Column generation algorithms
Author: Kedric Daly
Stewards: Dajun Yue, Fengqi You
Column generation algorithms are used for MILP problems. The formulation was initially proposed by Ford and Fulkerson in 1958. The main advantage of column generation is that not all possibilities need to be enumerated. Instead, the problem is first formulated as a restricted master problem (RMP). This RMP has as few variables as possible, and new variables are brought into the basis as needed, similar to the simplex method.
The formulation of the column generation problem depends on the type of problem. One common example is the cutting stock problem. However, all cases involve taking the original problem and formulating the RMP as well as a subproblem. The solution of the RMP determines some of the parameters in the subproblem whereas the subproblem will be used to determine if there are any columns which can enter the basis. The subproblem does this by solving for the minimum reduced cost. If the reduced cost is negative, the solution can enter the basis as a new column. If the reduced cost is greater than or equal to zero, the lower bound for the optimal solution has been found.
Cutting Stock Problem (CSP)
In the cutting stock problem, the goal is to minimize the waste obtained from cutting rolls of fixed size while fulfilling customer orders.
For example, we may have steel rods of length L = 17m, with customer orders for twenty-five 3m length rods, twenty 5m length rods, and fifteen 9m length rods.
Column generation algorithms are most useful when dealing with large numbers of variables. They are effective because they avoid enumerating all possible elements of a traditional MILP formulation, and instead only evaluate variables as needed.
 L. R. Ford, Jr., D. R. Fulkerson, (1958) A Suggested Computation for Maximal Multi-Commodity Network Flows. Management Science 5(1):97-101. http://dx.doi.org/10.1287/mnsc.5.1.97
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