How to compute least infeasible flows

It is well-known how to use maximum flow to decide when a flow problem with demands, lower bounds, and upper bounds is infeasible. Less well-known is how to compute a flow that is least infeasible. This paper considers many possible ways to define “least infeasible” and shows how to compute optimal flows for each definition. For each definition it also gives a dual characterization in terms of cuts, a polynomial routine for recognizing that type of least infeasible flow, and relates that definition to dual cut canceling min-cost flow network algorithms. This research was partially supported by an NSERC Operating Grant, an NSERC Grant for Research Abroad, and a UBC Killam Faculty Study Leave Fellowship. Parts of this research were done while the author was visiting Laboratoire ARTEMIS IMAG at Université Joseph Fourier de Grenoble, France.     

The omnipresence of Lagrange

Lagrangian relaxation is usually considered in the combinatorial optimization community as a mere technique, sometimes useful to compute bounds. It is actually a very general method, inevitable as soon as one bounds optimal values, relaxes constraints, convexifies sets, generates columns, etc. In this paper we review this method, from both points of view of theory (to dualize a given problem) and algorithms (to solve the dual by nonsmooth optimization). This is an updated version of the paper that appeared in 4OR, 1(1), 7–25 (2003).     

Dual extragradient algorithms extended to equilibrium problems

In this paper we propose two iterative schemes for solving equilibrium problems which are called dual extragradient algorithms. In contrast with the primal extragradient methods in Quoc et al. (Optimization 57(6):749–776, 2008) which require to solve two general strongly convex programs at each iteration, the dual extragradient algorithms proposed in this paper only need to solve, at each iteration, one general strongly convex program, one projection problem and one subgradient calculation. Moreover, we provide the worst case complexity bounds of these algorithms, which have not been done in the primal extragradient methods yet. An application to Nash-Cournot equilibrium models of electricity markets is presented and implemented to examine the performance of the proposed algorithms.     

Lagrangean relaxation

This paper reviews some of the most intriguing results and questions related to Lagrangean relaxation. It recalls essential properties of the Lagrangean relaxation and of the Lagrangean function, describes several algorithms to solve the Lagrangean dual problem, and considers Lagrangean heuristics, ad-hoc or generic, because these are an integral part of any Lagrangean approximation scheme. It discusses schemes that can potentially improve the Lagrangean relaxation bound, and describes several applications of Lagrangean relaxation, which demonstrate the flexibility of the approach, and permit either the computation of strong bounds on the optimal value of the MIP problem, or the use of a Lagrangean heuristic, possibly followed by an iterative improvement heuristic. The paper also analyzes several interesting questions, such as why it is sometimes possible to get a strong bound by solving simple problems, and why an a-priori weaker relaxation can sometimes be “just as good” as an a-priori stronger one.     

Using dual network bounds in algorithms for solving generalized set packing partitioning problems

This article deals with a method to compute bounds in algorithms for solving the generalized set packing/partitioning problems. The problems under investigation can be solved by the branch and bound method. Linear bounds computed by the simplex method are usually used. It is well known that this method breaks down on some occasions because the corresponding linear programming problems are degenerate. However, it is possible to use the dual (Lagrange) bounds instead of the linear bounds. A partial realization of this approach is described that uses a network relaxation of the initial problem. The possibilities for using the dual network bounds in the approximation techniques to solve the problems under investigation are described.     

The omnipresence of Lagrange

Lagrangian relaxation is usually considered in the combinatorial optimization community as a mere technique, sometimes useful to compute bounds. It is actually a very general method, inevitable as soon as one bounds optimal values, relaxes constraints, convexifies sets, generates columns etc. In this paper we review this method, from both points of view of theory (to dualize a given problem) and algorithms (to solve the dual by nonsmooth optimization).     

Complexity and algorithms for nonlinear optimization problems

Nonlinear optimization algorithms are rarely discussed from a complexity point of view. Even the concept of solving nonlinear problems on digital computers is not well defined. The focus here is on a complexity approach for designing and analyzing algorithms for nonlinear optimization problems providing optimal solutions with prespecified accuracy in the solution space. We delineate the complexity status of convex problems over network constraints, dual of flow constraints, dual of multi-commodity, constraints defined by a submodular rank function (a generalized allocation problem), tree networks, diagonal dominant matrices, and nonlinear knapsack problem’s constraint. All these problems, except for the latter in integers, have polynomial time algorithms which may be viewed within a unifying framework of a proximity-scaling technique or a threshold technique. The complexity of many of these algorithms is furthermore best possible in that it matches lower bounds on the complexity of the respective problems. In general nonseparable optimization problems are shown to be considerably more difficult than separable problems. We compare the complexity of continuous versus discrete nonlinear problems and list some major open problems in the area of nonlinear optimization. An earlier version of this paper appeared in 4OR, 3:3, 171–216, 2005.     

On strongly polynomial dual simplex algorithms for the maximum flow problem

Several pivot rules for the dual network simplex algorithm that enable it to solve a maximum flow problem on ann-node,m-arc network in at most 2nm pivots and O(n ² m) time are presented. These rules are based on the concept of apreflow and depend upon the use of node labels which are either the lengths of a shortestpseudoaugmenting path from those nodes to the sink node orvalid underestimates of those lengths. Extended versions of our algorithms are shown to solve an important class of parametric maximum flow problems with no increase in the worst-case pivot and time bounds of these algorithms. This research was supported in part by NSF Grants DMS 91-06195, DMS 94-14438, and CDR 84-21402 and DOE Grant DE-FG02-92ER25126.     

Approximate Subgradient Methods for Nonlinearly Constrained Network Flow Problems

The minimization of nonlinearly constrained network flow problems can be performed by using approximate subgradient methods. The idea is to solve this kind of problem by means of primal-dual methods, given that the minimization of nonlinear network flow problems can be done efficiently exploiting the network structure. In this work, it is proposed to solve the dual problem by using ε-subgradient methods, as the dual function is estimated by minimizing approximately a Lagrangian function, which includes the side constraints (nonnetwork constraints) and is subject only to the network constraints. Some well-known subgradient methods are modified in order to be used as ε-subgradient methods and the convergence properties of these new methods are analyzed. Numerical results appear very promising and effective for this kind of problems This research was partially supported by Grant MCYT DPI 2002-03330.     

Maximum flow problem on dynamic generative network flows with time-varying bounds

This paper considers a new class of network flows, called dynamic generative network flows in which, the flow commodity is dynamically generated at a source node and dynamically consumed at a sink node and the arc-flow bounds are time dependent. Then the maximum dynamic flow problem in such networks for a pre-specified time horizon T is defined and mathematically formulated in both arc flow and path flow presentations. By exploiting the special structure of the problem, an efficient algorithm is developed to solve the general form of the dynamic problem as a minimum cost static flow problem.     

Augmented Lagrangian Methods for $p$-Harmonic Flows with the Generalized Penalization Terms and Application to Image Processing

In this paper, we propose a generalized penalization technique and a convex constraint minimization approach for the $p$-harmonic flow problem following the ideas in [Kang & March, IEEE T. Image Process., 16 (2007), 2251-2261]. We use fast algorithms to solve the subproblems, such as the dual projection methods, primal-dual methods and augmented Lagrangian methods. With a special penalization term, some special algorithms are presented. Numerical experiments are given to demonstrate the performance of the proposed methods. We successfully show that our algorithms are effective and efficient due to two reasons: the solver for subproblem is fast in essence and there is no need to solve the subproblem accurately (even 2 inner iterations of the subproblem are enough). It is also observed that better PSNR values are produced using the new algorithms.     

New classes of fast lower bounds for bin packing problems

The bin packing problem is one of the classical NP-hard optimization problems. In this paper, we present a simple generic approach for obtaining new fast lower bounds, based on dual feasible functions. Worst-case analysis as well as computational results show that one of our classes clearly outperforms the previous best “economical” lower bound for the bin packing problem by Martello and Toth, which can be understood as a special case. In particular, we prove an asymptotic worst-case performance of 3/4 for a bound that can be computed in linear time for items sorted by size. In addition, our approach provides a general framework for establishing new bounds. Received: August 11, 1998 / Accepted: February 1, 2001?Published online September 17, 2001     

Algorithmic improvements on dynamic programming for the bi-objective {0,1} knapsack problem

This paper presents several methodological and algorithmic improvements over a state-of-the-art dynamic programming algorithm for solving the bi-objective {0,1} knapsack problem. The variants proposed make use of new definitions of lower and upper bounds, which allow a large number of states to be discarded. The computation of these bounds are based on the application of dichotomic search, definition of new bound sets, and bi-objective simplex algorithms to solve the relaxed problem. Although these new techniques are not of a common application for dynamic programming, we show that the best variants tested in this work can lead to an average improvement of 10 to 30 % in CPU-time and significant less memory usage than the original approach in a wide benchmark set of instances, even for the most difficult ones in the literature.     

Auction algorithms for network flow problems: A tutorial introduction

This paper surveys a new and comprehensive class of algorithms for solving the classical linear network flow problem and its various special cases such as shortest path, max-flow, assignment, transportation, and transhipment problems. The prototype method, from which the other algorithms can be derived, is the auction algorithm for the assignment problem. This is an intuitive method that operates like a rel auction where persons compete for objects by raising their prices through competitive bidding; the prices can be viewed as dual variables. Conceptually, auction algorithms represent a significant departure from the cost improvement idea that underlies primal simplex and dual ascent methods; at any one iteration, they may deteriorate both the primal and the dual cost. Auction algorithms perform very well for several important types of problems, both in theory and in practice, and they are also well suited for parallel computation.     

Solving large set covering problems for crew scheduling

This paper presents a computationally effective heuristic method which produces good-quality solutions for large-scale set covering problems with thousands of constraints and about one million variables. The need to solve such large-scale problems arises from a crew scheduling problem of mass transit agencies where the number of work shifts required has to be minimized. This problem may be formulated as a large-scale non-unicost set covering problem whose rows are trips to be performed while columns stand for round trips. The proposed method is mainly based on lagragian relaxation and sub-gradient optimization. After the reduction of the number of rows and columns by the logical tests, “greedy” heuristic algorithms provide upper and lower bounds which are continuously improved to produce goodquality solutions. Computational results, regarding randomly generated problems and real life problems concerning crew scheduling at Italian Railways Company, show that good-quality solutions can be obtained at an acceptable computational cost. This work was supported by the project “Progetto Finalizzato Transporti 2” of National Research Council of Italy (C.N.R.) contract No. 94.01436PF74 and by “Ferrovie dello Stato S.p.A.”     

The ring-star problem: A new integer programming formulation and a branch-and-cut algorithm

A ring star in a graph is a subgraph that can be decomposed into a cycle (or ring) and a set of edges with exactly one vertex in the cycle. In the minimum ring-star problem (mrsp) the cost of a ring star is given by the sum of the costs of its edges, which vary, depending on whether the edge is part of the ring or not. The goal is to find a ring-star spanning subgraph minimizing the sum of all ring and assignment costs. In this paper we show that the mrsp can be reduced to a minimum (constrained) Steiner arborescence problem on a layered graph. This reduction is used to introduce a new integer programming formulation for the mrsp. We prove that the dual bound generated by the linear relaxation of this formulation always dominates the one provided by an early model from the literature. Based on our new formulation, we developed a branch-and-cut algorithm for the mrsp. On the primal side, we devised a grasp heuristic to generate good upper bounds for the problem. Computational tests with these algorithms were conducted on a benchmark of public domain. In these experiments both our exact and heuristics algorithms had excellent performances, noticeably in dealing with instances whose optimal solution has few vertices in the ring. In addition, we also investigate the minimum spanning caterpillar problem (mscp) which has the same input as the mrsp and admits feasible solutions that can be viewed as ring stars with paths in the place of rings. We present an easy reduction of the mscp to the mrsp, which makes it possible to solve to optimality instances of the former problem too. Experiments carried out with the mscp revealed that our branch-and-cut algorithm is capable to solve to optimality instances with up to 200 vertices in reasonable time.     

Positional robust inversion in nonlinear dynamical systems

The article studies robust inversion of nonlinear dynamical systems using a known phase vector. Inversion algorithms are proposed for the case when the system dynamics is exactly known. These algorithms solve the inversion problem with any prespecified accuracy. Algorithms solving the inversion problem with perturbed system dynamics are also considered. Accuracy bounds are obtained for the various algorithms. __________ Translated from Nelineinaya Dinamika i Upravlenie, No. 3, pp. 5–18, 2003.     

Efficient algorithms for buffer space allocation

This paper describes efficient algorithms for determining how buffer space should be allocated in a flow line. We analyze two problems: a primal problem, which minimizes total buffer space subject to a production rate constraint; and a dual problem, which maximizes production rate subject to a total buffer space constraint. The dual problem is solved by means of a gradient method, and the primal problem is solved using the dual solution. Numerical results are presented. Profit optimization problems are natural generalizations of the primal and dual problems, and we show how they can be solved using essentially the same algorithms.     

Computational Approaches to Lattice Packing and Covering Problems

We describe algorithms which address two classical problems in lattice geometry: the lattice covering and the simultaneous lattice packing-covering problem. Theoretically our algorithms solve the two problems in any fixed dimension d in the sense that they approximate optimal covering lattices and optimal packing-covering lattices within any desired accuracy. Both algorithms involve semidefinite programming and are based on Voronoi's reduction theory for positive definite quadratic forms, which describes all possible Delone triangulations of ℤ^d. In practice, our implementations reproduce known results in dimensions d ≤ 5 and in particular solve the two problems in these dimensions. For d = 6 our computations produce new best known covering as well as packing-covering lattices, which are closely related to the lattice E^*₆. For d = 7,8 our approach leads to new best known covering lattices. Although we use numerical methods, we made some effort to transform numerical evidences into rigorous proofs. We provide rigorous error bounds and prove that some of the new lattices are locally optimal.     

Barrier subgradient method

In this paper we develop a new affine-invariant primal–dual subgradient method for nonsmooth convex optimization problems. This scheme is based on a self-concordant barrier for the basic feasible set. It is suitable for finding approximate solutions with certain relative accuracy. We discuss some applications of this technique including fractional covering problem, maximal concurrent flow problem, semidefinite relaxations and nonlinear online optimization. For all these problems, the rate of convergence of our method does not depend on the problem’s data.