. Common solution methods include:

(a) Branch-and-Bound (B&B)

 Step 1: Solve the relaxed LP problem (ignoring integer constraints).


 Step 2: If the solution violates integer constraints, branch into subproblems.
 Step 3: Bound by eliminating subproblems worse than the best-known integer
solution.
 Step 4: Repeat until all integer constraints are satisfied.

(b) Cutting Plane Methods

 Step 1: Solve the LP relaxation.


 Step 2: Add valid inequalities (cuts) to tighten the feasible region.
 Step 3: Re-solve until an integer solution is found.
(c) Branch-and-Cut (Hybrid of B&B and Cutting Planes)

 Combines Branch-and-Bound with Cutting Planes for efficiency.

(d) Heuristics & Metaheuristics

 Used for large problems where exact methods are too slow (e.g., Genetic Algorithms,
Simulated Annealing).

6. Applications of MILP
 Scheduling: Workforce, project planning.
 Routing: Vehicle routing (VRP), network design.
 Finance: Portfolio optimization with fixed costs.
 Manufacturing: Facility location, batch processing.
 Energy: Unit commitment in power systems.

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