Showing posts with label mixed integer goal programming. Show all posts
Showing posts with label mixed integer goal programming. Show all posts

Friday, March 19, 2010

Effective cuts for mixed integer goal programs

Assume you have the problem

min c'x + ||Fx-f||_1
st.   A x = b
       x binary

This is sort of a goal programming model I have seen frequently.  Now the typical LP formulation is


min c'x +e'(s+t)
st.   F x - f =  s-t
      A x = b
      s,t >= 0
       x binary

Note this model includes continuous variables too.  At least for an application I have seen then

  1. It easy to find a feasible solution.
  2. There is huge gap between the LP relaxation and the feasible solution.
  3. It is hard to close the gap. A huge number of nodes is required and the standard cuts works poorly.
Then leads to the question. What is good cuts for this type of problems?