The Decomposition Algorithm

The decomposition algorithm for LPs is based on the original Dantzig-Wolfe method (Dantzig and Wolfe, 1960). Embedding this method in the context of a branch-and-bound algorithm for MILPs is described in Barnhart et al. (1998) and is often referred to as branch-and-price. The design of a framework that allows for building a generic branch-and-price solver that requires only the original (compact) formulation and the constraint partition was first proposed independently by Ralphs and Galati (2006) and Vanderbeck and Savelsbergh (2006). This method is also commonly referred to as column generation, although the algorithm implemented here is only one specific variant of this wider class of algorithms.

The algorithm setup starts by forming various components that are used iteratively during the solver process. These components include the master problem (controlled by options in the DECOMP_MASTER statement), one subproblem for each block (controlled by options in the DECOMP_SUBPROB statement) and, for MILPs, the integer version of the master problem (controlled by options in the DECOMP_MASTER_IP statement).

The master problem is a linear program that is defined over a potentially large number of variables that represent the weights of a convex combination. The points in the convex combination satisfy the constraints that are defined in the subproblem. The master constraints of the original problem are enforced in this reformulated space. In this sense, the decomposition algorithm takes the intersection of two polyhedra: one defined by original master constraints and one defined by the subproblem constraints. Since the set of variables needed to define the intersection of the polyhedra can be large, the algorithm works on a restricted subset and generates only those variables (columns) that have good potential with respect to feasibility and optimality. This generation is done by using the dual information that is obtained by solving the master problem to price out new variables. These new variables are generated by solving the subproblems over the appropriate cost vector (the reduced cost in the original space). This generation is similar to the revised simplex method, except that the variable space is exponentially large and therefore is generated implicitly by solving an optimization problem. This idea of generating variables as needed is the reason why this method is often referred to as column generation.

Similar to the two-phase simplex algorithm, the algorithm first introduces slack variables and solves a phase I problem to find a feasible solution. After the algorithm finds a feasible solution, it switches to a phase II problem to search for an optimal solution. The process of solving the master to generate pricing information and then solving one or more subproblems to generate candidate variables is repeated until there are no longer any improving variables and the method has converged.

For MILPs, this process is then used as a bounding method in a branch-and-bound algorithm, as described in the section Branch-and-Bound Algorithm. The strength of the subproblem polyhedron is one of the key reasons why decomposition can often solve problems that the standard branch-and-cut algorithm cannot solve in a reasonable amount of time. Since the points used in the convex combination are solutions (extreme points) of the subproblem (typically a MILP itself), then the bounds obtained can often be much stronger than the bounds obtained from standard branch-and-bound methods that are based on the LP relaxation. The subproblem polyhedron intersected with the continuous master polyhedron can provide a very good approximation of the true convex hull of the original integer program.

For more information about the algorithm process flow and the framework design, see Galati (2009).