[数学]列生成算法介绍.ppt

Column Generation Jacques Desrosiers Ecole des HEC GERAD Contents The Cutting Stock Problem Basic Observations LP Column Generation Dantzig-Wolfe Decomposition Dantzig-Wolfe decomposition vs Lagrangian Relaxation Equivalencies Alternative Formulations to the Cutting Stock Problem IP Column Generation Branch-and- ... Acceleration Techniques Concluding Remarks A Classical Paper :The Cutting Stock Problem P.C. Gilmore R.E. Gomory A Linear Programming Approach to the Cutting Stock Problem. Oper. Res. 9, 849-859. (1960) : set of items : number of times item i is requested : length of item i : length of a standard roll : set of cutting patterns : number of times item i is cut in pattern j : number of times pattern j is used The Cutting Stock Problem ... Set can be huge. Solution of the linear relaxation of by column generation. The Cutting Stock Problem ... Given a subset and the dual multipliers the reduced cost of any new patterns must satisfy: otherwise, is optimal. The Cutting Stock Problem ... Reduced costs for are non negative, hence: is a decision variable: the number of times item i is selected in a new pattern. The Column Generator is a Knapsack Problem. Basic Observations Keep the coupling constraints at a superior level, in a Master Problem; this with the goal of obtaining a Column Generator which is rather easy to solve. At an inferior level, solve the Column Generator, which is often separable in several independent sub-problems; use a specialized algorithm that exploits its particular structure. LP Column Generation MASTER PROBLEM Columns Dual Multipliers COLUMN GENERATOR (Sub-problems) Historical Perspective G.B. Dantzig P. Wolfe Decomposition Principle for Linear Programs. Oper. Res. 8, 101-111. (1960) Authors give credit to: L.R. Ford D