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Integer Programming
Many real-life situations must be formulated as an integer programming problem (IP) in which some or all of the variables are required to be non-negative integers, such as the number of shirts or pants to be produced or the number of cars to be purchased or the number of workers to be hired etc. There are three types of integer programming problems; 1. An IP in which all variables are required to be integers is called a pure integer programming problem.
2.
An IP in which only some of the variables are required to be integers is called a mixed integer programming problem. An integer programming problem in which all the variables must equal 0 or 1 is called a 01 IP.
3.
Integer programming is a Linear programming problem with some additional constraints which states that some variables are integer or binomial (0 or 1), so the feasible region of IP is in feasible region of LP and objective function of LP is generally greater than objective function of IP.
Enumeration method
Listing all feasible solutions and selecting the one with the best objective function is called enumeration method. This method is suitable only for small problems. WORKED-OUT PROBLEM 1 (Harrison Electric Company) 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. 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 6X1 + 5X2 30 X1 , X2 0 X1 = number of chandeliers produced ,
where
Integer programming
CHANDELIERS (X )
1
CEILING FANS (X )
2
0 0 0 0 0
$0 7 14 21 28
5
0 1 2 3
0
1 1 1 1
35
6 13 20 27
4
0 1 2 3 0 1 0
1
2 2 2 2 3 3 4
34
12 19 26 33 18 25 24
The rounding solution of X1 = 4, X2 = 1 gives a profit of $34 but the optimal solution is X1 = 5, X2 = 0 which gives a profit of $35.
Branch-and-Bound Method
The basic concept underlying the branch-and-bound technique is to divide and conquer.Theprocess contains dividing (branching) original large problem into smaller subproblems and bounding the best solution in the subsets. The steps are; Solve the problem without integer restrictions, If the solution is integer , then this must be the solution to 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, Bounds on the value of the objective function are found and used to help determine which sub-problems can be eliminated and when the optimal solution has been found, If a solution is not optimal, a new sub-problem is selected and branching continues.
Integer programming
Recall that the Harrison Electric Companys integer programming formulation is Maximize profit = subject to where X1 = number of chandeliers produced X2 = number of ceiling fans produced and the optimal non-integer solution is X1 = 3.75 chandeliers, X2 = 1.5 ceiling fans, profit = $35.25 $7X1 + $6X2 2X1 + 3X2 12 6X1 + 5X2 30
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 sub-problems A and B. Sub-problem A Maximize profit = subject to $7X1 + $6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 4 Sub-problem B Maximize profit = subject to $7X1 + $6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 3
Sub-problem A has branched into two new sub-problems, C and D. Sub-problem C Maximize profit = subject to $7X1+$6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 4 X2 2 Sub-problem D Maximize profit = subject to $7X1+ $6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 4 X2 1
Sub-problem C has no feasible solution because the all the constraints cannot be satisfied. We terminate this branch and do not consider this solution. Sub-problem Ds optimal solution is X1 = 4.17, X2 = 1, profit = $35.16 . This non-integer solution yields a new upper bound of $35.16 .
Integer programming
Finally we derive sub-problems E and F. Sub-problem E Maximize profit = subject to $7X1+$6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 4 X1 4 X2 1 Sub-problem F Maximize profit = subject to $7X1+$6X2 2X1 + 3X2 12 6X1 + 5X2 30 X1 4 X1 5 X2 1
Integer programming
WORKED-OUT PROBLEM 2 The Telfa Corporation manufactures tables and chairs. A table requires 1 hour of labor and 9 square board feet of wood, and a chair requires 1 hour of labor and 5 square board feet of wood. Currently, 6 hours of labor and 45 square board feet of wood are available. Each table contributes $8 to profit, and each chair contributes $5 to profit. Formulate and solve an IP to maximize Telfas profit. Solution: Let X1= number of tables manufactured X2 = number of chairs manufactured
Because X1 and X2 must be integers, Telfa wants to solve the following IP: max Z = 8X1 + 5X2 s.t. X1 + X2 6 (Labor constraint) s.t. 9X1 + 5X2 45 (Wood constraint) X1, X2 0; X1, X2 integer The branch-and-bound method begins by solving the LP.Unfortunately, the optimal solution to the LP is Z=
X1= , X2 = . we know that (optimal Z-value for IP) (optimal Z-value for LP). This implies that the optimal Z-value for the IP cannot exceed (upper bound). X1 and X2 are rounded down and found as X1=3 and X2=2 and Z= 34 is lower bound, so optimal Z-value for the IP cannot be less than 34.
X13
X1=3.75 X2 =2.25 Z=41.25
X1=3 X2 =3 Z=39
Candidate solution
X14 X21
X1=4.44 X2 =1 Z=40.5
X14
X1=4 X2 =1.8 Z= 41
X15 X
X22
X1=3.88 X2 =2 Z=41,1
Among the candidate solutions, Z=40 is maximum value among them. So 5 tables (X1=5), and no chairs (X2 =0) will yield a profit of $40.
Integer programming
4. max Z = 2x1 + 3x2 s.t. x1 + 2x2 10 s.t .x1 + 4x2 25 s.t. 3x1 x1, x2 0; x1, x2 integer 5. max Z = 4x1 + 5x2 s.t. x1 + 4x2 5 3x1 + 2x2 7 s.t. 3x1 x1, x2 0; x1, x2 integer 6. max Z = 7x1 + 3x2 s.t. 2x1 + x2 9 3x1 + 2x2 13 s.t. 3x1 x1, x2 0; x1, x2 integer
1. x1=4,x2=0, Z=20 2. x1=2,x2=0, Z=8 3. x1=2,x2=2, Z=18 4. x1=10, x2=0, Z=20 5. x1=1, x2=1, Z= 9 6. x1=4, x2=0, Z=28
2. Mixed-Integer Programming
There are many situations in which some of the variables are restricted to be integers and some are not. To solve a mixed IP by the branch-and-bound method, branching is applied only on variables that are required to be integers. Consider the following case; max Z = 2x1 + x2 s.t. 5x1+2x2 8 x1+x2 3 x1, x2 0; x1 integer As before, we begin by solving the LP. The optimal solution of the LP relaxation is Z= Because x2 is allowed to be fractional, we do not branch on x2.
, x1= , x2=
X10 Z=
11 3 2 3 7 3
Z= 3 x1= 0 x2= 3
Candidate solution
x1= x2=
X11
Z= 2 x1= 1 3 x2=
2
Candidate solution
Z= , x1= 1 , x2=
Integer programming
WORKED-OUT PROBLEM 3
Maximize profit Z= $85X + $1.50Y subject to 30X + 0.5Y 2,000 18X + 0.4Y 800 2X + 0.1Y 200 X, Y 0 and X integer
1. max Z = s.t.
2. min Z = 3x1 + x2 s.t. x1 + 5x2 8 x1 + 2x2 4 x1, x2 0; x2 integer 3. min Z = 4x1 +3x2 + x3 s.t. 3x1 + 2x2 + x3 7 2x1 + x2 + 2x3 11 x1, x2 ,x3 0; x2 ,x3 integer
4. (12.1-6./Hillier)Vincent Cardoza is the owner and manager of a machine shop that does custom order work. This Wednesday afternoon, he has received calls from two customers who would like to place rush orders. One is a trailer hitch company which would like some custom-made heavy-duty tow bars. The other is a mini-car-carrier company which needs some customized stabilizer bars. Both customers would like as many as possible by the end of the week (two working days). Since both products would require the use of the same two machines, Vincent needs to decide and inform the customers this afternoon about how many of each product he will agree to make over the next two days. Each tow bar requires 3.2 hours on machine 1 and 2 hours on machine 2. Each stabilizer bar requires 2.4 hours on machine 1 and 3 hours on machine 2. Machine 1 will be available for 16 hours
Integer programming
over the next two days and machine 2 will be available for 15 hours. The profit for each tow bar produced would be $130 and the profit for each stabilizer bar produced would be $150. Vincent now wants to determine the mix of these production quantities that will maximize the total profit. (a) Formulate an IP model for this problem. (b) Use a graphical approach to solve this model. (c) Use the computer to solve the model. 5. (12.1-7. /Hillier) Pawtucket University is planning to buy new copier machines for its library. Three members of its Operations Research Department are analyzing what to buy. They are considering two different models: Model A, a high-speed copier, and Model B, a lower-speed but less expensive copier. Model A can handle 20,000 copies a day, and costs $6,000. Model B can handle 10,000 copies a day, but costs only $4,000. They would like to have at least six copiers so that they can spread them throughout the library. They also would like to have at least one highspeed copier. Finally, the copiers need to be able to handle a capacity of at least 75,000 copies per day. The objective is to determine the mix of these two copiers which will handle all these requirements at minimum cost. (a) Formulate an IP model for this problem. (b) Use a graphical approach to solve this model. (c) Use the computer to solve the model.
Answers:
1. x1=1.2, x2=2, Z=5.6 2. x1=0, x2=2, C=2 3. x1=0.3, x2=3, x3=0, C=10.33 4. x1=0, x2=5, P=750 5. x1=2, x2=4, C=28,000
Integer programming
It cannot do them all.They want to maximize net present value of projects undertaken.
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
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 Solution: Excel solution of problem is X1 = 1, X2 = 0, and X3 = 1 with an objective function value of 57,000. 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 (Limited selection) If they had to fund exactly two projects the constraint would be X1 + X2 + X3 = 2 (Limited selection)
Integer programming
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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 constraint would force this to occur X1 X2 or X1 X2 0 (Dependent Selections)
(X1 will be selected if X2 is selected. If X2 is zero than X1 is zero, if X2 is 1 than X1 can be zero or 1)
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 (Dependent Selections)
WORKED-OUT PROBLEM 5 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 wants to have capacity to produce at least 38,000 units each year.
ANNUAL FIXED COST VARIABLE COST PER UNIT
SITE
ANNUAL CAPACITY
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
Integer programming
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WORKED-OUT PROBLEM 6 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 COMPANY NAME
Trans-Texas Oil British Petroleum Dutch Shell Houston Drilling Texas Petroleum San Diego Oil California Petro
STOCK
1 2 3 4 5 6 7
Solution: 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
Integer programming
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3. (12.1-1./Hillier) The CALIFORNIA MANUFACTURING COMPANY is considering expansion by building a new factory in either Los Angeles or San Francisco, or perhaps even in both cities. It also is considering building at most one new warehouse, but the choice of location is restricted to a city where a new factory is being built. The net present value (total profitability considering the time value of money) of each of these alternatives is shown in the fourth column of the table. The rightmost column gives the capital required (already included in the net present value) for the respective investments, where the total capital available is $10 million.
Data for the California Manufacturing Co. example Yes-or-No Question Build factory in Los Angeles? Decision Variable Net Present Value Capital Required
The owners of the firm, Dave Peterson and Ron Johnson, have raised $20 million of investment capital for these projects. Dave and Ron now want to select the combination of projects that will maximize their total estimated long-run profit (net present value) without investing more than $20 million. (a) Formulate a BIP model for this problem. (b) Display this model on an Excel spreadsheet. (c) Use the computer to solve this model. 2. (12.1-4./Hillier) The board of directors of General Wheels Co. is considering seven large capital investments. Each investment can be made only once. These investments differ in the estimated long-run profit (net present value) that they will generate as well as in the amount of capital required, as shown by the following table (in units of millions of dollars): Investment Opportunity 1
Estimated profit Capital required
x1
x2
x3
x4
$4 million
$2 million
2 10 28
3 15 34
4 19 48
5 7 17
6 13 32
7 9 23
Capital available: $10 million (a) Formulate a BIP model for this problem. (b) Display this model on an Excel spreadsheet. (c) Use the computer to solve this model.
17 43
The total amount of capital available for these investments is $100 million. Investment opportunities 1 and 2 are mutually exclusive, and so are 3 and 4. Furthermore, neither 3 nor 4 can be undertaken unless one of the first two opportunities is undertaken . There are no such restrictions on investment opportunities 5, 6, and 7. The objective is to select the combination of capital investments that will maximize the total estimated long-run profit (net present value). (a) Formulate a BIP model for this problem. (b) Use the computer to solve this model.
Answers:
Integer programming
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4. (11-12/Render) Seok Tang is the owner and general manager of Princess Brides, which provides a wedding planning service in Southwest Louisiana. She uses radio advertising to market her business. Two types of ads are available- those during prime hours and those at other times. Each prime time ad costs $390 and reaches 8,200 people, while the off peak ads each cost $240 and reach 5,100 people. Bailey has budgeted $1,800 per week for advertising. Based on comments from her customers, Tang wants to have at least 2 prime time ads and no more than 6 off peak ads. a) Formulate this as a linear program and solve using a computer. b) Find a good or optimal integer solution for part a) by rounding off or making an educated guess at the answer. c) Solve this as an integer programming problem using the branch and bound method. 5. (11-13/Render) A group of college students is planning a camping trip during the upcoming break. The group must hike several miles through the woods to get to the campsite, and anything that is needed on this trip must be packed in a knapsack and carried to the campsite. One particular student, Hoi Nei, has identified eight items that she would like to take on the trip, but the combined weight is too great to take all of them. She has decided to rate the utility of each item on a scale of 1 to 100, with 100 being the most beneficial. The item weights in pounds and their utility values are given below.
ITEM WEIGHT UTILITY 1 8 80 2 1 20 3 7 50 4 6 55 5 3 50 6 12 75 7 5 30 8 14 70
6. (11-14 /Render) Roneo Enterprises sells two sizes of wall posters, a large 3- by 4- foot poster and a smaller 2- by 3- foot poster. The profit earned from the sale of each large poster is $3; each smaller poster earns $2. The firm, although profitable, is not large; it consists of one art student, Iumiya Ro, at the Pepperdine University. Because of her classroom schedule, Iumiya has the following weekly constraints: 1) up to three large posters can be sold; 2) up to five smaller posters can be sold; 3) up to 10 hours can be spent on posters during the week, with each large poster requiring 2 hours of work and each small one taking 1 hour. With the semester almost over, Iumiya plans on taking a three-month summer vacation to England and doesnt want to leave any unfinished posters behind. Find the integer solution that will maximize her profit. 7. (11-15/Render) An airline owns an aging fleet of Boeing 737 jet airplanes. It is considering a major purchase of up to 17 new Boeing model 757 and 767 jets. The decision must take into account numerous cost and capability factors, including the following: 1) the airline can finance up to $1.6 billion in purchases; 2) each Boeing 757 will cost $80 million, and each Boeing 767 will cost $110 million; 3) at least one-third of the planes purchased should be the longer-range 757; 4) the annual maintenance budget is to be no more than $8 million; 5) the annual maintenance cost per 757 is estimated to be $800,000, and it is $500,000 for each 767 purchased; and 6) each 757 can carry 125,000 passengers per year, whereas each 767 can fly 81,000 passenger annually. Formulate this as an integer programming problem to maximize the annual passenger-carrying capability. What category of integer programming problem is this? Solve this problem. 8. (11-16/Render) Diya Investments is a venture capital firm that is currently evaluating six different investment opportunities. There is not sufficient capital to invest in all of these, but more than one will be selected. A 0-1 integer programming model is planned to help determine which of the six opportunities to choose. Variables x1, x2, x3, x4, x5, and x6 represent the six choices. For each of the following situations write a constraint (or several constraints), that would be used. a) At least 3 of these choices are to be selected. b) Either investment 1 or investment 4 must be undertaken, but not both. c) If investment 4 is selected, then investment 6 must also be selected. However, if investment 4 is not selected, it is still possible to select number 6. d) Investment 5 cannot be selected unless both investments 2 and 3 are also selected.
Recognizing that the height to the campsite is a long one, a limit of 35 pounds has been sat as the maximum total weight of the items to be carried. a) Formulate this as 0-1 programming problem to maximize the total utility of the items carried. Solve this knapsack problem using a computer. b) Suppose item number 3 is an extra battery pack, which may be used with several of the other items. Hoi has decided that she will only take item number 5, a CD player, if she also takes item number 3. On the other hand, if she takes item number 3, she may or may not take item number 5. Modify this problem to reflect this and solve the new problem.
Integer programming
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e) Investment 5 must be selected if both investments 2 and 3 are also selected. 9. (11-18/Render) Malik Construction Company specializes in building moderately priced homes in Cincinnati, Ohio. Anu Malik has identified eight potential locations to construct new single-family dwelling, but he cannot put up homes on all of the sites because he has only $300,000 to invest in all projects. The accompanying table shows the cost of constructing homes in each area and the expected profit to be made from the sale of each home. Note that the homebuilding costs differ considerably due to low costs, site preparation and differences in the models to be build. Note also that a fraction of a home cannot be build. LOCATION COST OF BUILDING AT THIS SITE ($) 60,000 50,000 82,000 103,000 50,000 41,000 80,000 69,000 EXPECTED PROFIT ($) 5,000 6,000 10,000 12,000 8,000 3,000 9,000 10,000
a) Develop an integer programming model to maximize the NPV in this situation. b) Solve the problem in part-a using computer software. Which of the three projects would be undertaken if NPV is maximized? How much money would be used each year? 11. (11-21/Render) Pashwa Utilities provides electricity for three cities. The company has four electric generators that are used to provide electricity. The main generator operates 24 hours per day, with an occasional shutdown for routine maintenance. Three other generators (1, 2, and 3) are available to provide additional power when needed. A startup cost is incurred each time one of these generators is started. The startup costs are $6,000 for 1, $5,000 for 2, and $4,000 for 3. These generators are used in the following ways: A generator may be started at 6:00 A.M. and run for either 8 hours or 16 hours, or it may be started at 2:00 P.M. and run for 8 hours (until 10:00 P.M.). All generators except the main generator are shut down at 10:00 P.M. Forecasts indicate the need for 3,200 megawatts more than provided by the main generator before 2:00 P.M., and this need goes up to 5,700 megawatts between 2:00 and 10:00 P.M. Generator 1 may provide up to 2,400 megawatts, generator 2 may provide up to 2,100 megawatts, and generator 3 may provide up to 3,300 megawatts. The cost per megawatt used per eight hour period is $8 for 1, $9 for 2, and $7 for 3. a) Formulate this problem as an integer programming problem to determine the least-cost way to meet the needs of the areas. b) Solve using computer software.
Clifton Mt. Auburn Mt. Adams Amberly Norwood Covington Roselawn Eden Park
a) Formulate Maliks problem using 0-1 integer programming. b) Solve with QM for Windows or Excel. 10. (11-19/Render) A real estate developer is considering three possible projects a small apartment complex, a small shopping center, and a miniwarehouse. Each of these requires different funding over the next two years, and the net present value of the investments also varies. The following table provides the required investment amounts ( in $1,000s) and the net present value (NPV) of each (also expressed $1,000s): INVESTMENT YEAR 1 YEAR 2 40 30 30 20 20 20
NPV 18 15 14
The company has $80,000 to invest in year 1 and $50,000 to invest in year 2.