Gomory

620362 Applied Operations Research (Department of Mathematics & Statistics, University of Melbourne) 1
620
620
-
-
362
362
Applied Operations Research
Applied Operations Research
The
The
Gomory
Gomory
Cutting Plane
Cutting Plane
Method
Method
Department of Mathematics and Statistics Department of Mathematics and Statistics
The University of Melbourne The University of Melbourne
This presentation has been made in accordance with the provision This presentation has been made in accordance with the provisions of Part VB of the copyright s of Part VB of the copyright
act for the teaching purposes of the University. act for the teaching purposes of the University.
For use of students of the University of Melbourne enrolled in t For use of students of the University of Melbourne enrolled in the subject 620 he subject 620- -362. 362.
Copyright Copyright

2008 by 2008 by Heng Heng- -Soon Soon Gan Gan
Some contents of this presentation are adapted from year 2005 co Some contents of this presentation are adapted from year 2005 course notes for 620 urse notes for 620- -362 362
Applied Operations Research, Department of Mathematics and Stati Applied Operations Research, Department of Mathematics and Statistics, The University of stics, The University of
Melbourne (compiled by Prof Natashia Boland and Dr Renata Melbourne (compiled by Prof Natashia Boland and Dr Renata Sotirov Sotirov) )
Motivation
Motivation
Original polyhedron
for IP
Ideal polyhedron
for IP
Add additional
constraints
The
The
Gomory
Gomory
Cutting Plane Method
Definition
Definition
.
.
{ }. : Let b Ax Z x P
n
=
+
IP. for valid is
say we IP an of region feasible the is If
.
if for valid is constraint The

x
P
P x x
P x
The
The
Gomory
Gomory
Proposition 1.
Proposition 1.

. for valid also is
then for valid is If
n
1 i
i
P x
P x
i

=

. , 0 and , Proof P x i, x i .
i i i

. , and ,
Therefore
1 1 1
P x x P x x x
n
i
i i
n
i
i i
n
i
i i

= = =

. , integer is Since
1 1
P x x P x x
n
i
i i
n
i
i i

= =
The
The
Chav
Chav
tal
tal
-
-
Gomory
Gomory
Procedure
Procedure
is determined by the following proposition

is determined by the following proposition
Proposition 2.
Proposition 2.
{ } ( ) . and , where , 0 Let
x m n m
ij
n
u a A b,x Ax : Z x P
+
= =

. for constraint valid is , of column is where

ly equivalent or

Then
th
1
1 1 1
P A j a
b u x a u
b u x a u
j
T
n
j
j j
T
m
i
i i
n
j
j
n
i
ij i

=
= = =
Proposition 2
Proposition 2
( ) 1 n Propositio by ,
,
,
, ,
follows it 0 Since
. 1 Proof.
1 1 1
1 1 1
1 1 1
1
1
P x b u x a u
P x b u x a u
P x b u x a u
P x i b u x a u
u
P x ,m, , i , b x a
m
i
i i
n
j
j
m
i
ij i
m
i
i i
n
j
j
m
i
ij i
m
i
i i
m
i
n
j
j ij i
i i
n
j
j ij i
i
i
n
j
j ij

(
\
|

|
|
\
|

|
|
\
|
= = =
= = =
= = =
=
=
K
Example 1
Example 1
If we choose
If we choose
u
u
=(7/22, 1/22, 0, 0), then
=(7/22, 1/22, 0, 0), then
7/22(
7/22(
-
-
1) + (1/22)(7)
1) + (1/22)(7)
x
x
1 1
+
+
7/22(3) + (1/22)(1)
7/22(3) + (1/22)(1)
x
x
2 2

7/22(6) + (1/22)(35)
7/22(6) + (1/22)(35)
x
x
2 2

3.5
3.5
Thus, x
Thus, x
2 2
3 is valid for P.
3 is valid for P.

+
+
=
0
0
35 7
6 3
:
2
1
2 1
2 1
2
x
x
x x
x x
Z x P
Example 1
Example 1
If we choose
If we choose
u
u
=(1/3, 4/21, 0, 0), then
=(1/3, 4/21, 0, 0), then
1/3(
1/3(
-
-
1) + (4/21)(7)
1) + (4/21)(7)
x
x
1 1
+
+
1/3(3) + (4/21)(1)
1/3(3) + (4/21)(1)
x
x
2 2

1/3(6) + (4/21)(35)
1/3(6) + (4/21)(35)
1
1
x
x
1 1
+
+
25/21
25/21
x
x
2 2

26/3
26/3
Thus, x
Thus, x
1 1
+ x
+ x
2 2
8 is valid for P.
8 is valid for P.
Example 1
Example 1
35 7
2 1
= + x x
6 3
2 1
= + x x
1
1
2 3
4
5
2
3
4
2
x
1
x
3
2
= x
8
2 1
= + x x
Example 2
Example 2
i. i. If If 10x 10x
1 1
+ 3x + 3x
2 2
45 is valid, 45 is valid,
then then x x
1 1
+ 3/10x + 3/10x
2 2
45/10 is valid 45/10 is valid
and and x x
1 1
+ + 3/10 3/10 x x
2 2
45/10 45/10 is valid is valid
therefore therefore x x
1 1
4 is valid 4 is valid
ii. ii. If If 4x 4x
1 1
+ 20x + 20x
2 2
65 65
then then x x
1 1
+ 5x + 5x
2 2
65/4 is valid 65/4 is valid
and and x x
1 1
+ 5x + 5x
2 2
65/4 65/4 is valid is valid
therefore therefore x x
1 1
+ 5x + 5x
2 2
16 16 is valid is valid
+
+
+
+
Z x x
x x
x x t s
x x
2 1
2 1
2 1
2 1
,
65 20 4
45 3 10 . .
3 max
Example 2 (with constraint (i))
Example 2 (with constraint (i))
45 3 10
2 1
= + x x
65 20 4
2 1
= + x x
1
1
2
3
4
5
2
3
4
2
x
1
x
4
1
= x
increasing
objective
Example 2 (with constraint (ii))
Example 2 (with constraint (ii))
45 3 10
2 1
= + x x
65 20 4
2 1
= + x x
1
1
2
3
4
5
2
3
4
2
x
1
x
4
1
= x
increasing
objective
16 5
2 1
= + x x
Proposition 3
Proposition 3

( )

. for valid also is

then for valid is If
1
P
x
P x
n
i
i i i
=

=

( )

P x , x
P x , x x
P x , x
x
n
i
i i i
n
i
i i
n
i
i i
n
i
i i

=
= =
=
1
1 1
1
1, n Propositio by so valid, obviously is Proof.
The
The
Gomory
Gomory
Method
Method
How to use valid inequalities?
How to use valid inequalities?
Consider the integer program
max{cx
max{cx
:
:
Ax
Ax

b, x
b, x
0 and integer
0 and integer
}
}
Idea:
Idea:
First solve the associated LP relaxation and then
First solve the associated LP relaxation and then
generate a C
generate a C
-
-
G inequality on the constraint
G inequality on the constraint
associated with the
associated with the
basic
basic
variable
variable
that is not integer
that is not integer
(if there is any), resolve the new LP relaxation
(if there is any), resolve the new LP relaxation
Example 3
Example 3
add slack variables s

add slack variables s
1 1
and s
and s
2 2
note:
note:
s
s
1 1
= 6 + x
= 6 + x
1 1
3x
3x
2 2
s
s
2 2
= 35
= 35
7x
7x
1 1
x
x
2 2
s
s
1 1
and s
and s
2 2
must be integer (!)
must be integer (!)
+
+
+
+ =
Z x x
x x
x x t s
x x z
2 1
2 1
2 1
2 1
,
35 7
6 3 . .
9 7 max
Example 2
Example 2
solve by simplex method to get LP relaxation

solve by simplex method to get LP relaxation
Optimal LP solution: x
Optimal LP solution: x
1 1
= 4
= 4
, x
, x
2 2
= 3
= 3
, z = 63
, z = 63
eqn x1 x2 s1 s2 RHS Ratio test
1 - 1/3 1 1/3 0 2 no ratio R1'=R1/3
2 7 1/3 0 - 1/3 1 33 4.5 R2=R2-R1'
z -10 0 3 0 18 Rz=Rz+9*R1'
1 0 1 7/22 1/22 3 1/2 R1=R1+R2'/3
2 1 0 - 1/22 3/22 4 1/2 R2'=R2*3/22
z 0 0 2 6/11 1 4/11 63 Rz=Rz+10*R2'
1 -1 3 1 0 6 2
2 7 1 0 1 35 35
z -7 -9 0 0 0
Example 3
Example 3
equation 1 reads equation 1 reads
x x
2 2
+ 7/22 s + 7/22 s
1 1
+ 1/22 s + 1/22 s
2 2
= 3 = 3
by Proposition 3 the constraint by Proposition 3 the constraint
(1 (1 1 1 )x )x
2 2
+ (7/22 + (7/22 7/22 7/22 )s )s
1 1
+ (1/22 + (1/22 1/22 1/22 )s )s
2 2
3 3 3 3

7/22s 7/22s
1 1
+ 1/22s + 1/22s
2 2

is a valid for IP. is a valid for IP.
valid constraint in terms of valid constraint in terms of original variables original variables: :
7/22(6 + x 7/22(6 + x
1 1
3x 3x
2 2
) + 1/22(35 ) + 1/22(35 7x 7x
1 1
x x
2 2
) ) x x
2 2
3 3
note that LP optimum (i.e. x note that LP optimum (i.e. x
2 2
= 3 = 3 ) does not satisfy this constraint ) does not satisfy this constraint
1 0 1 7/22 1/22 3 1/2 R1=R1+R2'/3
2 1 0 - 1/22 3/22 4 1/2 R2'=R2*3/22
z 0 0 2 6/11 1 4/11 63 Rz=Rz+10*R2'
Example 3
Example 3
x x
1 1
- - 1/22 s 1/22 s
1 1
+ 3/22 s + 3/22 s
2 2
= 4 = 4
(1 (1 1 1 )x )x
1 1
+ ( + (- -1/22 1/22 - -1/22 1/22 )s )s
1 1
+ (3/22 + (3/22 3/22 3/22 )s )s
2 2
4 4 4 4
( (- -1/22 1/22 ( (- -1))s 1))s
1 1
+ 3/22s + 3/22s
2 2

21/22s 21/22s
1 1
+ 3/22s + 3/22s
2 2

21/22(6 + x 21/22(6 + x
1 1
3x 3x
2 2
) + 3/22(35 ) + 3/22(35 7x 7x
1 1
x x
2 2
) ) x x
2 2
3 1/3 3 1/3
which is not as good as what we already have. which is not as good as what we already have.
1 0 1 7/22 1/22 3 1/2 R1=R1+R2'/3
2 1 0 - 1/22 3/22 4 1/2 R2'=R2*3/22
z 0 0 2 6/11 1 4/11 63 Rz=Rz+10*R2'
Example 3
Example 3
28/11 s 28/11 s
1 1
+ 15/11 s + 15/11 s
2 2
= 63 = 63
(28/11 (28/11 28/11 28/11 )s )s
1 1
+ (15/11 + (15/11 15/11 15/11 )s )s
2 2
63 63 63 63

6/11 6/11s s
1 1
+ 4/11s + 4/11s
2 2
0 0
6/11(6 + x 6/11(6 + x
1 1
3x 3x
2 2
) + 4/11(35 ) + 4/11(35 7x 7x
1 1
x x
2 2
) ) 0 0 x x
1 1
+ x + x
2 2
8 8
note: this constraint does NOT cut off the original polyhedron. note: this constraint does NOT cut off the original polyhedron.
1 0 1 7/22 1/22 3 1/2 R1=R1+R2'/3
2 1 0 - 1/22 3/22 4 1/2 R2'=R2*3/22
z 0 0 2 6/11 1 4/11 63 Rz=Rz+10*R2'
Example 3
Example 3
now add the new constraint x

now add the new constraint x
2 2

3 to the LP and
3 to the LP and
solve:
solve:
+
+
+
+ =
Z x x
x
x x
x x t s
x x z
2 1
2
2 1
2 1
2 1
,
3
35 7
6 3 . .
9 7 max
Example 3
Example 3
optimal solution: x
optimal solution: x
1 1
= 4 4/7, x
= 4 4/7, x
2 2
= 3, z = 59
= 3, z = 59
eqn x1 x2 s1 s2 s3 RHS Ratio test
1 -1 3 1 0 0 6 2
2 7 1 0 1 0 35 35
3 0 1 0 0 1 3 3
z -7 -9 0 0 0 0
1 - 1/3 1 1/3 0 0 2 no ratio R1'=R1/3
2 7 1/3 0 - 1/3 1 0 33 4.5 R2=R2-R1'
3 1/3 0 - 1/3 0 1 1 3 R3=R3-R1'
z -10 0 3 0 0 18 Rz=Rz+9*R1'
1 0 1 0 0 1 3 no ratio R1=R1+R3'/3
2 0 0 7 1 -22 11 1.571428571 R2=R2-22/3*R3'
3 1 0 -1 0 3 3 no ratio R3'=R3*3
z 0 0 -7 0 30 48 Rz=Rz+10*R3'
1 0 1 0 0 1 3 R1=R1
2 0 0 1 1/7 -3 1/7 1 4/7 R2'=R2/7
3 1 0 0 1/7 - 1/7 4 4/7 R3=R3+R2'
z 0 0 0 1 8 59 Rz=Rz+7*R2'
Example 3
Example 3
equation 3 reads:
equation 3 reads:
x
x
1 1
+ 1/7s
+ 1/7s
2 2
1/7s
1/7s
3 3
= 4 4/7
= 4 4/7
so 1/7s
so 1/7s
2 2
+ 6/7s
+ 6/7s
3 3

4/7 is valid and thus

4/7 is valid and thus
x
x
1 1
+ x
+ x
2 2

7 is valid for IP
7 is valid for IP
eqn x1 x2 s1 s2 s3 RHS
1 0 1 0 0 1 3
2 0 0 1 1/7 -3 1/7 1 4/7
3 1 0 0 1/7 - 1/7 4 4/7
z 0 0 0 1 8 59
Example 3
Example 3
add the new constraint and solve LP

add the new constraint and solve LP
to get optimum: x
to get optimum: x
1 1
= 4, x
= 4, x
2 2
= 3, z = 55 (integer!!)
= 3, z = 55 (integer!!)
+
+
+
+ =
Z x x
x x
x
x x
x x t s
x x z
2 1
2 1
2
2 1
2 1
2 1
,
7
3
35 7
6 3 . .
9 7 max
Example 3
Example 3
35 7
2 1
= + x x
6 3
2 1
= + x x
1
1
2
3
4
5
2
3
4
2
x
1
x
increasing
objective
3
2
= x
7
2 1
= + x x
Example 2 (continued)
adding 2 slack variables (x adding 2 slack variables (x
3 3
, x , x
4 4
) and solving by simplex ) and solving by simplex
method, we get the final tableau method, we get the final tableau
and LP optimum x and LP optimum x
1 1
= 3 = 3 , x , x
2 2
= 2 = 2 , z = 11 , z = 11
+
+
+
+
Z x x
x x
x x t s
x x
2 1
2 1
2 1
2 1
,
65 20 4
45 3 10 . .
3 max
http://www.tutor.ms.unimelb.edu.au/
Eq 1
Eq 2
Eq 3
valid constraint from equation 1:

valid constraint from equation 1:
5/47x
5/47x
3 3
3/188x
3/188x
4 4
= 15/4
= 15/4
therefore 20x
therefore 20x
3 3
+ 185x
+ 185x
4 4

141 is valid
141 is valid
and thus 235x
and thus 235x
1 1
+ 940x
+ 940x
2 2

3196 is valid
3196 is valid
NOTE: 235(15/4) + 940(5/2) = 3231
NOTE: 235(15/4) + 940(5/2) = 3231
> 3196
> 3196
Eq 1
Eq 2
Eq 3
valid constraint from equation 2

valid constraint from equation 2
-
-
1/47x
1/47x
3 3
+ 5/94x
+ 5/94x
4 4
= 5/2
= 5/2
therefore 92x
therefore 92x
3 3
+ 5x
+ 5x
4 4

47 is valid
47 is valid
and thus 470x
and thus 470x
1 1
+ 188x
+ 188x
2 2

2209 is valid
2209 is valid
NOTE: 470(15/4) + 188(5/2) = 2232
NOTE: 470(15/4) + 188(5/2) = 2232
> 2209
> 2209
Eq 1
Eq 2
Eq 3
valid constraint from equation 3 (objective row)

valid constraint from equation 3 (objective row)
2/47x
2/47x
3 3
+ 27/188x
+ 27/188x
4 4
= 45/4
= 45/4
therefore 8x
therefore 8x
3 3
+ 27x
+ 27x
4 4

47 is valid
47 is valid
and thus 47x
and thus 47x
1 1
+ 141x
+ 141x
2 2

517 is valid
517 is valid
NOTE: 47(15/4) + 141(5/2) = 528
NOTE: 47(15/4) + 141(5/2) = 528
> 517
> 517
Eq 1
Eq 2
Eq 3
Resolve LP with 3 new C

Resolve LP with 3 new C
-
-
G inequalities
G inequalities
optimal solution: x
optimal solution: x
1 1
= 3 1/5, x
= 3 1/5, x
2 2
= 2 3/5, z = 11
= 2 3/5, z = 11
Gomory
Gomory
Cutting Planes (results)
% - of fractional
rows in LP used
to generate
Gomory cuts
Gomory
Gomory
The
The
Gomory
Gomory
Method
Method
1.
1.
Solve the LP relaxation using the Simplex method.
Solve the LP relaxation using the Simplex method.
If all variables are integer then STOP;
If all variables are integer then STOP;
this is the optimal IP solution.
this is the optimal IP solution.
Otherwise go to Step 2.
Otherwise go to Step 2.
2.
2.
Choose one or more rows of the Simplex tableau
Choose one or more rows of the Simplex tableau
with fractional right
with fractional right
-
-
hand side. For each row chosen
hand side. For each row chosen
generate the corresponding
generate the corresponding
Gomory
Gomory
cut
cut
:
:
if row is (a
if row is (a
1 1
, a
, a
2 2
,
,
,a
,a
n n
, b) the cut is
, b) the cut is
3.
3.
Add all cuts generated in Step 2 to LP. Go to Step 1.
Add all cuts generated in Step 2 to LP. Go to Step 1.

( )

b b x a a
n
i
i i i

=1
Remarks:
Remarks:
The The Gomory Gomory Method (GM) assumes (converts) all coefficients Method (GM) assumes (converts) all coefficients
and right and right- -hand sides of the problem are integer. hand sides of the problem are integer.
The GM will converge. The GM will converge.
Resolving the LP can be done very efficiently using the Dual Resolving the LP can be done very efficiently using the Dual
Simplex Method. Simplex Method.
In Step 2, choose one row only. In Step 2, choose one row only.
The GM can in practice be very slow to terminate. The GM can in practice be very slow to terminate.
Recent research shows that in combination with Branch Recent research shows that in combination with Branch- -and and- -
Bound it can have very positive results. (see E. Bound it can have very positive results. (see E. Balas Balas et al., et al.,
Operations Research Letters 19 (1996), pp 1 Operations Research Letters 19 (1996), pp 1- -9) 9)
The Dual Simplex Method
The Dual Simplex Method
Initial tableau: Initial tableau:
Assumption: Assumption:
1. 1. If r If r 0 the STOP: basic feasible solution is 0 the STOP: basic feasible solution is optimal optimal. .
Else select row i Else select row i such that such that r r
i i
= = min min
j j
{r {r
j j
} (i.e. select row with the most } (i.e. select row with the most
negative RHS). negative RHS).
2. 2. If If y y
ij ij
0 for all j then STOP: dual is unbounded, so primal is 0 for all j then STOP: dual is unbounded, so primal is infeasible infeasible. .
Else choose Else choose j j N N such that j = such that j = arg arg min{|y min{|y
0j 0j
/y /y
ij ij
|: |: j j N N, , y y
ij ij
< 0} < 0}
3. 3. Pivot so that j enters the basis and i leaves the basis. Go to S Pivot so that j enters the basis and i leaves the basis. Go to Step 1. tep 1.
0 0
0
1
r y z
r I y
m
RHS x x Eqn
N B
M
( ) problem min. if 0 problem); max. (if 0
0 0
y y
Dual Simplex Method: Example
10 9
5 10 3 10 . .
5 6 2 max
3 2 1
3 2 1
3 2 1
+ +
+ +
=
x x x
x x x t s
x x x z
Optimal solution: x Optimal solution: x
1 1
= 5/29, x = 5/29, x
2 2
= 95/87, x = 95/87, x
3 3
= 0, z = = 0, z = - -200/29 200/29
Example 3 (repeat example)
Final tableau after Simplex method:
Final tableau after Simplex method:
Gomory
Gomory
cut due to row 1 is 7/22s
1 1
+ 1/22s
+ 1/22s
2 2

1/2
1/2
+
+
+
+ =
Z x x
x x
x x t s
x x z
2 1
2 1
2 1
2 1
,
35 7
6 3 . .
9 7 max
1 0 1 7/22 1/22 3 1/2 R1=R1+R2'/3
2 1 0 - 1/22 3/22 4 1/2 R2'=R2*3/22
z 0 0 2 6/11 1 4/11 63 Rz=Rz+10*R2'
Add cut 7/22s
Add cut 7/22s
1 1
+ 1/22s
+ 1/22s
2 2

1/2 to tableau.
1/2 to tableau.
Applying dual simplex to the new tableau:
Optimal solution: x
Optimal solution: x
1 1
= 32/7, x
= 32/7, x
2 2
= 3, z = 59
= 3, z = 59
Gomory
Gomory
2 2
+ 6/7s
+ 6/7s
3 3

4/7
4/7
1 0 1 7/22 1/22 0 3 1/2
2 1 0 - 1/22 3/22 0 4 1/2
3 0 0 - 7/22 - 1/22 1 - 1/2
z 0 0 2 6/11 1 4/11 0 63
Ratio Test 8 30
1 0 1 0 0 1 3 R1=R1-R3'*7/22
2 1 0 0 1/7 - 1/7 4 4/7 R2=R2-R3'/22
3 0 0 1 1/7 -3 1/7 1 4/7 R3'=R3*-22/7
z 0 0 0 1 8 59 Rz=Rz-R3'28/11
Ratio Test
Add cut 1/7s
Add cut 1/7s
2 2
+ 6/7s
+ 6/7s
3 3

4/7 to tableau.
4/7 to tableau.
Optimal solution: x
Optimal solution: x
1 1
= 4, x
= 4, x
2 2
= 3, z = 55 (integer!!)
= 3, z = 55 (integer!!)
eqn x1 x2 s1 s2 s3 s4 RHS
1 0 1 0 0 1 0 3
2 1 0 0 1/7 - 1/7 0 4 4/7
3 0 0 1 1/7 -3 1/7 0 1 4/7
4 0 0 0 - 1/7 - 6/7 1 - 4/7
z 0 0 0 1 8 0 59
Ratio Test 7 9.3333333
eqn x1 x2 s1 s2 s3 s4 RHS
1 0 1 0 0 1 0 3 R1=R1
2 1 0 0 0 -1 1 4 R2=R2-1/7*R4'
3 0 0 1 0 -4 1 1 R3=R3-1/7*R4'
4 0 0 0 1 6 -7 4 R4'=R4*-7
z 0 0 0 0 2 7 55 Rz=Rz-R4'
Branch and Cut (Maximisation)
Branch and Cut (Maximisation)
Select node
Solve LP relaxation
z
LP
< z?
Y
Primal heuristic
N
z
INT
> z? Update z
z
LP
< z?
Y
Add cuts?
N
Y
N
Branch
N
Y

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620362 Applied Operations Research (Department of Mathematics & Statistics, University of Melbourne) 1

if for valid is constraint The

is determined by the following proposition

add slack variables s

solve by simplex method to get LP relaxation

now add the new constraint x

4/7 is valid and thus

add the new constraint and solve LP

valid constraint from equation 1:

valid constraint from equation 2

valid constraint from equation 3 (objective row)

Resolve LP with 3 new C

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