A mixed-integer linear program is a problem with
Linear objective function, fTx, where f is a column vector of constants, and x is the column vector of unknowns
Bounds and linear constraints, but no nonlinear constraints (for definitions, see Write Constraints)
Restrictions on some components of x to have integer values
In mathematical terms, given vectors f, lb,
and ub, matrices A and Aeq,
corresponding vectors b and beq, and a set of
intcon, find a vector x to
intlinprog uses this basic strategy to solve
mixed-integer linear programs.
intlinprog can solve the
problem in any of the stages. If it solves the problem in a stage,
intlinprog does not execute the later stages.
Reduce the problem size using Linear Program Preprocessing.
Solve an initial relaxed (noninteger) problem using Linear Programming.
Perform Mixed-Integer Program Preprocessing to tighten the LP relaxation of the mixed-integer problem.
Try Cut Generation to further tighten the LP relaxation of the mixed-integer problem.
Try to find integer-feasible solutions using heuristics.
Use a Branch and Bound algorithm to search systematically for the optimal solution. This algorithm solves LP relaxations with restricted ranges of possible values of the integer variables. It attempts to generate a sequence of updated bounds on the optimal objective function value.
According to the Mixed-Integer Linear Programming Definition, there are matrices A and Aeq and corresponding vectors b and beq that encode a set of linear inequalities and linear equalities
These linear constraints restrict the solution x.
Usually, it is possible to reduce the number of variables in the problem (the number of components of x), and reduce the number of linear constraints. While performing these reductions can take time for the solver, they usually lower the overall time to solution, and can make larger problems solvable. The algorithms can make solution more numerically stable. Furthermore, these algorithms can sometimes detect an infeasible problem.
Preprocessing steps aim to eliminate redundant variables and constraints, improve the scaling of the model and sparsity of the constraint matrix, strengthen the bounds on variables, and detect the primal and dual infeasibility of the model.
The initial relaxed problem is the linear programming problem with the same objective and constraints as Mixed-Integer Linear Programming Definition, but no integer constraints. Call xLP the solution to the relaxed problem, and x the solution to the original problem with integer constraints. Clearly,
fTxLP ≤ fTx,
because xLP minimizes the same function but with fewer restrictions.
This initial relaxed LP (root node LP) and all generated LP relaxations during the branch-and-bound algorithm are solved using linear programming solution techniques.
During mixed-integer program preprocessing,
analyzes the linear inequalities
A*x ≤ b along with
integrality restrictions to determine whether:
The problem is infeasible.
Some bounds can be tightened.
Some inequalities are redundant, so can be ignored or removed.
Some inequalities can be strengthened.
Some integer variables can be fixed.
IntegerPreprocess option lets you choose whether
intlinprog takes several steps, takes all of them, or
takes almost none of them. If you include an
intlinprog uses that value in preprocessing.
The main goal of mixed-integer program preprocessing is to simplify ensuing branch-and-bound calculations. Preprocessing involves quickly preexamining and eliminating some of the futile subproblem candidates that branch-and-bound would otherwise analyze.
For details about integer preprocessing, see Savelsbergh .
Cuts are additional linear inequality constraints that
intlinprog adds to the problem. These inequalities
attempt to restrict the feasible region of the LP relaxations so that their
solutions are closer to integers. You control the type of cuts that
intlinprog uses with the
'basic' cuts include:
Mixed-integer rounding cuts
Flow cover cuts
Furthermore, if the problem is purely integer (all variables are
intlinprog also uses the following
Strong Chvatal-Gomory cuts
'intermediate' cuts include all
Simple lift-and-project cuts
Simple pivot-and-reduce cuts
'advanced' cuts include all
'intermediate' cuts except reduce-and-split cuts,
Strong Chvatal-Gomory cuts
For purely integer problems,
'intermediate' uses the most
cut types, because it uses reduce-and-split cuts, while
'advanced' does not.
CutMaxIterations, specifies an upper bound
on the number of times
intlinprog iterates to generate
To get an upper bound on the objective function, the branch-and-bound
procedure must find feasible points. A solution to an LP relaxation during
branch-and-bound can be integer feasible, which can provide an improved upper
bound to the original MILP. There are techniques for finding feasible points
faster before or during branch-and-bound. Currently,
intlinprog uses these techniques only at the root node,
not during the branch-and-bound iterations. These techniques are heuristic,
meaning they are algorithms that can succeed but can also fail.
intlinprog heuristics in the
'Heuristics' option. The options are:
'basic' (default) — Runs
solver does not run later heuristics when earlier heuristics lead to a
sufficiently good integer-feasible solution.
'intermediate' — First runs
'rss'. The solver does not run later heuristics
when earlier heuristics lead to a sufficiently good integer-feasible
'advanced' — First runs
'rss'. The solver
does not run later heuristics when earlier heuristics lead to a
sufficiently good integer-feasible solution. The solver uses only the
fractional diving and guided diving heuristics for
searches the neighborhood of the current best integer-feasible solution
point (if available) to find a new and better solution. See Danna,
Rothberg, and Le Pape .
applies a hybrid procedure combining ideas from
'rins' and local branching to search for
takes the LP solution to the relaxed problem at a node. It rounds the
integer components in a way that attempts to maintain
uses heuristics that are similar to branch-and-bound steps, but follow
just one branch of the tree down, without creating the other branches.
This single branch leads to a fast “dive” down the tree
fragment, hence the name “diving.” Currently,
intlinprog uses six diving heuristics in this
order, until it obtains an integer-feasible point with a relative gap of
less than 5% or takes too much time:
Vector length diving
Pseudo cost diving
Line search diving
Guided diving (applies when
already found at least one integer-feasible point)
Diving heuristics generally select one variable that is supposed to be integer-valued, for which the current solution is fractional. They then introduce a bound that forces that variable to be integer-valued, and solve the associated relaxed LP again. The method of choosing the variable to bound is the main difference between the diving heuristics. See Berthold , Section 3.1.
'diving' first, then (if necessary) the named
heuristic method (
first, then (if necessary) tries
does not search for a feasible point. It simply takes any feasible point
it encounters in its branch-and-bound search.
settings run the various heuristics in an order that is likely to save time.
'diving' are relatively
fast procedures, and the solver stops trying heuristics if one of these
Each heuristic can have its own stopping criteria. For example, the
HeuristicsMaxNodes criterion applies only to the
After each heuristic completes with a feasible solution,
intlinprog calls output functions and plot functions.
See intlinprog Output Functions and Plot Functions.
If you include an
intlinprog uses that value in heuristics. In particular, improvement heuristics such as
rins and guided diving can start from
x0 and attempt to improve the point. So setting the
'Heuristics' option to
'rins-diving' when you provide
x0 can be effective. However, when the gap is small, heuristics do not run, so choosing
'rins-diving' does not always improve running time.
The branch-and-bound method constructs a sequence of subproblems that attempt to converge to a solution of the MILP. The subproblems give a sequence of upper and lower bounds on the solution fTx. The first upper bound is any feasible solution, and the first lower bound is the solution to the relaxed problem. For a discussion of the upper bound, see Heuristics for Finding Feasible Solutions.
As explained in Linear Programming, any solution to the linear programming relaxed problem has a lower objective function value than the solution to the MILP. Also, any feasible point xfeas satisfies
fTxfeas ≥ fTx,
because fTx is the minimum among all feasible points.
In this context, a node is an LP with the same objective function, bounds, and linear constraints as the original problem, but without integer constraints, and with particular changes to the linear constraints or bounds. The root node is the original problem with no integer constraints and no changes to the linear constraints or bounds, meaning the root node is the initial relaxed LP.
From the starting bounds, the branch-and-bound method constructs new subproblems by branching from the root node. The branching step is taken heuristically, according to one of several rules. Each rule is based on the idea of splitting a problem by restricting one variable to be less than or equal to an integer J, or greater than or equal to J+1. These two subproblems arise when an entry in xLP, corresponding to an integer specified in intcon, is not an integer. Here, xLP is the solution to a relaxed problem. Take J as the floor of the variable (rounded down), and J+1 as the ceiling (rounded up). The resulting two problems have solutions that are larger than or equal to fTxLP, because they have more restrictions. Therefore, this procedure potentially raises the lower bound.
The performance of the branch-and-bound method depends on the rule for
choosing which variable to split (the branching rule). The algorithm uses these
rules, which you can set in the
'maxpscost' — Choose the fractional variable
with maximal pseudocost.
'strongpscost' — Similar to
'maxpscost', but instead of the pseudocost being
1 for each variable, the solver
attempts to branch on a variable only after the pseudocost has a more
reliable estimate. To obtain a more reliable estimate, the solver does
the following (see Achterberg, Koch, and Martin ).
Order all potential branching variables (those that are currently fractional but should be integer) by their current pseudocost-based scores.
Run the two relaxed linear programs based on the current branching variable, starting from the variable with the highest score (if the variable has not yet been used for a branching calculation). The solver uses these two solutions to update the pseudocosts for the current branching variable. The solver can halt this process early to save time in choosing the branch.
Continue choosing variables in the list until the current
highest pseudocost-based score does not change for
k consecutive variables, where
k is an internally chosen value, usually
between 5 and 10.
Branch on the variable with the highest pseudocost-based score. The solver might have already computed the relaxed linear programs based on this variable during an earlier pseudocost estimation procedure.
Because of the extra linear program solutions, each iteration of
'strongpscost' branching takes longer than the
'maxpscost'. However, the number of
branch-and-bound iterations typically decreases, so the
'strongpscost' method can save time
'reliability' — Similar to
'strongpscost', but instead of running the
relaxed linear programs only for uninitialized pseudocost branches,
'reliability' runs the programs up to
k2 times for each variable, where
k2 is a small integer such as 4 or 8. Therefore,
'reliability' has even slower branching, but
potentially fewer branch-and-bound iterations, compared to
'mostfractional' — Choose the variable with
fractional part closest to
'maxfun' — Choose the variable with maximal
corresponding absolute value in the objective vector
After the algorithm branches, there are two new nodes to explore. The algorithm chooses which node to explore among all that are available using one of these rules:
'minobj' — Choose the node that has the
lowest objective function value.
'mininfeas' — Choose the node with the
minimal sum of integer infeasibilities. This means for every
integer-infeasible component x(i)
in the node, add up the smaller of
= x(i) –
pi+ = 1 – pi–.
'simplebestproj' — Choose the node with the
intlinprog skips the analysis of some subproblems by
considering information from the original problem such as the objective
function’s greatest common divisor (GCD).
The branch-and-bound procedure continues, systematically generating subproblems to analyze and discarding the ones that won’t improve an upper or lower bound on the objective, until one of these stopping criteria is met:
The algorithm exceeds the
The difference between the lower and upper bounds on the objective
function is less than the
The number of explored nodes exceeds the
The number of integer feasible points exceeds the
 Achterberg, T., T. Koch
and A. Martin. Branching rules revisited. Operations Research
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