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What is Optimization?

Optimization is a mathematical discipline that concerns the finding of minima and maxima of functions, subject to so-called constraints. Optimization originated in the 1940s, when George Dantzig used mathematical techniques for generating "programs" (training timetables and schedules) for military application. Since then, his "linear programming" techniques and their descendents were applied to a wide variety of problems, from the scheduling of production facilities, to yield management in airlines. Today, optimization comprises a wide variety of techniques from Operations Research, artificial intelligence and computer science, and is used to improve business processes in practically all industries.

Discrete optimization problems arise, when the variables occurring in the optimization function can take only a finite number of discrete values. For example, the staff scheduler of a hospital unit has a finite set of staff members available, and thus staff scheduling consists of taking discrete decisions, one for each slot of the resulting schedule. Discrete optimization aims at taking these decisions such that a given function is maximized (for example revenue) or minimized (for example cost), subject to constraints, which express regulations or rules, such as required numbers of rest days for the staff in a schedule.

Perhaps surprisingly, discrete optimization is more difficult than its "continuous" counterpart, where variables are allowed to take fractional values or even "real numbers". In fact, there is no general solution known for optimization problems that reliably and speedily computes solutions to discrete optimization problems. A variety of computation techniques compete for the best solution. In recent years, it has become clear that different application domains lend themselves to different solution techniques. Linear programming has been applied to discrete optimization using so-called "branch-and-bound" techniques, for example to solve facility location problems. Heuristic search aims at finding good but not necessarily optimal solutions quickly. This technique is successfully used in a wide variety of applications; for example the Lin Kernighan heuristic for the Traveling Salesman problem finds solutions that are extremely close to the optimal solution for very large problem instances. Constraint programming is a solution technique that developed out of programming language research and artificial intelligence. It employs specialized algorithms in the general framework of tree search, and has been successfully applied to production scheduling problems.

Another recent trend is the combination of optimization techniques for problems that do not lend themselves easily to one technique alone. Today, these techniques prove to deliver robust engines that provide very high quality solutions for even very large problem instances.

Further reading:
  • The Science of Better: Website on Operations Research provided by the Institute for Operations Research and the Management Sciences (INFORMS): http://www.scienceofbetter.org


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