A new surrogate dual multiplier search procedure

Efficient computation of tight bounds is of primary concern in any branch‐and‐bound procedure for solving integer programming problems. Many successful branch‐and‐bound approaches use the linear programming relaxation for bounding purposes. Significant interest has been reported in Lagrangian and surrogate duals as alternative sources of bounds. The existence of efficient techniques such as subgradient search for solving Lagrangian duals has led to some very successful applications of Lagrangian duality in solving specially structured problems. While surrogate duals have been theoretically shown to provide stronger bounds, the difficulty of surrogate dual‐multiplier search has discouraged their employment in solving integer programs. Based on the development of a new relationship between surrogate and Lagrangian duality, we suggest a new strategy for computing surrogate dual values. The proposed approach allows us to directly use established Lagrangian search methods for exploring surrogate dual multipliers. Computational experience with randomly generated capital budgeting problems validates the economic feasibility of the proposed ideas.