2.4 Relaxation Methods for Facility Location Problems
2.4.3 The CFLP: Relaxations
Davis and Ray (1969) solve the CFLP using branch-and-bound, solving the dual of the LP relaxation at each node using Dantzig–Wolfe decomposition, obtaining the bound
ZI, known as the “strong” LP relaxation of (CFLP). Akinc and Khumawala (1977) also propose an LP-relaxation/branch-and-bound method to solve the CFLP; they solve the “weak” LP relaxation in which (I) and (B) are omitted, but they tighten the formulation using ad-hoc rules.
By far, the most common method for solving the CFLP is Lagrangian relaxation. One of the first papers to propose such an algorithm is by Nauss (1978b). Nauss omits constraints (B) and relaxes the assignment constraints (D). The resulting subproblem reduces to a continuous knapsack problem (KP) for each j and a single 0–1 KP to decide which facilities to open, obeying constraint (T). The bound obtained from Nauss’s relaxation is ZB
D, though in his computational results, Nauss obtains a weaker bound because he only solves the continuous version of the 0–1 KP.
Christofides and Beasley’s (1983) CFLP model is similar to Nauss’s but is somewhat richer in that it includes minimum throughput constraints (as well as maximum through- put (C)); it also replaces (T) with upper and lower bounds on the number of facilities that may be opened. Like Nauss, Christofides and Beasley and relax (D), but their sub- problem does not require a 0–1 KP because they omit constraints (T). We represent the bound from their relaxation by Z0
D. They also derive penalties for fixing variables to 0 or 1 after processing at the root node. Sridharan (1991) enhances Christofides and Beasley’s model (minus the min-throughput constraints) by allowing upper-bound con- straints on disjoint subsets of the location variables; these side constraints allow one to model multiple facility sizes at each location, at most one of which may be chosen. Their algorithm is similar to Christofides and Beasley’s.
Klincewicz and Luss (1986) include integrality constraints for the Y variables and solve (CFLP) by relaxing the capacity constraints (C). The resulting subproblem is equivalent to the UFLP, and the authors solve it using Erlenkotter’s (1978) DUALOC algorithm. They report LB–UB gaps of as high as 11%, though it is not clear whether the
size of the gap is due more to poor lower or upper bounds. Since their subproblem does not have the integrality property (because it is equivalent to the UFLP, whose LP relaxation is not guaranteed to produce integer solutions), the lower bound from Klincewicz and Luss’s relaxation (ZC) is tighter than ZD0 , suggesting that Klincewicz and Luss’s upper bound is loose, rather than their lower bound. On the other hand, Darby-Dowman and Lewis (1988) show that for a particular class of problems, Klincewicz and Luss’s relaxation will always produce solutions that are capacity-infeasible, and that for these problems, the lower bound produced will not be particularly tight. Fortunately, this class of problems is somewhat limited: all problems in the class have the property that in their uncapacitated form, the optimal solution has only a single facility open.
Van Roy (1986) also relaxes (C), but instead of solving via straightforward La- grangian relaxation, he presents a cross-decomposition algorithm for the CFLP. Cross- decomposition is a hybrid of Lagrangian relaxation and Benders decomposition. He shows in this paper and an earlier one (Van Roy 1983) that the Lagrangian and Benders subproblems are in a certain sense master problems for one another, and uses this result to construct an inner algorithm in which the two methods “ping pong” off one another; when this method stops making improvement, the algorithm reverts to an outer algo- rithm, which is either a Benders or Dantzig–Wolfe master problem that provides a new (primal or dual, respectively) variable to begin the inner algorithm again. His computa- tional results are impressive, requiring few iterations of the outer algorithm and only a few seconds of CPU time for problems with up to 100 facilities and 200 customers.
variable-splitting (sometimes called Lagrangian decomposition). The idea is to introduce a new set of variables W to mirror the assignment variables Y . Each set of constraints is formulated using either Y or W to obtain a particular split. The W variables are forced equal to the Y variables by a new set of constraints:
(CFLP-VS) minimize X j∈J fjXj+ β X i∈I X j∈J hidijYij+ (1− β) X i∈I X j∈J hidijWij (2.31) subject to X j∈J Wij = 1 ∀i ∈ I (DW ) X i∈I hiYij ≤ bjXj ∀j ∈ J (CXY ) X j∈J bjXj ≥ X i∈I hi (TX) Wij = Yij ∀i ∈ I, ∀j ∈ J (V) Xj ∈ {0, 1} ∀j ∈ J (IX) 0 ≤ Yij ≤ 1 ∀i ∈ I, ∀j ∈ J (NY ) 0 ≤ Wij ≤ 1 ∀i ∈ I, ∀j ∈ J (NW ) where 0 ≤ β ≤ 1 is a parameter. Only constraints (V) are relaxed using Lagrangian relaxation. The resulting subproblem decomposes into two problems, one involving only
X and Y , which reduces to continuous knapsack problems for each j and a 0–1 KP to
decide which facilities to open (as in Nauss 1978b), and one involving only W , which reduces to a trivial multiple-choice problem. Intuition suggests that by keeping all of the “interesting” constraints and relaxing only the new constraints, one obtains a bound at least as great as that from ordinary Lagrangian relaxation. This intuition is correct to a point, but not entirely, as discussed below.
Table 2.1: Relaxations for the CFLP.
Reference Bound Comments
Davis and Ray (1969) ZI Solve dual of “strong” LP relaxation by Benders decomposition,
then branch-and-bound
Akinc and Khumawala ZBI Solve “weak” LP relaxation in branch-and-bound scheme with
(1977) ad-hoc tightening rules
Nauss (1978) ZB
D Subproblem = |J| continuous KPs and one 0–1 KP
Christofides and Z0
D Add min throughput constraints, min and max cardinality
Beasley (1983) constraints; remove (T); subproblem = |J| continuous KPs Klincewicz and Luss ZC Single-sourcing; subproblem = UFLP
(1986)
Van Roy (1986) ZC Solves via cross-decomposition rather than Lagrangian relaxation
Sridharan (1991) N/A Includes side constraints to model multiple facility sizes; extension of Christofides and Beasley’s algorithm Barcelo, Fernandez, ZD/CT Variable-splitting algorithm
and J¨ornsten (1991)
The relaxations discussed thus far in this section are summarized in Table 2.1. Cornuejols, Sridharan, and Thizy (1991) provide dominance relationships among the theoretical bounds from the various relaxations of (CFLP). As noted above, these re- laxations include both Lagrangian relaxations, in which constraints are dualized, and “complete” relaxations, in which constraints are omitted entirely. Their first result is that of the 41 possible relaxations of (CFLP), only 7 yield distinct bounds. The relax- ations discussed thus far (except that of Sridharan (1991)) relate as follows:
ZBI ≤ ZI ≤ ZC ≤ Z (2.32a)
ZD0 ≤ ZDB = ZD ≤ ZC (2.32b)
ZBI ≤ ZDB = ZD (2.32c)
where Z is the optimal IP value. Moreover, each inequality in (2.32) is strict for some instances. (We have not discussed any papers considering ZD; we include it here because it figures into the discussion of variable-splitting that follows.)
Cornuejols et al. also discuss bounds obtained from variable-splitting, with some surprising results. Let ZD/CT be the bound obtained by relaxing (V)—the notation indicates that the Demand constraints are in one set of the “split,” the Capacity and Total capacity constraints are in the other. Then
ZD/CT ≥ ZD and ZD/CT ≥ ZCT (2.33)
(see Guignard and Kim 1987), confirming the intuition that the variable-splitting bound is at least as tight as the corresponding simple Lagrangian bound. On the other hand, Cor- nuejols et al. show that the first inequality holds at equality, meaning variable-splitting does not offer any advantage over the bound ZD. (The second inequality in (2.33) is strict for some instances.) Moreover, they show that
ZD/CT ≤ ZC, (2.34)
and that this inequality is strict for some instances. In fact, they find empirically that the relative error for ZC (i.e., (Z − ZC)/Z) is about half that for ZD = ZD/CT for tightly constrained problems, and that the difference is even more pronounced for less capacitated problems. On the other hand, both bounds tend to be quite tight: ZC ≤ 1% and ZD ≤ 3% for all problems tested.
Geoffrion and McBride (1978) also offer a theoretical discussion of bounds for the CFLP. They omit constraints (B) and (T) but include minimum throughput constraints as well as any Additional linear constraints on the X and Y variables, which we will denote (A). (A) may include, for example, cardinality constraints (open between 3 and 8 facilities), precedence constraints (don’t open facility 4 if facility 2 is opened), and so
on. They relax the demand constraints (D) and the additional constraints (A), attaining the bound ZBT
DA. The subproblem reduces to a continuous KP for each facility j. Their main result is that
ZIBT ≤ ˆZDABT ≤ ZDABT = ZIT ≤ Z, (2.35)
where ZIBT is the LP relaxation of their formulation, ˆZBT
DA is the Lagrangian bound attained by relaxing (D) and (A) and setting the Lagrange multipliers equal to the corresponding optimal dual values from the LP relaxation, ZBT
DA is the optimal Lagrangian bound (i.e., maximizing over the Lagrange multipliers), ZIT is the LP bound when the linking constraints (B) are included in the formulation, and Z is the optimal IP value. The authors find empirically that the gap between ZIBT and Z averages around 7%, and that about 70% of this gap is accounted for by the first inequality. The optimal Lagrange multipliers provide a tighter bound, which is equal to the “strong” LP relaxation bound
ZIT. (Above, we listed ZI as the strong LP relaxation, but Cornuejols et al. show ZIT = ZI.) According to Geoffrion and McBride, the last inequality entails an average gap of only 0.6% or so.
Another interesting variation on Lagrangian relaxation that has been proposed for the CFLP is an algorithm proposed by Barahona and Chudak (1999a), which extends a similar algorithm (Barahona and Chudak 1999b) for the UFLP. Barahona and Chudak’s algorithm is a heuristic that combines the volume algorithm and randomized rounding. The volume algorithm (Barahona and Anbil 2000) is essentially a Lagrangian method that gradually builds a solution that is close to feasible by taking convex combinations of the solutions found so far. Although each solution found by the Lagrangian procedure
is binary, the “combined” solution will be fractional and will approximate the solution to the LP relaxation, based on a theorem in linear programming duality. The Lagrange multipliers are updated using an enhanced version of subgradient optimization. The idea behind randomized rounding (Raghavan and Thompson 1987) is to take the fractional solutions from the LP relaxation (or, in this case, from the approximate LP solution found using the volume algorithm) and round the facility location variable Xj to 1 with probability Xj and to 0 with probability 1 − Xj. Once facilities have been opened by randomized rounding, assignments are made by solving a transportation problem. Computational results on problems with up to 1000 nodes show less than 1% relative error, but long run times.
Nozick (2001) considers a model that adds a coverage constraint of the form X
i∈I X
j∈J
hiqijYij ≤ V (C00)
to the UFLP, where qij is 0 if facility j is within a given coverage distance of customer i and V is a desired bound on the total demand not served by a facility within the coverage distance. This constraint is like an aggregated form of (C0). She tests two Lagrangian relaxations, one in which (D) and (C00) are relaxed and one in which (B) and (C00) are relaxed (constraints (C) and (T) are omitted). She finds the latter relaxation to yield consistently tighter bounds. This is surprising since both relaxations have the integrality property and have the same theoretical bound; since the set (B) contains more constraints than (D), one would expect the subgradient optimization procedure to converge faster for the former relaxation.
oretical aspects of Lagrangian relaxation, Dantzig–Wolfe decomposition, Benders decom- position, cross decomposition, variable-splitting, and another technique called constraint duplication (essentially the dual of variable splitting), illustrating each with its applica- tion to the CFLP. The reader is referred to this article for more information about these techniques and how they relate to one another.