I understand that doing minimization in integer programming is a very complex problem. But what makes this problem so difficult?
If I were to (attempt) to write an algorithm to solve it, what would I need to take into account? I'm only familiar with the branch-and-bound technique for solving it and I'm wondering what sort of roadblocks I will face when attempting to apply this technique programatically.
I'm wondering what sort of roadblocks I will face when attempting to apply this technique programatically.
None in particular (assuming a fairly straightforward implementation without a lot of tricks). The algorithms aren’t complicated – they are complex, that’s a fundamental difference.
Techniques such as branch and bound or branch and cut try to prune the search tree and thus speed up the running time. But the whole problem tree is nevertheless exponentially large, hence the problem.
lp_solve (both Open Source) do it.
Like the other said, those problem are very hard and there are no simple solution nor simple algorithm that apply to all classes of problems.
The "classic" way of solving those problem is to do a branch-and-bound and apply the simplex algorithm at each node, as you say in your question. However, I would not recommand implementing this yourself if you are not an expert.
As for a lot of numerical methods, it is very hard to get it right (good parameter values, good optimisations), and a lot have been done (see CPLEX, COIN_OR, etc).
It's not that you can't do it: the branch-and-bound part is pretty straigtforward, but without all the tricks your program will be really slow.
Also, you will need a simplex implementation and this is not something you want to do yourself: you will have to use a third-part lib anyway.
Most likely, wether
My main point is that only experienced people will know which algorithm will perform better on your problem, wich form of the model will be the easiest to solve, which method to apply and what kind of optimisations you can try.
If you are interested in those problems, I would recommend this book for an introduction to the math behind all this (with a lot of examples). It is incredibly expansive, so you may want to go to a library instead of buying it: Nemhauser and Wolsey.
The first thing you do before you solve any mathematical optimization problem is you categorize it. Except special cases, most of the time, integer programming problems will be np-hard. So instead of using an "algorithm", you will use a "heuristic". The final solution you will find will not be a guaranteed optimum, but it will be a pretty good solution for real life problems.
Your main roadblock will your programming skills. Heuristic programming requires a good level of programming understanding. So instead of programming your own heuristic you are better of using well known package (eg, COIN-OR, free). This way you can focus on your problem instead of the heuristic.
