Introduction to Mixed

Integer Linear
Programming

LP formulation of Economic Dispatch

C1

C1 a1 c1 x1
1

Minimize CT a1 a2 a3
c1 x1 c2 x2 c3 x3
Subject to: x1 x2 x3 L

a1
C2

MIN
3

x3 P

MAX
3

Objective function is linear

All constraints are linear
All variables are real
Problem can be solved using
standard linear programming

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x1

C2 a2 c2 x2

P1MIN x1 P1MAX
P2MIN x2 P2MAX

P1MAX

P1MIN

a2
C3

P2MAX

P2MIN

x2

C3 a3 c3 x3
a3
P3MIN

P3MAX2

x3

Can we use LP for unit commitment?

C1

x1 0 or P1MIN x1 P2MAX
a1

x2 0 or P2MIN x2 P2MAX

C2

P1MAX

P1MIN

x1

x3 0 or P3MIN x3 P3MAX
The variables no longer have
a contiguous domain
(Non-convex set)
Standard linear programming
is no longer applicable
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a2
C3

P2MAX

P2MIN

x2

a3
P3MIN

P3MAX3

x3

Mixed Integer Linear Programming

(MILP)

Some decision variables are integers

Special case: binary variables {0,1}

Other variables are real

Objective function and constraints are
linear

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Washington

Example

Except for the fact that the variables are integer, this looks
very much like a linear programming problem.

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Example
x2

8
6

4x1 + 2x2 = 15

4
2
0

x1 + 2x2 = 8
x1 + x 2 = 5

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x1
6

LP relaxation
x2

Let us relax the constraint that the

variables must be integer.

8
6

4x1 + 2x2 = 15

The problem is then a regular LP

Solution of the relaxed LP

x1 = 2.5; x2 = 2.5; Objective = 12.5

2
0

x1 + 2x2 = 8
x1 + x 2 = 5

Objective: 3x1 2x2

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x1
7

LP relaxation
x2

8
6

4x1 + 2x2 = 15

The solution of the relaxed problem

is always better than the solution of
original problem!
(Lower objective for minimization
problem, higher for maximization)

Solution of the relaxed LP

x1 = 2.5; x2 = 2.5; Objective = 12.5

2
0

x1 + 2x2 = 8
x1 + x 2 = 5

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x1
8

Solution of the integer

problem
x2

8
6

4x1 + 2x2 = 15

Solution of the relaxed LP

x1 = 2.5; x2 = 2.5; Objective = 12.5

2
0

x1 + 2x2 = 8
x1 + x 2 = 5

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x1
9

Solution of the integer

problem
x2

8
6

4x1 + 2x2 = 15

Solution of the original problem

x1 = 2; x2 = 3; Objective = 12.0

Solution of the relaxed LP

x1 = 2.5; x2 = 2.5; Objective = 12.5

2
0

x1 + 2x2 = 8
x1 + x 2 = 5

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x1
10

Nave rounding of
x2

x1

IP solution

LP solution

The optimal integer solution can be far away from the LP solution
Far away can be difficult to find when there are many dimensions
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Finding the integer solution

Large number of integer variables
Vast number of possible integer
solutions
Need a systematic procedure to
search this solution space
Fix the variables to the nearest
integer one at a time
Branch and Bound algorithm
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Washington

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Another example

Relaxed LP solution: (1.75, 0.75)

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13

Branch on x1
Problem 0

x1 0; x2 0

x1 0 ; x2 0

x1 1

x1 2

Problem 1
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Problem 2
14

Branch on x1
Problem 1

Solution of
Problem 1

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Problem 2

Solution of Problem 2

15

Search Tree: first layer

Solution of Problem 1:
x1 integer
x2 real
Not a feasible solution yet
Can still branch on x2
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Solution of Problem 2:
x1 & x2 integer
Feasible solution of
the original problem
Bound on the optimum
Best solution so far
16

Branch on x2
Problem 1

x1 1; x2 0

x1 0; x2 0
x1 1; x2 1
Problem 3
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x1 0; x2 0
x1 1; x2 2
Problem 4
17

Search Tree: second layer

No solution
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No integer solution yet

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Branch and Bound: what

next?

Optimal solution

Cant go any
further
in this
No solution
direction
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Solution of relaxed
problem 4 is
bounded by solution
of problem 2. No
point in going further
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Comments on Branch and

Bound
Search tree gets very big if there are more
than a few integer or binary variables
Even with the bounds provided by the
relaxed solutions, exploring the tree
usually takes a ridiculous amount of time
Clever mathematicians have developed
techniques to identify cuts
Constraints based on the structure of the
problem that eliminate part of the search tree
Branch and Cut algorithm
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Washington

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Duality Gap
Finding the optimal solution for a
large problem can take too much
time even with branch and cut
Best solution of relaxed problem
provides a bound on the solution
Duality gap: Diference between best
solutions of relaxed problem and
actual problem
Stop searching the tree if duality gap
is sufficiently small

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Washington

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