Chapter 9

Integer Programming
Companion slides of
Applied Mathematical Programming
by Bradley, Hax, and Magnanti
(Addison-Wesley, 1977)
prepared by

Jos Fernando Oliveira

Maria Antnia Carravilla

What are integer-programming

problems?
In many applications, integrality restrictions
reflect natural indivisibilities of the problem
under study. For example, when deciding how
many nuclear aircraft carriers to have in the
U.S. Navy, fractional solutions clearly are
meaningless. In these situations, the decision
variables are inherently integral by the nature
of the decision-making problem.

What are integer-programming

problems?
Linear programming problems in which
fractional solutions are not realistic.
Mixed integer programs when some, but not all,
variables are restricted to be integer.
Pure integer programs when all decision variables
must be integers.
Binary programs when all decision variables must
be either 0 or 1.

SOME INTEGER-PROGRAMMING
MODELS

Capital Budgeting
In a typical capital-budgeting problem, decisions involve the
selection of a number of potential investments.
The investment decisions might be to choose among possible
plant locations, to select a configuration of capital equipment,
or to settle upon a set of research-and-development projects.

Often it makes no sense to consider partial investments in

these activities, and so the problem becomes a gono-go
integer program, where the decision variables are taken to
be xj = 0 or 1, indicating that the jth investment is rejected
or accepted.
Assume that:
cj is the contribution resulting from the jth investment,
aij is the amount of resource i used on the jth investment.
bi is the limited availability of the ith resource.

The objective is to maximize total contribution from all

investments.

Model

Note that
The coefficients aij represent the net cash flow
from investment j in period i.

If the investment requires additional cash in period i ,

then aij > 0,
If the investment generates cash in period i,
then aij < 0.

The righthand-side coefficients bi represent the

incremental exogenous cash flows.
If additional funds are made available in period i,
then bi > 0,
If funds are withdrawn in period i ,
then bi < 0.

The capital-budgeting model can be made

much richer by including logical
considerations
The investment in a new product line is contingent
upon previous investment in a new plant
(contingency constraints)

Conflicting projects (multiple-choice constraints)

The 0-1 knapsack problem

A capital budgeting problem with a single
resource:

Warehouse Location
In modeling distribution systems, decisions must
be made about tradeoffs between transportation
costs and costs for operating distribution centers.
As an example, suppose that a manager must
decide which of n warehouses to use for meeting
the demands of m customers for a good.
The decisions to be made are which warehouses
to operate and how much to ship from any
warehouse to any customer.

Decision variables and relevant data

There are two types of constraints for the model:

the demand dj of each customer must be filled from the

warehouses,
goods can be shipped from a warehouse only if it is
opened.

Model

Scheduling
Consider the scheduling of airline flight
personnel.
The airline has a number of routing legs to
be flown, such as 10 A.M. New York to
Chicago, or 6 P.M.Chicago to Los Angeles.
The airline must schedule its personnel crews
on routes to cover these flights. One crew, for
example, might be scheduled to fly a route
containing the two legs just mentioned.

Decision variables and relevant data

The coefficients aij define the acceptable combinations of

legs and routes, taking into account such characteristics as
sequencing of legs for making connections between flights
and for including in the routes ground time for
maintenance.

Model

An alternative formulation
that permits a crew to ride as passengers
on a leg

Set-partitioning:
Set-covering

Traveling salesperson problem

Starting from his home, a salesperson wishes
to visit each of (n 1) other cities and return
home at minimal cost.
(S)He must visit each city exactly once and it
costs cij to travel from city i to city j.
What route should (s)he select?

Decision variables

Model

Sub-tours are not prevented

Sub-tours elimination

+
With n cities, (2n 1) constraints of this nature must be
added
True for this strategy and many other strategies used to
eliminate sub-tours in TSP models.

FORMULATING INTEGER
PROGRAMS

Binary 0-1 variables

Suppose that we are to determine whether or not to
engage in the following activities:
(i) to build a new plant,
(ii) to undertake an advertising campaign, or
(iii) to develop a new product.

In each case, we must make a yesno or so-called gono

go decision. These choices are modeled easily by letting
xj = 1 if we engage in the jth activity and xj = 0 otherwise.
Variables that are restricted to 0 or 1 in this way are termed
binary, bivalent, logical, or 01 variables.
Binary variables are of great importance because they
occur regularly in many model formulations.

But can be also used as auxiliary variables

Constraint Feasibility
Does a given choice of the decision variables
satisfies the constraint

Introduce a binary variable y with the

interpretation:

and write

B is chosen to be
large enough so
that the constraint
always is satisfied
if y = 1

Alternative constraints
At least one, but not necessarily both, of these
constraints must be satisfied.
This restriction can be modeled by combining the
technique just introduced with a multiple-choice
constraint as follows:

 We can save one integer variable in this

formulation:

Conditional Constraints
These constraints have the form:

If we note that:
(p q) (p q)

we end up with the following alternative

constraints:

k-Fold Alternatives
We must satisfy at least k of the constraints:
Assuming that Bj for j = 1, 2, . . . , p, are chosen so
that the ignored constraints will not be binding, the
general problem can be formulated as follows:

Compound Alternatives

Representing Nonlinear Functions

Nonlinear functions can be represented by
integer-programming formulations

Fixed Costs
Frequently, the objective function for a minimization problem
contains fixed costs (preliminary design costs, fixed
investment costs, fixed contracts, and so forth).

 Assume that the equipment has a capacity of B units.

Define y to be a binary variable that indicates when
the fixed cost is incurred, so that y = 1 when x > 0
and y = 0 when x = 0.
Then the contribution to cost due to x may be
written as
with the constraints

Piecewise Linear Representation

 To model the cost curve, we express any value

of x as the sum of three variables 1, 2, 3, so
that the cost for each of these variables is
linear.
Hence,
where

and the total variable cost is given by:

 Note that we have defined the variables so that:

1 corresponds to the amount by which x exceeds 0,
but is less than or equal to 4;
2 is the amount by which x exceeds 4, but is less than
or equal to 10; and
3 is the amount by which x exceeds 10, but is less
than or equal to 15.

If this interpretation is to be valid, we must also

require that 1 = 4 whenever 2 > 0 and that 2 =
6 whenever 3 > 0.
However, these restrictions on the variables are
simply conditional constraints and can be
modeled by introducing (more) binary variables:

Diseconomies of Scale

When marginal costs are increasing for a minimization

problem or marginal returns are decreasing for a
maximization problem.

subject to:

The conditional constraints involving binary variables

in the previous formulation can be ignored if the cost
curve appears in a minimization objective function,
since the coefficients of 1, 2, 3 imply that it is
always best to set 1 = 4 before taking 2 > 0, and to
set 2 = 6 before taking 3 > 0.
This representation without integer variables is not
valid, however, if economies of scale are present.

SOME CHARACTERISTICS OF
INTEGER PROGRAMS

A sample problem
Determine:
subject to:

Feasible region

Dots in the shaded region are feasible integer points.

Somes notes
If the integrality restrictions on variables are dropped,
the resulting problem is a linear program. We will call it
the associated linear program.
The optimal integer-programming solution is not
obtained by rounding the linear-programming solution.
The closest point to the optimal linear-program
solution is not even feasible.
The nearest feasible integer point to the linearprogram solution is far removed from the optimal
integer point.
It is not sufficient simply to round linear-programming
solutions.
Systematic and explicit enumeration does not work
even for small problems.

BRANCH-AND-BOUND

Strategy of divide and conquer

An integer linear program is a linear program further
constrained by the integrality restrictions.
Thus, in a maximization problem, the value of the
objective function, at the linear-program optimum, will
always be an upper bound on the optimal integerprogramming objective.
In addition, any integer feasible point is always a lower
bound on the optimal linear-program objective value.
The idea of branch-and-bound is to utilize these
observations to systematically subdivide the linear
programming feasible region and make assessments of
the integer-programming problem based upon these
subdivisions.

Further Considerations
There are three points that have yet to be
considered with respect to the branch-and-bound
procedure:
i.

Can the linear programs corresponding to the

subdivisions be solved efficiently?
ii. What is the best way to subdivide a given region,
and which unanalyzed subdivision should be
considered next?
iii. Can the upper bound (z = 41, in the example) on the
optimal value z of the integer program be improved
while the problem is being solved?

Can the linear programs corresponding to

the subdivisions be solved efficiently?
Dual simplex method!
Adding the new constraint:
Results in:

 We must pivot to isolate x2 in the second

constraint and re-express the system as:

and perform a dual simplex method iteration.

What is the best way to subdivide a given

region, and which unanalyzed subdivision
should be considered next?

If we can make our choice of subdivisions in such a way

as to rapidly obtain a good (with luck, near-optimal)
integer solution z, then we can eliminate many
potential subdivisions immediately
as if any region has its linear programming value z < z,
then the objective value of no integer point in that region
can exceed z and the region need not be subdivided.

There is no universal method for making the required

choice, although several heuristic procedures have
been suggested, such as selecting the subdivision:
with the largest optimal linear-programming value.
on a last-generatedfirst-analyzed basis (depth-first).

Rules for determining which fractional variables to use

in constructing subdivisions are more subtle

Can the upper bound on the optimal value

z* of the integer program be improved
while the problem is being solved?
Initial upper bound
= 41.25
41 if we recall that
the objective
function coefficients
are also integer.

Current upper
bound = 40 5/9
40, for the same
reasons.

Summary
The essential idea of branch-and-bound is to subdivide
the feasible region to develop bounds zL < z* < zU on
z*.
For a maximization problem, the lower bound zL is the
highest value of any feasible integer point
encountered.
The upper bound is given by the optimal value of the
associated linear program or by the largest value for
the objective function at any hanging box.
After considering a subdivision, we must branch to
(move to) another subdivision and analyze it.

Summary
If either

the linear program over Lj is infeasible;

the optimal linear-programming solution over Lj is
integer; or
iii. the value of the linear-programming solution zj over
Lj satisfies zj zL (if maximizing),
i.
ii.

then Lj need not be subdivided. In these cases,

integer-programming terminology says that Lj has
been fathomed.
Case
(i) is termed fathoming by infeasibility,
(ii) fathoming by integrality, and
(iii) fathoming by bounds.

Branch-andbound
flowchart

BRANCH-AND-BOUND
FOR MIXED-INTEGER PROGRAMS

Branch-and-Bound
for Mixed-Integer Programs
The branch-and-bound approach just
described is easily extended to solve problems
in which some, but not all, variables are
constrained to be integral.
Subdivisions then are generated solely by the
integral variables.
In every other way, the procedure is the same
as that specified above.

Example

Search Tree

Simplex tableaus

Simplex tableaus

Implicit enumeration

BINARY BRANCH-AND-BOUND

A special branch-and-bound procedure for

integer programs with only binary variables
The algorithm has the advantage that it
requires no linear-programming solutions.
In the ordinary branch-and-bound procedure,
subdivisions were analyzed by maintaining the
linear constraints and dropping the integrality
restrictions relax the variables
Here, we adopt the opposite tactic of always
maintaining the 01 restrictions, but ignoring
the linear inequalities relax the constraints

General idea
The idea is to utilize a branch-and-bound (or
subdivision) process to fix some of the variables
at 0 or 1.
The variables remaining to be specified are called
free variables.
Note that, when the inequality constraints are
ignored, the objective function is maximized by
setting the free variables to zero, since their
objective function coefficients are negative.
This is mandatory to apply this algorithm.

Example
maximization problem

all coefficients are negative

subject to:

constraints are specified as

less than or equal to
inequalities

 We start with no fixed variables, and

consequently every variable is free and set to
zero.
The solution does not satisfy the inequality
constraints, and we must subdivide to search
for feasible solutions.
One subdivision choice might be:
For subdivision 1 : x1 = 1,
For subdivision 2 : x1 = 0.

 Now variable x1 is fixed in each subdivision. If the

inequalities are ignored, the optimal solution over each
subdivision has
x2 = x3 = x4 = x5 = 0.
The resulting solution in subdivision 1 gives
z = 8(1) 2(0) 4(0) 5(0) + 10 = 2
and happens to satisfy the inequalities, so the optimal
solution to the original problem is at least 2, z* 2.
Also, subdivision 1 has been fathomed:
The above solution is best among all 01 combinations
with x1 = 1.
No other feasible 01 combination in subdivision 1 needs
to be evaluated explicitly.
These combinations have been considered implicitly.

 The solution with x2 = x3 = x4 = x5 = 0 in

subdivision 2 is the same as the original
solution with every variable at zero, and is
infeasible.
Consequently, the region must be subdivided
further, say with x2 = 1 or x2 = 0, giving:
For subdivision 3 : x1 = 0, x2 = 1;
For subdivision 4 : x1 = 0, x2 = 0.

Enumeration tree to this point

Completing it

Complete
tree

Note that
1. At , the solution x1 = 0, x2 = x3 = 1 , with free
variables x4 = x5 = 0, is feasible, with z = 4, thus
providing an improved lower bound on z.
2. At , the solution x1 = x3 = 0, x2 = x4 = 1, and
free variable x5 = 0, has z = 1 < 4, so that no
solution in that subdivision can be as good as
that generated at .
3. At and , every free variable is fixed. In each
case, the subdivisions contain only a single
point, which is infeasible, and further
subdivision is not possible.

Note that
4. At , the second inequality (with fixed
variables x1 = x2 = 0) reads:
2 x3 x4 + x5 4.
No 01 values of x3, x4, or x5 completing
the fixed variables x1 = x2 = 0 satisfy this
constraint, since the lowest value for the
lefthand side of this equation is 3 when x3 =
x4 = 1 and x5 = 0.
The subdivision then has no feasible solution
and need not be analyzed further.

Generalizing
Subdivisions are fathomed if any of three
conditions hold:
i.

the integer program is known to be infeasible over

the subdivision, for example, by the previous
infeasibility test;
ii. the 01 solution obtained by setting free variables
to zero satisfies the linear inequalities; or
iii. the objective value obtained by setting free
variables to zero is no larger than the best feasible
01 solution previously generated.

Once again
This algorithm is designed for problems in
which:
1. the objective is a maximization with all
coefficients negative; and
2. constraints are specified as less than or equal
to inequalities.

If not, then

Problem transformation
Minimization problems are transformed to
maximization by multiplying cost coefficients by
1.
If xj appears in the maximization form with a
positive coefficient, then the variable substitution
xj = 1 xj everywhere in the model leaves the
binary variable xj with a negative objectivefunction coefficient.
Greater than or equal to constraints can be
multiplied by 1 to become less than or equal
to constraints.