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When solving instances of the following linear program (LP), I always get an integral (actually binary) solution. Is it just a coincidence or is it possible to prove that there always exists a binary solution? (Sorry if the definitions are hard to follow, I also included an example at the end.)

The LP is $$ \begin{align*} &\text{maximize }& &j^\prime x\\ &\text{subject to }& &Ax \leq b\\ & && 0\leq x_i \leq 1 \quad \forall i \end{align*} $$

** update: the last constraint ($0\leq x_i \leq 1$) is redundant and not needed.

Where $j$ is a vector of ones, $A$ has the following form $$ A = \begin{bmatrix} I & I & Z\\ I & Z & Z\\ Z & I & Z\\ Z & Z & I\\ -Y & -Y & I\\ Y & -Y & -I \end{bmatrix} $$ $I$ is the $n \times n$ identity, $Z$ is $n \times n$ zeros, and $Y \in \{0, 1\}^{n\times n}$ such that each column sums up to one (exactly one 1 in each column) and the index of the 1 in each column is greater or equal to the index of the one in previous column (see the example at the bottom). Moreover any of the last $n$ rows of $A$ may be multiplied by -1.

$$ b= \begin{bmatrix} i\\ r_1\\ r_2\\ i\\ z\\ z \end{bmatrix}$$

Where $i$ is a vector of ones of length $n$, $z$ is a vector of zeros of length $n$, $r_1 \in \{0,1\}^n$, $r_2\in \{0,1\}^n$ (random zero-one vectors of length n)

I found literature describing that if $A$ is unimodular, that is a sufficient condition for the solution being integral. Unfortunately, in general, A is not totally unimodular.

A weaker sufficient condition would be total dual integrality (TDI), saying that if for all integral vectors $j$, the dual program has an integral solution whenever the optimal value is finite. And the every vertex of the solution set of a TDI system is integer-valued. But IMHO this would include proving that the dual is integral, which would just raise similar questions. Moreover, I'm not even sure that the TDI condition holds.

Another way of doing this could be using the structure of $j$ (all ones), and show only for this direction that the optimal solution is indeed an integral-value vertex. So the question is if there is anything particular in the structure of this problem ($A$, $b$, $j$) that can be a condition for integral solution.

Example with $n=3$: $$ Y = \begin{bmatrix} 0&0&0\\ 1&1&0\\ 0&0&1 \end{bmatrix}$$ $$ A = \begin{bmatrix} 1 & 0 & 0 & 1 & 0 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 0 & 1 & 0 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 0 & 1 & 0 & 0 & 0\\ 1 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 1 & 0 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 1 & 0 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 0 & 1 & 0 & 0 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 1 & 0 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0\\ 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 1\\ 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0\\ -1 & -1 & 0 & -1 & -1 & 0 & 0 & 1 & 0\\ 0 & 0 & -1 & 0 & 0 & -1 & 0 & 0 & 1\\ 0 & 0 & 0 & 0 & 0 & 0 & 1 & 0 & 0\\ 1 & 1 & 0 & -1 & -1 & 0 & 0 & -1 & 0\\ 0 & 0 & 1 & 0 & 0 & -1 & 0 & 0 & -1 \end{bmatrix},\;\; b= \begin{bmatrix} 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 1\\ 0\\ 0\\ 0\\ 0\\ 0\\ 0\\ \end{bmatrix} $$

The solution for this instance is 5, all the variables are found binary (by gurobi), however there exist non binary solutions as well with the same optimal value.

hdb
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  • The statement is seemingly true (I have run quite a few random and nonrandom samples). – LinAlg Jan 11 '17 at 16:49
  • I am working on it but I could not find a solution so far. However, the third row in the matrix is redundant and can be left out. This constraint will always be $[Z~Z~I]x \leq I$. So, the constraint means that the last $n$ variables will always be $\leq 1$. This is, however, already imposed by the bounds $0 \leq x_i \leq 1$. We can remove this part from the matrix. – YukiJ Jan 11 '17 at 20:36
  • @YukiJ: what do you mean by "third row"? You mean in the example? It seems to me that generally there will be at least one redundant row because $Y$ is 'crossing' the diagonal at least at one index. Also there are no bounds $0 \le x_i \le 1$ ... – hdb Jan 12 '17 at 07:15
  • But you wrote $0 \leq x_i \leq 1 \forall i$ in the LP... – YukiJ Jan 12 '17 at 07:16
  • You are correct. Sorry, it's my fault. It should be working without that last constraint too. At least I haven't used that condition when I tested.

    I remember that I got integral solution without $\begin{bmatrix}Z&Z&I\end{bmatrix} x \leq I$, however I have preferred them boolean so that is why I included that.

    – hdb Jan 12 '17 at 09:14
  • $[Z ~Z ~I]x \leq I$ implies $x_i \leq 1$ for the last $n$ $x_i$. – YukiJ Jan 12 '17 at 09:37
  • That is correct. The fact is that I get boolean solution, and would like to prove why. – hdb Jan 12 '17 at 10:26
  • Ohh, I think I see now what your point was, and it might be a bit tricky: Rows 2-4 in the definition of $A$ constraints all the variables to be $\leq$ 1, however the objective function is the sum of all variables, and perhaps that is why I don't see any negative variables in the final solution. Anyway, I don't know how to approach a proof like this so any hints are welcome. – hdb Jan 12 '17 at 10:35

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