Cours 5-MILP Solving Techniques BB

Systèmes daide à la decision
Integer Programming, Solving techniques
M2 GSI, 2011-2012
Ayse AKBALIK & Christophe RAPINE
1
Combinatorial explosion Good formulations in theory Good formulations in practice Relaxation lin
eaire Branch & Bound
Plan
1 Combinatorial explosion
2 Good formulations by the theory
3 Good formulations by the practice
4 Relaxation lineaire
5 Branch & Bound
2
Combinatorial explosion
Combinatorial optimization problems : the optimal solution is some

subset of a finite set. An exhaustive enumeration can solve those
problems... but...
Assignment problem : ? solutions.
Knapsack and covering problems : ? solutions.
TSP : ? solutions.
3
Combinatorial explosion
n log (n) n2 2n n!
10 3.32 102 1.02 103 3.6 106
100 6.64 104 1.27 1030 9.33 10157
1000 9.97 106 1.07 10301 4.02 102567
i.e. TSP with n=101 has approximately 9.33 10157 tours to try one
by one...so funny...
4
What to do ?
Some problems seem very difficult to solve... in fact they are easy...
such as Assignment.
Some problems seem very difficult to solve... in fact they are

difficult... Theory of NP-completeness.
5
Integer programming point of view
Formulation
Extended reformulations
Valid and strong valid inequalities to tighten the feasible region
Resolution
B & Bound, B & Cut, B & Price
Relaxations, decomposition techniques, heuristics, etc.
Use of mathematical properties of easy problems
6
Plan
5 Branch & Bound
7
Set X
X={(2,2), (2,3), (2,4), (3,1), (3,2), (3,3), (3,4), (4,1), (4,2),

(4,3), (4,4), (5,2), (5,3), (5,4)}
Imagine that X represents all feasible solutions for our problem.
8
Different formulations for X
For the given set X={(2,2), (2,3), (2,4), (3,1), (3,2), (3,3), (3,4),
(4,1), (4,2), (4,3), (4,4), (5,2), (5,3), (5,4)}, we show 3 different
formulations.
Is there any other formulation for this set ?
9
Good and bad formulations
Observation, Pochet and Wolsey (2006)

The number of branch-and-bound nodes needed to solve a MIP
depends heavily on the formulation used. It is therefore crucial to
identify a good formulation.
There are an infinity number of formulations for a problem.
10
Good and bad formulations
Definition
Given a set X Rn and two formulations P1 and P2 for X , P1 is a
better formulation than P2 if P1 P2 .
11
Polyhedra and formulation
Definition
A subset of Rn described by a finite set of linear constraints
P = {x Rn : Ax b} is a polyhedron.
Definition
A polyhedron P Rn is a formulation for a set X Zn if and only
if X = P (Zn ).
Keep in mind : A formulation is a region in the space which

contains exactly X as integer points. This region is defined by
linear inequalities.
12
Convex hull
Definition
Minimal convex set containing X.
conv (X ) has the property that X conv (X ) P for all

formulations P.
13
Some propositions
Proposition 1.
conv (X ) is a polyhedron.
Proposition 2.
The extreme points of conv (X ) all lie in X .
14
Consequence
max{cx | x X } = max{cy | y conv (X )}
At left hand a combinatorial optimization problem (discrete),

hard to solve.
At right hand a linear, continuous problem, easy to solve.
15
Consequence
max{cx | x X } = max{cy | y conv (X )}
At left hand a combinatorial optimization problem (discrete),

hard to solve.
At right hand a linear, continuous problem, easy to solve.
The polyhedral description of the convex hull is not so easy to

find... This description may sometimes involve an exponential
number of variables.
16
Plan
5 Branch & Bound
17
Uncapacitated lot sizing problem
Demand dt over T period

Setup cost of production ft
Unit production cost pt
Unit inventory holding cost ht at
the beginning of t (per unit per
period)
s0 = 0 and sT +1 = 0 is assumed
What is the best production
planning which minimizes the total
cost ?
18
Aggregated model (AGG)
variables xt = production quantity in period t

yt = 1 if xt > 0, 0 else
st = storage quantity at the beginning of t
X
min (ft yt + pt xt + ht st )
t
xt + st = dt + st+1 t = 1, . . . , T 1
xT + sT = dT
xt T
P
i=t di yt t = 1, . . . , T
s, x R+T y {0, 1}T
19
Example
T =8
p = 100
f = 5000
h=5
d = (400, 400, 800, 800, 1200, 1200, 1200, 1200)
s1 = 200
Formulation with O(T ) variables and O(T ) constraints.
20
Example
Formulation AGG Dimension O(T )O(T )

LP Value 712 193 OPT 736 000
Nmb Variables 24 Time '0
Nmb Constraints 16 Nmb Nodes 35
21
Multi-Commodity formulation (MC)
x 1t x 2t x 3t x 4t x 5t
s1t s2t s3t s4t

i=1 i=2 i=3 i=4 i=5=t
dt
22
Multi-Commodity formulation (MC)
T X
X T T
X
min (pi xit + hi sit ) + qi y i
i=1 t=i i=1
st
si1,t + xit = si,t (1 it ) + dt it ; 1 i t T
xit dt yi ; 1 i t T
xit , sit R+ ; 1 i t T , y {0, 1}T
A parameter which can be computed outside the model :
it = 1 if i = t, 0 otherwise.
23
Example
T =8
p = 100
q = 5000
h=5
d = (400, 400, 800, 800, 1200, 1200, 1200, 1200)
s1 = 200
Formulation with O(T 2 ) variables and O(T 2 ) constraints.
24
Example
Formulation MC Dimension O(T 2 )O(T 2 )

Valeur LP 736 000 OPT 736 000
Nmb Variables 80 Time '0
Nmb Constraints 71 Nmb Nodes 1
25
Efficiency of MC for ULS
Theorem
The linear relaxation of MC formulation always has an optimal
solution with y integer and solves uncapacitated lot sizing (ULS).
MC is thus an extended formulation of the convex hull of feasible
solutions to ULS.
26
Small inconveniences of the formulation MC
MC gives the optimal integer solution at the top node for

ULS, but, has O(T 2 ) variables and O(T 2 ) constraints.
For 30 periods, we have a thousand of variables and a
thousand of constraints...
27
Plan
5 Branch & Bound
28
Formulation
Problème combinatoire à resoudre
max{cx | x X } avec X Zn
Une modelisation du problème en PLNE

definit un polyèdre P = {x Rn | Ax b}
Definition
Un PLNE est une formulation de X ssi X = P Zn
29
Illustration graphique
30
Illustration graphique
31
Relaxation Lineaire
Pour resoudre un PLNE

une idee simple est doublier que les variables sont entières
on recherche alors loptimum du PL sur le polyèdre P
on peut utiliser lalgorithme du simplexe
Definition
La relaxation lineaire dune formulation en PLNE est le PL
max{cx | Ax b x Rn }
Lien entre loptimum du PL et loptimum du PLNE ?
32
Illustration graphique de la relaxation
33
Propriete de la relaxation lineaire
Pour une formulation en PLNE

zIP = max{cx | Ax b , x Zn }
La relaxation lineaire
zL = max{cx | Ax b , x Rn }
verifie
1 z . La relaxation est une Borne sup
zIP erieure
L
2 Si la solution optimale de la relaxation lineaire est entière,
alors cest aussi une solution optimale pour le PLNE
Et pour un problème de minimisation ?
34
Plan
5 Branch & Bound
35
Principe du Branch & Bound
Si z1 > z2
Alors il est inutile dexplorer le sous-ensemble X2
X2 ne contient pas de solution optimale.
X1 X2
z*1 > z*2
36
Borne superieure
Comment determiner quil est inutile dexplorer X2 sans

calculer z2 ?
Estimation [par excès] de la valeur optimale
Definition
Une fonction des instances dans R est une borne superieure ssi elle
est superieure à la valeur optimum pour chaque instance.
Pour un PLNE, une borne superieure est donnee par

la relaxation lineaire
37
Enum
eration arborescente implicite
Pour resoudre z = max{cx | x X }

On decoupe lensemble des solutions X
Sur chaque Y X , on calcule une borne superieure B(Y ) de
loptimum z (Y ).
Si B(Y ) à la meilleure solution trouvee, alors on elague Y
Sinon on decoupe recursivement Y
38
Comment decouper lespace des solutions ?
On resoud la relaxation lineaire du problème sur X à loptimum

Si la solution x est entière, on a trouve loptimum sur X
Sinon pour une variable (au moins) on a a < xi < a + 1

P

Dcoupage x*
du problme
X
39
Branchement sur une variable fractionnaire
On partitionne X en deux nouveaux sous-problèmes :

X1 = x X et xi a
X2 = x X et a + 1 xi

P1

x*
P2
40
Exploration de lensemble X2 de solutions
On recherche la meilleure solution sur X2 :

On resoud la relaxation lineaire sur P2
On partitionne en 2 nouveaux sous-problèmes

P1

P3 P4
X
P2
41
On a trouve la solution optimale sur X2

Existe-t-il une meilleure solution sur X1 ?
La borne superieure ne nous permet pas delaguer X1

P1

P3 P4
X
42
On recherche la meilleure solution sur X2 :

On partitionne en 2 nouveaux sous-problèmes
P5 P6

P3 P4
X
43
Fin du Branch & Bound
La solution optimale sur X est la meilleure des 2 solutions

optimales trouvees sur X1 et X2 .
P5 P6

P3 P4
X
44
Branch & Bound

1 resoudre la relaxation lineaire
2 brancher sur une variable non entière (à choisir)
2 sous problèmes
3 diviser à nouveau un nud fils en deux (6= choix possibles)
4 continuer à separer sur les nuds dont la valeur est > à la
meilleure solution courante jusquà ce quil ny ait plus de
branchement possible
On coupe une branche si
la relaxation lineaire na pas de solution
la relaxation lineaire donne une solution entière
la valeur de la borne superieure est inferieure à la valeur de la
meilleure solution entière obtenue
45
Branch & Bound, [N. Brauner]
z = max 2x1 + 3x2

sc.

5x1 + 7x2 35
4x1 + 9x2 36
x1 , x2 0 entiers

46
Application on a minimization problem
[O. Briant, 2010].
UB = + infini
LB = 108.5
solution fractionnaire
UB = UB =
LB = 110.3 LB = 115.7
solution fractionnaire solution fractionnaire
UB = UB = UB = UB =
LB = 118.5 LB = 115.7 LB = 122 LB = 118
solution fractionnaire solution fractionnaire solution fractionnaire solution fractionnaire
UB = UB = UB = UB =
LB = LB = 120 LB = 119 LB =
polyedre vide solution entire solution fractionnaire polyedre vide
47

Cours 5-MILP Solving Techniques BB

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Syst`emes daide `a la decision

Integer Programming, Solving techniques

2 Good formulations by the theory

3 Good formulations by the practice

5 Branch & Bound

Combinatorial optimization problems : the optimal solution is some

Some problems seem very difficult to solve... in fact they are

Integer programming point of view

2 Good formulations by the theory

3 Good formulations by the practice

5 Branch & Bound

X={(2,2), (2,3), (2,4), (3,1), (3,2), (3,3), (3,4), (4,1), (4,2),

Imagine that X represents all feasible solutions for our problem.

Different formulations for X

Is there any other formulation for this set ?

Good and bad formulations

Observation, Pochet and Wolsey (2006)

There are an infinity number of formulations for a problem.

Good and bad formulations

Polyhedra and formulation

Keep in mind : A formulation is a region in the space which

conv (X ) has the property that X conv (X ) P for all

max{cx | x X } = max{cy | y conv (X )}

At left hand a combinatorial optimization problem (discrete),

max{cx | x X } = max{cy | y conv (X )}

At left hand a combinatorial optimization problem (discrete),

The polyhedral description of the convex hull is not so easy to

2 Good formulations by the theory

3 Good formulations by the practice

5 Branch & Bound

Uncapacitated lot sizing problem

Demand dt over T period

Aggregated model (AGG)

variables xt = production quantity in period t

Formulation AGG Dimension O(T )O(T )

Multi-Commodity formulation (MC)

s1t s2t s3t s4t

Multi-Commodity formulation (MC)

A parameter which can be computed outside the model :

Formulation MC Dimension O(T 2 )O(T 2 )

Efficiency of MC for ULS

Small inconveniences of the formulation MC

MC gives the optimal integer solution at the top node for

2 Good formulations by the theory

3 Good formulations by the practice

5 Branch & Bound

Probl`eme combinatoire `a resoudre

Une modelisation du probl`eme en PLNE

Pour resoudre un PLNE

Lien entre loptimum du PL et loptimum du PLNE ?

Illustration graphique de la relaxation

Propriete de la relaxation lineaire

Pour une formulation en PLNE

2 Good formulations by the theory

3 Good formulations by the practice

5 Branch & Bound

Principe du Branch & Bound

z*1 > z*2

Comment determiner quil est inutile dexplorer X2 sans

Pour un PLNE, une borne superieure est donnee par

Pour resoudre z = max{cx | x X }

Comment decouper lespace des solutions ?

On resoud la relaxation lineaire du probl`eme sur X `a loptimum

z1 > z2