Implementation of a fixing strategy and parallelization in a recent global optimization method

Electromagnetism-like Mechanism (EM) heuristic is a population-based stochastic global optimization method inspired by the attraction-repulsion mechanism of the electromagnetism theory. EM was originally proposed for solving continuous global optimization problems with bound constraints and it has been shown that the algorithm performs quite well compared to some other global optimization methods. In this work, we propose two extensions to improve the performance of the original algorithm: First, we introduce a fixing strategy that provides a mechanism for not being trapped in local minima, and thus, improves the effectiveness of the search. Second, we use the proposed fixing strategy to parallelize the algorithm and utilize a cooperative parallel search on the solution space. We then evaluate the performance of our study under three criteria: the quality of the solutions, the number of function evaluations and the number of local minima obtained. Test problems are generated by an algorithm suggested in the literature that builds test problems with varying degrees of difficulty. Finally, we benchmark our results with that of the Knitro solver with the multistart option set

A symmetric rank-one Quasi-Newton line-search method using negative curvature directions

We propose a quasi-Newton line-search method that uses negative curvature directions for solving unconstrained optimization problems. In this method, the symmetric rank-one (SR1) rule is used to update the Hessian approximation. The SR1 update rule is known to have a good numerical performance; however, it does not guarantee positive definiteness of the updated matrix. We first discuss the details of the proposed algorithm and then concentrate on its numerical efficiency. Our extensive computational study shows the potential of the proposed method from different angles, such as; its second order convergence behavior, its exceeding performance when compared to two other existing packages, and its computation profile illustrating the possible bottlenecks in the execution time. We then conclude the paper with the convergence analysis of the proposed method

Simultaneous column-and-row generation for large-scale linear programs with column-dependent-rows

In this paper, we develop a simultaneous column-and-row generation algorithm that could be applied to a general class of large-scale linear programming problems. These problems typically arise in the context of linear programming formulations with exponentially many variables. The defining property for these formulations is a set of linking constraints, which are either too many to be included in the formulation directly, or the full set of linking constraints can only be identified, if all variables are generated explicitly. Due to this dependence between columns and rows, we refer to this class of linear programs as problems with column-dependent-rows. To solve these problems, we need to be able to generate both columns and rows on-the-fly within an efficient solution approach. We emphasize that the generated rows are structural constraints and distinguish our work from the branch-and-cut-and-price framework. We first characterize the underlying assumptions for the proposed column-and-row generation algorithm. These assumptions are general enough and cover all problems with column-dependent-rows studied in the literature up until now to the best of our knowledge. We then introduce in detail a set of pricing subproblems, which are used within the proposed column-and-row generation algorithm. This is followed by a formal discussion on the optimality of the algorithm. To illustrate the proposed approach, the paper is concluded by applying the proposed framework to the multi-stage cutting stock and the quadratic set covering problems

Simultaneous column-and-row generation for large-scale linear programs with column-dependent-rows

In this paper, we develop a simultaneous column-and-row generation algorithm for a general class of large-scale linear programming problems. These problems typically arise in the context of linear programming formulations with exponentially many variables. The defining property for these formulations is a set of linking constraints. These constraints are either too many to be included in the formulation directly, or the full set of linking constraints can only be identified, if all variables are generated explicitly. Due to this dependence between columns and rows, we refer to this class of linear programs as problems with column-dependent-rows. To solve these problems, we need to be able to generate both columns and rows on the fly within an efficient solution method. We emphasize that the generated rows are structural constraints and distinguish our work from the branch-and-cut-and-price framework. We first characterize the underlying assumptions for the proposed column-and-row generation algorithm and then introduce the associated set of pricing subproblems in detail. The proposed methodology is demonstrated on numerical examples for the multi-stage cutting stock and the quadratic set covering problems

High level rule modeling language for airline crew pairing

The crew pairing problem is an airline optimization problem where a set of least costly pairings (consecutive flights to be flown by a single crew) that covers every flight in a given flight network is sought. A pairing is defined by using a very complex set of feasibility rules imposed by international and national regulatory agencies, and also by the airline itself. The cost of a pairing is also defined by using complicated rules. When an optimization engine generates a sequence of flights from a given flight network, it has to check all these feasibility rules to ensure whether the sequence forms a valid pairing. Likewise, the engine needs to calculate the cost of the pairing by using certain rules. However, the rules used for checking the feasibility and calculating the costs are usually not static. Furthermore, the airline companies carry out what-if-type analyses through testing several alternate scenarios in each planning period. Therefore, embedding the implementation of feasibility checking and cost calculation rules into the source code of the optimization engine is not a practical approach. In this work, a high level language called ARUS is introduced for describing the feasibility and cost calculation rules. A compiler for ARUS is also implemented in this work to generate a dynamic link library to be used by crew pairing optimization engines

A note on "A LP-based heuristic for a time-constrained routing problem"

In their paper, Avella et al. (2006) investigate a time-constrained routing problem. The core of the proposed solution approach is a large-scale linear program that grows both row- and column-wise when new variables are introduced. Thus, a column-and-row generation algorithm is proposed to solve this linear program optimally, and an optimality condition is presented to terminate the column-and-row generation algorithm. We demonstrate by using Lagrangian duality that this optimality condition is incorrect and may lead to a suboptimal solution at termination

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the optimal solution does not change with the type of decision maker. However, this observation is not true for Conditional-Value-at-Risk. We then show for Conditional-Value-at-Risk that the objective function can be approximated by Monte Carlo simulation using only a univariate distribution. To solve the equivalent Markowitz model, we modify and implement a finite step algorithm. Finally, a numerical study is conducted.Conditional value-at-risk;Disutility;Elliptical distributions;Linear loss functions;Portfolio optimization;Value-at-risk

A note on "A LP-based heuristic for a time-constrained routing problem"

Avella et al. (2006) [Avella, P., D'Auria, B., Salerno, S. (2006). A LP-based heuristic for a time-constrained routing problem. European Journal of Operational Research 173:120-124] investigate a time-constrained routing (TCR) problem. The core of the proposed solution approach is a large-scale linear program (LP) that grows both row- and column-wise when new variables are introduced. Thus, a column-and-row generation algorithm is proposed to solve this LP optimally, and an optimality condition is presented to terminate the column-and-row generation algorithm. We demonstrate that this optimality condition is incorrect and may lead to a suboptimal solution at termination. We identify the source of this error and discuss how the generic column-and-row generation algorithm proposed by Muter et al. (2010) may be applied to this TCR problem in order to solve the proposed large-scale LP correctly