Consistent Second-Order Conic Integer Programming for Learning Bayesian Networks

Bayesian Networks (BNs) represent conditional probability relations among a set of random variables (nodes) in the form of a directed acyclic graph (DAG), and have found diverse applications in knowledge discovery. We study the problem of learning the sparse DAG structure of a BN from continuous observational data. The central problem can be modeled as a mixed-integer program with an objective function composed of a convex quadratic loss function and a regularization penalty subject to linear constraints. The optimal solution to this mathematical program is known to have desirable statistical properties under certain conditions. However, the state-of-the-art optimization solvers are not able to obtain provably optimal solutions to the existing mathematical formulations for medium-size problems within reasonable computational times. To address this difficulty, we tackle the problem from both computational and statistical perspectives. On the one hand, we propose a concrete early stopping criterion to terminate the branch-and-bound process in order to obtain a near-optimal solution to the mixed-integer program, and establish the consistency of this approximate solution. On the other hand, we improve the existing formulations by replacing the linear "big-$M$" constraints that represent the relationship between the continuous and binary indicator variables with second-order conic constraints. Our numerical results demonstrate the effectiveness of the proposed approaches

Decomposition, Reformulation, and Diving in University Course Timetabling

In many real-life optimisation problems, there are multiple interacting components in a solution. For example, different components might specify assignments to different kinds of resource. Often, each component is associated with different sets of soft constraints, and so with different measures of soft constraint violation. The goal is then to minimise a linear combination of such measures. This paper studies an approach to such problems, which can be thought of as multiphase exploitation of multiple objective-/value-restricted submodels. In this approach, only one computationally difficult component of a problem and the associated subset of objectives is considered at first. This produces partial solutions, which define interesting neighbourhoods in the search space of the complete problem. Often, it is possible to pick the initial component so that variable aggregation can be performed at the first stage, and the neighbourhoods to be explored next are guaranteed to contain feasible solutions. Using integer programming, it is then easy to implement heuristics producing solutions with bounds on their quality. Our study is performed on a university course timetabling problem used in the 2007 International Timetabling Competition, also known as the Udine Course Timetabling Problem. In the proposed heuristic, an objective-restricted neighbourhood generator produces assignments of periods to events, with decreasing numbers of violations of two period-related soft constraints. Those are relaxed into assignments of events to days, which define neighbourhoods that are easier to search with respect to all four soft constraints. Integer programming formulations for all subproblems are given and evaluated using ILOG CPLEX 11. The wider applicability of this approach is analysed and discussed.Comment: 45 pages, 7 figures. Improved typesetting of figures and table