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Abstract:Mixed Integer Linear Programming (MILP) is a pillar of mathematical optimization that offers a powerful modeling language for a wide range of applications. During the past decades, enormous algorithmic progress has been made in solving MILPs, and many commercial and academic software packages exist. Nevertheless, the availability of data, both from problem instances and from solvers, and the desire to solve new problems and larger (real-life) instances, trigger the need for continuing algorithmic development. MILP solvers use branch and bound as their main component. In recent years, there has been an explosive development in the use of machine learning algorithms for enhancing all main tasks involved in the branch-and-bound algorithm, such as primal heuristics, branching, cutting planes, node selection and solver configuration decisions. This paper presents a survey of such approaches, addressing the vision of integration of machine learning and mathematical optimization as complementary technologies, and how this integration can benefit MILP solving. In particular, we give detailed attention to machine learning algorithms that automatically optimize some metric of branch-and-bound efficiency. We also address how to represent MILPs in the context of applying learning algorithms, MILP benchmarks and software.

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Abstract:ReLU neural networks have been modelled as constraints in mixed integer linear programming (MILP), enabling surrogate-based optimisation in various domains and efficient solution of machine learning certification problems. However, previous works are mostly limited to MLPs. Graph neural networks (GNNs) can learn from non-euclidean data structures such as molecular structures efficiently and are thus highly relevant to computer-aided molecular design (CAMD). We propose a bilinear formulation for ReLU Graph Convolutional Neural Networks and a MILP formulation for ReLU GraphSAGE models. These formulations enable solving optimisation problems with trained GNNs embedded to global optimality. We apply our optimization approach to an illustrative CAMD case study where the formulations of the trained GNNs are used to design molecules with optimal boiling points.

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Abstract:Optimization models used to make discrete decisions often contain uncertain parameters that are context-dependent and are 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 this loss function being possibly non-convex and in general non-differentiable, 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 the uncertainty in the optimization model makes the empirical regret unequal to the expected regret in expectation. To illustrate the impact of this inequality, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three robust loss functions that more closely approximate expected regret. 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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Authors:Lara Scavuzzo, Feng Yang Chen, Didier Chételat, Maxime Gasse, Andrea Lodi, Neil Yorke-Smith, Karen Aardal

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Abstract:State-of-the-art Mixed Integer Linear Program (MILP) solvers combine systematic tree search with a plethora of hard-coded heuristics, such as the branching rule. The idea of learning branching rules from data has received increasing attention recently, and promising results have been obtained by learning fast approximations of the strong branching expert. In this work, we instead propose to learn branching rules from scratch via Reinforcement Learning (RL). We revisit the work of Etheve et al. (2020) and propose tree Markov Decision Processes, or tree MDPs, a generalization of temporal MDPs that provides a more suitable framework for learning to branch. We derive a tree policy gradient theorem, which exhibits a better credit assignment compared to its temporal counterpart. We demonstrate through computational experiments that tree MDPs improve the learning convergence, and offer a promising framework for tackling the learning-to-branch problem in MILPs.

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Authors:Stefano Teso, Laurens Bliek, Andrea Borghesi, Michele Lombardi, Neil Yorke-Smith, Tias Guns, Andrea Passerini

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Abstract:It is increasingly common to solve combinatorial optimisation problems that are partially-specified. We survey the case where the objective function or the relations between variables are not known or are only partially specified. The challenge is to learn them from available data, while taking into account a set of hard constraints that a solution must satisfy, and that solving the optimisation problem (esp. during learning) is computationally very demanding. This paper overviews four seemingly unrelated approaches, that can each be viewed as learning the objective function of a hard combinatorial optimisation problem: 1) surrogate-based optimisation, 2) empirical model learning, 3) decision-focused learning (`predict + optimise'), and 4) structured-output prediction. We formalise each learning paradigm, at first in the ways commonly found in the literature, and then bring the formalisations together in a compatible way using regret. We discuss the differences and interactions between these frameworks, highlight the opportunities for cross-fertilization and survey open directions.

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Abstract:Recent work has shown potential in using Mixed Integer Programming (MIP) solvers to optimize certain aspects of neural networks (NN). However little research has gone into training NNs with solvers. State of the art methods to train NNs are typically gradient-based and require significant data, computation on GPUs and extensive hyper-parameter tuning. In contrast, training with MIP solvers should not require GPUs or hyper-parameter tuning but can likely not handle large amounts of data. This work builds on recent advances that train binarized NNs using MIP solvers. We go beyond current work by formulating new MIP models to increase the amount of data that can be used and to train non-binary integer-valued networks. Our results show that comparable results to using gradient descent can be achieved when minimal data is available.

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Abstract:In line with the growing trend of using machine learning to improve solving of combinatorial optimisation problems, one promising idea is to improve node selection within a mixed integer programming branch-and-bound tree by using a learned policy. In contrast to previous work using imitation learning, our policy is focused on learning which of a node's children to select. We present an offline method to learn such a policy in two settings: one that is approximate by committing to pruning of nodes; one that is exact and backtracks from a leaf to use a different strategy. We apply the policy within the popular open-source solver SCIP. Empirical results on four MIP datasets indicate that our node selection policy leads to solutions more quickly than the state-of-the-art in the literature, but not as quickly as the state-of-practice SCIP node selector. While we do not beat the highly-optimised SCIP baseline in terms of solving time on exact solutions, our approximation-based policies have a consistently better optimality gap than all baselines if the accuracy of the predictive model adds value to prediction. Further, the results also indicate that, when a time limit is applied, our approximation method finds better solutions than all baselines in the majority of problems tested.

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Authors:Michael Fisher, Viviana Mascardi, Kristin Yvonne Rozier, Bernd-Holger Schlingloff, Michael Winikoff, Neil Yorke-Smith

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Abstract:A computational system is called autonomous if it is able to make its own decisions, or take its own actions, without human supervision or control. The capability and spread of such systems have reached the point where they are beginning to touch much of everyday life. However, regulators grapple with how to deal with autonomous systems, for example how could we certify an Unmanned Aerial System for autonomous use in civilian airspace? We here analyse what is needed in order to provide verified reliable behaviour of an autonomous system, analyse what can be done as the state-of-the-art in automated verification, and propose a roadmap towards developing regulatory guidelines, including articulating challenges to researchers, to engineers, and to regulators. Case studies in seven distinct domains illustrate the article.

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Abstract:The Order Acceptance and Scheduling (OAS) problem describes a class of real-world problems such as in smart manufacturing and satellite scheduling. This problem consists of simultaneously selecting a subset of orders to be processed as well as determining the associated schedule. A common generalization includes sequence-dependent setup times and time windows. A novel memetic algorithm for this problem, called Sparrow, comprises a hybridization of biased random key genetic algorithm (BRKGA) and adaptive large neighbourhood search (ALNS). Sparrow integrates the exploration ability of BRKGA and the exploitation ability of ALNS. On a set of standard benchmark instances, this algorithm obtains better-quality solutions with runtimes comparable to state-of-the-art algorithms. To further understand the strengths and weaknesses of these algorithms, their performance is also compared on a set of new benchmark instances with more realistic properties. We conclude that Sparrow is distinguished by its ability to solve difficult instances from the OAS literature, and that the hybrid steady-state genetic algorithm (HSSGA) performs well on large instances in terms of optimality gap, although taking more time than Sparrow.

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Abstract:Constraint Programming (CP) has proved an effective paradigm to model and solve difficult combinatorial satisfaction and optimisation problems from disparate domains. Many such problems arising from the commercial world are permeated by data uncertainty. Existing CP approaches that accommodate uncertainty are less suited to uncertainty arising due to incomplete and erroneous data, because they do not build reliable models and solutions guaranteed to address the user's genuine problem as she perceives it. Other fields such as reliable computation offer combinations of models and associated methods to handle these types of uncertain data, but lack an expressive framework characterising the resolution methodology independently of the model. We present a unifying framework that extends the CP formalism in both model and solutions, to tackle ill-defined combinatorial problems with incomplete or erroneous data. The certainty closure framework brings together modelling and solving methodologies from different fields into the CP paradigm to provide reliable and efficient approches for uncertain constraint problems. We demonstrate the applicability of the framework on a case study in network diagnosis. We define resolution forms that give generic templates, and their associated operational semantics, to derive practical solution methods for reliable solutions.

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