INTEGER LINEAR PROGRAMMING

There are many LP problems in which the decision variables will take only integer values. If all the decision variables will only take integer values it is called a pure integer LPP; otherwise the problem is called a mixed integer LPP. We discuss Land-Doig Branch and Bound algorithm to solve an integer LPP.

Branch-and-Bound Algorithm
(Problem 2a problem set 9.2A page 378) Maximize Subject to
z 3x1 2 x2

2 x1 5 x2 9
4 x1 2 x2 9

x1 , x2 0 and integers

The set of feasible region consists of the Lattice points (0,0),(1,0),(2,0),(0,1),(1,1). The associated LPP, LP0 is defined by removing the integer restrictions. Solving we get x1=1.69, x2=1.13, z=7.31. Because the optimum LP0 solution does not satisfy the integer requirements, the B&B algorithm modifies the solution space in a manner that eventually identifies the integer optimum solution. First we select one of the variables whose optimum value at LP0 is not an integer. We select x1.

We replace the original LP0 with two new LPPs, LP1 and LP2 defined as
LP1 space = LP0 space + ( x1 1)

LP2 space = LP0 space + We set lower bound = - We solve the LP1 problem

( x1 2)

(which is given by adding to LP0, the constraint x1 1)

The solution is x1 = 1, x2 = 1.4, z = 5.80 Now x1 is integer but x2 is not.

So we replace the LP1 problem with two new LPs, LP3,LP4, defined as
LP3 space = LP1 space + ( x2 1)

LP4 space = LP1 space + ( x2 2)

We now solve the LP3 problem.

The solution is : x1 = 1, x2 = 1, z = 5
Thus we have now got an all integer solution. So we need not consider this node any further as we will not get a better optimum since we will be looking at smaller subsets. We say this node is fathomed. We also update the lower bound to 5.

Now we solve the LP4 problem. We find it is infeasible. We say this node is also fathomed. Now we look at LP2 problem.

Solving we get x1 = 2, x2 = 0.5, z = 7

We now replace the LP2 problem with two new LPs, LP5, LP6 defined as LP5 = LP2 + ( x2 0) LP6 = LP2 + ( x2 1) Solving LP5 we get x1 = 2.25, x2 = 0, z = 6.75

Thus we replace the LP5 problem with two new LPs LP7, LP8 defined as
LP7 = LP5 + ( x1 2)

LP8 = LP5 + ( x1 3)
Solving LP7 we get the all-integer solution

x1 = 2, x2 = 0, z = 6 . And this node is fathomed. We update the lower bound to 6.

We find LP8 is infeasible. Thus this is also fathomed. We also find LP6 is infeasible. Thus this is also fathomed. Thus ultimately we got the all-integer optimum solution as x1 = 2, x2 = 0, z = 6.

All the above are depicted graphically as follows:

LP0 x1=1.69,x2=1.13,z=7.31

x1 1
LP1 x1=1,x2=1.4,z=5.8

x1 2
LP2 x1=2,x2=0.5,z=7.0

x2 1
LP3 x1=1,x2=1,z=5 (fathomed)

x2 2
LP4 Infeasible (fathomed)

x2 1
x2 0
LP6 Infeasible (fathomed)

x1 2
Optimum Solution

LP5 x1=2.25,x2=0, z=6.75

x1 3
LP8 Infeasible (fathomed)

LP7 x1=2,x2=0,z=6 (fathomed)

Summary of the B&B Algorithm Assume the problem is a maximization one. Set an initial lower bound z = - on the optimal value of the ILPP. Set i = 0.
Step 1. (Fathoming/bounding) Select LPi, the next problem to be examined. Solve LPi and attempt to fathom it using one of the three conditions: (a) The optimal z-value of LPi cannot yield a better objective value than the current lower bound.

(b) LPi yields a better feasible integer solution than the current lower bound.
(c) LPi has no feasible solution. Two cases will arise. (i) If LPi is fathomed and a better solution is found, then update the lower bound. If all subproblems have been fathomed, stop. The optimum ILP is associated with the current lower bound, if any. Otherwise set i = i +1 and repeat Step 1. (ii) If LPi is not fathomed, go to step 2 for branching.

Step 2. (Branching) Select one of the integer * x variables xj, whose optimum value j in the LPi solution is not integer. Eliminate the region
* [ x* ] x [ x j j j ] 1

by creating two LP subproblems that correspond to

x j [ x* j]

and x j [ x* j ] 1

Set i = i + 1. Go to step 1.

Problem 4 Problem 9.1C

Page 369

The treasures of King Tut are on display in a museum in New Orleans. The layout of the museum is shown in the figure below, with different rooms joined by open doors. A guard standing at a door can watch two adjoining rooms. The museum wants to ensure guard presence in every room, using the minimum number possible. Formulate the problem as an ILPP, and find the optimum solution.

Figure for the problem

1
x13

x12

2 x25

x34 x67

x45 x78

5
x58

We define xij = 1 if guard is posted between rooms i and j and 0 otherwise. We have one constraint per room. Thus we have the LPP: Minimize z x12 x13 x25 x34 x45 x58 x67 x78 Subject to

x12 x13 1 x12 x25 1

x13 x34 1

x34 x45 1 x = 1 or 0 for all j. ij

x25 x45 x58 1 x67 1 x67 x78 1 x58 x78 1

Using TORA, we get the optimal solution (as expected) as

x12=1, x34=1, x67=1, x78=1; z = 4.