B6.3 Integer Programming (2018-2019)

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2018-2019
Lecturer(s): 
Prof. Raphael Hauser
Course Term: 
Michaelmas
Course Lecture Information: 

16 lectures

Course Weight: 
1.00 unit(s)
Course Level: 
H

Assessment type:

Course Overview: 

In many areas of practical importance linear optimisation problems occur with integrality constraints imposed on some of the variables. In optimal crew scheduling for example, a pilot cannot be fractionally assigned to two different flights at the same time. Likewise, in combinatorial optimisation an element of a given set either belongs to a chosen subset or it does not. Integer programming is the mathematical theory of such problems and of algorithms for their solution. The aim of this course is to provide an introduction to some of the general ideas on which attacks to integer programming problems are based: generating bounds through relaxations by problems that are easier to solve, and branch-and-bound.

Learning Outcomes: 

Students will understand some of the theoretical underpinnings that render certain classes of integer programming problems tractable ("easy'' to solve), and they will learn how to solve them algorithmically. Furthermore, they will understand some general mechanisms by which intractable problems can be broken down into tractable subproblems, and how these mechanisms are used to design good heuristics for solving the intractable problems. Understanding these general principles will render the students able to guide the modelling phase of a real-world problem towards a mathematical formulation that has a reasonable chance of being solved in practice.

Course Synopsis: 
  • Classical examples of Integer Programming problems (IP): the Assignment Problem, the Knapsack Problem, the Travelling Salesman Problem, the Shortest Path Problem.
  • Linear programming (LP) and the simplex method.
  • Linear programming duality, sensitivity analysis.
  • Total unimodularity and ideal formulations of IPs.
  • Submodularity and the Greedy Algorithm. Connections to regularised least squares.
  • LP based branch-and-bound for general integer programming problems.
  • Delayed column generation and the cutting-stock problem.
  • Branch-and-Cut algorithms and the General Assignment Problem.
  • Lagrangian relaxation.
  • Lagrangian Duality and the Subgradient Algorithm.
Reading List: 
  1. L. A. Wolsey, Integer Programming (John Wiley & Sons, 1998), parts of chapters 1-5 and 7.

Please note that e-book versions of many books in the reading lists can be found on SOLO and ORLO.