论文标题
混合整数凹入最小化问题的通用精确解决方案方法
A General Purpose Exact Solution Method for Mixed Integer Concave Minimization Problems
论文作者
论文摘要
在本文中,我们讨论了用于解决混合整数凹入最小化问题的确切算法。使用辅助线性程序实现了凹函数的分段内置函数,该程序可导致双重程序,该程序为原始问题提供了下限。在Karush-Kuhn-Tucker(KKT)条件的帮助下,二重性程序被简化为单级配方。合并KKT条件会导致使用BIGM线性化的互补懈度条件,为此我们确定了一般问题的严重价值。多个二元程序在迭代上解决时,可以确保融合原始问题的确切最佳。尽管该算法是一般的,并且可以应用于凹函数的任何优化问题,但在本文中,我们解决了两种常见的操作和供应链问题。也就是说,凹面背包问题和凹生产转移问题。计算实验表明,我们提出的方法优于文献中使用的定制方法,用于在大多数测试用例中通过一个数量级解决这两类问题。
In this article, we discuss an exact algorithm for solving mixed integer concave minimization problems. A piecewise inner-approximation of the concave function is achieved using an auxiliary linear program that leads to a bilevel program, which provides a lower bound to the original problem. The bilevel program is reduced to a single level formulation with the help of Karush-Kuhn-Tucker (KKT) conditions. Incorporating the KKT conditions lead to complementary slackness conditions that are linearized using BigM, for which we identify a tight value for general problems. Multiple bilevel programs, when solved over iterations, guarantee convergence to the exact optimum of the original problem. Though the algorithm is general and can be applied to any optimization problem with concave function(s), in this paper, we solve two common classes of operations and supply chain problems; namely, the concave knapsack problem, and the concave production-transportation problem. The computational experiments indicate that our proposed approach outperforms the customized methods that have been used in the literature to solve the two classes of problems by an order of magnitude in most of the test cases.