LP Relaxation as a Lower Bound

For a minimization integer program, the optimal value of its LP relaxation is a lower bound on the IP optimum. This lesson establishes the bound, identifies when the bound is tight (LP optimum is integer-feasible), and applies the bound to prune subproblems in branch and bound.

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The LP Relaxation Gives a Lower Bound

Consider a minimization integer program (IP):

zIP=min{cTx:Axb, x0, xZn}.z^*_{IP} = \min\{\mathbf{c}^T\mathbf{x} : A\mathbf{x} \le \mathbf{b},\ \mathbf{x} \ge \mathbf{0},\ \mathbf{x} \in \mathbb{Z}^n\}.

Its LP relaxation drops the integrality constraints:

zLP=min{cTx:Axb, x0}.z^*_{LP} = \min\{\mathbf{c}^T\mathbf{x} : A\mathbf{x} \le \mathbf{b},\ \mathbf{x} \ge \mathbf{0}\}.

Every IP-feasible point is also LP-feasible, so the LP feasible region contains the IP feasible region. Minimizing the same objective over a larger set can only produce a smaller-or-equal optimum:

zLPzIP.z^*_{LP} \le z^*_{IP}.

The LP relaxation optimum is therefore a lower bound on the IP optimum.

To illustrate, consider the IP minx\min x subject to x1.4x \ge 1.4 and xZx \in \mathbb{Z}. The integer-feasible values are {2,3,4,}\{2, 3, 4, \dots\}, so zIP=2z^*_{IP} = 2. Its LP relaxation minx\min x subject to x1.4x \ge 1.4 admits any real x1.4x \ge 1.4, so zLP=1.4z^*_{LP} = 1.4. Indeed 1.421.4 \le 2, as guaranteed.

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