Progressively Strengthening and Tuning MIP Solvers for Reoptimization

This paper explores reoptimization techniques for solving sequences of similar mixed integer programs (MIPs) more effectively. Traditionally, these MIPs are solved independently, without capitalizing on information from previously solved instances. Our approach focuses on primal bound improvements by reusing the solutions of the previously solved instances as well as dual bound improvements by reusing the branching history and automating parameter-tuning. We also describe ways to improve the solver performance by extending ideas from reliability branching to generate better pseudocosts. Our reoptimization approach, which we developed for the computational competition of the MIP 2023 workshop, earned us the first prize. In this paper, we thoroughly analyze the performance of each technique and their combined impact on the solver's performance. Finally, we present ways to extend our techniques in practice for further improvements.Comment: Submitted to MPC journa

A unified early termination technique for primal-dual algorithms in mixed integer conic programming

We propose an early termination technique for mixed integer conic programming within branch-and-bound based solvers. Our approach generalizes previous early termination results for ADMM-based solvers to a broader class of primaldual algorithms, including both operator splitting and interior point methods. The complexity for checking early termination is O(n) for each termination check assuming a bounded problem domain. We show that this domain restriction can be relaxed for problems whose data satisfies a simple rank condition, in which case each check requires an O(n2) solve using a linear system that is factored only once at the root node. We further show how this approach can be used in hybrid model predictive control problems with bounded inputs. Numerical results show that our method leads to a moderate reduction in the computational time required for branch-and-bound conic solvers with interior-point based subsolvers

Recent Advancements in Commercial Integer Optimization Solvers for Business Intelligence Applications

The chapter focuses on the recent advancements in commercial integer optimization solvers as exemplified by the CPLEX software package particularly but not limited to mixed-integer linear programming (MILP) models applied to business intelligence applications. We provide background on the main underlying algorithmic method of branch-and-cut, which is based on the established optimization solution methods of branch-and-bound and cutting planes. The chapter also covers heuristic-based algorithms, which include preprocessing and probing strategies as well as the more advanced methods of local or neighborhood search for polishing solutions toward enhanced use in practical settings. Emphasis is given to both theory and implementation of the methods available. Other considerations are offered on parallelization, solution pools, and tuning tools, culminating with some concluding remarks on computational performance vis-à-vis business intelligence applications with a view toward perspective for future work in this area

09261 Abstracts Collection -- Models and Algorithms for Optimization in Logistics

From June 21 to June 26, 2009 the Dagstuhl Seminar Perspectives Workshop 09261 ``Models and Algorithms for Optimization in Logistics \u27\u27 was held in Schloss Dagstuhl~--~Leibniz Center for Informatics. During the seminar, several participants presented their current research, and ongoing work and open problems were discussed. Abstracts of the presentations given during the seminar as well as abstracts of seminar results and ideas are put together in this paper. The first section describes the seminar topics and goals in general. Links to extended abstracts or full papers are provided, if available

Topics in exact precision mathematical programming

The focus of this dissertation is the advancement of theory and computation related to exact precision mathematical programming. Optimization software based on floating-point arithmetic can return suboptimal or incorrect resulting because of round-off errors or the use of numerical tolerances. Exact or correct results are necessary for some applications. Implementing software entirely in rational arithmetic can be prohibitively slow. A viable alternative is the use of hybrid methods that use fast numerical computation to obtain approximate results that are then verified or corrected with safe or exact computation. We study fast methods for sparse exact rational linear algebra, which arises as a bottleneck when solving linear programming problems exactly. Output sensitive methods for exact linear algebra are studied. Finally, a new method for computing valid linear programming bounds is introduced and proven effective as a subroutine for solving mixed-integer linear programming problems exactly. Extensive computational results are presented for each topic.Ph.D.Committee Chair: Dr. William J. Cook; Committee Member: Dr. George Nemhauser; Committee Member: Dr. Robin Thomas; Committee Member: Dr. Santanu Dey; Committee Member: Dr. Shabbir Ahmed; Committee Member: Dr. Zonghao G

The dynamic, resource-constrained shortest path problem on an acyclic graph with application in column generation and literature review on sequence-dependent scheduling

This dissertation discusses two independent topics: a resource-constrained shortest-path problem (RCSP) and a literature review on scheduling problems involving sequence-dependent setup (SDS) times (costs). RCSP is often used as a subproblem in column generation because it can be used to solve many practical problems. This dissertation studies RCSP with multiple resource constraints on an acyclic graph, because many applications involve this configuration, especially in column genetation formulations. In particular, this research focuses on a dynamic RCSP since, as a subproblem in column generation, objective function coefficients are updated using new values of dual variables at each iteration. This dissertation proposes a pseudo-polynomial solution method for solving the dynamic RCSP by exploiting the special structure of an acyclic graph with the goal of effectively reoptimizing RCSP in the context of column generation. This method uses a one-time âÂÂpreliminaryâ phase to transform RCSP into an unconstrained shortest path problem (SPP) and then solves the resulting SPP after new values of dual variables are used to update objective function coefficients (i.e., reduced costs) at each iteration. Network reduction techniques are considered to remove some nodes and/or arcs permanently in the preliminary phase. Specified techniques are explored to reoptimize when only several coefficients change and for dealing with forbidden and prescribed arcs in the context of a column generation/branch-and-bound approach. As a benchmark method, a label-setting algorithm is also proposed. Computational tests are designed to show the effectiveness of the proposed algorithms and procedures. This dissertation also gives a literature review related to the class of scheduling problems that involve SDS times (costs), an important consideration in many practical applications. It focuses on papers published within the last decade, addressing a variety of machine configurations - single machine, parallel machine, flow shop, and job shop - reviewing both optimizing and heuristic solution methods in each category. Since lot-sizing is so intimately related to scheduling, this dissertation reviews work that integrates these issues in relationship to each configuration. This dissertation provides a perspective of this line of research, gives conclusions, and discusses fertile research opportunities posed by this class of scheduling problems. since, as a subproblem in column generation, objective function coefficients are updated using new values of dual variables at each iteration. This dissertation proposes a pseudo-polynomial solution method for solving the dynamic RCSP by exploiting the special structure of an acyclic graph with the goal of effectively reoptimizing RCSP in the context of column generation. This method uses a one-tim

Dynamic vehicle routing problems: Three decades and counting

Since the late 70s, much research activity has taken place on the class of dynamic vehicle routing problems (DVRP), with the time period after year 2000 witnessing a real explosion in related papers. Our paper sheds more light into work in this area over more than 3 decades by developing a taxonomy of DVRP papers according to 11 criteria. These are (1) type of problem, (2) logistical context, (3) transportation mode, (4) objective function, (5) fleet size, (6) time constraints, (7) vehicle capacity constraints, (8) the ability to reject customers, (9) the nature of the dynamic element, (10) the nature of the stochasticity (if any), and (11) the solution method. We comment on technological vis-à-vis methodological advances for this class of problems and suggest directions for further research. The latter include alternative objective functions, vehicle speed as decision variable, more explicit linkages of methodology to technological advances and analysis of worst case or average case performance of heuristics.© 2015 Wiley Periodicals, Inc

Lot sizing and furnace scheduling in small foundries

A lot sizing and scheduling problem prevalent in small market-driven foundries is studied. There are two related decision levels: (1) the furnace scheduling of metal alloy production, and (2) moulding machine planning which specifies the type and size of production lots. A mixed integer programming (MIP) formulation of the problem is proposed, but is impractical to solve in reasonable computing time for non-small instances. As a result, a faster relax-and-fix (RF) approach is developed that can also be used on a rolling horizon basis where only immediate-term schedules are implemented. As well as a MIP method to solve the basic RF approach, three variants of a local search method are also developed and tested using instances based on the literature. Finally, foundry-based tests with a real-order book resulted in a very substantial reduction of delivery delays and finished inventory, better use of capacity, and much faster schedule definition compared to the foundry's own practice. © 2006 Elsevier Ltd. All rights reserved

Approximated Perspective Relaxations: a Project&Lift Approach

The Perspective Reformulation (PR) of a Mixed-Integer NonLinear Program with semi-continuous variables is obtained by replacing each term in the (separable) objective function with its convex envelope. Solving the corresponding continuous relaxation requires appropriate techniques. Under some rather restrictive assumptions, the Projected PR (P^2R) can be defined where the integer variables are eliminated by projecting the solution set onto the space of the continuous variables only. This approach produces a simple piecewise-convex problem with the same structure as the original one; however, this prevents the use of general-purpose solvers, in that some variables are then only implicitly represented in the formulation. We show how to construct an Approximated Projected PR (AP^2R) whereby the projected formulation is "lifted" back to the original variable space, with each integer variable expressing one piece of the obtained piecewise-convex function. In some cases, this produces a reformulation of the original problem with exactly the same size and structure as the standard continuous relaxation, but providing substantially improved bounds. In the process we also substantially extend the approach beyond the original P^2R development by relaxing the requirement that the objective function be quadratic and the left endpoint of the domain of the variables be non-negative. While the AP^2R bound can be weaker than that of the PR, this approach can be applied in many more cases and allows direct use of off-the-shelf MINLP software; this is shown to be competitive with previously proposed approaches in some applications