6.8 Integer Optimization¶
An optimization problem where one or more of the variables are constrained to integer values is called a (mixed) integer optimization problem. MOSEK supports integer variables in combination with linear, quadratic and quadratically constrtained and conic problems (except semidefinite). See the previous tutorials for an introduction to how to model these types of problems.
6.8.1 Example MILO1¶
We use the example
to demonstrate how to set up and solve a problem with integer variables. It has the structure of a linear optimization problem (see Sec. 6.1 (Linear Optimization)) except for integrality constraints on the variables. Therefore, only the specification of the integer constraints requires something new compared to the linear optimization problem discussed previously.
The complete source for the example is listed in Listing 6.13.
Please note that compared to a linear optimization problem with no integer-constrained variables:
prob.ints.subfield is used to specify the indexes of the variables that are integer-constrained.
The optimal integer solution is returned in the
MOSEK also provides a wrapper for the
intlinprog function found in the MATLAB optimization toolbox. This function solves linear problems wth integer variables; see the reference section for details.
6.8.2 Specifying an initial solution¶
It is a common strategy to provide a starting feasible point (if one is known in advance) to the mixed-integer solver. This can in many cases reduce solution time.
There are two modes for MOSEK to utilize an initial solution.
A complete solution. MOSEK will first try to check if the current value of the primal variable solution is a feasible point. The solution can either come from a previous solver call or can be entered by the user, however the full solution with values for all variables (both integer and continuous) must be provided. This check is always performed and does not require any extra action from the user. The outcome of this process can be inspected via information items
"MSK_DINF_MIO_INITIAL_FEASIBLE_SOLUTION_OBJ", and via the
Initial feasible solution objectiveentry in the log.
A partial integer solution. MOSEK can also try to construct a feasible solution by fixing integer variables to the values provided by the user (rounding if necessary) and optimizing over the remaining continuous variables. In this setup the user must provide initial values for all integer variables. This action is only performed if the parameter
MSK_IPAR_MIO_CONSTRUCT_SOLis switched on. The outcome of this process can be inspected via information items
"MSK_DINF_MIO_CONSTRUCT_SOLUTION_OBJ", and via the
Construct solution objectiveentry in the log.
In the following example we focus on inputting a partial integer solution.
Solution values can be set using the appropriate fields in the problem structure.
% Specify start guess for the integer variables. prob.sol.int.xx = [1 1 0 nan]'; % Request constructing the solution from integer variable values param.MSK_IPAR_MIO_CONSTRUCT_SOL = 1;
The log output from the optimizer will in this case indicate that the inputted values were used to construct an initial feasible solution:
Construct solution objective : 1.950000000000e+01
The same information can be obtained from the API:
6.8.3 Example MICO1¶
Integer variables can also be used arbitrarily in conic problems (except semidefinite). We refer to the previous tutorials for how to set up a conic optimization problem. Here we present sample code that sets up a simple optimization problem:
The canonical conic formulation of (6.26) suitable for Optimization Toolbox for MATLAB is
[rcode, res] = mosekopt('symbcon echo(0)'); symbcon = res.symbcon; clear prob % The full variable is [t; x; y] prob.c = [1 0 0]; prob.a = sparse(0,3); % No constraints % Conic part of the problem prob.f = sparse([ eye(3); 0 1 0; 0 0 0; 0 0 1 ]); prob.g = [0 0 0 -3.8 1 0]'; prob.accs = [symbcon.MSK_DOMAIN_QUADRATIC_CONE 3 symbcon.MSK_DOMAIN_PRIMAL_EXP_CONE 3]; % Specify indexes of variables that are integers prob.ints.sub = [2 3]; % It is as always possible (but not required) to input an initial solution % to start the mixed-integer solver. prob.sol.int.xx = [0, 9, -1]; % Optimize the problem. [r,res] = mosekopt('minimize',prob); % The integer solution (x,y) res.sol.int.xx(2:3)
Error and solution status handling were omitted for readability.