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arXiv 2103.13074math.OCmath.CO
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混合整数optimization的热启动约束生成:一种机器学习方法

Warm-starting constraint generation for mixed-integer optimization: A Machine Learning approach

Asunción Jiménez-Cordero, Juan Miguel Morales, Salvador Pineda

摘要:

混合线性规划(MILP)是一个NP难(Non-deterministic Polynomial-time hard)问题。即使纯优化为基础的方法,如约束生成,保证提供一个最优解,如果有足够的时间,他们在在线应用程序中的使用仍然是一个巨大的挑战,由于他们通常过多的时间要求。为了减轻他们的计算负担,一些机器学习技术(ML)已经在文献中提出,使用先前解决的MILP实例提供的信息。不幸的是,这些技术报告了不可忽略的不可行或次优实例的百分比。通过将数学优化和机器学习结合起来,本文提出了一种新的方法,可以加快传统约束生成方法的速度,同时保持可行性和最优性保证。特别是,我们首先确定离线所谓的不变约束集过去MILP实例。然后,我们训练(也离线)机器学习方法来学习作为每个实例的问题参数的函数的不变约束集。接下来,我们在线预测新的不可见MILP应用程序的不变约束集,并使用它来初始化约束生成方法。这种热启动策略显著减少了达到最优的迭代次数,因此,在线求解每个MILP问题的计算负担显著减少。非常重要的是,所有的可行性和传统的约束生成方法的最优性理论保证继承了我们提出的方法。所提出的方法的计算性能进行量化,通过合成和现实生活中的MILP应用。

英文摘要:

Mixed Integer Linear Programs (MILP) are well known to be NP-hard (Non-deterministic Polynomial-time hard) problems in general. Even though pure optimization-based methods, such as constraint generation, are guaranteed to provide an optimal solution if enough time is given, their use in online applications remains a great challenge due to their usual excessive time requirements. To alleviate their computational burden, some machine learning techniques (ML) have been proposed in the literature, using the information provided by previously solved MILP instances. Unfortunately, these techniques report a non-negligible percentage of infeasible or suboptimal instances. By linking mathematical optimization and machine learning, this paper proposes a novel approach that speeds up the traditional constraint generation method, preserving feasibility and optimality guarantees. In particular, we first identify offline the so-called invariant constraint set of past MILP instances. We then train (also offline) a machine learning method to learn an invariant constraint set as a function of the problem parameters of each instance. Next, we predict online an invariant constraint set of the new unseen MILP application and use it to initialize the constraint generation method. This warm-started strategy significantly reduces the number of iterations to reach optimality, and therefore, the computational burden to solve online each MILP problem is significantly reduced. Very importantly, all the feasibility and optimality theoretical guarantees of the traditional constraint generation method are inherited by our proposed methodology. The computational performance of the proposed approach is quantified through synthetic and real-life MILP applications.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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