Which of the following optimisation methods can't be done in an optimisation software such as CPLEX? Why not?
Dynamic programming
Integer programming
Combinatorial optimisation
Nonlinear programming
Graph theory
Precedence diagram method
Simulation
Queueing theory
Can anyone point me in the right direction? I didn't find too much information regarding the limitations of CPLEX on the IBM website.
Thank you!
That's kind-of a big shopping list, and most of the things on it are not optimisation methods.
For sure CPLEX does integer programming, non-linear programming (just quadratic, SOCP, and similar but not general non-linear) and combinatoric optimisation out of the box.
It is usually possible to re-cast things like DP as MILP models, but will obviously require a bit of work. Lots of MILP models are also based on graphs, so yes it is certainly possible to solve a lot of graph problems using a MILP solver such as CPLEX.
Looking wider at topics like simulation, then that is quite a different approach. Simulation really is NOT an optimisation method, but it can be used alongside optimisation to get extra insights which may be useful in a business context. Might be used for example to discover some empirical relationships that could be used in an optimisation model by CPLEX.
The same can probably also be said for things like queuing theory, precedence, etc. Basically, use CPLEX as an optimisation tool to solve part or all of your problem once you have structured and analysed it via one of these other approaches.
Hope that helps.
Recently, I have been trying to learn a bit about CPLEX and was hoping someone could help me understand the complexity when solving for integer vs. binary constraints.
For example, say we are trying to allocate a pie around 10 people for maximum utility, where each person has a utility that is linear with the amount of pie they receive. However, we want to introduce the constraint that at least 3 people have to get a bit of pie.
What's the difference between thinking of this as a single integer constraint (number_of_people_with_pie >= 3) vs. 10 binary variables (person_1_has_pie + person_2_has_pie + ... person_10_has_pie >= 3)? I would imagine the former is simplest but wonder if there is any benefits to forming the problem in terms of binary variables?
In addition to this, any recommended reading for better understanding MIP and CPLEX would be greatly appreciated, especially in better understanding where the problem becomes NP or in what situations simplex struggles to find the global minima.
Thanks!
I agree with Alex and Erwin's comment that this really depends on what you want to model. For this particular model I disagree with Alex: to me it makes more sense to use one decision variable per person, otherwise it may become hard to figure out which person gets how much of the pie.
A problem becomes NP hard as soon as you add integrality or SOS constraints. A good reading for MIP in general is Alex Schrijver's "Theory of Integer and Linear Programming". That should cover all the topics you need for an in-depth understanding of things.
It really depends on the case but in yours I would use 1 decision variable rather than 10.
Sometimes, that's not obvious and trying and measuring can prove oneself right or wrong. And that's one of the reason why using high modeling languages can help. (Abstract modeling languages such as OPL)
I recommend a MOOC on cognitive class : https://cognitiveclass.ai/courses/mathematical-optimization-for-business-problems/
and the OPL language manual : https://www.ibm.com/support/knowledgecenter/SSSA5P_12.7.0/ilog.odms.studio.help/pdf/opl_languser.pdf
Traveling Salesman Optimization(TSP-OPT) is a NP-hard problem and Traveling Salesman Search(TSP) is NP-complete. However, TSP-OPT can be reduced to TSP since if TSP can be solved in polynomial time, then so can TSP-OPT(1). I thought for A to be reduced to B, B has to be as hard if not harder than A. As I can see in the below references, TSP-OPT can be reduced to TSP. TSP-OPT is supposed to be harder than TSP. I am confused...
References: (1)Algorithm, Dasgupta, Papadimitriou, Vazirani Exercise 8.1 http://algorithmics.lsi.upc.edu/docs/Dasgupta-Papadimitriou-Vazirani.pdf https://cseweb.ucsd.edu/classes/sp08/cse101/hw/hw6soln.pdf
http://cs170.org/assets/disc/dis10-sol.pdf
I took a quick look at the references you gave, and I must admit there's one thing I really dislike in your textbook (1st pdf) : they address NP-completeness while barely mentioning decision problems. The provided definition of an NP-complete problem also somewhat deviates from what I'd expect from a textbook. I assume that was a conscious decision to make the introduction more appealing...
I'll provide a short answer, followed by a more detailed explanation about related notions.
Short version
Intuitively (and informally), a problem is in NP if it is easy to verify its solutions.
On the other hand, a problem is NP-hard if it is difficult to solve, or find a solution.
Now, a problem is NP-complete if it is both in NP, and NP-hard. Therefore you have two key, intuitive properties to NP-completeness. Easy to verify, but hard to find solutions.
Although they may seem similar, verifying and finding solutions are two different things. When you use reduction arguments, you're looking at whether you can find a solution. In that regard, both TSP and TSP-OPT are NP-hard, and it is difficult to find their solutions. In fact, the third pdf provides a solution to excercise 8.1 of your textbook, which directly shows that TSP and TSP-OPT are equivalently hard to solve.
Now, one major distinction between TSP and TSP-OPT is that the former is (what your textbook call) a search problem, whereas the latter is an optimization problem. The notion of verifying the solution of a search problem makes sense, and in the case of TSP, it is easy to do, therefore it is NP-complete. For optimization problems, the notion of verifying a solution becomes weird, because I can't think of any way to do that without first computing the size of an optimal solution, which is roughly equivalent to solving the problem itself. Since we do not know an efficient way to verify a solution for TSP-OPT, we cannot say that it is in NP, thus we cannot say that it is NP-complete. (More on this topic in the detailed explanation.)
The tl;dr is that for TSP-OPT, it is both hard to verify and hard to find solutions, while for TSP it is easy to verify and hard to find solutions.
Reductions arguments only help when it comes to finding solutions, so you need other arguments to distinguish them when it comes to verifying solutions.
More details
One thing your textbook is very brief about is what a decision problem is.
Formally, the notion of NP-completeness, NP-hardness, NP, P, etc, were developed in the context of decision problems, and not optimization or search problems.
Here's a quick example of the differences between these different types of problems.
A decision problem is a problem whose answer is either YES or NO.
TSP decision problem
Input: a graph G, a budget b
Output: Does G admit a tour of weight at most b ? (YES/NO)
Here is the search version
TSP search problem
Input: a graph G, a budget b
Output: Find a tour of G of weight at most b, if it exists.
And now the optimization version
TSP optimization problem
Input: a graph G
Output: Find a tour of G with minimum weight.
Out of context, the TSP problem could refer to any of these. What I personally refer to as the TSP is the decision version. Here your textbook use TSP for the search version, and TSP-OPT for the optimization version.
The problem here is that those various problems are strictly distinct. The decision version only ask for existence, while the search version asks for more, it needs one example of such a solution. In practice, we often want to have the actual solution, so more practical approaches may omit to mention decision problems.
Now what about it? The definition of an NP-complete problem was meant for decision problems, so it technically does not apply directly to search or optimization problems. But because the theory behind it is well defined and useful, it is handy to still apply the term NP-complete/NP-hard to search/optimization problem, so that you have an idea of how hard these problems are to solve. So when someone says the travelling salesman problem is NP-complete, formally it should be the decision problem version of the problem.
Obviously, many notions can be extended so that they also cover search problems, and that is how it is presented in your textbook. The differences between decision, search, and optimization, are precisely what the exercises 8.1 and 8.2 try to cover in your textbook. Those exercises are probably meant to get you interested in the relationship between these different types of problems, and how they relate to one another.
Short Version
The decision problem is NP-complete because you can both have a polynomial time verifier for the solution, as well as the fact that the hamiltonian cycle problem is reducible to TSP_DECIDE in polynomial time.
However, the optimization problem is strictly NP-hard, because even though TSP_OPTIMIZE is reducible from the hamiltonian (HAM) cycle problem in polynomial time, you don't have a poly time verifier for a claimed hamiltonian cycle C, whether it is the shortest or not, because you simply have to enumerate all possibilities (which consumes the factorial order space & time).
What the given reference define is, bottleneck TSP
The Bottleneck traveling salesman problem (bottleneck TSP) is a problem in discrete or combinatorial optimization. The problem is to find the Hamiltonian cycle in a weighted graph which minimizes the weight of the most weighty edge of the cycle.
The problem is known to be NP-hard. The decision problem version of this, "for a given length x is there a Hamiltonian cycle in a graph G with no edge longer than x?", is NP-complete. NP-completeness follows immediately by a reduction from the problem of finding a Hamiltonian cycle.
This problem can be solved by performing a binary search or sequential search for the smallest x such that the subgraph of edges of weight at most x has a Hamiltonian cycle. This method leads to solutions whose running time is only a logarithmic factor larger than the time to find a Hamiltonian cycle.
Long Version
The mistake is to say that the TSP is NP complete. Truth is that TSP is NP hard. Let me explain a bit:
The TSP is a problem defined by a set of cities and the distances
between each city pair. The problem is to find a circuit that goes
through each city once and that ends where it starts. This in itself
isn't difficult. What makes the problem interesting is to find the
shortest circuit among all those that are possible.
Solving this problem is quite simple. One merely need to compute the length of all possible circuits, then keep the shortest one. Issue is that the number of such circuits grows very quickly with the number of cities. If there are n cities then this number is factorial of n-1 = (n-1)(n-2)...3.2.
A problem is NP if one can easily (in polynomial time) check that a proposed solution is indeed a solution.
Here is the trick.
In order to check that a proposed tour is a solution of the TSP we need to check two things, namely
That each city is is visited only once
That there is no shorter tour than the one we are checking
We didn't check the second condition! The second condition is what makes the problem difficult to solve. As of today, no one has found a way to check condition 2 in polynomial time. It means that the TSP isn't in NP, as far as we know.
Therefore, TSP isn't NP complete as far as we know. We can only say that TSP is NP hard.
When they write that TSP is NP complete, they mean that the following decision problem (yes/no question) is NP complete:
TSP_DECISION : Given a number L, a set of cities, and distance between all city pairs, is there a tour visiting each city exactly once of length less than L?
This problem is indeed NP complete, as it is easy (polynomial time) to check that a given tour leads to a yes answer to TSPDECISION.
I know that column generation gives an optimal solution and it can be used with other heuristics. But does that make it an exact algorithm? Thanks in advance.
Traditional CG operates on the relaxed problem. Although it finds the optimal LP solution, this may not translate directly into an optimal MIP solution. For some problems (e.g. 1d cutting stock) there is evidence this gap is small, and we just apply the set of columns found for the relaxed problem to a final MIP knowing this is a good solution but necessarily optimal. So it is a heuristic.
With some effort you can use column generation inside a branch-and-bound algorithm (this is called branch-and-price). This gives proven optimal solutions.
An exact algorithm means that the algorithm can solve the optimization problem globally i.e it has given the global optima.
Column generation technique is conventionally applied to relaxed LP problem and tries to optimize the relaxed LP problem by constantly improving the current solution with the help of dual multipliers. It gives an exact LP solution for the relaxed LP problem. But sometimes in real-world problems, the exact solution of the relaxed Lp problem is not feasible to use, it needs to be translated to an integer solution in order to use it. Now if the problem scale is small, then there are many exact MIP algorithms (such as Branch and Bound) which can solve it exactly and give an integer solution. But if the problem is large-scale, even the exact MIP algorithms can take longer runtimes, hence, we use some special/intelligent heuristics to lower the difficulty of the MIP problem.
Summary: Column generation is an exact technique for solving the relaxed LP problem, not the original IP problem.
First, strictly speaking, all algorithms are heuristic, including Simplex Method.
Second, I think Column generation is a heuristic algorithm, because it solves the LP relaxation of the master problem. It does not guarantee IP optimal. Actually CG does not always converge very well.
I have a large MIP problem, and I use GLPSOL in GLPK to solve it. However, solving the LP relaxation problem takes many iterations, and each iteration the obj and infeas value are all the same. I think it has found the optimal solution, but it won't stop and has continued to run for many hours. Will this happen for every large-scale MIP/LP problem? How can I deal with such cases? Can anyone give me any suggestions about this? Thanks!
The problem of solving MIPs is NP-complete in general, which means that there are instances which can't be solved efficiently. But often our problems have enough structure, so that heuristics can help to solve these models. This allowed huge gains in solving-capabilities in the last decades (overview).
For understanding the basic-approach and understanding what exactly is the problem in your case (no progress in upper-bound, no progress in lower-bound, ...), read Practical Guidelines for Solving Difficult Mixed Integer Linear
Programs.
Keep in mind, that there are huge gaps between commercial solvers like Gurobi / Cplex and non-commercial ones in general (especially in MIP-solving). There is a huge amount of benchmarks here.
There are also a lot of parameters to tune. Gurobi for example has different parameter-templates: one targets fast findings of feasible solution; one targets to proof the bounds.
My personal opinion: compared to cbc (open-source) & scip (open-source but non-free for commercial usage), glpk is quite bad.