A Partial Taxonomy of Substitutability and Interchangeability

Substitutability, interchangeability and related concepts in Constraint Programming were introduced approximately twenty years ago and have given rise to considerable subsequent research. We survey this work, classify, and relate the different concepts, and indicate directions for future work, in particular with respect to making connections with research into symmetry breaking. This paper is a condensed version of a larger work in progress.Comment: 18 pages, The 10th International Workshop on Symmetry in Constraint Satisfaction Problems (SymCon'10

A Scalable Algorithm For Sparse Portfolio Selection

The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal expected return and minimum variance, subject to an upper bound on the number of positions, linear inequalities and minimum investment constraints. Existing certifiably optimal approaches to this problem do not converge within a practical amount of time at real world problem sizes with more than 400 securities. In this paper, we propose a more scalable approach. By imposing a ridge regularization term, we reformulate the problem as a convex binary optimization problem, which is solvable via an efficient outer-approximation procedure. We propose various techniques for improving the performance of the procedure, including a heuristic which supplies high-quality warm-starts, a preprocessing technique for decreasing the gap at the root node, and an analytic technique for strengthening our cuts. We also study the problem's Boolean relaxation, establish that it is second-order-cone representable, and supply a sufficient condition for its tightness. In numerical experiments, we establish that the outer-approximation procedure gives rise to dramatic speedups for sparse portfolio selection problems.Comment: Submitted to INFORMS Journal on Computin

A Constraint Programming Approach for Non-Preemptive Evacuation Scheduling

Large-scale controlled evacuations require emergency services to select evacuation routes, decide departure times, and mobilize resources to issue orders, all under strict time constraints. Existing algorithms almost always allow for preemptive evacuation schedules, which are less desirable in practice. This paper proposes, for the first time, a constraint-based scheduling model that optimizes the evacuation flow rate (number of vehicles sent at regular time intervals) and evacuation phasing of widely populated areas, while ensuring a nonpreemptive evacuation for each residential zone. Two optimization objectives are considered: (1) to maximize the number of evacuees reaching safety and (2) to minimize the overall duration of the evacuation. Preliminary results on a set of real-world instances show that the approach can produce, within a few seconds, a non-preemptive evacuation schedule which is either optimal or at most 6% away of the optimal preemptive solution.Comment: Submitted to the 21st International Conference on Principles and Practice of Constraint Programming (CP 2015). 15 pages + 1 reference pag

An adaptive group theoretic algorithm for integer programming problems

At head of title: Preliminary draft