Integer Programming in

Advanced OR

By
Anirudha Kotgire 2009024
Manoj Raghuwanshi 2009093
Sujeet Biradar 2009255
Vinay Srivastava 2009262
Agenda

† What is Integer Programming?

† IP modeling Techniques
† Why IP?
† IP Illustration
† Case: Application in Residential lighting
What is Integer
Programming?
† Programming means making decisions
† Special case of linear programming.
§ Deals in 0 or 1 (binary)
History

† Mathematical model developed during World War

II
† The founders of the subject are Leonid
Kantorovich,
 a Russian mathematician who developed linear

programming
 problems in 1939

† Linear programming is a considerable field of

 optimization for several reasons. Many practical

problems
 in operations research can be expressed as linear

 programming problems.
IP around us

† Programming = Planning in this context

† In a survey of Fortune 500 firms,
85% of those responding said that they have

used linear or integer programming.

† Why is it so popular?
 Many different real-life situations can be modeled as IPs.
 There are efficient algorithms to solve IPs.
†
IP modeling techniques

† Using binary variables

† Restrictions on number of options
† Contingent decisions
† Variables (functions) with k possible values
† Either-Or Constraints
† Big M method
† Balance constraints
† Fixed Charges
† Making choices with non-binary variables
† Piecewise linear functions
IP applications

Ø Facility Location Problem

Ø Knapsack Problem
Ø Multi-period production planning
Ø Inventory management
Ø Fair representation in electoral systems
Ø Consultant hiring
Ø Bin Packing Problem
Ø Pairing Problem
Ø Traveling Salesman Problem
Why integer programs?

† Advantages of taking on integer values

§ More realistic

§ More flexible

† Disadvantages
§ Difficult to model

§ Can be much difficult to solve

On 0-1 variables

† Integer programs: linear equalities and inequalities

plus
constraints that say a variable must be integer valued.

† We also permit “xj †{0,1}.” This is equivalent to

 0 † xj † 1 and xj integer.
The Mystery of integer
programming
† Some integer programs are easy
 (we can solve problems with millions of variables)

† Some integer programs are hard

 (even 100 variables can be challenging)
† It takes expertise and experience to know which is
which
† It’s an active area of research.

Types of integer programs

† All integer programs have linear equalities and

 inequalities and some or all of the variables

are
 required to be integer.

† If all variables are required to be integer, then it

is usually called a pure integer program.
† If all variables are required to be 0 or 1, it is
called a binary integer program, or
 a 0-1 integer program.
† if some variables can be fractional and others
are required to be integers, it is called a
mixed linear integer program (MILP)
 Stockco Example
† Stockco is considering 6 investments. The cash required
from each investment as well as the NPV of the
investment is given. The cash available for the
investments is $14,000. Stockco wants to maximize its
NPV. What is the optimal strategy?


† An investment can be selected or not. One cannot select a

fraction of an investment.
Data for the Stockco Problem
Investment budget = $14,000
 Integer Programming
Formulation
What are the decision variables?

Objective and Constraints?

Max 16x1+ 22x2+ 12x3+ 8x4+ 11x5+ 19x6

5x1+ 7x2+ 4x3+ 3x4+ 4x5+ 6x6 † 14

x ε {0,1} for each j = 1 to
Possible constraints

† The previous constraints represent “economic

indivisibilities”, either a project is selected, or it
is not. There is no selecting of a fraction of a
project.


† Similarly, integer variables can model logical

requirements (e.g., if stock 2 is selected, then so
is stock 1.)
 The Application

Residential lighting problem

in Maharashtra: A case of

Integer Programming
The Problem

† To develop an optimal portfolio for meeting

the lighting requirement of a typical household

in Maharashtra State in India.

Fact sheet

† Maharashtra has (in 2001-2002)an installed

 capacity of 15,148 MW.

† Total generation is 64,430 GWh of

electricity.
† Total consumption (2001-02) is 46,338
GWh.
† Residential consumption is 11,901 GWh
 accounts about 25.68% of total

consumption.
† Lighting accounts for about 40% of
residential

The Assumptions

† The number of lighting points in a typical

 household is 10.

† Average hours of usage per day 3 hours.

† Portfolio posses same amount of light
output.
† Differences are only in energy input and
 the cost of these devices.
Lighting devices/ level
requirements
Feasible lighting alternatives
Relative Risk Return
Expected Annual Return
Annual cost of utilization for
different usage hours (Rs.)
Annual rates of return for feasible

alternatives of IB replacements
(%)
 Integer Programming Problem
† Objective function to maximize saving:
†
†
† Subject to constraints
1. No of lighting devices required for given usage


hour
 Subject to constraints
2. Total no of lighting devices for a household

3. Demand for the level of lighting

4. Opportunity cost of using inappropriate device

5. Non-negativity constraint
All variables >= 0
Optimum portfolio of lighting
devices
The Outcome
Thank you