论文标题
替代“基于级别”的Lagrangian放松,用于混合整数线性编程
Surrogate "Level-Based" Lagrangian Relaxation for Mixed-Integer Linear Programming
论文作者
论文摘要
混合企业线性编程(MILP)在一系列科学学科以及对社会具有战略重要性的领域中起着重要作用。但是,MILP问题遭受了组合复杂性。由于整数决策变量,随着问题大小的增加,可能的解决方案的数量会增加超线性,从而导致计算工作的急剧增加。为了有效解决MILP问题,开发了一种“基于价格”的分解和协调方法来利用1。分解时的复杂性的超线性降低和2。几何收敛潜在的台阶公式固有的几何融合潜力,以获得最快的配位,以便在计算效率效率的方式中获得近距离的解决方案。与所有以前的方法通过调整超参数来设置启发式的所有方法不同,获得步骤尺寸的关键新方法纯粹是基于决策的:解决了一种新颖的“辅助”约束满意度问题,从中可以推断出适当的步骤。大规模广义分配问题(GAP)的测试结果表明,在大多数实例中,获得了确保最佳解决方案。对于随机工作,调度和制药计划,计算结果证明了与分支机构(B&C)相比的两个数量级速度。这种新方法对在各种科学领域中产生的复杂混合构成编程(MIP)问题的有效分辨率有重大影响。
Mixed-Integer Linear Programming (MILP) plays an important role across a range of scientific disciplines and within areas of strategic importance to society. The MILP problems, however, suffer from combinatorial complexity. Because of integer decision variables, as the problem size increases, the number of possible solutions increases super-linearly thereby leading to a drastic increase in the computational effort. To efficiently solve MILP problems, a "price-based" decomposition and coordination approach is developed to exploit 1. the super-linear reduction of complexity upon the decomposition and 2. the geometric convergence potential inherent to Polyak's stepsizing formula for the fastest coordination possible to obtain near-optimal solutions in a computationally efficient manner. Unlike all previous methods to set stepsizes heuristically by adjusting hyperparameters, the key novel way to obtain stepsizes is purely decision-based: a novel "auxiliary" constraint satisfaction problem is solved, from which the appropriate stepsizes are inferred. Testing results for large-scale Generalized Assignment Problems (GAP) demonstrate that for the majority of instances, certifiably optimal solutions are obtained. For stochastic job-shop scheduling as well as for pharmaceutical scheduling, computational results demonstrate the two orders of magnitude speedup as compared to Branch-and-Cut (B&C). The new method has a major impact on the efficient resolution of complex Mixed-Integer Programming (MIP) problems arising within a variety of scientific fields.