Column generation for extended formulations

Abstract

Working in an extended variable space allows one to develop tighter reformulations for mixed integer programs. However, the size of the extended formulation grows rapidly too large for a direct treatment by a MIP-solver. Then, one can work with inner approximations defined and improved by generating dynamically variables and constraints. When the extended formulation stems from subproblems’ reformulations, one can implement column generation for the extended formulation using a Dantzig–Wolfe decomposition paradigm. Pricing subproblem solutions are expressed in the variables of the extended formulation and added to the current restricted version of the extended formulation along with the subproblem constraints that are active for the subproblem solutions. This so-called “column-and-row generation” procedure is revisited here in a unifying presentation that generalizes the column generation algorithm and extends to the case of working with an approximate extended formulation. The interest of the approach is evaluated numerically on machine scheduling, bin packing, generalized assignment, and multi-echelon lot-sizing problems. We compare a direct handling of the extended formulation, a standard column generation approach, and the “column-and-row generation” procedure, highlighting a key benefit of the latter: lifting pricing problem solutions in the space of the extended formulation permits their recombination into new subproblem solutions and results in faster convergence.