A new cutting plane method for lexicographic multi-objective integer linear programming

This work presents a new cutting plane method for lexicographic multi-objective integer linear programming (LMOILP). The method uses Grossone Methodology to reformulate a LMOILP problem into one having a single scalar objective function involving Grossone, as done in Cococcioni et al. (2018) (but in that case in the absence of the integer constraints). The problem, without the integer constraints, is solved using the GrossSimplex algorithm presented in Cococcioni et al. (2018) to find a candidate optimal solution. Here a novel cutting plane is introduced, named Gross-based Objective Function Cutting Plane whenever the optimal value of the Gross-scalar objective function is Gross-fractional. When it happens to be not Gross-fractional, cutting planes are generated using the Fractional Cutting Plane, derived from fractional components of the optimal solution. Moreover, by combining them, we proposed an algorithm that we called Gross-based Cutting Plane (GCP) method. It has been proved that it finds the optimal solution of a LMOILP problem and terminates after a finite number of iterations. To speed-up the GCP, at each iteration subsequent the first one, we re-use the optimal basis of the last continuous relaxation, by running the GrossDualSimplex algorithm. This is the well-known warm-start technique, which, however, needs specific attention due to the need to solve a linear problem having a right-hand side involving Grossone-based numbers. In the experimental part, we show the efficacy of the proposed approach.