Module 8 1

Topic 2:

Gomory cut algorithms and derivation of cut equation:

Here we discuss the cutting plane approach for finding an optimal solution of the integer linear
program (ILP)

(ILP) max z = cT x
subject to Ax = b
x0
xI are integers
I {1, . . . , n}.

For simplicity we assume that the feasible set of (ILP) is non-empty, and the problem is bounded.
The associated relaxed linear program with (ILP) is given as follows:

(RLPP) max z = cT x
subject to Ax = b
x 0.

Cutting Plane: Let x be an optimal solution of (RLPP) and suppose x fails to satisfy the
integer restriction in (ILP). A cutting plane is defined to be a hyperplane that strictly separates
x from the set of integer feasible solutions of this problem. It is a hyperplane with x on one
side of it (x can not be on the hyperplane) and all the integer feasible solutions of (ILP) either
on it or on the other side of it. In the figure, the associated (RLPP) has four constraints and
x is an optimum solution for it. The convex hull of all integer feasible solutions is a polytope
Feasible se
outlined with red lines.

x
X
X

x x
. . . . . . . !

. . . . .. .. . x

. .. .. .. .. . .

x
. .. .. . .
. . . .

. .. . . . . . y

Cutting plane

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n
X
In general, if a(m+1)j xj = b(m+1) is a cutting plane and if
j=1
n
X
a(m+1)j xj < bm+1
j=1
Xn
a(m+1)j xj bm+1 , integer feasible solutions x
j=1
n
X
then the constraints a(m+1)j xj bm+1 is known as a cut.
j=1

A cut is a linear inequality constraints satisfying the following properties.

(i) It eliminates the current non-integer optimum solution of the associated LP (RLPP).
(ii) It is satisfied by all integer feasible solutions of the (ILP).

For example , let the following table represents an optimal solution of some minimization LP
with x 0 and integer restriction.

vB zB y1 y2 y3 y4 y5 y6
x1 3/2 1 0 0 1 -1 1
x2 5/2 0 1 0 1 2 -2
x3 4 0 0 1 -1 1 1
zj cj 0 0 0 3 4 5

Consider the constraints

x4 + x5 + x6 1 (1)

Then obviously x = (3/2, 5/2, 4, 0, 0, 0) does not satisfy this constraints, i.e, x4 + x5 + x6 < 1.
Also in every integer feasible solution of the problem under consideration, atleast one of these
variables has to be strictly positive, because x is the unique solution (observe zj cj in solution
of (RLP).
Hence (1) satisfies both properties of a cut, so it can act as a cut for the given problem.

Cutting plane method for solving (ILP) generally proceeds as follows:

Solve the associated (RLPP).

If the optimal solution of (RLPP) satisfies the integer requirements, it is an optimum

solution of the original (ILP) stop else go to next stage.

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Use the cut generation method and get a cutting plane. Add the cut to the constraints of
the (RLPP). Solve the new linear program (by the dual simplex method).

Continue till an optimal solution of (ILP) is obtained .

The key question is how to find the equation of a cut? Among the earliest contributions in
this direction, the work of Ralph E. Gomory is worth studying. We shall now elaborate the
mathematics of his algorithm, famously known as Gomory Cut Technique.
Let B be an optimal basis of (RLPP). Then
" #
h i xB
B R = b
xR

xB + B 1 RxR = B 1 b,

X
i.e , (xB )i + yij xj = (B 1 b)i , i = 1, 2, . . . , n.
jR

Let R = RC RI where RC is those non basic variables on which there is no integer restriction
while RI is the set of non basic variables which are required to be integer. Then
X X
(B 1 b)i + f0
 
(xB )i + yij xj + ( byij c + fij )xj =
jRC jRI

where b.c is a floor function ( byc is the largest integer not greater than y), and fij is the positive
fractional part in yij , j RI , f0 is the positive fractional part in the current value of xBi . Just
to make us comfortable regarding fractional part, see, if y = 12 5 , then byc = 2 + f, f = 5 ,
2

while if y = 2.7, byc = 3 and f = 0.3. So what we have is

X X X
fij xj = ( (B 1 b)i xBi
 
yij xj + byij c xij ) + f0 u + f0 (say)
jRC jRI jRI

 1  X
where u = (B b)i xBi byij c xj (2)
jRI

X X
Case 1: u 0. Then (2) reduces to yij xj + fij xj f0
jRC jRI
This can be written as:
X X X
yij xj + yij xj + fij xj f0 (3)
C
jR C
jR+ jRI

C is a subset of RC with y 0 and RC is a subset of RC with y > 0.

where R ij + ij

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Since i, j,0 fij < 1, xj 0, i, j so from (3), we have

X X
yij xj + fij xj f0 . (4)
C
jR+ jRI

Case 2 : u 1 . Then (2) yields

X X X
yij xj + yij xj + fij xj f0 1
C
jR C
jR+ jRI

which implies
X
yij xj f0 1
C
jR

that is
X f0
yij xj f0 . (5)
C
1 f0
jR

Since (4) and (5) are mutually exclusive, hence on combining them we have
X X X f0
fij xj + yij xj + yij xj f0
1 f0
jRI C
jR+ C
jR

This is known as Gomorys fractional cut.

C = , RC = ,
Note: In case I = {1, . . . , n} i.e, (ILP) is a pure integer program, then R+
RC = , RI = R , hence the equation of the Gomorys fractional cut becomes
X
fij xj f0 .
jR

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