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Discrete Optimization
Discrete
Optimization
Discrete
Optimization
is
an
optimization
problem
in
which
some
(or
all)
of
the
decision
variables
must
be
integer-valued
Examples:
Integer
variables:
Number
of
workers,
cars,
machines,
etc.
Binary
variables:
YES/NO
decisions
Mixed
Integer
Program
(MIP):
Some
variables
are
integer-valued
Discrete
Optimization
Taxonomy
Integer
Optimization/Programming
(IP):
Linear
optimization
with
all
the
decision
variables
being
integer
valued
Cash required
NPV
$5,000
$16,000
$2,500
$8,000
$3,500
$10,000
$6,000
$19,500
$7000
$22,000
$4,500
$12,000
$3,000
$7,500
Cash required
NPV
$5,000
$16,000
$2,500
$8,000
$3,500
$10,000
$6,000
$19,500
$7000
$22,000
$4,500
$12,000
$3,000
$7,500
Investment
1
$5,000
$16,000
$2,500
$8,000
$3,500
$10,000
$6,000
$19,500
$7000
$22,000
$4,500
$12,000
$3,000
$7,500
Investment
Cash
required
NPV
$5,000
$16,000
$2,500
$8,000
$3,500
$10,000
$6,000
$19,500
$7000
$22,000
$4,500
$12,000
$3,000
$7,500
It is not so easy!
In reality, there may be additional
conditions to be considered:
At most two investments can be selected
Investments 1 and 2 cannot be selected
together
Investment 5 can be selected only if
Investment 7 is selected.
70
i =1
j =1
maximize pij x ij
subject to
70
ij
j =1
70
ij
i =1
xij binary
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Product
Shirts
$1500
3.0
$35
$20
$15
Shorts
$1200
2.5
$40
$10
$30
Pants
$1600
4.0
$65
$25
$40
Skirts
$1500
4.5
$70
$30
$40
Jackets
$1600
5.5
$110
$35
$75
Goal: Find the optimal production plan that maximizes weekly prorit
How
to
choose
M?
Any
sufriciently
large
number
A sample airlines hub system.
Source:
http://www.airlinepilotforums.com
Goal: To determine the smallest number of hubs that Western will need.
Boston (BO)
BO, NY, PI
Chicago (CH)
Denver (DE)
DE, SL
Houston (HO)
AT, HO, NO
LA, SL, SF
Pittsburgh (PI)
Seattle (SE)
SL, SF, SE
Set Covering concept: to find the least number of elements from Set 2 that are able to cover all elements of Set 1
Set 1
Set 2
PI
1
1
1
0
0
0
0
1
1
0
0
0
SL
SF
SE
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
1
Geometry
of
MIP
The
Lego
problem
as
an
LP:
10
s.t. 1C + 2T 10
4C + 3T 30
C, T 0
(6, 2)
7.5
10
(Big Bricks)
(Small Bricks)
Geometry
of
MIP
What
if
(only)
C
must
be
an
integer?
Feasible
set:
The
set
of
parallel
line
segments
inside
the
LP
feasible
region
T
10
s.t. 1C + 2T 10
4C + 3T 30
C, T 0
(6, 2)
7.5
10
(Big Bricks)
(Small Bricks)
Geometry
of
MIP
What
if
both
C
and
T
must
be
integers?
Feasible
set:
The
set
of
dots
with
integer
valued
coordinates
inside
the
LP
feasible
region
T
10
s.t. 1C + 2T 10
4C + 3T 30
C, T 0
(6, 2)
7.5
10
(Big Bricks)
(Small Bricks)
Constraints:
a11
a41
a81
a12
a42
a82
a13
a43
a83
a1n
a4n
a8n
c1
c2
c3
cn
Le&
side
=sumproduct(...)
=sumproduct(...)
=sumproduct(...)
Right
side
b1
b4
b8