Integer Programming

Integer Programming
An integer programming model is one where one
or more of the decision variables has to take on
an integer value in the final solution
There are three types of integer programming
problems
1. Pure integer programming where all variables
have integer values
2. Mixed-integer programming where some but
not all of the variables will have integer
values
3. Zero-one integer programming are special
cases in which all the decision variables must
have integer solution values of 0 or 1
 Integer Programming
Solving an integer programming problem is much
more difficult than solving an LP problem
Even the fastest computers can take an
excessively long time to solve big integer
programming problems
The most common technique used to solve
integer programming problems is the branch and
bound method
Harrison Electric Company Example of
Integer Programming
The Company produces two products popular
with home renovators, old-fashioned chandeliers
and ceiling fans
Both the chandeliers and fans require a two-step
production process involving wiring and
assembly
It takes about 2 hours to wire each chandelier and
3 hours to wire a ceiling fan
Final assembly of the chandeliers and fans
requires 6 and 5 hours respectively
The production capability is such that only 12
hours of wiring time and 30 hours of assembly
time are available
Harrison Electric Company Example of
Integer Programming
Each chandelier produced nets the firm $7 and
each fan $6
Harrisons production mix decision can be
formulated using LP as follows

Maximize profit = $7X1 + $6X2

subject to 2X1 + 3X2 12 (wiring hours)
6X1 + 5X2 30 (assembly hours)
X1, X2 0 (nonnegative)
where
X1 = number of chandeliers produced
X2 = number of ceiling fans produced
Harrison Electric Company Example of
Integer Programming
X2
The Harrison 6
Electric
Problem 5
6X1 + 5X2 30
4

3 + = Possible Integer Solution

+
2 Optimal LP Solution
(X1 =3.75, X2 = 1.5,
1 + + + Profit = $35.25)

2X1 + 3X2 12
0 + + + +
| | | | | | |

1 2 3 4 5 6 X1
Harrison Electric Company Example of
Integer Programming
The production planner Wes recognizes this is an
integer problem
His first attempt at solving it is to round the
values to X1 = 4 and X2 = 2
However, this is not feasible
Rounding X2 down to 1 gives a feasible solution,
but it may not be optimal
This could be solved using the enumeration
method
Enumeration is generally not possible for large
problems
Harrison Electric Company Example of
Integer Programming
CHANDELIERS (X1) CEILING FANS (X2) PROFIT ($7X1 + $6X2) Integer
0 0 $0 solutions
1 0 7
2 0 14
3 0 21
4 0 28
Optimal solution to
5 0 35
integer programming
0 1 6 problem
1 1 13
2 1 20
3 1 27 Solution if
4 1 34 rounding is used
0 2 12
1 2 19
2 2 26
3 2 33
0 3 18
1 3 25
Harrison Electric Company Example of
Integer Programming

The rounding solution of X1 = 4, X2 = 1

gives a profit of $34
The optimal solution of X1 = 5, X2 = 0 gives
a profit of $35
The optimal integer solution is less than
the optimal LP solution
An integer solution can never be better
than the LP solution and is usually a
lesser solution
 Branch-and-Bound Method
The most common algorithm for solving integer
programming problems is the branch-and-bound
method
It starts by first allowing non-integer solutions
If these values are integer valued, this must also
be the solution to the integer problem
If these variables are not integer valued, the
feasible region is divided by adding constraints
restricting the value of one of the variables that
was not integer valued
The divided feasible region results in
subproblems that are then solved
 Branch-and-Bound Method
Bounds on the value of the objective function are
found and used to help determine which
subproblems can be eliminated and when the
optimal solution has been found
If a solution is not optimal, a new subproblem is
selected and branching continues
 Six Steps in Solving IP Maximization
Problems by Branch and Bound

1. Solve the original problem using LP. If the answer

satisfies the integer constraints, we are done. If
not, this value provides an initial upper bound.
2. Find any feasible solution that meets the integer
constraints for use as a lower bound. Usually,
rounding down each variable will accomplish this.
3. Branch on one variable from step 1 that does not
have an integer value. Split the problem into two
subproblems based on integer values that are
immediately above or below the noninteger value.
4. Create nodes at the top of these new branches by
solving the new problem
 Six Steps in Solving IP Maximization
Problems by Branch and Bound

5. (a) If a branch yields a solution to the LP

problem that is not feasible,
feasible terminate the
branch
(b) If a branch yields a solution to the LP
problem that is feasible, but not an integer
solution, go to step 6
(c) If the branch yields a feasible integer
solution, examine the value of the objective
function. If this value equals the upper bound,
an optimal solution has been reached. If it not
equal to the upper bound, but exceeds the
lower bound, terminate this branch.
 Six Steps in Solving IP Maximization
Problems by Branch and Bound

6. Examine both branches again and set the upper

bound equal to the maximum value of the
objective function at all final nodes. If the upper
bound equals the lower bound, stop. If not, go
back to step 3.

Note: Minimization problems involved

reversing the roles of the upper and
lower bounds
 Harrison Electric Company Revisited

Recall that the Harrison Electric Companys

integer programming formulation is
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30
where
X1 = number of chandeliers produced
X2 = number of ceiling fans produced
And the optimal noninteger solution is

X1 = 3.75 chandeliers, X2 = 1.5 ceiling fans

profit = $35.25
 Harrison Electric Company Revisited

Since X1 and X2 are not integers, this solution is

not valid
The profit value of $35.25 will provide the initial
upper bound
We can round down to X1 = 3, X2 = 1, profit = $27,
which provides a feasible lower bound
The problem is now divided into two subproblems
Harrison Electric Company Revisited

Subproblem A
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30
X1 4
Subproblem B
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30
X1 3
 Harrison Electric Company Revisited

If you solve both subproblems graphically

Subproblem As [X = 4, X = 1.2, profit = $35.20]

optimal solution: 1 2

Subproblem Bs [X = 3, X = 2, profit = $33.00]

optimal solution: 1 2

We have completed steps 1 to 4 of the branch and

bound method
 Harrison Electric Company Revisited
Harrison Electrics first branching:
subproblems A and B Next Branch (C)
Subproblem A

X1 = 4 Infeasible (Noninteger) Solution

Upper Bound = $35.20
X2 = 1.2
Lower Bound = $33.00
4 P = 35.20
X1
Next Branch (D)
X1 = 3.75 Upper Bound = $35.25
X2 = 1.5 Lower Bound = $27.00 (From
P = 35.25 Rounding Down)
X Subproblem B
1 3
X1 = 3
X2 = 2
P = 33.00
Stop This Branch
Solution Is Integer, Feasible
Provides New Lower Bound of $33.00
 Harrison Electric Company Revisited
Subproblem A has branched into two new
subproblems, C and D
Subproblem C
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30
X1 4
X2 2
Subproblem D
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30
X1 4
X2 1
Harrison Electric Company Revisited

Subproblem C has no feasible solution

because the all the constraints can not be
satisfied
We terminate this branch and do not consider
this solution
Subproblem Ds optimal solution is X1 = 4.17,
X2 = 1, profit = $35.16
This noninteger solution yields a new upper
bound of $35.16
 Harrison Electric Company Revisited
Finally we create subproblems E and F
Subproblem E
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30 Optimal solution to E:
X1 = 4, X2 = 1, profit = $34
X1 4
X1 4
X2 1
Subproblem D
Maximize profit = $7X1 + $6X2
subject to 2X1 + 3X2 12
6X1 + 5X2 30 Optimal solution to F:
X1 = 5, X2 = 0, profit = $35
X1 4
X1 5
X2 1
 Harrison Electric Company Revisited

The stopping rule for the branching process is

that we continue until the new upper bound is less
than or equal to the lower bound
or no further branching is possible
The later case applies here since both branches
yielded feasible integer solutions
The optimal solution is subproblem Fs node
Computer solutions work well on small and
medium problems
For large problems the analyst may have to settle
for a near-optimal solution
 Harrison Electric Company Revisited
Harrison Electrics full branch and bound solution
Subproblem C

No
Feasible
Solution
Region
Subproblem A Subproblem E
2
X2
X1 = 4 X1 = 4
X2 = 1.2 X2 = 1 Feasible, Integer
Solution
4 P = 35.20 Subproblem D
4
P = 34.00
X1 X X1
2 1
X1 = 3.75 X1 = 4.17
X2 = 1.5 X2 = 1
P = 35.25 Subproblem B P = 35.16 Subproblem F
X X
1 3 1 5
X1 = 3 Upper Bound X1 = 5
X2 = 2 = $35.25 X2 = 0
P = 33.00 Lower Bound P = 35.00
= $27.00
Optimal
Solution
 Mixed-Integer Programming
Problem Example
There are many situations in which some of the
variables are restricted to be integers and some
are not
Bagwell Chemical Company produces two
industrial chemicals
Xyline must be produced in 50-pound bags
Hexall is sold by the pound and can be produced
in any quantity
Both xyline and hexall are composed of three
ingredients A, B, and C
Bagwell sells xyline for $85 a bag and hexall for
$1.50 per pound
 Mixed-Integer Programming
Problem Example
AMOUNT OF
AMOUNT PER 50-POUND AMOUNT PER POUND INGREDIENTS
BAG OF XYLINE (LB) OF HEXALL (LB) AVAILABLE

30 0.5 2,000 lbingredient A

18 0.4 800 lbingredient B

2 0.1 200 lbingredient C

Bagwell wants to maximize profit

We let X = number of 50-pound bags of xyline
We let Y = number of pounds of hexall
This is a mixed-integer programming problem as
Y is not required to be an integer
 Mixed-Integer Programming
Problem Example
The model is

Maximize profit = $85X + $1.50Y

subject to 30X + 0.5Y 2,000
30X + 0.5Y 800
30X + 0.5Y 200
X, Y 0 and X integer
 Modeling With 0-1 (Binary) Variables

We can demonstrate how 0-1 variables

can be used to model several diverse
situations
Typically a 0-1 variable is assigned a value
of 0 if a certain condition is not met and a
1 if the condition is met
This is also called a binary variable
 Capital Budgeting Example
A common capital budgeting problem is selecting
from a set of possible projects when budget
limitations make it impossible to select them all
A 0-1 variable is defined for each project
Quemo Chemical Company is considering three
possible improvement projects for its plant
A new catalytic converter
A new software program for controlling operations
Expanding the storage warehouse
It can not do them all
They want to maximize net present value of
projects undertaken
 Capital Budgeting Example
Quemo Chemical Company information

PROJECT NET PRESENT VALUE YEAR 1 YEAR 2

Catalytic Converter $25,000 $8,000 $7,000
Software $18,000 $6,000 $4,000
Warehouse expansion $32,000 $12,000 $8,000
Available funds $20,000 $16,000

Table 11.2
The basic model is
Maximize net present value of projects
undertaken
subject to Total funds used in year 1 $20,000
Total funds used in year 2 $16,000
 Capital Budgeting Example
The decision variables are

X1 = 10 if catalytic converter project is funded

otherwise
X2 = 10 if software project is funded
otherwise

X3 = 10 if warehouse expansion project is funded

otherwise

The mathematical statement of the integer

programming problem becomes
Maximize NPV = 25,000X1 + 18,000X2 + 32,000X3
subject to 8,000X1 + 6,000X2 + 12,000X3 20,000
7,000X1 + 4,000X2 + 8,000X3 16,000
X1, X2, X3 = 0 or 1
 Capital Budgeting Example
Solved with computer software, the
optimal solution is X1 = 1, X2 = 0, and X3 = 1
with an objective function value of 57,000
This means that Quemo Chemical should
fund the catalytic converter and
warehouse expansion projects only
The net present value of these
investments will be $57,000
 Limiting the Number of
Alternatives Selected
One common use of 0-1 variables involves
limiting the number of projects or items that are
selected from a group
Suppose Quemo Chemical is required to select
no more than two of the three projects regardless
of the funds available
This would require adding a constraint
X1 + X2 + X3 2
If they had to fund exactly two projects the
constraint would be
X1 + X2 + X3 = 2
 Dependent Selections
At times the selection of one project depends on
the selection of another project
Suppose Quemos catalytic converter could only
be purchased if the software was purchased
The following constrain would force this to occur
X1 X2 or X1 X2 0
If we wished for the catalytic converter and
software projects to either both be selected or
both not be selected, the constraint would be
X1 = X2 or X1 X2 = 0
 Fixed-Charge Problem Example

Often businesses are faced with decisions

involving a fixed charge that will affect the cost of
future operations
Sitka Manufacturing is planning to build at least
one new plant and three cities are being
considered in
Baytown, Texas
Lake Charles, Louisiana
Mobile, Alabama
Once the plant or plants are built, the company
want to have capacity to produce at least 38,000
units each year
 Fixed-Charge Problem Example

Fixed and variable costs for Sitka Manufacturing

ANNUAL VARIABLE COST ANNUAL

SITE FIXED COST PER UNIT CAPACITY
Baytown, TX $340,000 $32 21,000

Lake Charles, LA $270,000 $33 20,000

Mobile, AL $290,000 $30 19,000

Table 11.3
 Fixed-Charge Problem Example

We can define the decision variables as

X1 = 10 if factory is built in Baytown

otherwise

X2 = 10 factory is built in Lake Charles

otherwise

X3 = 10 if factory is built in Mobile

otherwise
X4 = number of units produced at Baytown plant
X5 = number of units produced at Lake Charles plant
X6 = number of units produced at Mobile plant
 Fixed-Charge Problem Example
The integer programming formulation becomes

Minimize cost = 340,000X1 + 270,000X2 + 290,000X3

+ 32X4 + 33X5 + 30X6
subject to X4 + X5 + X6 38,000
X4 21,000X1
X5 20,000X2
X6 19,000X3
X1, X2, X3 = 0 or 1;
X4, X5, X6 0 and integer
The optimal solution is
X1 = 0, X2 = 1, X3 = 1, X4 = 0, X5 = 19,000, X6 = 19,000
Objective function value = $1,757,000
 Financial Investment Example

Numerous financial applications exist with 0-1

variables
Simkin, Simkin, and Steinberg specialize in
recommending oil stock portfolios for wealthy
clients
One client has the following specifications
At least two Texas firms must be in the portfolio
No more than one investment can be made in a foreign
oil company
One of the two California oil stocks must be purchased
The client has $3 million to invest and wants to
buy large blocks of shares
 Financial Investment Example

Oil investment opportunities

EXPECTED ANNUAL COST FOR BLOCK

STOCK COMPANY NAME RETURN ($1,000s) OF SHARES ($1,000s)
1 Trans-Texas Oil 50 480

2 British Petroleum 80 540

3 Dutch Shell 90 680

4 Houston Drilling 120 1,000

5 Texas Petroleum 110 700

6 San Diego Oil 40 510

7 California Petro 75 900

Table 11.4
 Financial Investment Example

Model formulation

Maximize return = 50X1 + 80X2 + 90X3 + 120X4 + 110X5 + 40X6 + 75X7

subject to
X1 + X4 + X5 2 (Texas constraint)
X2+ X3 1 (foreign oil constraint)
X6 + X7 = 1 (California constraint)
480X1 + 540X2 + 680X3 + 1,000X4 + 700X5
+ 510X6 + 900X7 3,000 ($3 million limit)

All variables must be 0 or 1