An integer linear program (ILP) is symmetric if its variables can be permuted without changing the structure of the problem. Areas where symmetric ILPs arise range from applied settings (scheduling on identical machines), to combinatorics (code construction), and to statistics (statistical designs construction). Relatively small symmetric ILPs are extremely difficult to solve using branch-and-cut codes oblivious to the symmetry in the problem. This paper reviews techniques developed to take advantage of the symmetry in an ILP during its solution. It also surveys related topics, such as symmetry detection, polyhedral studies of symmetric ILPs, and enumeration of all non isomorphic optimal solutions.
The valuation of the real option to store natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the high-dimensional natural gas price evolution models that are widespread among traders. According to the practice-based literature, practitioners typically value natural gas storage heuristically. The effectiveness of the heuristics discussed in this literature is currently unknown because good upper bounds on the value of storage are not available. We develop a novel and tractable approximate dynamic programming method that, coupled with Monte Carlo simulation, computes lower and upper bounds on the value of storage, which we use to benchmark these heuristics on a set of realistic instances. We find that these heuristics are extremely fast to execute but significantly suboptimal compared to our upper bound, which appears to be fairly tight and much tighter than a simpler perfect information upper bound; computing our lower bound takes more time than using these heuristics, but our lower bound substantially outperforms them in terms of valuation. Moreover, with periodic reoptimizations embedded in Monte Carlo simulation, the practice-based heuristics become nearly optimal, with one exception, at the expense of higher computational effort. Our lower bound with reoptimization is also nearly optimal, but exhibits a higher computational requirement than these heuristics. Besides natural gas storage, our results are potentially relevant for the valuation of the real option to store other commodities, such as metals, oil, and petroleum products.
Abstract. This paper describes components of a branch-and-cut algorithm for solving integer linear programs having a large symmetry group. It describes an isomorphism pruning algorithm and variable setting procedures using orbits of the symmetry group. Pruning and orbit computations are performed by backtracking procedures using a Schreier-Sims table for representing the symmetry group. Applications to hard set covering problems, generation of covering designs and error correcting codes are given.
We present an algorithm for finding a feasible solution to a convex mixed integer nonlinear program. This algorithm, called Feasibility Pump, alternates between solving nonlinear programs and mixed integer linear programs. We also discuss how the algorithm can be iterated so as to improve the first solution it finds, as well as its integration within an outer approximation scheme. We report computational results.
In this paper we consider an infinite relaxation of the mixed integer linear program with two integer variables, nonnegative continuous variables and two equality constraints, and we give a complete characterization of its facets. We also derive an analogous characterization of the facets of the underlying finite integer program.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.