An Active Set Algorithm for Robust Combinatorial Optimization Based on Separation Oracles

We address combinatorial optimization problems with uncertain coefficients varying over ellipsoidal uncertainty sets. The robust counterpart of such a problem can be rewritten as a second-oder cone program (SOCP) with integrality constraints. We propose a branch-and-bound algorithm where dual bounds are computed by means of an active set algorithm. The latter is applied to the Lagrangian dual of the continuous relaxation, where the feasible set of the combinatorial problem is supposed to be given by a separation oracle. The method benefits from the closed form solution of the active set subproblems and from a smart update of pseudo-inverse matrices. We present numerical experiments on randomly generated instances and on instances from different combinatorial problems, including the shortest path and the traveling salesman problem, showing that our new algorithm consistently outperforms the state-of-the art mixed-integer SOCP solver of Gurobi

Optimal exact designs of experiments via Mixed Integer Nonlinear Programming

Optimal exact designs are problematic to find and study because there is no unified theory for determining them and studyingtheir properties. Each has its own challenges and when a method exists to confirm the design optimality, it is invariablyapplicable to the particular problem only.We propose a systematic approach to construct optimal exact designs by incorporatingthe Cholesky decomposition of the Fisher Information Matrix in a Mixed Integer Nonlinear Programming formulation. Asexamples, we apply the methodology to find D- and A-optimal exact designs for linear and nonlinear models using global orlocal optimizers. Our examples include design problems with constraints on the locations or the number of replicates at theoptimal design points

The Single Row Facility Layout Problem: State of the Art

The single row facility layout problem (SRFLP) is a NP-hard problem concerned with the arrangement of facilities of given lenghs on a line so as to minimize the weighted sum of the distances between all the pairs of facilities. The SRFLP and its special cases often arise while modeling a large variety of applications. It was actively researched until the mid-nineties. It has again been actively studied since 2005. Interestingly, research on many aspects of this problem is still in the initial stages, and hence the SRFLP is an interesting problem to work on. In this paper, we review the literature on the SRFLP and comment on its relationship with other location problems. We then provide an overview of different formulations of the problem that appear in the literature. We provide exact and heuristic approaches that have been used to solve SRFLPs, and finally point out research gaps and promising directions for future research on this problem.

Inverse Integer Optimization With an Application in Recommender Systems

In typical (forward) optimization, the goal is to obtain optimal values for the decision variables given known values of optimization model parameters. However, in practice, it may be challenging to determine appropriate values for these parameters. Assuming the availability of historical observations that represent past decisions made by an optimizing agent, the goal of inverse optimization is to impute the unknown model parameters that would make these observations optimal (or approximately optimal) solutions to the forward optimization problem. Inverse optimization has many applications, including geology, healthcare, transportation, and production planning. In this dissertation, we study inverse optimization with integer observation(s), focusing on the cost coefficients as the unknown parameters. Furthermore, we demonstrate an application of inverse optimization to recommender systems. First, we address inverse optimization with a single imperfect integer observation. The aim is to identify the unknown cost vector so that it makes the given imperfect observation approximately optimal by minimizing the optimality error. We develop a cutting plane algorithm for this problem. Results show that the proposed cutting plane algorithm works well for small instances. To reduce computational time, we propose an LP relaxation heuristic method. Furthermore, to obtain an optimal solution in a shorter amount of time, we combine both methods into a hybrid approach by initializing the cutting plane algorithm with a solution from the heuristic method. In the second study, we generalize the previous approach to inverse optimization with multiple imperfect integer observations that are all feasible solutions to one optimization problem. A cutting plane algorithm is proposed and then compared with an LP heuristic method. The results show the value of using multiple data points instead of a single observation. Finally, we apply the proposed methods in the setting of recommender systems. By accessing past user preferences, through inverse optimization we identify the unknown model parameters that minimize an aggregate of the optimality errors over multiple points. Once the unknown parameters are imputed, the recommender system can recommend the best items to the users. The advantage of using inverse optimization is that when users are optimizing their decisions, there is no need to have access to a large amount of data for imputing recommender system model parameters. We demonstrate the accuracy of our approach on a real data set for a restaurant recommender system

Efficient Semidefinite Branch-and-Cut for MAP-MRF Inference

We propose a Branch-and-Cut (B&C) method for solving general MAP-MRF inference problems. The core of our method is a very efficient bounding procedure, which combines scalable semidefinite programming (SDP) and a cutting-plane method for seeking violated constraints. In order to further speed up the computation, several strategies have been exploited, including model reduction, warm start and removal of inactive constraints. We analyze the performance of the proposed method under different settings, and demonstrate that our method either outperforms or performs on par with state-of-the-art approaches. Especially when the connectivities are dense or when the relative magnitudes of the unary costs are low, we achieve the best reported results. Experiments show that the proposed algorithm achieves better approximation than the state-of-the-art methods within a variety of time budgets on challenging non-submodular MAP-MRF inference problems.Comment: 21 page