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intlinprog

Mixed-integer linear programming (MILP)

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Syntax

x = intlinprog(f,intcon,A,b)
x = intlinprog(f,intcon,A,b,Aeq,beq)
x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub)
x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub,x0)
x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub,x0,options)
x = intlinprog(problem)
[x,fval,exitflag,output] = intlinprog(___)

Description

Mixed-integer linear programming solver.

Finds the minimum of a problem specified by

minxfTx subject to {x(intcon) are integersA⋅x≤bAeq⋅x=beqlb≤x≤ub.

f, x, intcon, b, beq, lb, and ub are vectors, and A and Aeq are matrices.

You can specify f, intcon, lb, and ub as vectors or arrays. See Matrix Arguments.

Note

intlinprog applies only to the solver-based approach. For a discussion of the two optimization approaches, see First Choose Problem-Based or Solver-Based Approach.

x = intlinprog(f,intcon,A,b) solves min f'*x such that the components of x in intcon are integers, and A*x ≤ b.

example

x = intlinprog(f,intcon,A,b,Aeq,beq) solves the problem above while additionally satisfying the equality constraints Aeq*x = beq. Set A = [] and b = [] if no inequalities exist.

x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub) defines a set of lower and upper bounds on the design variables, x, so that the solution is always in the range lb ≤ x ≤ ub. Set Aeq = [] and beq = [] if no equalities exist.

example

x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub,x0)optimizes using an initial feasible point x0. Set lb = [] and ub = [] if no bounds exist.

example

x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub,x0,options) minimizes using the optimization options specified in options. Use optimoptions to set these options. Set x0 = [] if no initial point exists.

example

x = intlinprog(problem) uses a problem structure to encapsulate all solver inputs. You can import a problem structure from an MPS file using mpsread. You can also create a problem structure from an OptimizationProblem object by using prob2struct.

example

[x,fval,exitflag,output] = intlinprog(___), for any input arguments described above, returns fval = f'*x, a value exitflag describing the exit condition, and a structure output containing information about the optimization process.

example

Examples

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Open Live Script

Solve the problem

minx8x1+x2subjectto{x2isanintegerx1+2x2≥-14-4x1-x2≤-332x1+x2≤20.

Write the objective function vector and vector of integer variables. 

f = [8;1];
intcon = 2;

Convert all inequalities into the form A*x <= b by multiplying “greater than” inequalities by -1. 

A = [-1,-2;
    -4,-1;
    2,1];
b = [14;-33;20];

Call intlinprog. 

x = intlinprog(f,intcon,A,b)
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [1e+00, 4e+00]
  Cost   [1e+00, 8e+00]
  Bound  [0e+00, 0e+00]
  RHS    [1e+01, 3e+01]
Presolving model
3 rows, 2 cols, 6 nonzeros  0s
3 rows, 2 cols, 6 nonzeros  0s

Solving MIP model with:
   3 rows
   2 cols (0 binary, 1 integer, 0 implied int., 1 continuous)
   6 nonzeros

        Nodes      |    B&B Tree     |            Objective Bounds              |  Dynamic Constraints |       Work      
     Proc. InQueue |  Leaves   Expl. | BestBound       BestSol              Gap |   Cuts   InLp Confl. | LpIters     Time

         0       0         0   0.00%   -inf            inf                  inf        0      0      0         0     0.0s
 T       0       0         0   0.00%   -inf            59                 Large        0      0      0         3     0.0s

Solving report
  Status            Optimal
  Primal bound      59
  Dual bound        59
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    59 (objective)
                    0 (bound viol.)
                    1.7763568394e-15 (int. viol.)
                    0 (row viol.)
  Timing            0.00 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             1
  LP iterations     3 (total)
                    0 (strong br.)
                    0 (separation)
                    0 (heuristics)

Optimal solution found.

Intlinprog stopped at the root node because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

x = 2×1

    6.5000
    7.0000
Open Live Script

Solve the problem

minx(-3x1-2x2-x3)subjectto{x3binaryx1,x2≥0x1+x2+x3≤74x1+2x2+x3=12.

Write the objective function vector and vector of integer variables. 

f = [-3;-2;-1];
intcon = 3;

Write the linear inequality constraints. 

A = [1,1,1];
b = 7;

Write the linear equality constraints. 

Aeq = [4,2,1];
beq = 12;

Write the bound constraints. 

lb = zeros(3,1);
ub = [Inf;Inf;1]; % Enforces x(3) is binary

Call intlinprog. 

x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub)
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [1e+00, 4e+00]
  Cost   [1e+00, 3e+00]
  Bound  [1e+00, 1e+00]
  RHS    [7e+00, 1e+01]
Presolving model
2 rows, 3 cols, 6 nonzeros  0s
0 rows, 0 cols, 0 nonzeros  0s
Presolve: Optimal

Solving report
  Status            Optimal
  Primal bound      -12
  Dual bound        -12
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    -12 (objective)
                    0 (bound viol.)
                    0 (int. viol.)
                    0 (row viol.)
  Timing            0.00 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             0
  LP iterations     0 (total)
                    0 (strong br.)
                    0 (separation)
                    0 (heuristics)

Optimal solution found.

Intlinprog stopped at the root node because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

x = 3×1

     0
     6
     0
Open Live Script

Compare the number of steps to solve an integer programming problem both with and without an initial feasible point. The problem has eight variables, four linear equality constraints, and has all variables restricted to be positive.

Define the linear equality constraint matrix and vector.

Aeq = [22    13    26    33    21     3    14    26
    39    16    22    28    26    30    23    24
    18    14    29    27    30    38    26    26
    41    26    28    36    18    38    16    26];
beq = [ 7872
       10466
       11322
       12058];

Set lower bounds that restrict all variables to be nonnegative.

N = 8;
lb = zeros(N,1);

Specify that all variables are integer-valued.

intcon = 1:N;

Set the objective function vector f.

f = [2    10    13    17     7     5     7     3];

Solve the problem without using an initial point, and examine the display to see the number of branch-and-bound nodes.

[x1,fval1,exitflag1,output1] = intlinprog(f,intcon,[],[],Aeq,beq,lb);
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [3e+00, 4e+01]
  Cost   [2e+00, 2e+01]
  Bound  [0e+00, 0e+00]
  RHS    [8e+03, 1e+04]
Presolving model
4 rows, 8 cols, 32 nonzeros  0s
4 rows, 8 cols, 27 nonzeros  0s
Objective function is integral with scale 1

Solving MIP model with:
   4 rows
   8 cols (0 binary, 8 integer, 0 implied int., 0 continuous)
   27 nonzeros

        Nodes      |    B&B Tree     |            Objective Bounds              |  Dynamic Constraints |       Work      
     Proc. InQueue |  Leaves   Expl. | BestBound       BestSol              Gap |   Cuts   InLp Confl. | LpIters     Time

         0       0         0   0.00%   0               inf                  inf        0      0      0         0     0.0s
         0       0         0   0.00%   1554.047531     inf                  inf        0      0      4         4     0.0s
 T   20753     210      8189  98.04%   1783.696925     1854               3.79%       30      8   9884     19222     3.0s

Solving report
  Status            Optimal
  Primal bound      1854
  Dual bound        1854
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    1854 (objective)
                    0 (bound viol.)
                    9.63673585375e-14 (int. viol.)
                    0 (row viol.)
  Timing            3.05 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             21163
  LP iterations     19608 (total)
                    223 (strong br.)
                    76 (separation)
                    1018 (heuristics)

Optimal solution found.

Intlinprog stopped because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

For comparison, find the solution using an initial feasible point.

x0 = [8 62 23 103 53 84 46 34];
[x2,fval2,exitflag2,output2] = intlinprog(f,intcon,[],[],Aeq,beq,lb,[],x0);
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [3e+00, 4e+01]
  Cost   [2e+00, 2e+01]
  Bound  [0e+00, 0e+00]
  RHS    [8e+03, 1e+04]
Assessing feasibility of MIP using primal feasibility and integrality tolerance of       1e-06
Solution has               num          max          sum
Col     infeasibilities      0            0            0
Integer infeasibilities      0            0            0
Row     infeasibilities      0            0            0
Row     residuals            0            0            0
Presolving model
4 rows, 8 cols, 32 nonzeros  0s
4 rows, 8 cols, 27 nonzeros  0s

MIP start solution is feasible, objective value is 3901
Objective function is integral with scale 1

Solving MIP model with:
   4 rows
   8 cols (0 binary, 8 integer, 0 implied int., 0 continuous)
   27 nonzeros

        Nodes      |    B&B Tree     |            Objective Bounds              |  Dynamic Constraints |       Work      
     Proc. InQueue |  Leaves   Expl. | BestBound       BestSol              Gap |   Cuts   InLp Confl. | LpIters     Time

         0       0         0   0.00%   0               3901             100.00%        0      0      0         0     0.0s
         0       0         0   0.00%   1554.047531     3901              60.16%        0      0      4         4     0.0s
 T    6266     708      2644  73.61%   1662.791423     3301              49.63%       20      6   9746     10699     1.5s
 T    9340     919      3970  80.72%   1692.410008     2687              37.01%       29      6   9995     16120     2.2s
 T   21750     192      9514  96.83%   1791.542628     1854               3.37%       20      6   9984     40278     5.5s

Solving report
  Status            Optimal
  Primal bound      1854
  Dual bound        1854
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    1854 (objective)
                    0 (bound viol.)
                    1.42108547152e-13 (int. viol.)
                    0 (row viol.)
  Timing            5.61 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             22163
  LP iterations     40863 (total)
                    538 (strong br.)
                    64 (separation)
                    2782 (heuristics)

Optimal solution found.

Intlinprog stopped because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

  • Without an initial point, intlinprog took about 30,000 branch-and-bound steps.

  • Using an initial point, intlinprog took about 5,000 steps.

Giving an initial point does not always help. For this problem, giving an initial point saves time and computational steps. However, for some problems, giving an initial point can cause intlinprog to take more steps.

Open Live Script

Solve the problem

minx(-3x1-2x2-x3)subjectto{x3binaryx1,x2≥0x1+x2+x3≤74x1+2x2+x3=12

without showing iterative display.

Specify the solver inputs. 

f = [-3;-2;-1];
intcon = 3;
A = [1,1,1];
b = 7;
Aeq = [4,2,1];
beq = 12;
lb = zeros(3,1);
ub = [Inf;Inf;1]; % enforces x(3) is binary
x0 = [];

Specify no display. 

options = optimoptions('intlinprog','Display','off');

Run the solver. 

x = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub,x0,options)
x = 3×1

     0
     6
     0
Open Live Script

This example shows how to set up a problem using the problem-based approach and then solve it using the solver-based approach. The problem is

minx(-3x1-2x2-x3)subjectto{x3binaryx1,x2≥0x1+x2+x3≤74x1+2x2+x3=12

Create an OptimizationProblem object named prob to represent this problem. To specify a binary variable, create an optimization variable with integer type, a lower bound of 0, and an upper bound of 1.

x = optimvar('x',2,'LowerBound',0);
xb = optimvar('xb','LowerBound',0,'UpperBound',1,'Type','integer');
prob = optimproblem('Objective',-3*x(1)-2*x(2)-xb);
cons1 = sum(x) + xb <= 7;
cons2 = 4*x(1) + 2*x(2) + xb == 12;
prob.Constraints.cons1 = cons1;
prob.Constraints.cons2 = cons2;

Convert the problem object to a problem structure.

problem = prob2struct(prob);

Solve the resulting problem structure.

[sol,fval,exitflag,output] = intlinprog(problem)
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [1e+00, 4e+00]
  Cost   [1e+00, 3e+00]
  Bound  [1e+00, 1e+00]
  RHS    [7e+00, 1e+01]
Presolving model
2 rows, 3 cols, 6 nonzeros  0s
0 rows, 0 cols, 0 nonzeros  0s
Presolve: Optimal

Solving report
  Status            Optimal
  Primal bound      -12
  Dual bound        -12
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    -12 (objective)
                    0 (bound viol.)
                    0 (int. viol.)
                    0 (row viol.)
  Timing            0.00 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             0
  LP iterations     0 (total)
                    0 (strong br.)
                    0 (separation)
                    0 (heuristics)

Optimal solution found.

Intlinprog stopped at the root node because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

sol = 3×1

     0
     6
     0


fval = 
-12

exitflag = 
1

output = struct with fields:
        relativegap: 0
        absolutegap: 0
      numfeaspoints: 0
           numnodes: 0
    constrviolation: 0
          algorithm: 'highs'
            message: 'Optimal solution found....'

Both sol(1) and sol(3) are binary-valued. Which value corresponds to the binary optimization variable xb?

prob.Variables
ans = struct with fields:
     x: [2x1 optim.problemdef.OptimizationVariable]
    xb: [1x1 optim.problemdef.OptimizationVariable]

The variable xb appears last in the Variables display, so xb corresponds to sol(3) = 1. See Algorithms.

Open Live Script

Call intlinprog with more outputs to see solution details and process.

The goal is to solve the problem

minx(-3x1-2x2-x3)subjectto{x3binaryx1,x2≥0x1+x2+x3≤74x1+2x2+x3=12.

Specify the solver inputs. 

f = [-3;-2;-1];
intcon = 3;
A = [1,1,1];
b = 7;
Aeq = [4,2,1];
beq = 12;
lb = zeros(3,1);
ub = [Inf;Inf;1]; % enforces x(3) is binary

Call intlinprog with all outputs. 

[x,fval,exitflag,output] = intlinprog(f,intcon,A,b,Aeq,beq,lb,ub)
Running HiGHS 1.7.0: Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Matrix [1e+00, 4e+00]
  Cost   [1e+00, 3e+00]
  Bound  [1e+00, 1e+00]
  RHS    [7e+00, 1e+01]
Presolving model
2 rows, 3 cols, 6 nonzeros  0s
0 rows, 0 cols, 0 nonzeros  0s
Presolve: Optimal

Solving report
  Status            Optimal
  Primal bound      -12
  Dual bound        -12
  Gap               0% (tolerance: 0.01%)
  Solution status   feasible
                    -12 (objective)
                    0 (bound viol.)
                    0 (int. viol.)
                    0 (row viol.)
  Timing            0.00 (total)
                    0.00 (presolve)
                    0.00 (postsolve)
  Nodes             0
  LP iterations     0 (total)
                    0 (strong br.)
                    0 (separation)
                    0 (heuristics)

Optimal solution found.

Intlinprog stopped at the root node because the objective value is within a gap tolerance of the optimal value, options.AbsoluteGapTolerance = 1e-06. The intcon variables are integer within tolerance, options.ConstraintTolerance = 1e-06.

x = 3×1

     0
     6
     0


fval = 
-12

exitflag = 
1

output = struct with fields:
        relativegap: 0
        absolutegap: 0
      numfeaspoints: 0
           numnodes: 0
    constrviolation: 0
          algorithm: 'highs'
            message: 'Optimal solution found....'

The output structure shows numnodes is 0. This means intlinprog solved the problem before branching. This is one indication that the result is reliable. Also, the absolutegap and relativegap fields are 0. This is another indication that the result is reliable.

Input Arguments

collapse all

Coefficient vector, specified as a real vector or real array. The coefficient vector represents the objective function f'*x. The notation assumes that f is a column vector, but you are free to use a row vector or array. Internally, linprog converts f to the column vector f(:).

If you specify f = [], intlinprog tries to find a feasible point without trying to minimize an objective function.

Example: f = [4;2;-1.7];

Data Types: double

Vector of integer constraints, specified as a vector of positive integers. The values in intcon indicate the components of the decision variable x that are integer-valued. intcon has values from 1 through numel(f).

intcon can also be an array. Internally, intlinprog converts an array intcon to the vector intcon(:).

Example: intcon = [1,2,7] means x(1), x(2), and x(7) take only integer values.

Data Types: double

Linear inequality constraints, specified as a real matrix. A is an M-by-N matrix, where M is the number of inequalities, and N is the number of variables (length of f). For large problems, pass A as a sparse matrix.

A encodes the M linear inequalities

A*x <= b,

where x is the column vector of N variables x(:), and b is a column vector with M elements.

For example, consider these inequalities:

x1 + 2x2 ≤ 10
3x1 + 4x2 ≤ 20
5x1 + 6x2 ≤ 30.

Specify the inequalities by entering the following constraints.

A = [1,2;3,4;5,6];
b = [10;20;30];

Example: To specify that the x-components add up to 1 or less, take A = ones(1,N) and b = 1.

Data Types: double

Linear inequality constraints, specified as a real vector. b is an M-element vector related to the A matrix. If you pass b as a row vector, solvers internally convert b to the column vector b(:). For large problems, pass b as a sparse vector.

b encodes the M linear inequalities

A*x <= b,

where x is the column vector of N variables x(:), and A is a matrix of size M-by-N.

For example, consider these inequalities:

x1 + 2x2 ≤ 10
3x1 + 4x2 ≤ 20
5x1 + 6x2 ≤ 30.

Specify the inequalities by entering the following constraints.

A = [1,2;3,4;5,6];
b = [10;20;30];

Example: To specify that the x components sum to 1 or less, use A = ones(1,N) and b = 1.

Data Types: single | double

Linear equality constraints, specified as a real matrix. Aeq is an Me-by-N matrix, where Me is the number of equalities, and N is the number of variables (length of f). For large problems, pass Aeq as a sparse matrix.

Aeq encodes the Me linear equalities

Aeq*x = beq,

where x is the column vector of N variables x(:), and beq is a column vector with Me elements.

For example, consider these equalities:

x1 + 2x2 + 3x3 = 10
2x1 + 4x2 + x3 = 20.

Specify the equalities by entering the following constraints.

Aeq = [1,2,3;2,4,1];
beq = [10;20];

Example: To specify that the x-components sum to 1, take Aeq = ones(1,N) and beq = 1.

Data Types: double

Linear equality constraints, specified as a real vector. beq is an Me-element vector related to the Aeq matrix. If you pass beq as a row vector, solvers internally convert beq to the column vector beq(:). For large problems, pass beq as a sparse vector.

beq encodes the Me linear equalities

Aeq*x = beq,

where x is the column vector of N variables x(:), and Aeq is a matrix of size Me-by-N.

For example, consider these equalities:

x1 + 2x2 + 3x3 = 10
2x1 + 4x2 + x3 = 20.

Specify the equalities by entering the following constraints.

Aeq = [1,2,3;2,4,1];
beq = [10;20];

Example: To specify that the x components sum to 1, use Aeq = ones(1,N) and beq = 1.

Data Types: single | double

Lower bounds, specified as a vector or array of doubles. lb represents the lower bounds elementwise in lb ≤ x ≤ ub.

Internally, intlinprog converts an array lb to the vector lb(:).

Example: lb = [0;-Inf;4] means x(1) ≥ 0, x(3) ≥ 4.

Data Types: double

Upper bounds, specified as a vector or array of doubles. ub represents the upper bounds elementwise in lb ≤ x ≤ ub.

Internally, intlinprog converts an array ub to the vector ub(:).

Example: ub = [Inf;4;10] means x(2) ≤ 4, x(3) ≤ 10.

Data Types: double

Initial point, specified as a real array. The number of elements in x0 is the same as the number of elements of f, when f exists. Otherwise, the number is the same as the number of columns of A or Aeq. Internally, the solver converts an array x0 into a vector x0(:).

Providing x0 can change the amount of time intlinprog takes to converge. It is difficult to predict how x0 affects the solver. For suggestions on using appropriate Heuristics with x0, see Tips.

For the "legacy" algorithm, x0 must be feasible with respect to all constraints. If x0 is not feasible, the solver warns and ignores x0. If you do not have a feasible x0 for this algorithm, set x0 = [].

The "highs" algorithm attempts to use any supplied x0, modifying the point if necessary for feasibility.

Example: x0 = 100*rand(size(f))

Data Types: double

Options for intlinprog, specified as the output of optimoptions.

Some options are absent from the optimoptions display. These options appear in italics in the following table. For details, see View Optimization Options.

All Algorithms
OptionDescriptionDefault
AbsoluteGapTolerance

Nonnegative real. intlinprog stops if the difference between the internally calculated upper (U) and lower (L) bounds on the objective function is less than or equal to AbsoluteGapTolerance:

U – L <= AbsoluteGapTolerance.

1e-6 for "highs", 0 for "legacy"
Algorithm

Choose the optimization algorithm:

  • "highs" (default)

  • "legacy"

"highs"
ConstraintTolerance

For the "highs" algorithm, a real value from 1e-10 through 1e-3 representing the maximum allowable violation of integer or linear constraints.

For the "legacy" algorithm, a real value from 1e-10 through 1e-3 that is the maximum discrepancy that linear constraints can have and still be considered satisfied.

ConstraintTolerance is not a stopping criterion.

1e-6 for "highs", 1e-4 for "legacy"
Display

Level of display (see Iterative Display):

  • "off" or "none" — No iterative display

  • "final" — Show final values only

  • "iter" — Show iterative display

"iter"
MaxFeasiblePointsStrictly positive integer. intlinprog stops if it finds MaxFeasiblePoints integer feasible points.Inf
MaxNodesStrictly positive integer that is the maximum number of nodes intlinprog explores in its branch-and-bound process.1e7
MaxTimeNonnegative real that is the maximum time in seconds that intlinprog runs.7200
ObjectiveCutOffReal greater than -Inf. During the branch-and-bound calculation, intlinprog discards any node where the linear programming solution has an objective value exceeding ObjectiveCutOff.Inf
OutputFcn

One or more functions that an optimization function calls at events. Specify as 'savemilpsolutions', a function handle, or a cell array of function handles. For custom output functions, pass function handles. An output function can stop the solver.

  • 'savemilpsolutions' collects the integer-feasible points in the xIntSol matrix in your workspace, where each column is one integer feasible point.

For information on writing a custom output function, see intlinprog Output Function and Plot Function Syntax.

[]
PlotFcn

Plots various measures of progress while the algorithm executes; select from predefined plots or write your own. Pass 'optimplotmilp', a function handle, or a cell array of function handles. For custom plot functions, pass function handles. The default is none ([]):

  • 'optimplotmilp' plots the internally-calculated upper and lower bounds on the objective value of the solution.

For information on writing a custom plot function, see intlinprog Output Function and Plot Function Syntax.

[]
RelativeGapTolerance

Real from 0 through 1. intlinprog stops if the relative difference between the internally calculated upper (U) and lower (L) bounds on the objective function is less than or equal to RelativeGapTolerance:

For the "highs" algorithm, the stopping test is

(U – L)/|U| <= RelativeGapTolerance.

When U = 0 and L = 0, the returned ratio (U – L)/|U| is 0. When U = 0 and L is not 0, the returned ratio is Inf.

For the "legacy" algorithm, the stopping test is

(U – L)/(|U| + 1) <= RelativeGapTolerance.

Note

Although you specify RelativeGapTolerance as a decimal number, the iterative display reports the gap as a percentage, meaning 100 times the measured relative gap. If the exit message refers to the relative gap, this value is the measured relative gap, not a percentage.

1e-4
Legacy Algorithm
BranchRule

Rule for choosing the component for branching:

  • 'maxpscost' — The fractional component with maximum pseudocost. See Branch and Bound.

  • 'strongpscost' — The fractional component with maximum pseudocost and a more accurate estimate of pseudocost than in 'maxpscost'. See Branch and Bound.

  • 'reliability' — The fractional component with maximum pseudocost and an even more accurate estimate of pseudocost than in 'strongpscost'. See Branch and Bound.

  • 'mostfractional' — The component whose fractional part is closest to 1/2.

  • 'maxfun' — The fractional component with a maximal corresponding component in the absolute value of the objective vector f.

'reliability'
CutGeneration

Level of cut generation (see Cut Generation):

  • 'none' — No cuts. Makes CutMaxIterations irrelevant.

  • 'basic' — Normal cut generation.

  • 'intermediate' — Use more cut types.

  • 'advanced' — Use most cut types.

'basic'
CutMaxIterationsNumber of passes through all cut generation methods before entering the branch-and-bound phase, an integer from 1 through 50. Disable cut generation by setting the CutGeneration option to 'none'.10
Heuristics

Algorithm for searching for feasible points (see Heuristics for Finding Feasible Solutions):

  • 'basic'

  • 'intermediate'

  • 'advanced'

  • 'rss'

  • 'rins'

  • 'round'

  • 'diving'

  • 'rss-diving'

  • 'rins-diving'

  • 'round-diving'

  • 'none'

'basic'
HeuristicsMaxNodesStrictly positive integer that bounds the number of nodes intlinprog can explore in its branch-and-bound search for feasible points. Applies only to 'rss' and 'rins'. See Heuristics for Finding Feasible Solutions.50
IntegerPreprocess

Types of integer preprocessing (see Mixed-Integer Program Preprocessing):

  • 'none' — Use very few integer preprocessing steps.

  • 'basic' — Use a moderate number of integer preprocessing steps.

  • 'advanced' — Use all available integer preprocessing steps.

'basic'
IntegerToleranceReal from 1e-10 through 1e-3, where the maximum deviation from integer that a component of the solution x can have and still be considered an integer. IntegerTolerance is not a stopping criterion.1e-5
LPMaxIterationsStrictly positive integer, the maximum number of simplex algorithm iterations per node during the branch-and-bound process.

max(3e4, 10*(numberOfEqualities + numberOfInequalities + numberOfVariables))

In this expression, numberOfEqualities means the number of rows of Aeq, numberOfInequalities means the number of rows of A, and numberOfVariables means the number of elements of f.

LPOptimalityToleranceNonnegative real where reduced costs must exceed LPOptimalityTolerance for a variable to be taken into the basis.1e-7
LPPreprocess

Type of preprocessing for the solution to the relaxed linear program (see Linear Program Preprocessing):

  • 'none' — No preprocessing.

  • 'basic' — Use preprocessing.

'basic'
NodeSelection

Choose the node to explore next.

  • 'simplebestproj' — Best projection. See Branch and Bound.

  • 'minobj' — Explore the node with the minimum objective function.

  • 'mininfeas' — Explore the node with the minimal sum of integer infeasibilities. See Branch and Bound.

'simplebestproj'
ObjectiveImprovementThresholdNonnegative real. intlinprog changes the current feasible solution only when it locates another with an objective function value that is at least ObjectiveImprovementThreshold lower: (fold – fnew)/(1 + |fold|) > ObjectiveImprovementThreshold.0
RootLPAlgorithm

Algorithm for solving linear programs:

  • 'dual-simplex' — Dual simplex algorithm

  • 'primal-simplex' — Primal simplex algorithm

'dual-simplex'
RootLPMaxIterationsNonnegative integer that is the maximum number of simplex algorithm iterations to solve the initial linear programming problem.

max(3e4, 10*(numberOfEqualities + numberOfInequalities + numberOfVariables))

In this expression, numberOfEqualities means the number of rows of Aeq, numberOfInequalities means the number of rows of A, and numberOfVariables means the number of elements of f.

Example: options = optimoptions("intlinprog",MaxTime=120)

Structure encapsulating the inputs and options, specified with the following fields.

fVector representing objective f'*x (required)
intconVector indicating variables that take integer values (required)
AineqMatrix in linear inequality constraints Aineq*x ≤ bineq

bineq

Vector in linear inequality constraints Aineq*x ≤ bineq

Aeq

Matrix in linear equality constraints Aeq*x = beq

beq

Vector in linear equality constraints Aeq*x = beq
lbVector of lower bounds
ubVector of upper bounds
x0Initial point
solver'intlinprog' (required)

options

Options created using optimoptions (required)

You must specify at least these fields in the problem structure. Other fields are optional:

  • f

  • intcon

  • solver

  • options

Example: problem.f = [1,2,3];
problem.intcon = [2,3];
problem.options = optimoptions('intlinprog');
problem.Aineq = [-3,-2,-1];
problem.bineq = -20;
problem.lb = [-6.1,-1.2,7.3];
problem.solver = 'intlinprog';

Data Types: struct

Output Arguments

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Solution, returned as a vector that minimizes f'*x subject to all bounds, integer constraints, and linear constraints.

When a problem is infeasible or unbounded, x is [].

Objective value, returned as the scalar value f'*x at the solution x.

When a problem is infeasible or unbounded, fval is [].

Algorithm stopping condition, returned as an integer identifying the reason the algorithm stopped. The following lists the values of exitflag and the corresponding reasons intlinprog stopped.

3

The solution is feasible with respect to the relative ConstraintTolerance tolerance, but is not feasible with respect to the absolute tolerance.

2

intlinprog stopped prematurely. Integer feasible point found.

1

intlinprog converged to the solution x.

0

intlinprog stopped prematurely. No integer feasible point found.

-1

intlinprog stopped by an output function or plot function.

-2

No feasible point found.

-3

Root LP problem is unbounded.

-9

Solver lost feasibility.

The exit message can give more detailed information on the reason intlinprog stopped, such as exceeding a tolerance.

Exitflags 3 and -9 relate to solutions that have large infeasibilities. These usually arise from linear constraint matrices that have large condition number, or problems that have large solution components. To correct these issues, try to scale the coefficient matrices, eliminate redundant linear constraints, or give tighter bounds on the variables.

Solution process summary, returned as a structure containing information about the optimization process.

relativegap

Relative percentage difference between upper (U) and lower (L) bounds of the objective function that intlinprog calculates in its branch-and-bound algorithm for the "legacy" algorithm, and relative difference for the "highs" algorithm. Specifically,

  • For the "legacy" algorithm, relativegap = 100*(U - L) / (abs(U) + 1)

  • For the "highs" algorithm, relativegap = (U - L) / abs(U)

If intcon = [], relativegap = [].

Note

Although you specify RelativeGapTolerance as a decimal number, the iterative display reports the gap as a percentage, meaning 100 times the measured relative gap. If the exit message refers to the relative gap, this value is the measured relative gap, not a percentage.

absolutegap

Difference between upper and lower bounds of the objective function that intlinprog calculates in its branch-and-bound algorithm.

If intcon = [], absolutegap = [].

numfeaspoints

Number of integer feasible points found.

If intcon = [], numfeaspoints = []. Also, if the initial relaxed problem is infeasible, numfeaspoints = [].

numnodes

Number of nodes in the branch-and-bound algorithm for the "legacy" algorithm; numnodes = [] for the "highs" algorithm. If the solution was found during preprocessing or during the initial cuts, numnodes = 0.

If intcon = [], numnodes = [].

constrviolation

Constraint violation that is positive for violated constraints.

constrviolation = max([0; norm(Aeq*x-beq, inf); (lb-x); (x-ub); (Ai*x-bi)])

algorithm

Algorithm used, either 'highs' or 'legacy'.

message

Exit message.

Limitations

  • Often, some supposedly integer-valued components of the solution x(intCon) are not precisely integers. intlinprog deems as integers all solution values within ConstraintTolerance of an integer (IntegerTolerance for the "legacy" algorithm).

    To round all supposed integers to be exactly integers, use the round function.

    x(intcon) = round(x(intcon));

    Caution

    Rounding solutions can cause the solution to become infeasible. Check feasibility after rounding:

    max(A*x - b) % See if entries are not too positive, so have small infeasibility
max(abs(Aeq*x - beq)) % See if entries are near enough to zero
max(x - ub) % Positive entries are violated bounds
max(lb - x) % Positive entries are violated bounds

  • intlinprog does not enforce that solution components be integer-valued when their absolute values exceed 2.1e9. When your solution has such components, intlinprog warns you. If you receive this warning, check the solution to see whether supposedly integer-valued components of the solution are close to integers.

  • intlinprog does not allow components of the problem, such as coefficients in f, b, or ub, to exceed 1e20 in absolute value (1e25 for the "legacy" algorithm), and does not allow the linear constraint matrices A and Aeq to exceed or equal 1e15 in absolute value. If you try to run intlinprog with such a problem, intlinprog issues an error.

More About

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Enhanced Exit Messages

The next few items list the possible enhanced exit messages from intlinprog. Enhanced exit messages give a link for more information as the first sentence of the message.

Solver stopped prematurely. Integer feasible point found.

intlinprog did not necessarily find an optimal solution. However, it did find at least one integer feasible point. An integer feasible point is a point that satisfies all constraints, including bounds, linear constraints, and integer constraints.

Reached the maximum number of nodes

intlinprog uses a branch-and-bound algorithm, whose details are in Branch and Bound. Each branch in the algorithm creates a new node. intlinprog uses the MaxNodes option (a tolerance) as a stopping criterion.

You can change the value of an option using dot notation:

options.MaxNodes = 5e4;

You can also change the value using optimoptions:

options = optimoptions(options,'MaxNodes',5e4);

Exceeded the time limit

intlinprog uses the MaxTime option (a tolerance) as a stopping criterion.

You can change the value of an option using dot notation:

options.MaxTime = 5e4;

You can also change the value using optimoptions:

options = optimoptions(options,'MaxTime',5e4);

Exceeded the iteration limit at a node

intlinprog exceeded the iteration limit. intlinprog uses the LPMaxIterations option (a tolerance) as a stopping criterion.

You can change the value of an option using dot notation:

options.LPMaxIterations = 5e4;

You can also change the value using optimoptions:

options = optimoptions(options,'LPMaxIterations',5e4);

Reached the maximum number of feasible points

intlinprog found at least MaxNumFeasPoints integer feasible points. intlinprog did not necessarily find an optimal solution.

An integer feasible point is a point that satisfies all constraints, including bounds, linear constraints, and integer constraints.

intlinprog uses the MaxNumFeasPoints option (a tolerance) as a stopping criterion.

You can change the value of an option using dot notation:

options.MaxNumFeasPoints = 5e4;

You can also change the value using optimoptions:

options = optimoptions(options,'MaxNumFeasPoints',5e4);

Objective value is within a gap tolerance

intlinprog internally calculates both upper and lower bounds on the value of the objective function at the solution. The gap between these internally-calculated bounds is the difference between the upper and lower bounds. The relative gap is the ratio of the gap to one plus the absolute value of the lower bound. intlinprog uses the TolGapAbs option (a tolerance on the gap) and the TolGapRel option (a tolerance on the relative gap) as stopping criteria.

No integer variables specified.

The intcon argument was empty, so intlinprog solved a linear programming problem.

Solver stopped prematurely. No integer feasible point found.

intlinprog did not find any integer feasible points, and could not proceed. This does not necessarily mean that the problem is infeasible, only that intlinprog failed to find an integer feasible point. An integer feasible point is a point that satisfies all constraints, including bounds, linear constraints, and integer constraints.

Exceeded the iteration limit while solving the root LP problem

intlinprog was unable to solve the relaxed LP because it reached the RootLPMaxIterations iteration limit. intlinprog uses the RootLPMaxIterations option (a tolerance) as a stopping criterion.

Exceeded its allocated memory

intlinprog ran out of memory. It is possible that reformulating the problem could lead to a solution; see Williams [1].

No Feasible Solution Found

intlinprog stopped because there is no solution to the problem. Either the bounds and linear constraints are inconsistent, or the integer constraints are inconsistent with the bounds and linear constraints.

To determine the cause, rerun the problem with intcon = []. If the resulting linear program has no solution, then the bounds and linear constraints are inconsistent. Otherwise, the integer constraints in the original problem are inconsistent with the bounds and linear constraints.

Root LP problem is unbounded

The root linear programming (LP) problem is the original MILP problem but with no integer constraints. intlinprog stopped because the root LP problem is unbounded.

The original problem might be infeasible. intlinprog does not check feasibility when the root LP problem is unbounded.

Problem is Unbounded

intlinprog stopped because there is no solution to the linear programming problem. For any target value there are feasible points with objective value smaller than the target.

Definitions for Exit Messages

The next few items contain definitions for terms in the intlinprog exit messages.

tolerance

Generally, a tolerance is a threshold which, if crossed, stops the iterations of a solver. For more information on tolerances, see Tolerances and Stopping Criteria.

Node

A node in a branch-and-bound or branch-and-cut tree is a value of x, and a component j of x where x(j) has a fractional part. The branch-and-bound node has two subproblems: evaluate the linear programming problem with the restriction x(j) ≥ ceil(x(j)), and evaluate the linear programming problem with the restriction x(j) ≤ floor(x(j)). For more information, see Branch-and-Bound.

Integer Within Tolerance

intlinprog does not guarantee that the variables you specify in intcon are exactly integers, only that they are within the TolInteger tolerance of an integer value. See Some “Integer” Solutions Are Not Integers.

Root Node

When intlinprog stops at the root node, it did not have to execute any branch-and-bound search. Either intlinprog solved the problem during presolve, or it solved the problem during subsequent processing, but without needing to branch.

The root node is the relaxed linear programming problem based on the original MILP. For details, see Branch-and-Bound.

Tips

  • To specify binary variables, set the variables to be integers in intcon, and give them lower bounds of 0 and upper bounds of 1.

  • Save memory by specifying sparse linear constraint matrices A and Aeq. However, you cannot use sparse matrices for b and beq.

  • To provide logical indices for integer components, meaning a binary vector with 1 indicating an integer, convert to intcon form using find. For example,

    logicalindices = [1,0,0,1,1,0,0];
intcon = find(logicalindices)
    intcon =

     1     4     5

  • This tip applies to the "legacy" algorithm.

    If you include an x0 argument, intlinprog uses that value in the 'rins' and guided diving heuristics until it finds a better integer-feasible point. So when you provide x0, you can obtain good results by setting the 'Heuristics' option to 'rins-diving' or another setting that uses 'rins'.

  • intlinprog replaces bintprog. To update old bintprog code to use intlinprog, make the following changes:

    • Set intcon to 1:numVars, where numVars is the number of variables in your problem.

    • Set lb to zeros(numVars,1).

    • Set ub to ones(numVars,1).

    • Update any relevant options. Use optimoptions to create options for intlinprog.

    • Change your call to bintprog as follows:

      [x,fval,exitflag,output] = bintprog(f,A,b,Aeq,Beq,x0,options)
% Change your call to:
[x,fval,exitflag,output] = intlinprog(f,intcon,A,b,Aeq,Beq,lb,ub,x0,options)

Alternative Functionality

App

The Optimize Live Editor task provides a visual interface for intlinprog.

Version History

Introduced in R2014a

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See Also

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Topics