Readings
Readings
Chapter 7
Integer Linear Programming
BA 452 Lesson B.3 Integer Programming
1
Overview
Overview
BA 452 Lesson B.3 Integer Programming
2
Overview
Rounding Off solutions in continuous variables to the nearest integer (like 2.67
rounded off to 3) is an unreliable way to solve a linear programming problem
when decision variables should be integers.
Sensitivity Analysis with Integer Variables is more important than with
continuous variables because a small change in a constraint coefficient can
cause a relatively large change in the optimal solution.
Assignment Problems with Valuable Time minimize the total time of assigning
workers to jobs. Minimizing total time is appropriate when each worker has the
same value of time.
Assignment Problems with Supply and Demand are Transportation Problems of
suppliers to demanders except that each demand is assigned to exactly one
supplier.
BA 452 Lesson B.3 Integer Programming
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Overview
Tool Summary





Do not make integer restrictions, and maybe the variables at an
optimum will be integers.
• First Example: Pi = (integer) number of producers in month i.
Use compound variables:
• First Example: Pi = number of producers in month i
Use dynamic or recursive constraints:
• First Example: Define the constraint that the number of
apprentices in a month must not exceed the number of recruits in
the previous month: A2 - R1 < 0; A3 - R2 < 0
Constrain one variable to be a proportional to another variable:
• First Example: Define the constraint that each trainer can train
two recruits: 2T1 - R1 > 0; 2T2 - R2 > 0
Use inventory variables:
• Second Example: P2 + I1–I2 = 150 (production-net inventory =
demand)
BA 452 Lesson B.3 Integer Programming
4
Tool Summary
Tool Summary
 Use binary variables to model fixed cost constraints.
• For example, consider a linear programming problem with a
constraint
• M1 < 15
• Introduce binary variable U1 and constraints:
• M1 > 5 U1
• 15U1 > M1
• Then, U1 = 1 if M1 > 0, and either M1 = 0 or M1 > 5.
 Do not try to solve an integer linear program by rounding off (up or
down) a solution to the problem without integer constraints. Rather,
graph all feasible integer solutions and use iso-value linear, or use
the Management Scientist module.
BA 452 Lesson B.3 Integer Programming
5
Rounding Off
Rounding Off
BA 452 Lesson B.3 Integer Programming
6
Rounding Off
Overview
Rounding Off solutions in continuous variables to the
nearest integer (like 2.67 rounded off to 3) is an unreliable
way to solve a linear programming problem when decision
variables should be integers.
BA 452 Lesson B.3 Integer Programming
7
Rounding Off




A LP in which all the variables are restricted to be
integers is called an all-integer linear program (ILP).
The LP that results from dropping the integer
requirements is called the LP Relaxation of the ILP.
If only a subset of the variables are restricted to be
integers, the problem is called a mixed-integer linear
program (MILP).
Binary variables are variables whose values are
restricted to be 0 or 1. If all variables are restricted to
be 0 or 1, the problem is called a 0-1 or binary integer
linear program.
BA 452 Lesson B.3 Integer Programming
8
Rounding Off

Solve the following all-integer linear program, and
compare that solution to the problem where the
decision variables do not have to be integers:
Max
3x1 + 2x2
s.t.
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
BA 452 Lesson B.3 Integer Programming
9
Rounding Off

LP Relaxation. If we drop the integer constraints,
we can graph the optimal solution to the linear
program. And the optimal solution has fractional
values: x1 = 2.5, x2 = 1.5, Max 3x1 + 2x2 = 10.5
x2
5
- x1 + x2 < 1
4
3x1 + x2 < 9
3
Max 3x1 + 2x2
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
LP Optimal (2.5, 1.5)
2
x1 + 3x2 < 7
1
x1
1
2
3
4
5
6
7
BA 452 Lesson B.3 Integer Programming
10
Rounding Off

Rounding Up. If we round up the fractional
solution (x1 = 2.5, x2 = 1.5) to the previous relaxed
LP problem, we get x1 = 3 and x2 = 2. But the
graph shows those values are infeasible.
x2
- x1 + x2 < 1
5
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
3x1 + x2 < 9
4
Max 3x1 + 2x2
3
ILP Infeasible (3, 2)
LP Optimal (2.5, 1.5)
2
x1 + 3x2 < 7
1
x1
1
2
3
4
5
6
7
BA 452 Lesson B.3 Integer Programming
11
Rounding Off

Rounding Down. By rounding the non-integer
solution down to x1 = 2, x2 = 1, we have a feasible
solution, with objective function 3x1 + 2x2 = 8. But
that solution is not optimal for the integer program.
x2
- x1 + x2 < 1
5
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
3x1 + x2 < 9
4
Max 3x1 + 2x2
3
x1 + 3x2 < 7
2
ILP Optimal (3, 0)

1
Optimal ILP solution. The
optimal ILP solution (3,0) is
not the closest feasible
point to the non-integer
solution (2.5,1.5).
x1
1
7
2
3
4
5
6
BA 452 Lesson B.3 Integer Programming
12
Rounding Off

Exhaustive Search. One way to solve the integer
linear program is to evaluate the objective function
at each feasible solution. There are 8 alternative
feasible solutions in Example 1.
1.
2.
3.
4.
5.
6.
7.
8.
x1
x2
0
1
2
3
0
1
2
1
0
0
0
0
1
1
1
2
3x1 + 2x2
0
3
6
9
2
5
8
7
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
optimal solution
BA 452 Lesson B.3 Integer Programming
13
Rounding Off
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
BA 452 Lesson B.3 Integer Programming
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Rounding Off
Max
s.t.
3x1 + 2x2
3x1 + x2 < 9
x1 + 3x2 < 7
-x1 + x2 < 1
x1, x2 > 0 and integer
ILP Optimal (3, 0)
BA 452 Lesson B.3 Integer Programming
15
Sensitivity Analysis with Integer Variables
Sensitivity Analysis with Integer
Variables
BA 452 Lesson B.3 Integer Programming
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Sensitivity Analysis with Integer Variables
Overview
Sensitivity Analysis with Integer Variables is more
important than Sensitivity Analysis with Continuous
Variables because a small change in a constraint
coefficient can cause a relatively large change in the
optimal solution, and in the objective-function value of
the optimal solution.
BA 452 Lesson B.3 Integer Programming
17
Sensitivity Analysis with Integer Variables



Sensitivity analysis often is more crucial for ILP
problems than for LP problems.
A small change in a constraint coefficient can cause
a relatively large change in the optimal solution, and
the objective-function value of the optimal solution.
Recommendation: Resolve the ILP problem several
times with slight variations in the coefficients before
choosing the “best” solution for implementation.
BA 452 Lesson B.3 Integer Programming
18
Sensitivity Analysis
A small change in the constraints (adding the red
feasible area) can cause a jump in the objective
function at the optimum, from 9 to 10.
x2
5
Max 3x1 + 2x2 = 9 at
old optimum (3,0)
4
3
Max 3x1 + 2x2 = 10
at new optimum (2,2)
2
1
x1
1
7
2
3
4
5
6
BA 452 Lesson B.3 Integer Programming
19
Assignment with Valuable Time
Assignment with Valuable Time
BA 452 Lesson B.3 Integer Programming
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Assignment with Valuable Time
Overview
Assignment Problems with Valuable Time minimize the
total time of assigning workers to jobs. Minimizing total
time is appropriate when each worker has the same value
of time.
BA 452 Lesson B.3 Integer Programming
21
Assignment with Valuable Time
Question: The NPD Group is a market research firm with
three clients that each request the firm conduct a sample
survey. Four statisticians can be assigned to these three
projects; however, all four are busy, and therefore can
handle only one client. The following are the number of
hours required for each statistician to complete each job.
The differences in time are based on experience and ability
of the statisticians.
Client A
Client B
Client C
Statistician 1
150
210
270
Statistician 2
170
230
220
Statistician 3
180
230
225
Statistician 4
160
240
230
BA 452 Lesson B.3 Integer Programming
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Assignment with Valuable Time
What is the most natural objective function for the firm to
optimize?
Formulate the firm’s optimization problem.
Are there any implicit assumptions in your formulation?
BA 452 Lesson B.3 Integer Programming
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Assignment with Valuable Time
Answer: Linear programming formulation (supply inequality, demand
equality).
 Variables: Xij = 1 if Statistician i is assigned to Client j, else 0
 Objective (minimize time, assuming all time values equal):
Min 150X11 + 210X12 + 270X13 + 170X21 + 230X22 + 220X23
+ 180X31 + 230X32 + 225X33 + 160X41 + 240X42 + 230X43
 Supply Constraints (Statisticians to at most 1 Client):
X11 + X12 + X13 < 1, X21 + X22 + X23 < 1,
X31 + X32 + X33 < 1, X41 + X42 + X43 < 1
 Demand Constraints (each Client served):
X11 + X21 + X31 + X41 = 1
X12 + X22 + X32 + X42 = 1
X13 + X23 + X33 + X43 = 1
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Assignment with Supply and
Demand
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Overview
Assignment Problems with Supply and Demand are
Transportation Problems of suppliers to demanders except
that each demand is assigned to exactly one supplier.
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Question: Dow Chemical uses the chemical Rbase in
production operations at five divisions. Only six suppliers
of Rbase meet Dow’s quality standards. The quantity of
Rbase needed by each Dow division and the price per
gallon charged by each supplier are as follows:
Demand (1000s of
gallons)
Div 1
40
Div 2
45
Div 3
50
Div 4
35
Div 5
45
Price per Gallon ($)
Sup 1
12.60
Sup 2
14.00
Sup 3
10.20
Sup 4
14.20
Sup 5
12.00
Sup 6
13.00
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
The cost per gallon ($) for shipping from each supplier to
each division are as follows:
Cij
Div 1
Div 2
Div 3
Div 4
Div 5
Sup 1
2.75
0.80
4.70
2.60
3.40
Sup 2
2.50
0.20
2.60
1.80
0.40
Sup 3
3.15
5.40
5.30
4.40
5.00
Sup 4
2.80
1.20
2.80
2.40
1.20
Sup 5
2.75
3.40
6.00
5.00
2.60
Sup 6
2.75
1.00
5.60
2.80
3.60
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Dow wants to diversify by spreading its business so that
each division’s demand is assigned to exactly one supplier.
Formulate the optimal assignment of suppliers to divisions
as a linear-programming problem.
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Answer: Linear programming formulation (supply inequality,
demand equality).
 Variables: Xij = 1 if Supplier i is assigned to Division j,
else 0
 Assignment Costs
 The total cost is the sum of the purchase cost and the
transportation cost.
 Supplier 1 assigned to Division 1 (cost in $1000s):
 Purchase cost: (40 x $12.60) = $504
 Transportation Cost: (40 x $2.75) = $110
 Total Cost: $614
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand

Assignment Costs: Cij = Cost of assigning Supplier i to
Division j
Cij
Div 1
Div 2
Div 3
Div 4
Div 5
Sup 1
614
603
865
532
720
Sup 2
660
639
830
553
648
Sup 3
534
702
775
511
684
Sup 4
680
693
850
581
693
Sup 5
590
693
900
595
657
Sup 6
630
630
930
553
747
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Linear programming formulation (supply inequality, demand
equality).
 Objective (minimize cost): Min S Cij Xij
 Demand Constraints (since each division’s demand is
assigned to exactly one supplier):
X11 + X21 + X31 + X41 + X51 + X61 = 1
X12 + X22 + X32 + X42 + X52 + X62 = 1
X13 + X23 + X33 + X43 + X53 + X63 = 1
X14 + X24 + X34 + X44 + X54 + X64 = 1
X15 + X25 + X35 + X45 + X55 + X65 = 1
BA 452 Lesson B.3 Integer Programming
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Assignment with Supply and Demand
Optional: There is no mention of supply constraints, which
are common in assignment problems. Here is what those
common constraints would be in this problem.
 Supply Constraints (Each supplier can supply at most 1
Division):
X11 + X12 + X13 + X14 + X15 < 1
X21 + X22 + X23 + X24 + X25 < 1
X31 + X32 + X33 + X34 + X35 < 1
X41 + X42 + X43 + X44 + X45 < 1
X51 + X52 + X53 + X54 + X55 < 1
X61 + X62 + X63 + X64 + X65 < 1
BA 452 Lesson B.3 Integer Programming
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BA 452
Quantitative Analysis
End of Lesson B.3
BA 452 Lesson B.3 Integer Programming
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