Practical strategies for generating rank-1 split cuts in mixed-integer linear programming |
| |
Authors: | Gerard Cornuéjols Giacomo Nannicini |
| |
Institution: | 1.Tepper School of Business,Carnegie Mellon University,Pittsburgh,USA |
| |
Abstract: | In this paper we propose practical strategies for generating split cuts, by considering integer linear combinations of the
rows of the optimal simplex tableau, and deriving the corresponding Gomory mixed-integer cuts; potentially, we can generate
a huge number of cuts. A key idea is to select subsets of variables, and cut deeply in the space of these variables. We show
that variables with small reduced cost are good candidates for this purpose, yielding cuts that close a larger integrality
gap. An extensive computational evaluation of these cuts points to the following two conclusions. The first is that our rank-1
cuts improve significantly on existing split cut generators (Gomory cuts from single tableau rows, MIR, Reduce-and-Split,
Lift-and-Project, Flow and Knapsack cover): on MIPLIB instances, these generators close 24% of the integrality gap on average;
adding our cuts yields an additional 5%. The second conclusion is that, when incorporated in a Branch-and-Cut framework, these
new cuts can improve computing time on difficult instances. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|