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On compact formulations for integer programs solved by column generation.pdf

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On compact formulations for integer programs solved by column generation

FAKULTA?T II MATHEMATIK UND NATURWISSENSCHAFTEN Institut fu?r Mathematik ON COMPACT FORMULATIONS FOR INTEGER PROGRAMS SOLVED BY COLUMN GENERATION by DANIEL VILLENEUVE JACQUES DESROSIERS MARCO E. LU?BBECKE FRANC?OIS SOUMIS No. 2003/25 On Compact Formulations for Integer Programs Solved by Column Generation Daniel Villeneuve AD OPT Technologies Inc. 3535 Queen Mary Road, Suite 650 Montre?al, H3V 1H8 Canada DanielV@ Jacques Desrosiers HEC Montre?al and GERAD 3000, chemin de la Co?te-Ste-Catherine Montre?al, H3T 2A7 Canada Jacques.Desrosiers@hec.ca Marco E. Lu?bbecke Technische Universita?t Berlin Institut fu?r Mathematik, Sekr. MA 6-1 Stra?e des 17. Juni 136, D-10623 Berlin, Germany M.Luebbecke@math.tu-berlin.de Franc?ois Soumis E?cole Polytechnique de Montre?al and GERAD C.P. 6079, Succ. Centre-Ville Montre?al, H3C 3A7 Canada Francois.Soumis@gerad.ca December 9, 2003 Abstract Column generation has become a powerful tool in solving large scale integer programs. It is well known that most of the often reported compatibility issues between pricing subproblem and branching rule disappear when branching decisions are based on imposing constraints on the sub- problem’s variables. This can be generalized to branching on variables of a so-called compact formulation. We constructively show that such a formulation always exists under mild assump- tions. It has a block diagonal structure with identical subproblems, each of which contributes only one column in an integer solution. This construction has an interpretation as reversing a Dantzig-Wolfe decomposition. Our proposal opens the way for the development of branching rules adapted to the subproblem’s structure and to the linking constraints. Key words: Integer programming; column generation; branch-and-bound. La me?thode de ge?ne?ration de colonnes est devenue un outil important pour la re?solution de tre?s grands proble?mes en nombres entiers. La plupart des difficulte?s de compatibilite? rapporte?es dans la litte?rature en