On the Number of Iterations for Dantzig-Wolfe Optimization and Packing-Covering Approximation Algorithms

We give a lower bound on the iteration complexity of a natural class of Lagrangean-relaxation algorithms for approximately solving packing/covering linear programs. We show that, given an input with $m$ random 0/1-constraints on $n$ variables, with high probability, any such algorithm requires $\Omega(\rho \log(m)/\epsilon^2)$ iterations to compute a $(1+\epsilon)$-approximate solution, where $\rho$ is the width of the input. The bound is tight for a range of the parameters $(m,n,\rho,\epsilon)$. The algorithms in the class include Dantzig-Wolfe decomposition, Benders' decomposition, Lagrangean relaxation as developed by Held and Karp [1971] for lower-bounding TSP, and many others (e.g. by Plotkin, Shmoys, and Tardos [1988] and Grigoriadis and Khachiyan [1996]). To prove the bound, we use a discrepancy argument to show an analogous lower bound on the support size of $(1+\epsilon)$-approximate mixed strategies for random two-player zero-sum 0/1-matrix games

Approximate Convex Optimization by Online Game Playing

Lagrangian relaxation and approximate optimization algorithms have received much attention in the last two decades. Typically, the running time of these methods to obtain a $\epsilon$ approximate solution is proportional to $\frac{1}{\epsilon^2}$. Recently, Bienstock and Iyengar, following Nesterov, gave an algorithm for fractional packing linear programs which runs in $\frac{1}{\epsilon}$ iterations. The latter algorithm requires to solve a convex quadratic program every iteration - an optimization subroutine which dominates the theoretical running time. We give an algorithm for convex programs with strictly convex constraints which runs in time proportional to $\frac{1}{\epsilon}$. The algorithm does NOT require to solve any quadratic program, but uses gradient steps and elementary operations only. Problems which have strictly convex constraints include maximum entropy frequency estimation, portfolio optimization with loss risk constraints, and various computational problems in signal processing. As a side product, we also obtain a simpler version of Bienstock and Iyengar's result for general linear programming, with similar running time. We derive these algorithms using a new framework for deriving convex optimization algorithms from online game playing algorithms, which may be of independent interest

Sequential and Parallel Algorithms for Mixed Packing and Covering

Mixed packing and covering problems are problems that can be formulated as linear programs using only non-negative coefficients. Examples include multicommodity network flow, the Held-Karp lower bound on TSP, fractional relaxations of set cover, bin-packing, knapsack, scheduling problems, minimum-weight triangulation, etc. This paper gives approximation algorithms for the general class of problems. The sequential algorithm is a simple greedy algorithm that can be implemented to find an epsilon-approximate solution in O(epsilon^-2 log m) linear-time iterations. The parallel algorithm does comparable work but finishes in polylogarithmic time. The results generalize previous work on pure packing and covering (the special case when the constraints are all "less-than" or all "greater-than") by Michael Luby and Noam Nisan (1993) and Naveen Garg and Jochen Konemann (1998)

Mechanism Design via Dantzig-Wolfe Decomposition

In random allocation rules, typically first an optimal fractional point is calculated via solving a linear program. The calculated point represents a fractional assignment of objects or more generally packages of objects to agents. In order to implement an expected assignment, the mechanism designer must decompose the fractional point into integer solutions, each satisfying underlying constraints. The resulting convex combination can then be viewed as a probability distribution over feasible assignments out of which a random assignment can be sampled. This approach has been successfully employed in combinatorial optimization as well as mechanism design with or without money. In this paper, we show that both finding the optimal fractional point as well as its decomposition into integer solutions can be done at once. We propose an appropriate linear program which provides the desired solution. We show that the linear program can be solved via Dantzig-Wolfe decomposition. Dantzig-Wolfe decomposition is a direct implementation of the revised simplex method which is well known to be highly efficient in practice. We also show how to use the Benders decomposition as an alternative method to solve the problem. The proposed method can also find a decomposition into integer solutions when the fractional point is readily present perhaps as an outcome of other algorithms rather than linear programming. The resulting convex decomposition in this case is tight in terms of the number of integer points according to the Carath{\'e}odory's theorem

Combining Column Generation and Lagrangian Relaxation

Although the possibility to combine column generation and Lagrangian relaxation has been known for quite some time, it has only recently been exploited in algorithms. In this paper, we discuss ways of combining these techniques. We focus on solving the LP relaxation of the Dantzig-Wolfe master problem. In a first approach we apply Lagrangian relaxation directly to this extended formulation, i.e. no simplex method is used. In a second one, we use Lagrangian relaxation to generate new columns, that is Lagrangian relaxation is applied to the compact for-mulation. We will illustrate the ideas behind these algorithms with an application in Lot-sizing. To show the wide applicability of these techniques, we also discuss applications in integrated vehicle and crew scheduling, plant location and cutting stock problems.column generation;Lagrangean relaxation;cutting stock problem;lotsizing;vehicle and crew scheduling

The two-dimensional bin packing problem with variable bin sizes and costs

AbstractThe two-dimensional variable sized bin packing problem (2DVSBPP) is the problem of packing a set of rectangular items into a set of rectangular bins. The bins have different sizes and different costs, and the objective is to minimize the overall cost of bins used for packing the rectangles. We present an integer-linear formulation of the 2DVSBPP and introduce several lower bounds for the problem. By using Dantzig–Wolfe decomposition we are able to obtain lower bounds of very good quality. The LP-relaxation of the decomposed problem is solved through delayed column generation, and an exact algorithm based on branch-and-price is developed. The paper is concluded with a computational study, comparing the tightness of the various lower bounds, as well as the performance of the exact algorithm for instances with up to 100 items

무인항공기 운영을 위한 덮개 모델 기반의 대규모 최적화 기법

학위논문 (박사) -- 서울대학교 대학원 : 공과대학 산업공학과, 2021. 2. 문일경.There is increasing interest in the unmanned aerial vehicle (UAV) in various fields of the industry, starting from the surveillance to the logistics. After introducing the smart city, there are attempts to utilize UAVs in the public service sector by connecting individual components of the system with both information and physical goods. In this dissertation, the UAV operation problems in the public service sector is modeled in the set covering approach. There is a vast literature on the facility location and set covering problems. However, when operating UAVs in the system, the plan has to make the most of the flexibility of the UAV, but also has to consider its physical limitation. We noticed a gap between the related, existing approaches and the technologies required in the field. That is, the new characteristics of the UAV hinder the existing solution algorithms, or a brand-new approach is required. In this dissertation, two operation problems to construct an emergency wireless network in a disaster situation by UAV and one location-allocation problem of the UAV emergency medical service (EMS) facility are proposed. The reformulation to the extended formulation and the corresponding branch-and-price algorithm can overcome the limitations and improve the continuous or LP relaxation bounds, which are induced by the UAV operation. A brief explanation of the UAV operation on public service, the related literature, and the brief explanation of the large-scale optimization techniques are introduced in Chapter 1, along with the research motivations and contributions, and the outline of the dissertations. In Chapter 2, the UAV set covering problem is defined. Because the UAV can be located without predefined candidate positions, more efficient operation becomes feasible, but the continuous relaxation bound of the standard formulation is weakened. The large-scale optimization techniques, including the Dantzig-Wolfe decomposition and the branch-and-price algorithm, could improve the continuous relaxation bound and reduce the symmetries of the branching tree and solve the realistic-scaled problems within practical computation time. To avoid numerical instability, two approximation models are proposed, and their approximation ratios are analyzed. In Chapter 3, UAV variable radius set covering problem is proposed with an extra decision on the coverage radius. While implementing the branch-and-price algorithm to the problem, a solvable equivalent formulation of the pricing subproblem is proposed. A heuristic based on the USCP is designed, and the proposed algorithm outperformed the benchmark genetic algorithm proposed in the literature. In Chapter 4, the facility location-allocation problem for UAV EMS is defined. The quadratic variable coverage constraint is reformulated to the linear equivalent formulation, and the nonlinear problem induced by the robust optimization approach is linearized. While implementing the large-scale optimization techniques, the structure of the subproblem is analyzed, and two solution approaches for the pricing subproblem are proposed, along with a heuristic. The results of the research can be utilized when implementing in the real applications sharing the similar characteristics of UAVs, but also can be used in its abstract formulation.현재, 지역 감시에서 물류까지, 무인항공기의 다양한 산업에의 응용이 주목받고 있다. 특히, 스마트 시티의 개념이 대두된 이후, 무인항공기를 공공 서비스 영역에 활용하여 개별 사회 요소를 연결, 정보와 물자를 교환하고자 하는 시도가 이어지고 있다. 본 논문에서는 공공 서비스 영역에서의 무인항공기 운영 문제를 집합덮개문제 관점에서 모형화하였다. 설비위치결정 및 집합덮개문제 영역에 많은 연구가 진행되어 있으나, 무인항공기를 운영하는 시스템의 경우 무인항공기가 갖는 자유도를 충분히 활용하면서도 무인항공기의 물리적 한계를 고려한 운영 계획을 필요로 한다. 우리는 본 문제와 관련된 기존 연구와 현장이 필요로 하는 기술의 괴리를 인식하였다. 이는 다시 말해, 무인항공기가 가지는 새로운 특성을 고려하면 기존의 문제 해결 방법을 통해 풀기 어렵거나, 혹은 새로운 관점에서의 문제 접근이 필요하다는 것이다. 본 논문에서는 재난이 발생한 지역에 무인항공기를 이용하여 긴급무선네트워크를 구성하는 두가지 문제와, 무인항공기를 이용하여 응급의료서비스를 제공하는 시설의 위치설정 및 할당문제를 제안한다. 확장문제로의 재공식화와 분지평가법을 활용하여, 무인항공기의 활용으로 인해 발생하는 문제 해결 방법의 한계를 극복하고 완화한계를 개선하였다. 공공 서비스 영역에서의 무인항공기 운영, 관련된 기존 연구와 본 논문에서 사용하는 대규모 최적화 기법에 대한 개괄적인 설명, 연구 동기 및 기여와 논문의 구성을 1장에서 소개한다. 2장에서는 무인항공기 집합덮개문제를 정의한다. 무인항공기는 미리 정해진 위치 없이 자유롭게 비행할 수 있기 때문에 더 효율적인 운영이 가능하나, 약한 완화한계를 갖게 된다. Dantzig-Wolfe 분해와 분지평가법을 포함한 대규모 최적화 기법을 통해 완화한계를 개선할 수 있으며, 분지나무의 대칭성을 줄여 실제 규모의 문제를 실용적인 시간 안에 해결할 수 있었다. 수치적 불안정성을 피하기 위하여, 두 가지 선형 근사 모형이 제안되었으며, 이들의 근사 비율을 분석하였다. 3장에서는 무인항공기 집합덮개문제를 일반화하여 무인항공기 가변반경 집합덮개문제를 정의한다. 분지평가법을 적용하면서 해결 가능한 평가 부문제를 제안하였으며, 휴리스틱을 설계하였다. 제안한 풀이 방법들이 기존 연구에서 제안한 벤치마크 유전 알고리즘을 능가하는 결과를 나타내었다. 4장에서는 무인항공기 응급의료서비스를 운영하는 시설의 위치설정 및 할당문제를 정의하였다. 2차 가변반경 범위제약이 선형의 동치인 수식으로 재공식화되었으며, 강건최적화 기법으로 인해 발생하는 비선형 문제를 선형화하였다. 대규모 최적화 기법을 적용하면서, 평가 부문제의 구조를 분석하여 두 가지 풀이 기법과 휴리스틱을 제안하였다. 본 연구의 결과는 무인항공기와 비슷한 특징을 가지는 실제 사례에 적용될 수 있으며, 추상적인 문제로써 다양한 분야에 그대로 활용될 수도 있다.Abstract i Contents vii List of Tables ix List of Figures xi Chapter 1 Introduction 1 1.1 Unmanned aerial vehicle operation on public services 1 1.2 Facility location problems 3 1.3 Large-scale optimization techniques 4 1.4 Research motivations and contributions 6 1.5 Outline of the dissertation 12 Chapter 2 Unmanned aerial vehicle set covering problem considering fixed-radius coverage constraint 14 2.1 Introduction 14 2.2 Problem definition 20 2.2.1 Problem description 22 2.2.2 Mathematical formulation 23 2.2.3 Discrete approximation model 26 2.3 Branch-and-price approach for the USCP 28 2.3.1 An extended formulation of the USCP 29 2.3.2 Branching strategies 34 2.3.3 Pairwise-conflict constraint approximation model based on Jung's theorem 35 2.3.4 Comparison of the approximation models 40 2.3.5 Framework of the solution algorithm for the PCBP model 42 2.4 Computational experiments 44 2.4.1 Datasets used in the experiments 44 2.4.2 Algorithmic performances 46 2.5 Solutions and related problems of the USCP 61 2.6 Summary 64 Chapter 3 Unmanned aerial vehicle variable radius set covering problem 66 3.1 Introduction 66 3.2 Problem definition 70 3.2.1 Mathematical model 72 3.3 Branch-and-price approach to the UVCP 76 3.4 Minimum covering circle-based approach 79 3.4.1 Formulation of the pricing subproblem II 79 3.4.2 Equivalence of the subproblem 82 3.5 Fixed-radius heuristic 84 3.6 Computational experiments 86 3.6.1 Datasets used in the experiments 88 3.6.2 Solution algorithms 91 3.6.3 Algorithmic performances 94 3.7 Summary 107 Chapter 4 Facility location-allocation problem for unmanned aerial vehicle emergency medical service 109 4.1 Introduction 109 4.2 Related literature 114 4.3 Location-allocation model for UEMS facility 117 4.3.1 Problem definition 118 4.3.2 Mathematical formulation 120 4.3.3 Linearization of the quadratic variable coverage distance function 124 4.3.4 Linear reformulation of standard formulation 125 4.4 Solution algorithms 126 4.4.1 An extended formulation of the ULAP 126 4.4.2 Branching strategy 129 4.4.3 Robust disjunctively constrained integer knapsack problem 131 4.4.4 MILP reformulation approach 132 4.4.5 Decomposed DP approach 133 4.4.6 Restricted master heuristic 136 4.5 Computational experiments 137 4.5.1 Datasets used in the experiments 137 4.5.2 Algorithmic performances 140 4.5.3 Analysis of the branching strategy and the solution approach of the pricing subproblem 150 4.6 Summary 157 Chapter 5 Conclusions and future research 160 5.1 Summary 160 5.2 Future research 163 Appendices 165 A Comparison of the computation times and objective value of the proposed algorithms 166 Bibliography 171 국문초록 188 감사의 글 190Docto

Combining Column Generation and Lagrangian Relaxation

Although the possibility to combine column generation and Lagrangian relaxation has been known for quite some time, it has only recently been exploited in algorithms. In this paper, we discuss ways of combining these techniques. We focus on solving the LP relaxation of the Dantzig-Wolfe master problem. In a first approach we apply Lagrangian relaxation directly to this extended formulation, i.e. no simplex method is used. In a second one, we use Lagrangian relaxation to generate new columns, that is Lagrangian relaxation is applied to the compact for-mulation. We will illustrate the ideas behind these algorithms with an application in Lot-sizing. To show the wide applicability of these techniques, we also discuss applications in integrated vehicle and crew scheduling, plant location and cutting stock problems

Reformulation and decomposition of integer programs

In this survey we examine ways to reformulate integer and mixed integer programs. Typically, but not exclusively, one reformulates so as to obtain stronger linear programming relaxations, and hence better bounds for use in a branch-and-bound based algorithm. First we cover in detail reformulations based on decomposition, such as Lagrangean relaxation, Dantzig-Wolfe column generation and the resulting branch-and-price algorithms. This is followed by an examination of Benders’ type algorithms based on projection. Finally we discuss in detail extended formulations involving additional variables that are based on problem structure. These can often be used to provide strengthened a priori formulations. Reformulations obtained by adding cutting planes in the original variables are not treated here.Integer program, Lagrangean relaxation, column generation, branch-and-price, extended formulation, Benders' algorithm