Integer Programming

 Introduction to Integer Programming (IP)

 Difficulties of LP relaxation

 IP Formulations

 Branch and Bound Algorithms

Reference: Chapter 9 in W. L. Winston’s book.

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 Integer Programming Model

 An Integer Programming model is a linear programming

problem where some or all of the variables are required to
be non-negative integers.

 These models are in general substantially harder than

solving linear programming models.

 Network models are special cases of integer programming

models and are very efficiently solvable.

 We will discuss several applications of integer programming

models.

 We will study the branch and bound technique, one of the

most popular algorithm to solve integer programming
models.

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 Classifications of IP Models
Pure IP Model: Where all variables must take integer values.

Maximize z = 3x1 + 2x2

subject to x1 + x2  6
x1, x2  0, x1 and x2 integer

Mixed IP Model: Where some variables must be integer while others

can take real values.

Maximize z = 3x1 + 2x2

subject to x1 + x2  6
x1, x2  0, x1 integer

0-1 IP Model: Where all variables must take values 0 or 1 .

Maximize z = x1 - x2
subject to x1 + 2x2  2
2x1 - x2  1, x1, x2 = 0 or 1

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 Classifications of IP Models (contd.)
LP Relaxation: The LP obtained by omitting all integer or 0-1
constraints on variables is called the LP relaxation of IP.

IP:
Maximize z = 21x1 + 11x2
subject to
7x1 + 4x2  13
x1, x2  0, x1 and x2 integer

LP Relaxation:
Maximize z = 21x1 + 11x2
subject to
7x1 + 4x2  13
x1, x2  0

Result:
Optimal objective function value of IP 
Optimal obj. function value of LP relaxation

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 IP and LP Relaxation

3
x

2
x

x2 7x1 + 4x2= 13
1
x

x x x x
1 2 3
x1

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 Simple Approaches for Solving IP
Approach 1:

 Enumerate all possible solutions

 Determine their objective function values
 Select the solution with the maximum (or, minimum) value.

Any potential difficulty with this approach?

Approach 2:

 Solve the LP relaxation

 Round-off the solution to the nearest feasible integer
solution

Any potential difficulty with this approach?

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 Capital Budgeting Problem
 Stockco Co. is considering four investments

 It has $14,000 available for investment

 Formulate an IP model to maximize the NPV obtained from

the investments

Investment 1 2 3 4
choice
Cash $5000 $7000 $4000 $3000
outflow
NPV $16000 $22000 $12000 $8000
IP:

Maximize z = 16x1 + 22x2 + 12x3 + 8x4

subject to

5x1 + 7x2 + 4x3 + 3x4  14

x1, x2,,x3, x4  0, 1
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 Fixed Charge Problem
 Gandhi cloth company manufactures three types of clothing: shirts,
shorts, and pants

 Machinery must be rented on a weekly basis to make each type of clothing.

Rental Cost:

 $200 per week for shirt machinery

 $150 per week for shorts machinery
 $100 per week for pants machinery

 There are 150 hours of labor available per week and 160 square yards of
cloth

 Find a solution to maximize the weekly profit

Labor hr Cloth yd Var. cost Price

Shirts 3 4 $12 $6
Shorts 2 3 $8 $4
Pants 6 4 $15 $8

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 Fixed Charge Problem (contd.)
Decision Variables:

x1 = number of shirts produced each week

x2 = number of shorts produced each week
x3 = number of pants produced each week

y1 = 1 if shirts are produced and 0 otherwise

y2 = 1 if shorts are produced and 0 otherwise
y3 = 1 if pants are produced and 0 otherwise

Formulation:

Max. z = 6x1 + 4x2 + 7x3 - 200y1 - 150 y2 - 100y3

subject to
3x1 + 2x2 + 6x3  150
4x1 + 3x2 + 4x3  160
x1  M y1, x2  M y2, x3  M y3
x1, x2,,x3  0, and integer; y1, y2,,y3  0 or 1

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 Either-Or Constraints
 Dorian Auto is considering manufacturing three types of auto:
compact, midsize, large.

 Resources required and profits obtained from these cars are given
below.

 We have 6,000 tons of steel and 60,000 hours of labor available.

 If any car is produced, we must produce at least 1,000 units of that

car.

 Find a production plan to maximize the profit.

Compact Midsize Large

Steel Req. 1.5 tons 3 tons 5 tons
Labor Req. 30 hours 25 hours 40 hours
Profit $2000 $3000 $4000

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 Either-Or Constraints (contd.)
Decision Variables:

x1, x2, x3 = number of compact, midsize and large cars produced

y1, y2, y3 = 1 if compact , midsize and large cars are produced or not

Formulation:

Maximize z = 2x1 + 3x2 + 4x3

subject to
x1  My1; x2  My2; x3  My3
1000 - x1  M(1-y1)
1000 - x2  M(1-y2)
1000 - x3  M(1-y3)
1.5 x1 + 3x2 + 5x3  6000
30 x1 + 25x2 + 40 x3  60000

x1, x2, x3  0 and integer; y1, y2, y3 = 0 or 1

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 Set Covering Problems
 Western Airlines has decided to have hubs in USA.

 Western runs flights between the following cities: Atlanta,

Boston, Chicago, Denver, Houston, Los Angeles, New Orleans,
New York, Pittsburgh, Salt Lake City, San Francisco, and
Seattle.

 Western needs to have a hub within 1000 miles of each of

these cities.
 Determine the minimum number of hubs

Cities within 1000 miles

Atlanta (AT) AT, CH, HO, NO, NY, PI
Boston (BO) BO, NY, PI
Chicago (CH) AT, CH, NY, NO, PI
Denver (DE) DE, SL
Houston (HO) AT, HO, NO
Los Angeles (LA) LA, SL, SF
New Orleans (NO) AT, CH, HO, NO
New York (NY) AT, BO, CH, NY, PI
Pittsburgh (PI) AT, BO, CH, NY, PI
Salt Lake City (SL) DE, LA, SL, SF, SE
San Francisco (SF) LA, SL, SF, SE
Seattle (SE) SL, SF, SE

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 Formulation of Set Covering Problems
Decision Variables:

xi = 1 if a hub is located in city i

xi = 0 if a hub is not located in city i

Minimize xAT + xBO + xCH + xDE + xHO + xLA + xNO + xNY + xPI + xSL + xSF + xSE

subject to

AT BO CH DE HO LA NO NY PI SL SF SE Required
AT 1 0 1 0 1 0 1 1 1 0 0 0 xAT >= 1
BO 0 1 0 0 0 0 0 1 1 0 0 0 xBO >= 1
CH 1 0 1 0 0 0 1 1 1 0 0 0 xCH >= 1
DE 0 0 0 1 0 0 0 0 0 1 0 0 xDE >= 1
HO 1 0 0 0 1 0 1 0 0 0 0 0 xHO >= 1
LA 0 0 0 0 0 1 0 0 0 1 1 0 xLA >= 1
NO 1 0 1 0 1 0 1 0 0 0 0 0 xNO >= 1
NY 1 1 1 0 0 0 0 1 1 0 0 0 xNY >= 1
PI 1 1 1 0 0 0 0 1 1 0 0 0 xPI >= 1
SL 0 0 0 1 0 1 0 0 0 1 1 1 xSL >= 1
SF 0 0 0 0 0 1 0 0 0 1 1 1 xSF >= 1
SE 0 0 0 0 0 0 0 0 0 1 1 1 xSE >= 1

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 Additional Applications

 Location of fire stations needed to cover all cities

 Location of fire stations to cover all regions

 Truck despatching problem

 Political redistricting

 Capital investments

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 Branch and Bound Algorithm

 Branch and bound algorithms are the most popular methods

for solving integer programming problems

 They enumerate the entire solution space but only implicity;

hence they are called implicit enumeration algorithms.

 A general-purpose solution technique which must be

specialized for individual IP's.

 Running time grows exponentially with the problem size, but

small to moderate size problems can be solved in
reasonable time.

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 An Example
 Telfa Corporation makes tables and chairs

 A table requires one hour of labor and 9 square board feet of

wood

 A chair requires one hour of labor and 5 square board feet of

wood

 Each table contributes $8 to profit, and each

chair contributes $5 to profit.

 6 hours of labor and 45 square board feet is

available

 Find a product mix to maximize the profit

Maximize z = 8x1 + 5x2

subject to x1 + x2  6; 9x1 + 5x2  45; x1, x2  0; x1, x2 integer

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 Feasible Region for Telfa’s Problem
Subproblem 1 : The LP relaxation of
original

Optimal LP Solution: x1 = 3.75 and

x2 = 2.25 and z = 41.25

Subproblem 2: Subproblem 1 +
Constraint x1  4

Subproblem 3: Subproblem 1 +
Constraint x1  3

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 Feasible Region for Subproblems
Branching : The process of
decomposing a subproblem into two
or more subproblems is called
branching.

Optimal solution of Subproblem 2:

z = 41, x1 = 4, x2 = 9/5 = 1.8

Subproblem 4: Subproblem 2 +
Constraint x2  2

Subproblem 5: Subproblem 2 +
Constraint x2  1

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Feasible Region for Subproblems 4 & 5

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 The Branch and Bound Tree
Subproblem 1
z = 41.25
1 x1 = 3.75
x2 = 2.25
x1  4 x1  3

Subproblem 2 Subproblem 3
z = 41
2 x1 = 4
x2 = 1.8
x2  2 x2  1

Subproblem 4 Subproblem 5
3 Infeasible 4

Optimal solution of Subproblem 5:

z = 40.05, x1 = 4.44, x2 = 1

Subproblem 6: Subproblem 5 + Constraint x1  5

Subproblem 5: Subproblem 5 + Constraint x1  4

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 Feasible Region for Subproblems 6 & 7

Optimal solution of
Subproblem 7:

z = 37, x1 = 4, x2 = 1

Optimal solution of
Subproblem 6:

z = 40, x1 = 5, x2 = 0

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 The Branch and Bound Tree
Subproblem 1
1 z = 41.25
x1 = 3.75
x2 = 2.25
x1  4 x1  3

Subproblem 2 Subproblem 3
z = 41 z =3
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2 x1 = 4 x1 = 3
x2 = 1.8 x2 = 1, LB = 39
x2  2 x2  1
Subproblem 5
Subproblem 4 z = 40.55
3 Infeasible x1 = 4.44 4
x2 = 1

Subproblem 6 Subproblem 7
z = 40 z = 37
6 x1 = 5 x1 = 4 5
x2 = 0, LB = 37 x2 = 1

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 Solving Knapsack Problems
Max z = 16x1+ 22x2 + 12x3 + 8x4
subject to

5x1+ 7x2 + 4x3 + 3x4  14

xi = 0 or 1 for all i = 1, 2, 3, 4

LP Relaxation:

Max z = 16x1+ 22x2 + 12x3 + 8x4

subject to

5x1+ 7x2 + 4x3 + 3x4  14

0  xi  1 for all i = 1, 2, 3, 4

Soving the LP Relaxation:

 Order xi’s in the decreasing order of c i/ai where ci are the cost
coefficients and ai’s are the coefficients in the constraint
 Select items in this order until the constraint is satisfied with
equality

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 The Branch and Bound Tree
Subproblem 1
z = 44
1 x1 = x 2 = 1
x3 =.5

x3 = 1
x3 = 0

Subproblem 3
Subproblem 2
z = 43.7
z = 43.3, LB=42 2
x1 =x3= 1,
7 x1 = x2=1
x2 = .7, x4=0
x3 = 0, x4 =.67
x2 = 1
x4 = 0 x4 = 1 x2 = 0
3 4
Subproblem 8 Subproblem 9 Subproblem 4 Subproblem 5
z = 38, LB=42 z= 42.85, LB=42 z = 36 z = 43.6
8 x1 = x2=1 9 x1 = x4 =1 x1 = x3=1 x1 =.6, x2=x3=1
x3 = x 4 = 0 x3 = 0, x2 = .85 x2 = 0, x4 =1 x4 = 0, LB = 36

x1 = 0 x1 = 1

Subproblem 6
z = 42 Subproblem 7
x1 =0, x2=x3=1 LB = 42
5 6
Infeasible
x4 = 1, LB = 36

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 Strategies of Branch and Bound
The branch and bound algorithm is a divide and conquer
algorithm, where a problem is divided into smaller and smaller
subproblems. Each subproblem is solved separately, and the
best solution is taken.

Lower Bound (LB): Objective function value of the best solution

found so far.

Branching Strategy : The process of decomposing a subproblem

into two or more subproblems is called branching.

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 Strategies of Branch and Bound (contd.)
Upper Bounding Strategy: The process of obtaining an upper
bound (UB) for each subproblem is called an upper bounding
strategy.

Pruning Strategy: If for a subproblem, UB  LB, then the

subproblem need not be explored further.

Searching Strategy: The order in which subproblems are

examined. Popular search strategies: LIFO and FIFO.

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