Parametric mixed-integer 0-1 linear programming: The general case for a single parameter

Title

Parametric mixed-integer 0-1 linear programming: The general case for a single parameter

Publication Type
Journal Article
Year of Publication
2009
Journal
European Journal of Operational Research
Number
3
Volume
194
Pagination
663 – 686
ISSN
0377-2217
Abstract
Two algorithms for the general case of parametric mixed-integer linear programs (MILPs) are proposed. Parametric MILPs are considered in which a single parameter can simultaneously influence the objective function, the right-hand side and the matrix. The first algorithm is based on branch-and-bound on the integer variables, solving a parametric linear program (LP) at each node. The second algorithm is based on the optimality range of a qualitatively invariant solution, decomposing the parametric optimization problem into a series of regular MILPs, parametric LPs and regular mixed-integer nonlinear programs (MINLPs). The number of subproblems required for a particular instance is equal to the number of critical regions. For the parametric LPs an improvement of the well-known rational simplex algorithm is presented, that requires less consecutive operations on rational functions. Also, an alternative based on predictor-corrector continuation is proposed. Numerical results for a test set are discussed.