Operations Research Category

Deterministic
Linear Programming
Problem
Nonlinear Programming Integer Programming

Transportation Problem Network and Graphs

Game Theory

Inventory Control Dynamic Programming

Markov Chain Queuing System

Simulation Forecasting
Probabilistic
Decision Making Stochastic Process
Problem

1
 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.

2
 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

3
 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

4
 Solving Integer Programming Problem

LP relaxation, then round off…?

x2
6

Max 1200 x1 + 2000 x2 5

ST
2x1 + 6 x2  27 4

x2  2
3x1 + x2  19
3

x1 , x2  0 and Integer 2

x1
1 2 3 4 5 6 7 8

LP Optimal
x1 = 5 7/16
x2 = 2 11/16
5
 Solving Integer Programming Problem

LP relaxation, then round off ?

x2
6
Round off?
x1 = 5
Max 1200 x1 + 2000 x2 x2 = 3
5
ST
2x1 + 6 x2  27 Round up?
4
x1 = 6
x2  2
x2 = 3
3x1 + x2  19
3

x1 , x2  0 and Integer 2
Round down?
1
x1 = 5
x2 = 2
x1
1 2 3 4 5 6 7 8

LP Optimal
x1 = 5 7/16
x2 = 2 11/16

6
 Solving Integer Programming Problem

x2
6
IP Optimal
x1 = 4
5 x2 = 3

x1
1 2 3 4 5 6 7 8

LP relaxation gives an upper bound for

Maximization Problem

7
 Possible Solution Methods

 Enumeration
 Will yield the optimal solution
 Time consuming
 Branch and Bound
 Will yield the optimal solution
 More efficient than enumeration

8
 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?

9
 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.

10
 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

11
 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

13
Feasible Region for Subproblems 4 & 5

14
 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 7: Subproblem 5 + Constraint x1  4

15
 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

16
 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 = 29 x1 = 3 7
2 x1 = 4
x2 = 1, LB = 29
x2 = 1.8
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

17
 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 ci/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.

21
Formulating Integer Programming Problems

22
 Example 1: Basketball Starting Lineup

Positions Skills
Player Guard Forward Center Ball-Handling Shooting Rebounding Total
1 Yes No No 3 1 2 6
2 No No Yes 1 2 1 4
3 Yes Yes No 1 3 1 5
4 No Yes Yes 1 2 1 4
5 Yes Yes No 2 1 3 6
6 No Yes Yes 1 3 1 5
7 Yes Yes No 1 2 2 5

Maximize total skill subject to ….

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 Constraints
 There must be exactly five starters.
 At least four must be able to play guard
 At least two must be able to play forward
 At least one must be able to play center
 The average skill level must be at least two
 Either player 2 or player 3 must start
 If player 3 starts, then player 6 cannot start
 If player 1 starts, then both players 4 and 5 must also start

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 Binary Integer Programming (BIP) Solution

 Let xi = 1 if player i starts and 0, otherwise.

 Maximize
6 x1 + 4 x2 + 5 x3 + 4 x4 + 6 x5 + 5 x6 + 5 x7
 Exactly five players must start:
x1 + x2 + x3 + x4 + x5 + x6 + x7 = 5
 At least 4 of the starters must be able to play guard:
x1 + x3 + x5 + x7  4
 At least 2 of the starters must be able to play forward:
x3 + x4 + x5 + x6 + x7  2
 At least 1 starter must be able to play center:
x2 + x4 + x6  1

25
 Skill Constraints

1. Average ball-handling  2
(3 x1 + x2 + x3 + x4 + 2 x5 + x6 + x7)/5  2
3 x1 + x2 + x3 + x4 + 2 x5 + x6 + x7  10
2. Average shooting  2
x1 + 2 x2 +3 x3 + 2 x4 + x5 + 3 x6 + 2 x7  10
3. Average rebounding  2
2 x1 + x2 + x3 + x4 + 3 x5 + x6 + 2 x7  10

26
 Either Player 2 or Player 3 Must Start:

x2 + x3  1

Possible variable assignments:

x2 = 1 & x3 = 0 Feasible
x2 = 0 & x3 = 1 Feasible
x2 = 1 & x3 = 1 Feasible
x2 = 0 & x3 = 0 Infeasible

27
 If Player 3 Starts, Then Player 6 Cannot Start

x3 + x6  1

Possible variable assignments:

x3 = 1, x6 = 0 Feasible Start player 3, but not player 6
x3 = 0, x6 = 1 Feasible Start player 6, but not player 3
x3 = 1, x6 = 1 Infeasible Start both players
x3 = 0, x6 = 0 Feasible Don’t start either player

28
If player 1 starts, then players 4 and 5 must both start

x1  x4
x1  x5
If x1 = 1, then x4 = 1 and x5 =1.

Feasible variable assignments:

x1 x4 x5 Intrepretation
1 1 1 all three start
0 0 0 none of them start
0 1 0 only player 4 starts
0 0 1 only player 5 starts
0 1 1 players 4 and 5 start, player 1 does not

29
 Example 2: oil-exploration

 Find least-cost selection of 5 out of 10 possible sites S1, S2, …,

S10 with exploration costs C1, C2, …, C10.
 Constraints:
(1) At most two of sites S5, S6, S7 and S8 may be explored.
(2) Exploring site S3 or site S4 prevents you from exploring site
S5.
(3) Exploring the combination of sites S1 and S7 will prevent you
from exploring site S8.

30
 BIP Formulation
Let xi = 1 if site i is explored; and 0, otherwise.

min C1 x1 + C2 x2 + C3 x3 + C4 x4 +
C5 x5 + C6 x6 + C7 x7 + C8 x8 + C9 x9 + C10 x10
subject to
(1) x1 + x2 + x3 + x4 + x5 + x6 + x7 + x8 + x9 + x10 = 5
(2) x5 + x6 + x7 + x8  2
(3a) x3 + x5  1
(3b) x4 + x5  1
(4) x1 + x7 + x8  2
all variables are binary

31
(3a) x3 + x5  1
(3b) x4 + x5  1

x3 =1 or x4 = 1 => x5 = 0
(if you explore site S3 or site S4, then you can’t explore
site S5)

x5 = 1=> x3 = 0 and x4 = 0
(if you explore site S5, then you can’t explore sites S3 and
S4)

32
(4) x1 + x7 + x8  2

Case 1: Don’t explore site 8

x8 = 0 => x1 + x7  2
(can explore site S1, or S7, or both, or neither)

x8 x1 x7 Interpretation
0 0 0 Don't explore any of the three sites
0 0 1 Explore Site 7 only
0 1 0 Explore Site 1 only
0 1 1 Explore Sites 1 and 7, but not 8

33
(4) x1 + x7 + x8  2
Case 2: Explore Site 8
x8 = 1 => x1 + x7  1
(can also explore site S1, or S7, but not both)

x8 x1 x7 Interpretation
1 0 0 Explore Site 8 only
1 1 0 Explore Sites 8 and 1, but not 7
1 0 1 Explore Sites 8 and 7, but not 1
1 1 1 Explore all three sites (Infeasible)
34
 Example 3: Either-Or Constraints

Satisfy at least one of the following constraints:

1. x+y4
2. 3 x + 4 y  15
(either 1, or 2, or both)

Feasible solutions:
1) x = 1, y = 3 (Satisfies both)
2) x = 0, y = 4 (Satisfies 1, but not 2)
3) x = 5, y = 0 (Satisfies 2, but not 1)
4) x = 2, y = 3 (Satisfies neither)

35
 Either-Or Constraints

Let z be a binary variable

Let M be a large, positive constant
(1), or (2), or both is equivalent to:

(3) x + y  4 + M z
(4) 3 x + 4 y  15 + M (1 – z)
(5) z binary

36
 Either-Or Constraints

(3) x + y  4 + M z
(4) 3 x + 4 y  15 + M (1 – z)
(5) z binary
To allow the solution x =5 and y = 0, set z = 1:

x = 5, y = 0, z = 1
5+0=5<4+M (3) is satisfied
15 + 0 = 15 = 15 + M (1 –1) = 15 (4) is satisfied

37
 Either-Or Constraints

(3) x + y  4 + M z
(4) 3 x + 4 y  15 + M (1 – z)
(5) z binary

To allow the solution x = 0 and y = 4, set z = 0:

x = 0, y = 4, z = 0
0 + 4 = 4 = 4 + M(0) = 4 (3) is satisfied
0 + (4)(4) = 16  15 + M (1 – z) = 15 + M (4) is satisfied

38
 Solutions with M = 1000

Sol. x y x + y 3x + 4y OK? z 4+Mz 15 + M(1-z) Feasible

1a 1 3 4 15 Yes 0 4 1015 Yes
1b 1 3 4 15 Yes 1 1004 15 Yes
2a 0 4 4 16 Yes 0 4 1015 Yes
2b 0 4 4 16 Yes 1 1004 15 No
3a 5 0 5 15 Yes 0 4 1015 No
3c 5 0 5 15 Yes 1 1004 15 Yes
4a 2 3 5 18 No 0 4 1015 No
4b 2 3 5 18 No 1 1004 15 No

• Given any solution that satisfies (1), (2), or, both, we

can find an appropriate value for z so that (3) and (4) are
also satisfied.
•A solution that violates (1) and (2) will violate (3), (4), or
both, no matter what value of z is select.

39
 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

40
 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 PrOFIT

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

41
 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, and binary

42
 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

43
 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

44
 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

45
 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

46
 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

47