论文标题

通过监督学习快速连续和整数L形启发式方法

Fast Continuous and Integer L-shaped Heuristics Through Supervised Learning

论文作者

Larsen, Eric, Frejinger, Emma, Gendron, Bernard, Lodi, Andrea

论文摘要

我们在运营研究与机器学习(ML)的联系中提出了一种方法,该方法利用了ML可用的通用近似器,以加速混合组合线性两阶段随机程序的解决方案。我们旨在解决第二阶段高度要求的问题。我们的核心思想是通过用快速而准确的监督ML预测替换确切的第二阶段解决方案,从而在在线解决方案时间中大量减少,同时降低第一阶段解决方案的精度。当随着时间的推移反复解决类似问题时,对ML的预期投资将是合理的,例如在与车队管理,路由和集装箱院子管理有关的运输计划中。 我们的数值结果集中在与整数和连续L形切口中的问题类别解决的问题类别。我们广泛的经验分析基于从随机服务器位置(SSLP)和随机多主背包(SMKP)问题的标准化家族基础。所提出的方法可以在不到9%的时间内解决SSLP的最难实例,而在SMKP的情况下,同一图为20%。在大多数情况下,平均最佳差距少于0.1%。

We propose a methodology at the nexus of operations research and machine learning (ML) leveraging generic approximators available from ML to accelerate the solution of mixed-integer linear two-stage stochastic programs. We aim at solving problems where the second stage is highly demanding. Our core idea is to gain large reductions in online solution time while incurring small reductions in first-stage solution accuracy by substituting the exact second-stage solutions with fast, yet accurate supervised ML predictions. This upfront investment in ML would be justified when similar problems are solved repeatedly over time, for example, in transport planning related to fleet management, routing and container yard management. Our numerical results focus on the problem class seminally addressed with the integer and continuous L-shaped cuts. Our extensive empirical analysis is grounded in standardized families of problems derived from stochastic server location (SSLP) and stochastic multi knapsack (SMKP) problems available in the literature. The proposed method can solve the hardest instances of SSLP in less than 9% of the time it takes the state-of-the-art exact method, and in the case of SMKP the same figure is 20%. Average optimality gaps are in most cases less than 0.1%.

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