## Sunday, July 7, 2019

### Binary multiplication

We want to express \begin{align} & z = x \cdot y \\ & x,y,z \in \{0,1\}\end{align} in a linear fashion. There are two good reasons to do this. This linearization will allow us to use linear Mixed Integer Programming solvers instead of quadratic or MINLP solvers. In addition, the linearization can bypass any non-convexity in the original quadratic formulation. The linear formulation will buy us more accessible solvers, and possibly better performance.

As we are talking about binary variables, $$z = x \cdot y$$ can be interpreted as $$z = x \textbf{ and } y$$. We can resort to two standard formulations:

Formulation 1Formulation 2
\begin{align} & \color{darkred} z \le \color{darkred}x\\ & \color{darkred}z \le \color{darkred}y\\ & \color{darkred}z \ge \color{darkred}x+\color{darkred}y-1\\ & \color{darkred}x,\color{darkred}y \in \{0,1\} \\ & \color{darkred}z \in [0,1] \end{align} \begin{align} & \color{darkred} z \le \frac{\color{darkred}x+\color{darkred}y}{2}\\ & \color{darkred} z \ge \color{darkred}x+\color{darkred}y-1\\ & \color{darkred}x,\color{darkred}y,\color{darkred}z \in \{0,1\} \\ \end{align}

I always use the first form. But I quite often see the second formulation being used (e.g. [1]).

The second form can be interpreted as an aggregation of the first one by adding up $$z\le x$$ and $$z \le y$$.

There is a good reason to use the first form: it is tighter. For instance, the fractional value $$(x,y) = (0, 1/2)$$ yields $$z=0$$ in the first formulation, but would allow $$z=0.25$$ in the second formulation. The first formulation is so tight, we can relax $$z\in\{0,1\}$$ to $$z\in[0,1]$$.

My attempt to show graphically the difference:

 Formulation 1
 Formulation 2

Obvious formulation 1 seems to be the winner. But when I try this out on a model [2] I see:

Results for Cplex, default settings, 1 thread
SizeModel 1
Seconds/nodes
Model 2
Seconds/nodes
$$n=20,k=10$$2.9 / 31171.8 / 3018
$$n=25,k=5$$12 / 624511 / 7043
$$n=30,k=4$$15 / 526313 / 4471

Well, this does not seem to prove my point. My preferred formulation is actually slightly underperforming.

Let's look at a different solver to see if that proves my point.

SizeModel 1
Seconds/nodes
Model 2
Seconds/nodes
$$n=20,k=10$$46 / 30821623 / 279364
$$n=25,k=5$$105 / 68601823 / 87396
$$n=30,k=4$$144 / 12008213 / 11336

These results look quite different. First, obviously CBC is slower than Cplex. No surprise there. But also we see formulation 1 is much better than formulation 2. This is more like I expected beforehand. I suspect the cuts produced by Cplex eliminated the advantage of formulation 1. We see that more often: some modeling tricks are becoming less important as solvers are getting smarter.

Notes:

1. The meaning of $$n$$ and $$k$$ for the size of the problem is explained in [2].
2. The variables $$z$$ were declared as binary both in models 1 and 2.