Event

Many optimization problems from economics, engineering and natural sciences are modeled with continuous as well as with discrete variables. Examples are the energy minimal design of a chemical process in which several reactors may be switched on or off, and portfolio optimization with limitations on the number of securities. For the algorithmic identification of optimal points of such problems an interaction of ideas from discrete as well as continuous optimization is necessary.

The lecture focusses on mixed-integer linear optimization problems and is structured as follows:

• Introduction, solvability, and basic concepts
• LP relaxation and error bounds for roundings
• Branch-and-bound method
• Gomory's cutting plane method
• Benders decomposition

The lecture is accompanied by exercises which, amongst others, offers the opportunity to implement and to test some of the methods on practically relevant examples.

Remark:

The treatment of mixed-integer nonlinear optimization problems forms the contents of the lecture "Mixed-integer Programming II".

Learning objectives:

The student

• knows and understands the fundamentals of linear mixed integer programming,
• is able to choose, design and apply modern techniques of linear mixed integer programming in practice.