Optimizing over the split closure
 Egon Balas,
 Anureet Saxena
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The polyhedron defined by all the split cuts obtainable directly (i.e. without iterated cut generation) from the LPrelaxation P of a mixed integer program (MIP) is termed the (elementary, or rank 1) split closure of P. This paper deals with the problem of optimizing over the elementary split closure. This is accomplished by repeatedly solving the following separation problem: given a fractional point, say x, find a rank1 split cut violated by x or show that none exists. Following Caprara and Letchford [17], we formulate this separation problem as a nonlinear mixed integer program that can be treated as a parametric mixed integer linear program (PMILP) with a single parameter in the objective function and the right hand side. We develop an algorithmic framework to deal with the resulting PMILP by creating and maintaining a dynamically updated grid of parameter values, and use the corresponding mixed integer programs to generate rank 1 split cuts. Our approach was implemented in the COINOR framework using CPLEX 9.0 as a general purpose MIP solver. We report our computational results on wellknown benchmark instances from MIPLIB 3.0 and several classes of structured integer and mixed integer problems. Our computational results show that rank1 split cuts close more than 98% of the duality gap on 15 out of 41 mixed integer instances from MIPLIB 3.0. More than 75% of the duality gap can be closed on an additional 10 instances. The average gap closed over all 41 instances is 72.78%. In the pure integer case, rank1 split cuts close more than 75% of the duality gap on 13 out of 24 instances from MIPLIB 3.0. On average, rank 1 split cuts close about 72% of the duality gap on these 24 instances. We also report results on several classes of structured problems: capacitated versions of warehouse location, singlesource facility location, pmedian, fixed charge network flow, multicommodity network design with splittable and unsplittable flows, and lot sizing. The fraction of the integrality gap closed varies for these problem classes between 100 and 67%. We also gathered statistics on the average coefficient size (absolute value) of the disjunctions generated. They turn out to be surprisingly small.
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 Title
 Optimizing over the split closure
 Journal

Mathematical Programming
Volume 113, Issue 2 , pp 219240
 Cover Date
 20080601
 DOI
 10.1007/s1010700600495
 Print ISSN
 00255610
 Online ISSN
 14364646
 Publisher
 SpringerVerlag
 Additional Links
 Topics
 Industry Sectors
 Authors

 Egon Balas ^{(1)}
 Anureet Saxena ^{(1)}
 Author Affiliations

 1. Tepper School of Business, Carnegie Mellon University, Pittsburgh, PA, 152133890, USA