Simultaneous column-and-row generation for large-scale linear programs with column-dependent-rows

In this paper, we develop a simultaneous column-and-row generation algorithm that could be applied to a general class of large-scale linear programming problems. These problems typically arise in the context of linear programming formulations with exponentially many variables. The defining property for these formulations is a set of linking constraints, which are either too many to be included in the formulation directly, or the full set of linking constraints can only be identified, if all variables are generated explicitly. Due to this dependence between columns and rows, we refer to this class of linear programs as problems with column-dependent-rows. To solve these problems, we need to be able to generate both columns and rows on-the-fly within an efficient solution approach. We emphasize that the generated rows are structural constraints and distinguish our work from the branch-and-cut-and-price framework. We first characterize the underlying assumptions for the proposed column-and-row generation algorithm. These assumptions are general enough and cover all problems with column-dependent-rows studied in the literature up until now to the best of our knowledge. We then introduce in detail a set of pricing subproblems, which are used within the proposed column-and-row generation algorithm. This is followed by a formal discussion on the optimality of the algorithm. To illustrate the proposed approach, the paper is concluded by applying the proposed framework to the multi-stage cutting stock and the quadratic set covering problems

Simultaneous column-and-row generation for large-scale linear programs with column-dependent-rows

In this paper, we develop a simultaneous column-and-row generation algorithm for a general class of large-scale linear programming problems. These problems typically arise in the context of linear programming formulations with exponentially many variables. The defining property for these formulations is a set of linking constraints. These constraints are either too many to be included in the formulation directly, or the full set of linking constraints can only be identified, if all variables are generated explicitly. Due to this dependence between columns and rows, we refer to this class of linear programs as problems with column-dependent-rows. To solve these problems, we need to be able to generate both columns and rows on the fly within an efficient solution method. We emphasize that the generated rows are structural constraints and distinguish our work from the branch-and-cut-and-price framework. We first characterize the underlying assumptions for the proposed column-and-row generation algorithm and then introduce the associated set of pricing subproblems in detail. The proposed methodology is demonstrated on numerical examples for the multi-stage cutting stock and the quadratic set covering problems

A note on "A LP-based heuristic for a time-constrained routing problem"

In their paper, Avella et al. (2006) investigate a time-constrained routing problem. The core of the proposed solution approach is a large-scale linear program that grows both row- and column-wise when new variables are introduced. Thus, a column-and-row generation algorithm is proposed to solve this linear program optimally, and an optimality condition is presented to terminate the column-and-row generation algorithm. We demonstrate by using Lagrangian duality that this optimality condition is incorrect and may lead to a suboptimal solution at termination

Simultaneous column-and-row generation for solving large-scale linear programs with column-dependent-rows

In this thesis, we handle a general class of large-scale linear programming problems. These problems typically arise in the context of linear programming formulations with exponentially many variables. The defining property for these formulations is a set of linking constraints, which are either too many to be included in the formulation directly, or the full set of linking constraints can only be identified, if all variables are generated explicitly. Due to this dependence between columns and rows, we refer to this class of linear programs as problems with column-dependent-rows. To solve these problems, we need to be able to generate both columns and rows on-the-fly within a new solution method. The proposed approach in this thesis is called simultaneous column-and-row generation. We first characterize the underlying assumptions for the proposed column-and-row generation algorithm. These assumptions are general enough and cover all problems with column-dependent-rows studied in the literature up until now. We then introduce, in detail, a set of pricing subproblems, which are used within the proposed column-and-row generation algorithm. This is followed by a formal discussion on the optimality of the algorithm. Additionally, this generic algorithm is combined with Lagrangian relaxation approach, which provides a different angle to deal with simultaneous column-and-row generation. This observation then leads to another method to solve problems with column-dependent-rows. Throughout the thesis, the proposed solution methods are applied to solve different problems, namely, the multi-stage cutting stock problem, the time-constrained routing problem and the quadratic set covering problem. We also conduct computational experiments to evaluate the performance of the proposed approaches

A note on "A LP-based heuristic for a time-constrained routing problem"

Avella et al. (2006) [Avella, P., D'Auria, B., Salerno, S. (2006). A LP-based heuristic for a time-constrained routing problem. European Journal of Operational Research 173:120-124] investigate a time-constrained routing (TCR) problem. The core of the proposed solution approach is a large-scale linear program (LP) that grows both row- and column-wise when new variables are introduced. Thus, a column-and-row generation algorithm is proposed to solve this LP optimally, and an optimality condition is presented to terminate the column-and-row generation algorithm. We demonstrate that this optimality condition is incorrect and may lead to a suboptimal solution at termination. We identify the source of this error and discuss how the generic column-and-row generation algorithm proposed by Muter et al. (2010) may be applied to this TCR problem in order to solve the proposed large-scale LP correctly

Solving a robust airline crew pairing problem with column generation

In this study, we solve a robust version of the airline crew pairing problem. Our concept of robustness was partially shaped during our discussions with small local airlines in Turkey which may have to add a set of extra flights into their schedule at short notice during operation. Thus, robustness in this case is related to the ability of accommodating these extra flights at the time of operation by disrupting the original plans as minimally as possible. We focus on the crew pairing aspect of robustness and prescribe that the planned crew pairings incorporate a number of predefined recovery solutions for each potential extra flight. These solutions are implemented only if necessary for recovery purposes and involve either inserting an extra flight into an existing pairing or partially swapping the flights in two existing pairings in order to cover an extra flight. The resulting mathematical programming model follows the conventional set covering formulation of the airline crew pairing problem typically solved by column generation with an additional complication. The model includes constraints that depend on the columns due to the robustness consideration and grows not only column-wise but also row-wise as new columns are generated. To solve this dicult model, we propose a row and column generation approach. This approach requires a set of modifications to the multi-label shortest path problem for pricing out new columns (pairings) and various mechanisms to handle the simultaneous increase in the number of rows and columns in the restricted master problem during column generation. We conduct computational experiments on a set of real instances compiled from a local airline in Turkey