6/28/2021 Integer programming formulation examples

OR-Notes
J E Beasley
OR-Notes are a series of introductory notes on topics that fall under
the broad heading of the field of
operations research (OR). They were originally
used by me in an introductory OR course I give at Imperial
College. They
are now available for use by any students and teachers interested in OR
subject to the
following conditions.

A full list of the topics available in OR-Notes can be found here.

Integer programming formulation examples

Capital budgeting extension

For the integer

programming problem given before related to capital budgeting suppose
now that we have
the additional condition that either project 1 or project
2 must be chosen (i.e. projects 1 and 2 are mutually
exclusive). To cope
with this condition we enlarge the IP given above in the following manner.

This condition is an example of an either/or condition "either

project 1 or project 2 must be chosen". In terms
of the variables
we have already defined this condition is "either x1 =
1 or x2 = 1". The standard trick for
dealing with either/or
conditions relating to two zero-one variables is to add to the IP the constraint

x1 + x2 = 1

To verify that this mathematical description is equivalent to

the verbal description "either x1 = 1 or x2
= 1"
we use the fact that x1 and x2 are both
zero-one variables.

Choose any one of these two variables (x1, say) and tabulate,
for each possible value of the chosen variable,
the meaning of the corresponding
mathematical and verbal descriptions as below.
Variable value Mathematical description Verbal description

x1 + x2 = 1 "either x1 = 1 or x2 = 1"

x1 = 0 x2 = 1 x2 = 1

x1 = 1 1 + x2 = 1 x2 = 0

i.e. x2 = 0

It is clear from this tabulation that the mathematical and verbal descriptions
are equivalent with the proviso
that we have interpreted the condition
"either x1 = 1 or x2 = 1" as meaning that
the case x1 = 1 and x2 = 1
(both projects
1 and 2 chosen) cannot occur. If this is not so (i.e. both projects 1 and
2 can be chosen) then
we replace the constraint x1 + x2
= 1 by the constraint x1 + x2 >= 1 (i.e. at least
one of projects 1 and 2 must
be chosen).

Note here that, in general, we can regard formulating a problem

as translating a verbal description of
the problem into an equivalent mathematical
description. What we have presented above is a similar
process - translating
a specific "either ... or ..." verbal description into an equivalent
mathematical
description. Whilst it is not usual to go to the lengths of
a complete tabulation (as shown above) to
verify that the verbal and mathematical
descriptions are equivalent a complete tabulation is helpful in
clarifying
thought and detecting incorrect mathematical descriptions.

Other problems

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The main areas in which IP is used in practice include:

imposition of logical conditions in LP problems (such as the either/or

condition dealt with above)
blending with a limited number of ingredients
depot location
job shop scheduling
assembly line balancing
airline crew scheduling
timetabling

Integer programming example

Recall the blending

problem dealt with before under linear
programming. To remind you of it we reproduce
it below.

Blending problem

Consider the example of a manufacturer of animal feed who is producing

feed mix for dairy cattle. In our
simple example the feed mix contains
two active ingredients and a filler to provide bulk. One kg of feed mix
must contain a minimum quantity of each of four nutrients as below:
Nutrient A B C D

gram 90 50 20 2

The ingredients have the following nutrient values and cost

A B C D Cost/kg

Ingredient 1 (gram/kg) 100 80 40 10 40

Ingredient 2 (gram/kg) 200 150 20 - 60

What should be the amounts of active ingredients and filler in one kg

of feed mix?

Blending problem solution

Variables

In order to solve this problem it is best to think in terms of one kilogram

of feed mix. That kilogram is made
up of three parts - ingredient 1, ingredient
2 and filler so: let
x1 = amount (kg) of ingredient 1 in one kg of feed mix

x2 = amount (kg) of ingredient 2 in one kg of feed mix

x3 = amount (kg) of filler in one kg of feed mix

where x1 >= 0, x2 >= 0 and x3 >=
0.

Constraints

balancing constraint (an implicit constraint due to the definition

of the variables)

x1 + x2 + x3 = 1

nutrient constraints

100x1 + 200x2 >= 90 (nutrient A)

80x1 + 150x2 >= 50 (nutrient B)

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40x1 + 20x2 >= 20 (nutrient C)

10x1 >= 2 (nutrient D)

Note the use of an inequality rather than an equality in these constraints,

following the rule we put forward in
the Two Mines example, where we assume
that the nutrient levels we want are lower limits on the amount of
nutrient
in one kg of feed mix.

Objective

Presumably to minimise cost, i.e.

minimise 40x1 + 60x2

which gives us our complete LP model for the blending problem.

Suppose now we have the additional conditions:

if we use any of ingredient 2 we incur a fixed cost of 15

we need not satisfy all four nutrient constraints but need only satisfy
three of them (i.e. whereas before
the optimal solution required all four
nutrient constraints to be satisfied now the optimal solution could
(if
it is worthwhile to do so) only have three (any three) of these nutrient
constraints satisfied and the
fourth violated.

Give the complete MIP formulation of the problem with these two new
conditions added.

Solution

To cope with the condition that if x2>=0 we have a fixed

cost of 15 incurred we have the standard trick of
introducing a zero-one
variable y defined by
y = 1 if x2>=0
= 0 otherwise

and

add a term +15y to the objective function

and add the additional constraint

x2 <= [largest value x2 can take]y

In this case it is easy to see that x2 can never be greater

than one and hence our additional constraint is x2<=
y.

To cope with condition that need only satisfy three of the four nutrient
constraints we introduce four zero-one
variables zi (i=1,2,3,4)
where

zi = 1 if nutrient constraint i (i=1,2,3,4) is satisfied

= 0 otherwise

and add the constraint

z1+z2+z3+z4 >= 3 (at

least 3 constraints satisfied)

and alter the nutrient constraints to be

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100x1 + 200x2 >= 90z1

80x1 + 150x2 >= 50z2
40x1 + 20x2 >= 20z3
10x1 >= 2z4

The logic behind this change is that if a zi=1 then the constraint
becomes the original nutrient constraint
which needs to be satisfied. However
if a zi=0 then the original nutrient constraint becomes

same left-hand side >= zero

which (for the four left-hand sides dealt with above) is always true
and so can be neglected - meaning the
original nutrient constraint need
not be satisfied. Hence the complete (MIP) formulation of the problem is
given by

minimise 40x1 + 60x2 + 15y

subject to

x1 + x2 + x3 = 1

100x1 + 200x2 >= 90z1

80x1 + 150x2 >= 50z2

40x1 + 20x2 >= 20z3

10x1 >= 2z4

z1 + z2 + z3 + z4 >= 3

x2 <= y

zi = 0 or 1 i=1,2,3,4

y = 0 or 1

xi >= 0 i=1,2,3

Integer programming example

In the planning of the monthly production for the next six months a
company must, in each month, operate
either a normal shift or an extended
shift (if it produces at all). A normal shift costs £100,000 per
month and
can produce up to 5,000 units per month. An extended shift costs
£180,000 per month and can produce up to
7,500 units per month. Note
here that, for either type of shift, the cost incurred is fixed by a union
guarantee
agreement and so is independent of the amount produced.

It is estimated that changing from a normal shift in one month to an

extended shift in the next month costs an
extra £15,000. No extra
cost is incurred in changing from an extended shift in one month to a normal
shift in
the next month.

The cost of holding stock is estimated to be £2 per unit per month

(based on the stock held at the end of each
month) and the initial stock
is 3,000 units (produced by a normal shift). The amount in stock at the
end of
month 6 should be at least 2,000 units. The demand for the company's
product in each of the next six months
is estimated to be as shown below:
Month 1 2 3 4 5 6

Demand 6,000 6,500 7,500 7,000 6,000 6,000

Production constraints are such that if the company produces anything

in a particular month it must produce
at least 2,000 units. If the company
wants a production plan for the next six months that avoids stockouts,
formulate their problem as an integer program.

Hint: first formulate the problem allowing non-linear constraints and

then attempt to make all the constraints
linear.

Solution

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Variables

The decisions that have to be made relate to:

whether to operate a normal shift or an extended shift in each month;

and
how much to produce each month.

Hence let:
xt = 1 if we operate a normal shift in month t (t=1,2,...,6)

= 0 otherwise

yt = 1 if we operate an extended shift in month t (t=1,2,...,6)

= 0 otherwise

Pt (>= 0) be the amount produced in month t (t=1,2,...,6)

In fact, for this problem, we can ease the formulation by defining three
additional variables - namely let:

zt = 1 if we switch from a normal shift in month t-1 to an extended

shift in month t (t=1,2,...,6)

= 0 otherwise

It be the closing inventory (amount of stock left) at the end

of month t (t=1,2,...,6)

wt = 1 if we produce in month t, and hence from the production

constraints Pt >= 2000 (t=1,2,...,6)

= 0 otherwise (i.e. Pt = 0)

The motivation behind introducing the first two of these variables (zt,
It) is that in the objective function we
will need terms relating
to shift change cost and inventory holding cost. The motivation behind
introducing
the third of these variables (wt) is the production
constraint "either Pt = 0 or Pt >= 2000",
which needs a zero-
one variable so that it can be dealt with using the
standard trick for "either/or" constraints.

In any event formulating an IP tends to be an iterative process and

if we have made a mistake in defining
variables we will encounter difficulties
in formulating the constraints/objective. At that point we can redefine
our variables and reformulate.

Constraints

We first express each constraint in words and then in terms of the variables
defined above.

only operate (at most) one shift each month

xt + yt <= 1 t=1,2,...,6

Note here that we could not have made do with just one variable (xt
say) and defined that variable to be one
for a normal shift and zero for
an extended shift (since in that case what if we decide not to produce
in a
particular month?).

Although we could have introduced a variable indicating no shift (normal

or extended) operated in a
particular month this is not necessary as such
a variable is equivalent to 1-xt-yt.

production limits not exceeded

Pt <= 5000xt + 7500yt t=1,2,...,6

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Note here the use of addition in the right-hand side of the above equation
where we are making use of the
fact that at most one of xt and
yt can be one and the other must be zero.

no stockouts

It >= 0 t=1,2,...,6

we have an inventory continuity equation of the form

closing stock = opening stock + production - demand

where I0 = 3000. Hence letting Dt = demand in

month t (t=1,2,...,6) (a known constant) and assuming

that opening stock in period t = closing stock in period t-1 and

that production in period t is available to meet demand in period t

we have that
It = It-1 + Pt - Dt t=1,2,...,6

As noted above this equation assumes that we can meet demand in the
current month from goods produced
that month. Any time lag between goods
being produced and becoming available to meet demand is easily
incorporated
into the above equation. For example for a 2 month time lag we replace
Pt in the above equation
by Pt-2 and interpret It
as the number of goods in stock at the end of month t which are available
to meet
demand i.e. goods are not regarded as being in stock until they
are available to meet demand. Inventory
continuity equations of the type
shown are common in production planning problems.

the amount in stock at the end of month 6 should be at least 2000 units
I6 >= 2000

production constraints of the form "either Pt = 0 or

Pt >= 2,000".

Here we make use of the standard trick we presented for "either/or"

constraints. We have already defined
appropriate zero-one variables wt
(t=1,2,...,6) and so we merely need the constraints

Pt <= Mwt t=1,2,...,6

Pt >= 2000wt t=1,2,...,6

Here M is a positive constant and represents the most we can produce

in any period t (t=1,2,...,6). A
convenient value for M for this example
is M = 7500 (the most we can produce irrespective of the shift
operated).

we also need to relate the shift change variable zt to the

shifts being operated

The obvious constraint is

zt = xt-1yt t=1,2,...,6

since as both xt-1 and yt are zero-one variables

zt can only take the value one if both xt-1 and yt
are one (i.e.
we operate a normal shift in period t-1 and an extended shift
in period t). Looking back to the verbal
description of zt it
is clear that the mathematical description given above is equivalent to
that verbal
description. (Note here that we define x0 = 1 (y0
= 0)).

This constraint is non-linear. However we are told that we can first

formulate the problem with non-linear
constraints and so we proceed. We
shall see later how to linearise (generate equivalent linear constraints
for)
this equation.
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Objective

We wish to minimise total cost and this is given by

SUM{t=1,...,6}(100000xt + 180000yt + 15000zt

+ 2It)

Hence our formulation is complete.

Note that, in practise, we would probably regard It and Pt

as taking fractional values and round to get integer
values (since they
are both large this should be acceptable). Note too here that this is a
non-linear integer
program.

Comments

In practice a model of this kind would be used on a "rolling horizon"

basis whereby every month or so it
would be updated and resolved to give
a new production plan.

The inventory continuity equation presented is quite flexible, being

able to accommodate both time lags (as
discussed previously) and wastage.
For example if 2% of the stock is wasted each month due to
deterioration/pilfering
etc then the inventory continuity equation becomes It = 0.98It-1
+ Pt - Dt. Note that, if
necessary, the
objective function can include a term related to 0.02It-1 to
account for the loss in financial
terms.

In order to linearise (generate equivalent linear constraints) for our

non-linear constraint we again use a
standard trick. Note that that equation
is of the form

A = BC

where A, B and C are zero-one variables. The standard trick is that

a non-linear constraint of this type can be
replaced by the two linear
constraints

A <= (B+C)/2 and

A >= B+C-1

To see this we use the fact that as B and C take only zero-one values
there are only four possible cases to
consider:

B C A = BC A <= (B+C)/2 A >= B+C-1

becomes becomes becomes

0 0 A = 0 A <= 0 A >= -1

0 1 A = 0 A <= 0.5 A >= 0

1 0 A = 0 A <= 0.5 A >= 0

1 1 A = 1 A <= 1 A >= 1

Then, recalling that A can also only take zero-one values, it is clear
that in each of the four possible cases the
two linear constraints (A <=
(B+C)/2 and A >= B+C-1) are equivalent to the single non-linear constraint
(A=BC).

Returning now to our original non-linear constraint

zt = xt-1yt

this involves the three zero-one variables zt, xt-1

and yt and so we can use our general rule and replace this
non-linear
constraint by the two linear constraints

zt <= (xt-1 + yt)/2 t=1,2,...,6

and zt >= xt-1 + yt - 1 t=1,2,...,6

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Making this change transforms the non-linear integer program given before
into an equivalent linear integer
program.

Integer programming example 1996 MBA exam

A toy manufacturer is planning to produce new toys. The setup cost of

the production facilities and the unit
profit for each toy are given below.
:

Toy Setup cost (£) Profit (£)

1 45000 12

2 76000 16

The company has two factories that are capable of producing these toys.
In order to avoid doubling the setup
cost only one factory could
be used.

The production rates of each toy are given below (in units/hour):
Toy 1 Toy 2

Factory 1 52 38

Factory 2 42 23

Factories 1 and 2, respectively, have 480 and 720 hours of production

time available for the production of
these toys. The manufacturer wants
to know which of the new toys to produce, where and how
many of each
(if any) should be produced so as to maximise the total
profit.

Introducing 0-1 decision variables formulate the above problem

as an integer program. (Do not try to
solve it).
Explain briefly how the above mathematical model can be used in production
planning.

Solution

Variables

We need to decide whether to setup a factory to produce a toy or not

so let fij = 1 if factory i (i=1,2) is setup
to produce toys
of type j (j=1,2), 0 otherwise

We need to decide how many of each toy should be produced in each factory
so let xij be the number of toys
of type j (j=1,2) produced
in factory i (i=1,2) where xij >=0 and integer.

Constraints

at each factory cannot exceed the production time available

x11/52 + x12/38 <= 480

x21/42 + x22/23 <= 720

cannot produce a toy unless we are setup to do so

x11 <= 52(480)f11

x12 <= 38(480)f12

x21 <= 42(720)f21

x22 <= 23(720)f22

Objective

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The objective is to maximise total profit, i.e.

maximise 12(x11+ x21) + 16(x12+ x22)

- 45000(f11 + f21) - 76000(f12 + f22)

Note here that the question says that in order to avoid doubling the
setup costs only one factory could be
used. This is not a constraint. We
can argue that if it is only cost considerations that prevent us using
more
than one factory these cost considerations have already been incorporated
into the model given above and the
model can decide for us how many factories
to use, rather than we artificially imposing a limit via an explicit
constraint
on the number of factories that can be used.

The above mathematical model could be used in production planning in

the following way:

enables us to maximise profit, rather than relying on an ad-hoc judgemental

approach
can be used for sensitivity analysis - for example to see how sensitive
our production planning
decision is to changes in the production rates
enables us to see the effect upon production of (say) increasing the
profit per unit on toy 1
enables us to easily replan production in the event of a change in
the system (e.g. a reduction in the
available production hours at factory
one due to increased work from other products made at that
factory)
can use on a rolling horizon basis to plan production as time passes
(in which case we perhaps need to
introduce a time subscript into the above
model)

Integer programming example 1995 MBA exam

A project manager in a company is considering a portfolio of 10 large

project investments. These
investments differ in the estimated long-run
profit (net present value) they will generate as well as in the
amount
of capital required.

Let Pj and Cj denote the estimated profit and

capital required (both given in units of millions of £) for
investment
opportunity j (j=1,...,10) respectively. The total amount of capital available
for these investments
is Q (in units of millions of £)

Investment opportunities 3 and 4 are mutually exclusive and so are 5

and 6. Furthermore, neither 5 nor 6 can
be undertaken unless either 3 or
4 is undertaken. At least two and at most four investment opportunities
have
to be undertaken from the set {1,2,7,8,9,10}.

The project manager wishes to select the combination of capital investments

that will maximise the total
estimated long-run profit subject to the restrictions
described above.

Formulate this problem using an integer programming model

and comment on the difficulties of solving this
model. (Do not actually
solve it).

What are the advantages and disadvantages of using this model for portfolio
selection?

Solution

Variables

We need to decide whether to use an investment opportunity or not so

let xj = 1 if we use investment
opportunity j (j=1,...,10),
0 otherwise

Constraints

total amount of capital available for these investments is Q

SUM{j=1,...,10}Cjxj <= Q
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investment opportunities 3 and 4 are mutually exclusive and so are

5 and 6

x3 + x4 <= 1
x5 + x6 <= 1

neither 5 nor 6 can be undertaken unless either 3 or 4 is undertaken

x5 <= x3+ x4
x6 <= x3+ x4

at least two and at most four investment opportunities have to be undertaken

from the set
{1,2,7,8,9,10}

x1 + x2 + x7 + x8 + x9
+ x10 >= 2
x1 + x2 + x7 + x8 + x9
+ x10 <= 4

Objective

The objective is to maximise the total estimated long-run profit i.e.

maximise SUM{j=1,...,10}Pjxj

The model given above is a very small zero-one integer programming problem
with just 10 variables and 7
constraints and should be very easy to solve.
For example even by complete (total) enumeration there are just
210
= 1024 possible solutions to be examined.

The advantages and disadvantages of using this model for portfolio selection
are:

enables us to maximise profit, rather than relying on an ad-hoc judgemental

approach
can be easily extended to deal with a larger number of potential investment
opportunities
can be used for sensitivity analysis, for example to see how sensitive
our portfolio selection decision is
to changes in the data
the model fails to take into account any statistical uncertainly (risk)
in the data, it is a completely
deterministic model, for example project
j might have a (known or estimated) statistical distribution
for its profit
Pj and so we might need a model that takes this distribution
into account

Integer programming example 1994 MBA exam

A food is manufactured by refining raw oils and blending them together.

The raw oils come in two
categories:

Vegetable oil:
VEG1
VEG2
Non-vegetable oil:
OIL1
OIL2
OIL3

The prices for buying each oil are given below (in £/tonne)
VEG1 VEG2 OIL1 OIL2 OIL3

115 128 132 109 114

The final product sells at £180 per tonne. Vegetable oils and
non-vegetable oils require different production
lines for refining. It
is not possible to refine more than 210 tonnes of vegetable oils and more
than 260 tonnes
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of non-vegetable oils. There is no loss of weight in the

refining process and the cost of refining may be
ignored.

There is a technical restriction relating to the hardness of the final

product. In the units in which hardness is
measured this must lie between
3.5 and 6.2. It is assumed that hardness blends linearly and that the hardness
of the raw oils is:

VEG1 VEG2 OIL1 OIL2 OIL3

8.8 6.2 1.9 4.3 5.1

It is required to determine what to buy and how to blend the raw oils
so that the company maximises its
profit.

Formulate the above problem as a linear program. (Do

not actually solve it).
What assumptions do you make in solving this problem by linear programming?

The following extra conditions are imposed on the food manufacture problem
stated above as a result of the
production process involved:

the food may never be made up of more than 3 raw oils

if an oil (vegetable or non-vegetable) is used, at least 30 tonnes
of that oil must be used
if either of VEG1 or VEG2 are used then OIL2 must also be used

Introducing 0-1 integer variables extend the linear programming model

you have developed to encompass
these new extra conditions.

Solution

Variables

We need to decide how much of each oil to use so let xi be

the number of tonnes of oil of type i used
(i=1,...,5) where i=1 corresponds
to VEG1, i=2 corresponds to VEG2, i=3 corresponds to OIL1, i=4
corresponds
to OIL2 and i=5 corresponds to OIL3 and where xi >=0 i=1,...,5

Constraints

cannot refine more than a certain amount of oil

x1 + x2 <= 210

x3 + x4 + x5 <= 260

hardness of the final product must lie between 3.5 and 6.2

(8.8x1 + 6.2x2 + 1.9x3 + 4.3x4

+ 5.1x5)/(x1 + x2 + x3 + x4
+ x5) >= 3.5
(8.8x1 + 6.2x2 + 1.9x3 + 4.3x4
+ 5.1x5)/(x1 + x2 + x3 + x4
+ x5) <= 6.2

Objective

The objective is to maximise total profit, i.e.

maximise 180(x1 + x2 + x3 + x4
+ x5) - 115x1 - 128x2 - 132x3
- 109x4 - 114x5

The assumptions we make in solving this problem by linear programming

are:

all data/numbers are accurate

hardness does indeed blend linearly
no loss of weight in refining
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can sell all we produce

Integer program

Variables

In order to deal with the extra conditions we need to decide whether

to use an oil or not so let yi = 1 if we use
any of oil i (i=1,...,5),
0 otherwise

Constraints

must relate the amount used (x variables) to the integer variables

(y) that specify whether any is used
or not

x1 <= 210y1
x2 <= 210y2

x3 <= 260y3

x4 <= 260y4

x5 <= 260y5

the food may never be made up of more than 3 raw oils

y1 + y2 + y3 + y4 + y5
<= 3

if an oil (vegetable or non-vegetable) is used, at least 30 tonnes

of that oil must be used

xi >= 30yi          
i=1,...,5

if either of VEG1 or VEG2 are used then OIL2 must also be used

y4 >= y1
y4 >= y2

Objective

The objective is unchanged by the addition of these extra constraints

and variables.

Integer programming example 1985 UG exam

A factory works a 24 hour day, 7 day week in producing four products.

Since only one product can be
produced at a time the factory operates a
system where, throughout one day, the same product is produced
(and then
the next day either the same product is produced or the factory produces
a different product). The
rate of production is:
Product 1 2 3 4

No. of units produced per hour worked 100 250 190 150

The only complication is that in changing from producing product 1 one

day to producing product 2 the next
day five working hours are lost (from
the 24 hours available to produce product 2 that day) due to the
necessity
of cleaning certain oil tanks.

To assist in planning the production for the next week the following
data is available:
Current Demand (units) for each day of the week

Product stock 1 2 3 4 5 6 7

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(units)

1 5000 1500 1700 1900 1000 2000 500 500

2 7000 4000 500 1000 3000 500 1000 2000

3 9000 2000 2000 3000 2000 2000 2000 500

4 8000 3000 2000 2000 1000 1000 500 500

Product 3 was produced on day 0. The factory is not allowed to be idle

(i.e. one of the four products must be
produced each day). Stockouts are
not allowed. At the end of day 7 there must be (for each product) at least
1750 units in stock.

If the cost of holding stock is £1.50 per unit for products 1

and 2 but £2.50 per unit for products 3 and 4
(based on the stock
held at the end of each day) formulate the problem of planning the production
for the
next week as an integer program in which all the constraints are
linear.

Solution

Variables

The decisions that have to be made relate to the type of product to

produce each day. Hence let:

xit = 1 if produce product i (i=1,2,3,4) on day t (t=1,2,3,4,5,6,7)

= 0 otherwise

In fact, for this problem, we can ease the formulation by defining two
additional variables - namely let:

Iit be the closing inventory (amount of stock left) of product

i (i=1,2,3,4) on day t (t=1,2,...,7)
Pit be the number of units of product i (i=1,2,3,4) produced
on day t (t=1,2,...,7)

Constraints

only produce one product per day

x1t + x2t + x3t + x4t = 1 t=1,2,...,7

no stockouts
Iit >= 0 i=1,...,4 t=1,...,7

we have an inventory continuity equation of the form

closing stock = opening stock + production - demand

Letting Dit represent the demand for product i (i=1,2,3,4)

on day t (t=1,2,...,7) we have

I10 = 5000

I20 = 7000

I30 = 9000

I40 = 8000

representing the initial stock situation and

Iit = Iit-1 + Pit - Dit i=1,...,4 t=1,...,7

for the inventory continuity equation.

Note here that we assume that we can meet demand in month t from goods
produced in month t and also that
the opening stock in month t = the closing
stock in month t-1.

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production constraint

Let Ri represent the work rate (units/hour) for product i

(i=1,2,3,4) then the production constraint is

Pit = xit[24Ri] i=1,3,4 t=1,...,7

which covers the production for all except product 2 and

P2t = [24R2]x2t - [5R2]x2tx1t-1 t=1,...,7

i.e. for product 2 we lose 5 hours production if we are producing product

2 in period t and we produced
product 1 the previous period. Note here
that we initialise by
x10 = 0

since we know we were not producing product 1 on day 0. Plainly the

constraint involving P2t is non-linear
as it involves a term
which is the product of two variables. However we can linearise it by using
the trick that
given three zero-one variables (A,B,C say) the non-linear
constraint

A = BC

can be replaced by the two linear constraints

A <= (B + C)/2 and

A >= B + C - 1

Hence introduce a new variable Zt defined by the verbal description

Zt = 1 if produce product 2 on day t and product 1 on day t-1

= 0 otherwise

Then

Zt = x2tx1t-1 t=1,...,7

and our non-linear equation becomes

P2t = [24R2]x2t - [5R2]Zt t=1,...,7

and applying our trick the non-linear equation for Zt can

be replaced by the two linear equations

Zt <= (x2t + x1t-1)/2 t=1,...,7

Zt >= x2t + x1t-1 - 1 t=1,...,7

closing stock

Ii7 >= 1750 i=1,...,4

all variables >= 0 and integer, (xit) and (Zt)

zero-one variables

Note that, in practise, we would probably regard (Iit) and

(Pit) as taking fractional values and round to get
integer values
(since they are both quite large this should be acceptable).

Objective

We wish to minimise total cost and this is given by

SUM{t=1,...,7}(1.50I1t + 1.50I2t + 2.50I3t + 2.50I4t)

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Note here that this program may not have a feasible solution, i.e. it
may simply not be possible to satisfy all
the constraints. This is irrelevant
to the process of constructing the model however. Indeed one advantage
of
the model may be that it will tell us (once a computational solution
technique is applied) that the problem is
infeasible.

Integer programming example 1987 UG exam

A company is attempting to decide the mix of products which it should

produce next week. It has seven
products, each with a profit (£)
per unit and a production time (man-hours) per unit as shown below:

Product Profit (£ per unit) Production time (man-hours per unit)

1 10 1.0

2 22 2.0

3 35 3.7

4 19 2.4

5 55 4.5

6 10 0.7

7 115 9.5

The company has 720 man-hours available next week.

Formulate the problem of how many units (if any) of each product to
produce next week as an integer
program in which all the constraints are
linear.

Incorporate the following additional restrictions into your integer

program (retaining linear constraints and a
linear objective):

If any of product 7 are produced an additional fixed cost of £2000

is incurred.
Each unit of product 2 that is produced over 100 units requires a production
time of 3.0 man-hours
instead of 2.0 man-hours (e.g. producing 101 units
of product 2 requires 100(2.0) + 1(3.0) man-hours).
If both product 3 and product 4 are produced 75 man-hours are needed
for production line set-up and
hence the (effective) number of man-hours
available falls to 720 - 75 = 645.

Solution

Let xi (integer >=0) be the number of units of product

i produced then the integer program is

maximise
10x1 + 22x2 + 35x3 + 19x4 + 55x5 + 10x6 + 115x7

subject to

1.0x1 + 2.0x2 + 3.7x3 + 2.4x4 + 4.5x5 + 0.7x6 + 9.5x7 <= 720

xi >= 0 integer i=1,2,...,7

Let
z7 = 1 if produce product 7 (x7 >= 1)

= 0 otherwise

then

subtract 2000z7 from the objective function and

add the constraint x7 <= [most we can make of product
7]z7

Hence
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x7 <= (720/9.5)z7

i.e. x7 <= 75.8z7

so x7 <= 75z7 (since x7 is integer)

Let y2 = number of units of product 2 produced in excess

of 100 units then add the constraints

x2 <= 100
y2 >= 0 integer
and amend the work-time constraint to be 1.0x1 + [2.0x2
+ 3.0y2] + 3.7x3 + 2.4x4 + 4.5x5
+ 0.7x6 +
9.5x7 <= 720
and add +22y2 to the objective function.

This will work because x2 and y2 have the same

objective function coefficient but y2 requires longer to
produce
so will always get more flexibility by producing x2 first (up
to the 100 limit) before producing y2.

Introduce

Z = 1 if produce both product 3 and product 4 (x3 >= 1 and x4 >= 1)

= 0 otherwise

z3 = 1 if produce product 3 (x3 >= 1)

= 0 otherwise

z4 = 1 if produce product 4 (x4 >= 1)

= 0 otherwise

and

subtract from the rhs of the work-time constraint 75Z

and add the two constraints

x3 <= [most we can make of product 3]z 3

x4 <= [most we can make of product 4]z4

i.e.

x3 <= 194z3 and x4 <= 300z4

and relate Z to z3 and z4 with the non-linear

constraint

Z = z3z4

which we linearise by replacing the non-linear constraint by the two

linear constraints

Z >= z3 + z4 - 1
Z <= (z3 + z4)/2

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