Mixed Integer Programming

A linear mixed integer program is an optimization problem in which a nonempty subset of integer variables (unknowns) and a subset of real-valued (continuous) variables exist, the constraints are all linear equations or inequalities, and the objective is a linear function to be minimized (or maximized). After presenting several practical applications of mixed integer programming, we describe the main classes of algorithms, branch-and-bound and branch-and-cut, that are used to solve this hard class of problems. Considerable attention is paid to ways to improve solution times, involving preprocessing, reformulation with cuts and/or new variables, and heuristics.

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