A Lagrangian relaxation approach to the mixed-product assembly line sequencing problem: A case study of a door-lock company in Taiwan

In mixed-product assembly line sequencing, the production resources required for the assembly lines should be scheduled to minimize the overall cost and meet customer demand. In this paper, we study an assembly line sequencing problem for the door-lock industry in Taiwan and develop an integer programming formulation with realistic constraints. The complex solution space makes the resulting program difficult to solve using commercial optimization packages. Therefore, a heuristic based on the Lagrangian relaxation principle is developed to solve this problem efficiently. We evaluate the efficiency of the developed Lagrangian relaxation heuristic by comparing its solutions with those obtained using a commercial optimization package: the computational results show that the developed heuristic solves the real-world problem faster than the optimization package by almost 15 times in CPU time at a comparable solution quality.     

Analysis of relaxations for the multi-item capacitated lot-sizing problem

The multi-item capacitated lot-sizing problem consists of determining the magnitude and the timing of some operations of durable results for several items in a finite number of processing periods so as to satisfy a known demand in each period. We show that the problem is strongly NP-hard. To explain why one of the most popular among exact and approximate solution methods uses a Lagrangian relaxation of the capacity constraints, we compare this approach with every alternate relaxation of the classical formulation of the problem, to show that it is the most precise in a rigorous sense. The linear relaxation of a shortest path formulation of the same problem has the same value, and one of its Lagrangian relaxations is even more accurate. It is comforting to note that well-known relaxation algorithms based on the traditional formulation can be directly used to solve the shortest path formulation efficiently, and can be further enhanced by new algorithms for the uncapacitated lot-sizing problem. An extensive computational comparison between linear programming, column generation and subgradient optimization exhibits this efficiency, with a surprisingly good performance of column generation. We pinpoint the importance of the data characteristics for an empirical classification of problem difficulty and show that most real-world problems are easier to solve than their randomly generated counterparts because of the presence of initial inventories and their large number of items.Supported by NSF Grant ECS-8518970 and NSERC Grant OGP 0042197.     

The asymmetric travelling salesman problem and a reformulation of the Miller–Tucker–Zemlin constraints

In this paper we compare the linear programming (LP) relaxations of several old and new formulations for the asymmetric travelling salesman problem (ATSP). The main result of this paper is the derivation of a compact formulation whose LP relaxation is characterized by a set of circuit inequalities given by Grotschel and Padberg (In: Lawler, E.L., Lenstra, J.K., Rinnooy Kan, A., Shmoys, D.B. (Eds.), The Travelling Salesman Problem: A Guided Tour of Combinatorial Optimization. Wiley, New York, 1985). The new compact model is an improved and disaggregated version of a well-known model for the ATSP based on the subtour elimination constraints (Miller et al., Journal of ACM 7 (1960) 326–329). The circuit inequalities are weaker than the subtour elimination constraints given by Dantzig et al. However, each one of these circuit inequalities can be lifted into several different facet defining inequalities which are not dominated by the subtour elimination inequalities. We show that some of the inequalities involved in the previously mentioned compact formulation can be lifted in such a way that, by projection, we obtain a small subset of the so-called D_k^← and D_k^→ inequalities. This shows that the LP relaxation of our strongest model is not dominated by the LP relaxation of the model presented by Dantzig et al. (Operations Research 2 (1954) 393–410). The new models motivate a new classification of formulations for the ATSP.     

A mathematical programming model and solution for scheduling production orders in Shanghai Baoshan Iron and Steel Complex

In this paper, we investigate the production order scheduling problem derived from the production of steel sheets in Shanghai Baoshan Iron and Steel Complex (Baosteel). A deterministic mixed integer programming (MIP) model for scheduling production orders on some critical and bottleneck operations in Baosteel is presented in which practical technological constraints have been considered. The objective is to determine the starting and ending times of production orders on corresponding operations under capacity constraints for minimizing the sum of weighted completion times of all orders. Due to large numbers of variables and constraints in the model, a decomposition solution methodology based on a synergistic combination of Lagrangian relaxation, linear programming and heuristics is developed. Unlike the commonly used method of relaxing capacity constraints, this methodology alternatively relaxes constraints coupling integer variables with continuous variables which are introduced to the objective function by Lagrangian multipliers. The Lagrangian relaxed problem can be decomposed into two sub-problems by separating continuous variables from integer ones. The sub-problem that relates to continuous variables is a linear programming problem which can be solved using standard software package OSL, while the other sub-problem is an integer programming problem which can be solved optimally by further decomposition. The subgradient optimization method is used to update Lagrangian multipliers. A production order scheduling simulation system for Baosteel is developed by embedding the above Lagrangian heuristics. Computational results for problems with up to 100 orders show that the proposed Lagrangian relaxation method is stable and can find good solutions within a reasonable time.     

Covering problems in edge- and node-weighted graphs

This paper discusses the graph covering problem in which a set of edges in an edge- and node-weighted graph is chosen to satisfy some covering constraints while minimizing the sum of the weights. In this problem, because of the large integrality gap of a naive linear programming (LP) relaxation, LP rounding algorithms based on the relaxation yield poor performance. Here we propose a stronger LP relaxation for the graph covering problem. The proposed relaxation is applied to designing primal–dual algorithms for two fundamental graph covering problems: the prize-collecting edge dominating set problem and the multicut problem in trees. Our algorithms are an exact polynomial-time algorithm for the former problem, and a 2-approximation algorithm for the latter problem. These results match the currently known best results for purely edge-weighted graphs.     

A bilevel programming approach to the travelling salesman problem

We show that the travelling salesman problem is polynomially reducible to a bilevel toll optimization program. Based on natural bilevel programming techniques, we recover the lifted Miller-Tucker-Zemlin constraints. Next, we derive an O(n²) multi-commodity extension whose LP relaxation is comparable to the exponential formulation of Dantzig, Fulkerson and Johnson.     

The crane scheduling problem: models and solution approaches

In this paper, we study the crane scheduling problem for a vessel after the vessel is moored on a terminal and develop both exact and heuristic solution approaches for the problem. For small-sized instances, we develop a time-space network flow formulation with non-crossing constraints for the problem and apply an exact solution approach to obtain an optimal solution. For medium-sized instances, we develop a Lagrangian relaxation approach that allows us to obtain tight lower bounds and near-optimal solutions. For large-sized instances, we develop two heuristics and show that the error bounds of our heuristics are no more than 100%. Finally, we perform computational studies to show the effectiveness of our proposed solution approaches.     

A polyhedral approach to a production planning problem

Production planning in manufacturing industries is concerned with the determination of the production quantities (lot sizes) of some items over a time horizon, in order to satisfy the demand with minimum cost, subject to some production constraints. In general, production planning problems become harder when different types of constraints are present, such as capacity constraints, minimum lot sizes, changeover times, among others. Models incorporating some of these constraints yield, in general, NP-hard problems. We consider a single-machine, multi-item lot-sizing problem, with those difficult characteristics. There is a natural mixed integer programming formulation for this problem. However, the bounds given by linear relaxation are in general weak, so solving this problem by LP based branch and bound is inefficient. In order to improve the LP bounds, we strengthen the formulation by adding cutting planes. Several families of valid inequalities for the set of feasible solutions are derived, and the corresponding separation problems are addressed. The result is a branch and cut algorithm, which is able to solve some real life instances with 5 items and up to 36 periods. This revised version was published online in June 2006 with corrections to the Cover Date.     

Partial Lagrangian relaxation for the unbalanced orthogonal Procrustes problem

Based on a novel reformulation of the feasible region, we propose and analyze a partial Lagrangian relaxation approach for the unbalanced orthogonal Procrustes problem (UOP). With a properly selected Lagrangian multiplier, the Lagrangian relaxation (LR) is equivalent to the recent matrix lifting semidefinite programming relaxation (MSDR), which has much more variables and constraints. Numerical results show that (LR) is solved more efficiently than (MSDR). Moreover, based on the special structure of (LR), we successfully employ the well-known Frank–Wolfe algorithm to efficiently solve very large instances of (LR). The rate of the convergence is shown to be independent of the row-dimension of the matrix variable of (UOP). Finally, motivated by (LR), we propose a Lagrangian heuristic for (UOP). Numerical results show that it can efficiently find the global optimal solutions of some randomly generated instances of (UOP).     

Linear programming relaxations and marginal productivity index policies for the buffer sharing problem

We study the dynamic admission control for a finite shared buffer with support of multiclass traffic under Markovian assumptions. The problem is often referred to as buffer sharing in the literature. From the linear programming (LP) formulation of the continuous-time Markov decision process (MDP), we construct a hierarchy of increasingly stronger LP relaxations where the hierarchy levels equal the number of job classes. Each relaxation in the hierarchy is obtained by projecting the original achievable performance region onto a polytope of simpler structure. We propose a heuristic policy for admission control, which is based on the theory of Marginal Productivity Index (MPI) and the Lagrangian decomposition of the first order LP relaxation. The dual of the relaxed buffer space constraint in the first order LP relaxation is used as a proxy to the cost of buffer space. Given that each of the decomposed queueing admission control problems satisfies the indexability condition, the proposed heuristic accepts a new arrival if there is enough buffer space left and the MPI of the current job class is greater than the incurred cost of buffer usage. Our numerical examples for the cases of two and eight job classes show the near-optimal performance of the proposed MPI heuristic.     

The Arc-Item-Load and Related Formulations for the Cumulative Vehicle Routing Problem

The Capacitated Vehicle Routing Problem (CVRP) consists of finding the cheapest way to serve a set of customers with a fleet of vehicles of a given capacity. While serving a particular customer, each vehicle picks up its demand and carries its weight throughout the rest of its route. While costs in the classical CVRP are measured in terms of a given arc distance, the Cumulative Vehicle Routing Problem (CmVRP) is a variant of the problem that aims to minimize total energy consumption. Each arc’s energy consumption is defined as the product of the arc distance by the weight accumulated since the beginning of the route.The purpose of this work is to propose several different formulations for the CmVRP and to study their Linear Programming (LP) relaxations. In particular, the goal is to study formulations based on combining an arc-item concept (that keeps track of whether a given customer has already been visited when traversing a specific arc) with another formulation from the recent literature, the Arc-Load formulation (that determines how much load goes through an arc).Both formulations have been studied independently before – the Arc-Item is very similar to a multi-commodity-flow formulation in Letchford and Salazar-González (2015) and the Arc-Load formulation has been studied in Fukasawa et al. (2016) – and their LP relaxations are incomparable. Nonetheless, we show that a formulation combining the two (called Arc-Item-Load) may lead to a significantly stronger LP relaxation, thereby indicating that the two formulations capture complementary aspects of the problem. In addition, we study how set partitioning based formulations can be combined with these formulations. We present computational experiments on several well-known benchmark instances that highlight the advantages and drawbacks of the LP relaxation of each formulation and point to potential avenues of future research.     

On optimizing over lift-and-project closures

The strengthened lift-and-project closure of a mixed integer linear program is the polyhedron obtained by intersecting all strengthened lift-and-project cuts obtained from its initial formulation, or equivalently all mixed integer Gomory cuts read from all tableaux corresponding to feasible and infeasible bases of the LP relaxation. In this paper, we present an algorithm for approximately optimizing over the strengthened lift-and-project closure. The originality of our method is that it relies on a cut generation linear programming problem which is obtained from the original LP relaxation by only modifying the bounds on the variables and constraints. This separation LP can also be seen as dual to the cut generation LP used in disjunctive programming procedures with a particular normalization. We study properties of this separation LP, and discuss how to use it to approximately optimize over the strengthened lift-and-project closure. Finally, we present computational experiments and comparisons with recent related works.     

Lagrangian relaxation and pegging test for the clique partitioning problem

The clique partitioning problem is an NP-hard combinatorial optimization problem with applications to data analysis such as clustering. Though a binary integer linear programming formulation has been known for years, one needs to deal with a huge number of variables and constraints when solving a large instance. In this paper, we propose a size reduction algorithm which is based on the Lagrangian relaxation and the pegging test, and verify its validity through numerical experiments. We modify the conventional subgradient method in order to manage the high dimensionality of the Lagrangian multipliers, and also make an improvement on the ordinary pegging test by taking advantage of the structural property of the clique partitioning problem.     

An linear programming based lower bound for the simple assembly line balancing problem

The simple assembly line balancing problem is a classical integer programming problem in operations research. A set of tasks, each one being an indivisible amount of work requiring a number of time units, must be assigned to workstations without exceeding the cycle time. We present a new lower bound, namely the LP relaxation of an integer programming formulation based on Dantzig–Wolfe decomposition. We propose a column generation algorithm to solve the formulation. Therefore, we develop a branch-and-bound algorithm to exactly solve the pricing problem. We assess the quality of the lower bound by comparing it with other lower bounds and the best-known solution of the various instances from the literature. Computational results show that the lower bound is equal to the best-known objective function value for the majority of the instances. Moreover, the new LP based lower bound is able to prove optimality for an open problem.     

A column generation approach to train timetabling on a corridor

We propose heuristic and exact algorithms for the (periodic and non-periodic) train timetabling problem on a corridor that are based on the solution of the LP relaxation of an ILP formulation in which each variable corresponds to a full timetable for a train. This is in contrast with previous approaches to the same problem, which were based on ILP formulations in which each variable is associated with a departure and/or arrival of a train at a specific station in a specific time instant, whose LP relaxation is too expensive to be solved exactly. Experimental results on real-world instances of the problem show that the proposed approach is capable of producing heuristic solutions of better quality than those obtained by these previous approaches, and of solving some small-size instances to proven optimality.      

An improved Lagrangian relaxation and dual ascent approach to facility location problems

The literature knows semi-Lagrangian relaxation as a particular way of applying Lagrangian relaxation to certain linear mixed integer programs such that no duality gap results. The resulting Lagrangian subproblem usually can substantially be reduced in size. The method may thus be more efficient in finding an optimal solution to a mixed integer program than a “solver” applied to the initial MIP formulation, provided that “small” optimal multiplier values can be found in a few iterations. Recently, a simplification of the semi-Lagrangian relaxation scheme has been suggested in the literature. This “simplified” approach is actually to apply ordinary Lagrangian relaxation to a reformulated problem and still does not show a duality gap, but the Lagrangian dual reduces to a one-dimensional optimization problem. The expense of this simplification is, however, that the Lagrangian subproblem usually can not be reduced to the same extent as in the case of ordinary semi-Lagrangian relaxation. Hence, an effective method for optimizing the Lagrangian dual function is of utmost importance for obtaining a computational advantage from the simplified Lagrangian dual function. In this paper, we suggest a new dual ascent method for optimizing both the semi-Lagrangian dual function as well as its simplified form for the case of a generic discrete facility location problem and apply the method to the uncapacitated facility location problem. Our computational results show that the method generally only requires a very few iterations for computing optimal multipliers. Moreover, we give an interesting economic interpretation of the semi-Lagrangian multiplier(s).     

Unrelated machine scheduling with time-window and machine downtime constraints: An application to a naval battle-group problem

This paper deals with an unrelated machine scheduling problem of minimizing the total weighted flow time, subject to time-window job availability and machine downtime side constraints. We present a zero-one integer programming formulation of this problem. The linear programming relaxation of this formulation affords a tight lower bound and often generates an integer optimal solution for the problem. By exploiting the special structures inherent in the formulation, we develop some classes of strong valid inequalities that can be used to tighten the initial formulation, as well as to provide cutting planes in the context of a branch-and-cut procedure. A major computational bottleneck is the solution of the underlying linear programming relaxation because of the extremely high degree of degeneracy inherent in the formulation. In order to overcome this difficulty, we employ a Lagrangian dual formulation to generate lower and upper bounds and to drive the branch-and-bound algorithm. As a practical instance of the unrelated machine scheduling problem, we describe a combinatorial naval defense problem. This problem seeks to schedule a set of illuminators (passive homing devices) in order to strike a given set of targets using surface-to-air missiles in a naval battle-group engagement scenario. We present computational results for this problem using suitable realistic data.     

An improved approximation algorithm for the partial Latin square extension problem

Previous work on the partial Latin square extension (PLSE) problem resulted in a 2-approximation algorithm based on the LP relaxation of a three-dimensional assignment IP formulation. We present an e/(e−1)-approximation algorithm that is based on the LP relaxation of a packing IP formulation of the PLSE problem.     

Minimizing the completion time of a project under resource constraints and feeding precedence relations: a Lagrangian relaxation based lower bound

In this paper we study the Resource Constrained Project Scheduling Problem (RCPSP) with “Feeding Precedence” (FP) constraints and minimum makespan objective. This problem typically arises in production planning environment, like make-to-order manufacturing, where the effort associated with the execution of an activity is not univocally related to its duration percentage and the traditional finish-to-start precedence constraints or the generalized precedence relations cannot completely represent the overlapping among activities. In this context, we need to introduce in the RCPSP the FP constraints. For this problem we propose a new mathematical formulation and define a lower bound based on the Lagrangian relaxation of the resource constraints. A computational experimentation on randomly generated instances of sizes of up to 100 activities shows a better performance of this lower bound when compared to other lower bounds. Moreover, for the optimally solved instances, its value is very close to the optimal one. Furthermore, in order to show the effectiveness of the proposed lower bound on large instances for which the optimal solution is known, we adapted our approach to solve the benchmarks of the basic RCPSP from the PSLIB with 120 activities.     

Stochastic modelling of reservoir operations

The nature of hydrologic parameters in reservoir management models is uncertain. In mathematical programming models the uncertainties are dealt with either indirectly (sensitivity analysis of a deterministic model) or directly by applying a chance-constrained type of formulation or some of the stochastic programming techniques (LP and DP based models). Various approaches are reviewed in the paper. Moran's theory of storage is an alternative stochastic modelling approach to mathematical programming techniques. The basis of the approach and its application is presented. Reliability programming is a stochastic technique based on the chance-constrained approach, where the reliabilities of the chance constraints are considered as extra decision variables in the model. The problem of random event treatment in the reservoir management model formulation using reliability programming is addressed in this paper.