KP
K.S. Postek
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Two-stage robust optimization problems constitute one of the hardest optimization problem classes. One of the solution approaches to this class of problems is K-adaptability. This approach simultaneously seeks the best partitioning of the uncertainty set of scenarios into K subsets and optimizes decisions corresponding to each of these subsets. In a general case, it is solved using the K-adaptability branch-and-bound algorithm, which requires exploration of exponentially growing solution trees. To accelerate finding high-quality solutions in such trees, we propose a machine learning-based node selection strategy. In particular, we construct a feature engineering scheme based on general two-stage robust optimization insights, which allows us to train our machine learning tool on a database of resolved branch-and-bound trees and to apply it as is to problems of different sizes and/or types. We experimentally show that using our learned node selection strategy outperforms a vanilla, random node selection strategy when tested on problems of the same type as the training problems as well as in cases when the K-value or the problem size differs from the training ones.
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Two-stage robust optimization problems constitute one of the hardest optimization problem classes. One of the solution approaches to this class of problems is K-adaptability. This approach simultaneously seeks the best partitioning of the uncertainty set of scenarios into K subsets and optimizes decisions corresponding to each of these subsets. In a general case, it is solved using the K-adaptability branch-and-bound algorithm, which requires exploration of exponentially growing solution trees. To accelerate finding high-quality solutions in such trees, we propose a machine learning-based node selection strategy. In particular, we construct a feature engineering scheme based on general two-stage robust optimization insights, which allows us to train our machine learning tool on a database of resolved branch-and-bound trees and to apply it as is to problems of different sizes and/or types. We experimentally show that using our learned node selection strategy outperforms a vanilla, random node selection strategy when tested on problems of the same type as the training problems as well as in cases when the K-value or the problem size differs from the training ones.
Multistage robust optimization, in which decisions are taken sequentially as new information becomes available about uncertain problem parameters, is a very versatile yet computationally challenging paradigm for decision making under uncertainty. In this technical note, we propose a new model and solution approach for multistage robust mixed-integer programs, which may contain both continuous and discrete decisions at any time stage. Our model builds upon the finite adaptability scheme developed for two-stage robust optimization problems, and it allows us to decompose the multistage problem into a large number of much simpler two-stage problems. We discuss how these two-stage problems can be solved both exactly and approximately, and we report numerical results for route planning and location-transportation problems.
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Multistage robust optimization, in which decisions are taken sequentially as new information becomes available about uncertain problem parameters, is a very versatile yet computationally challenging paradigm for decision making under uncertainty. In this technical note, we propose a new model and solution approach for multistage robust mixed-integer programs, which may contain both continuous and discrete decisions at any time stage. Our model builds upon the finite adaptability scheme developed for two-stage robust optimization problems, and it allows us to decompose the multistage problem into a large number of much simpler two-stage problems. We discuss how these two-stage problems can be solved both exactly and approximately, and we report numerical results for route planning and location-transportation problems.
Optimization models used to make discrete decisions often contain uncertain parameters that are context-dependent and estimated through prediction. To account for the quality of the decision made based on the prediction, decision-focused learning (end-to-end predict-then-optimize) aims at training the predictive model to minimize regret, i.e., the loss incurred by making a suboptimal decision. Despite the challenge of the gradient of this loss w.r.t. the predictive model parameters being zero almost everywhere for optimization problems with a linear objective, effective gradient-based learning approaches have been proposed to minimize the expected loss, using the empirical loss as a surrogate. However, empirical regret can be an ineffective surrogate because empirical optimal decisions can vary substantially from expected optimal decisions. To understand the impact of this deficiency, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three novel loss functions that approximate expected regret more robustly. Experimental results show that training two state-of-the-art decision-focused learning approaches using robust regret losses improves test–sample empirical regret in general while keeping computational time equivalent relative to the number of training epochs.
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Optimization models used to make discrete decisions often contain uncertain parameters that are context-dependent and estimated through prediction. To account for the quality of the decision made based on the prediction, decision-focused learning (end-to-end predict-then-optimize) aims at training the predictive model to minimize regret, i.e., the loss incurred by making a suboptimal decision. Despite the challenge of the gradient of this loss w.r.t. the predictive model parameters being zero almost everywhere for optimization problems with a linear objective, effective gradient-based learning approaches have been proposed to minimize the expected loss, using the empirical loss as a surrogate. However, empirical regret can be an ineffective surrogate because empirical optimal decisions can vary substantially from expected optimal decisions. To understand the impact of this deficiency, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three novel loss functions that approximate expected regret more robustly. Experimental results show that training two state-of-the-art decision-focused learning approaches using robust regret losses improves test–sample empirical regret in general while keeping computational time equivalent relative to the number of training epochs.
Metaheuristics are known to be effective in finding good solutions in combinatorial optimization, but solving stochastic problems is costly due to the need for evaluation of multiple scenarios. We propose a general method to reduce the number of scenario evaluations per solution and thus improve metaheuristic efficiency. We use a sequential sampling procedure exploiting estimates of the solutions’ expected objective values. These values are obtained with a predictive model, which is founded on an estimated discrete probability distribution linearly related to all solutions’ objective distributions; the probability distribution is continuously refined based on incoming solution evaluation. The proposed method is tested using simulated annealing, but in general applicable to single solution metaheuristics. The method’s performance is compared to descriptive sampling and an adaptation of a sequential sampling method assuming noisy evaluations. Experimental results on three problems indicate the proposed method is robust overall, and performs better on average than the baselines on two of the problems.
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Metaheuristics are known to be effective in finding good solutions in combinatorial optimization, but solving stochastic problems is costly due to the need for evaluation of multiple scenarios. We propose a general method to reduce the number of scenario evaluations per solution and thus improve metaheuristic efficiency. We use a sequential sampling procedure exploiting estimates of the solutions’ expected objective values. These values are obtained with a predictive model, which is founded on an estimated discrete probability distribution linearly related to all solutions’ objective distributions; the probability distribution is continuously refined based on incoming solution evaluation. The proposed method is tested using simulated annealing, but in general applicable to single solution metaheuristics. The method’s performance is compared to descriptive sampling and an adaptation of a sequential sampling method assuming noisy evaluations. Experimental results on three problems indicate the proposed method is robust overall, and performs better on average than the baselines on two of the problems.
Real-life parallel machine scheduling problems can be characterized by: (i) limited information about the exact task duration at the scheduling time, and (ii) an opportunity to reschedule the remaining tasks each time a task processing is completed and a machine becomes idle. Robust optimization is the natural methodology to cope with the first characteristic of duration uncertainty, yet the existing literature on robust scheduling does not explicitly consider the second characteristic the possibility to adjust decisions as more information about the tasks duration becomes available, despite that re-optimizing the schedule every time new information emerges is standard practice. In this paper, we develop an adaptive robust optimization scheduling approach that takes into account, at the beginning of the planning horizon, the possibility that scheduling decisions can be adjusted. We demonstrate that the suggested approach can lead to better here-and-now decisions and better makespan guarantees. To that end, we develop the first mixed integer linear programming model for adaptive robust scheduling, and a two-stage approximation heuristic, where we minimize the worst-case makespan. Using this model, we show via a numerical study that adaptive scheduling leads to solutions with better and more stable makespan realizations compared to static approaches.
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Real-life parallel machine scheduling problems can be characterized by: (i) limited information about the exact task duration at the scheduling time, and (ii) an opportunity to reschedule the remaining tasks each time a task processing is completed and a machine becomes idle. Robust optimization is the natural methodology to cope with the first characteristic of duration uncertainty, yet the existing literature on robust scheduling does not explicitly consider the second characteristic the possibility to adjust decisions as more information about the tasks duration becomes available, despite that re-optimizing the schedule every time new information emerges is standard practice. In this paper, we develop an adaptive robust optimization scheduling approach that takes into account, at the beginning of the planning horizon, the possibility that scheduling decisions can be adjusted. We demonstrate that the suggested approach can lead to better here-and-now decisions and better makespan guarantees. To that end, we develop the first mixed integer linear programming model for adaptive robust scheduling, and a two-stage approximation heuristic, where we minimize the worst-case makespan. Using this model, we show via a numerical study that adaptive scheduling leads to solutions with better and more stable makespan realizations compared to static approaches.
Non-convex discrete-time optimal control problems in, e.g., water or power systems, typically involve a large number of variables related through nonlinear equality constraints. The ideal goal is to find a globally optimal solution, and numerical experience indicates that algorithms aiming for Karush–Kuhn–Tucker points often find solutions that are indistinguishable from global optima. In our paper, we provide a theoretical underpinning for this phenomenon, showing that on a broad class of problems the objective can be shown to be an invariant convex function (invex function) of the control decision variables when state variables are eliminated using implicit function theory. In this way, optimality guarantees can be obtained, the exact nature of which depends on the position of the solution within the feasible set. In a numerical example, we show how high-quality solutions are obtained with local search for a river control problem where invexity holds.
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Non-convex discrete-time optimal control problems in, e.g., water or power systems, typically involve a large number of variables related through nonlinear equality constraints. The ideal goal is to find a globally optimal solution, and numerical experience indicates that algorithms aiming for Karush–Kuhn–Tucker points often find solutions that are indistinguishable from global optima. In our paper, we provide a theoretical underpinning for this phenomenon, showing that on a broad class of problems the objective can be shown to be an invariant convex function (invex function) of the control decision variables when state variables are eliminated using implicit function theory. In this way, optimality guarantees can be obtained, the exact nature of which depends on the position of the solution within the feasible set. In a numerical example, we show how high-quality solutions are obtained with local search for a river control problem where invexity holds.