arXiv subjects

Merve Bodur

Publications and source records attributed to Merve Bodur.

35 records · Page 2Linked to original sources

arXiv2022

Neur2SP: Neural Two-Stage Stochastic Programming

Stochastic Programming is a powerful modeling framework for decision-making under uncertainty. In this work, we tackle two-stage stochastic programs (2SPs), the most widely used class of stochastic programming models. Solving 2SPs exactly requires optimizing over an expected value function that is computationally intractable. Having a mixed-integer linear program (MIP) or a nonlinear program (NLP) in the second stage further aggravates the intractability, even when specialized algorithms that exploit problem structure are employed. Finding high-quality (first-stage) solutions -- without leveraging problem structure -- can be crucial in such settings. We develop Neur2SP, a new method that approximates the expected value function via a neural network to obtain a surrogate model that can be solved more efficiently than the traditional extensive formulation approach. Neur2SP makes no assumptions about the problem structure, in particular about the second-stage problem, and can be implemented using an off-the-shelf MIP solver. Our extensive computational experiments on four benchmark 2SP problem classes with different structures (containing MIP and NLP second-stage problems) demonstrate the efficiency (time) and efficacy (solution quality) of Neur2SP. In under 1.66 seconds, Neur2SP finds high-quality solutions across all problems even as the number of scenarios increases, an ideal property that is difficult to have for traditional 2SP solution techniques. Namely, the most generic baseline method typically requires minutes to hours to find solutions of comparable quality.

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arXiv2022

Lagrangian Dual Decision Rules for Multistage Stochastic Mixed Integer Programming

Multistage stochastic programs can be approximated by restricting policies to follow decision rules. Directly applying this idea to problems with integer decisions is difficult because of the need for decision rules that lead to integral decisions. In this work, we introduce Lagrangian dual decision rules (LDDRs) for multistage stochastic mixed-integer programming (MSMIP) which overcome this difficulty by applying decision rules in a Lagrangian dual of the MSMIP. We propose two new bounding techniques based on stagewise (SW) and nonanticipative (NA) Lagrangian duals where the Lagrangian multiplier policies are restricted by LDDRs. We demonstrate how the solutions from these duals can be used to drive primal policies. Our proposal requires fewer assumptions than most existing MSMIP methods. We compare the theoretical strength of the restricted duals and show that the restricted NA dual can provide relaxation bounds at least as good as the ones obtained by the restricted SW dual. In our numerical study on two problem classes, one traditional and one novel, we observe that the proposed LDDR approaches yield significant optimality gap reductions compared to existing general-purpose bounding methods for MSMIP problems.

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arXiv2022

A Multiobjective Approach for Sector Duration Optimization in Stereotactic Radiosurgery Treatment Planning

Sector duration optimization (SDO) is a problem arising in treatment planning for stereotactic radiosurgery on Gamma Knife. Given a set of isocenter locations, SDO aims to select collimator size configurations and irradiation times thereof such that target tissues receive prescribed doses in a reasonable amount of treatment time, while healthy tissues nearby are spared. We present a multiobjective linear programming model for SDO to generate a diverse collection of solutions so that clinicians can select the most appropriate treatment. We develop a generic two-phase solution strategy based on the epsilon-constraint method for solving multiobjective optimization models, which aims to systematically increase the number of high-quality solutions obtained, instead of conducting a traditional uniform search. To improve solution quality further and to accelerate the procedure, we incorporate some general and problem-specific enhancements. Moreover, we propose an alternative version of our two-phase strategy, which makes use of machine learning tools to reduce the computational effort. In our computational study on eight previously treated real test cases, a significant portion of obtained solutions outperformed clinical results and those from a single-objective model from the literature. In addition to significant benefits of the algorithmic enhancements, our experiments illustrate the usefulness of machine learning strategies to reduce the overall run times nearly by half while maintaining or besting the clinical practice.

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arXiv2022

Stochastic RWA and Lightpath Rerouting in WDM Networks

In a telecommunication network, Routing and Wavelength Assignment (RWA) is the problem of finding lightpaths for incoming connection requests. When facing a dynamic traffic, greedy assignment of lightpaths to incoming requests based on predefined deterministic policies leads to a fragmented network that cannot make use of its full capacity due to stranded bandwidth. At this point service providers try to recover the capacity via a defragmentation process. We study this setting from two perspectives: (i) while granting the connection requests via the RWA problem and (ii) during the defragmentation process by lightpath rerouting. For both problems, we present the first two-stage stochastic integer programming model incorporating incoming request uncertainty to maximize the expected grade of service. We develop a decomposition-based solution approach, which uses various relaxations of the problem and a newly developed problem-specific cut family. Simulation of two-stage policies for a variety of instances in a rolling-horizon framework of 52 stages shows that our stochastic models provide high-quality solutions compared to traditionally used deterministic ones. Specifically, the proposed provisioning policies yield improvements of up to 19% in overall grade of service and 20% in spectrum saving, while the stochastic lightpath rerouting policies grant up to 36% more requests using up to just 4% more bandwidth spectrum.

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arXiv2021

On the Impact of Deep Learning-based Time-series Forecasts on Multistage Stochastic Programming Policies

Multistage stochastic programming provides a modeling framework for sequential decision-making problems that involve uncertainty. One typically overlooked aspect of this methodology is how uncertainty is incorporated into modeling. Traditionally, statistical forecasting techniques with simple forms, e.g., (first-order) autoregressive time-series models, are used to extract scenarios to be added to optimization models to represent the uncertain future. However, often times, the performance of these forecasting models are not thoroughly assessed. Motivated by the advances in probabilistic forecasting, we incorporate a deep learning-based time-series forecasting method into multistage stochastic programming framework, and compare it with the cases where a traditional forecasting method is employed to model the uncertainty. We assess the impact of more accurate forecasts on the quality of two commonly used look-ahead policies, a deterministic one and a two-stage one, in a rolling\red{-}horizon framework on a practical problem. Our results illustrate that more accurate forecasts contribute substantially to the model performance, and enable obtaining high-quality solutions even from computationally cheap heuristics. They also show that the probabilistic forecasting capabilities of deep learning-based methods can be especially beneficial when used as a (conditional) sampling tool for scenario-based models, and to predict the worst-case scenario for risk-averse models.

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arXiv2021

Inverse Mixed Integer Optimization: Polyhedral Insights and Trust Region Methods

Inverse optimization, determining parameters of an optimization problem that render a given solution optimal, has received increasing attention in recent years. While significant inverse optimization literature exists for convex optimization problems, there have been few advances for discrete problems, despite the ubiquity of applications that fundamentally rely on discrete decision-making. In this paper, we present a new set of theoretical insights and algorithms for the general class of inverse mixed integer linear optimization problems. Specifically, a general characterization of optimality conditions is established and leveraged to design new cutting plane solution algorithms. Through an extensive set of computational experiments, we show that our methods provide substantial improvements over existing methods in solving the largest and most difficult instances to date.

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arXiv2021

Constraint Programming Approaches to the Discretizable Molecular Distance Geometry Problem

The Distance Geometry Problem (DGP) seeks to find positions for a set of points in geometric space when some distances between pairs of these points are known. The so-called discretization assumptions allow to discretize the search space of DGP instances. In this paper, we study the Discretizable Molecular Distance Geometry Problem whose feasible solutions provide a discretization scheme for the DGP. We propose the first constraint programming formulations as well as a set of checks for proving infeasibility, domain reduction techniques, symmetry breaking constraints and valid inequalities. Our computational results indicate that our formulations outperform the state-of-the-art integer programming formulations, both for feasible and infeasible instances.

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arXiv2021

Routing and Wavelength Assignment with Protection: A Quadratic Unconstrained Binary Optimization Approach

The routing and wavelength assignment with protection is an important problem in telecommunications. Given an optical network and incoming connection requests, a commonly studied variant of the problem aims to grant maximum number of requests by assigning lightpaths at minimum network resource usage level, while ensuring the provided services remain functional in case of a single-link failure through dedicated path protection. We consider a practically relevant version where alternative lightpaths for requests are assumed to be given as a precomputed set, and show that it is NP-hard. We formulate the problem as an integer programming (IP) model, and also use it as a foundation to develop a novel quadratic unconstrained binary optimization (QUBO) model, which can be both directly solved by a state-of-the-art solver like GUROBI. We present necessary and sufficient conditions on objective function parameters to prioritize request granting objective over wavelength-link usage for both models, and a sufficient condition to ensure the exactness of the QUBO model. Moreover, we implement a problem-specific branch-and-cut algorithm for the IP model, and employ a new quantum-inspired technology, Digital Annealer (DA), for the QUBO model. We conduct computational experiments on a large suite of instances that are hard to optimally solve in order to assess the efficiency and efficacy of all of these approaches as well as a problem-specific heuristic. The results show that the emerging technology DA outperforms the considered established techniques coupled with GUROBI, in finding mostly significantly better or as good solutions in only two minutes compared to two hours of run time, whereas the problem-specific heuristic fails to be competitive.

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arXiv2021

Optimization Helps Scheduling Nursing Staff at the Long-Term Care Homes of the City of Toronto

The City of Toronto Long Term Care Homes & Services (LTCH&S) division is one of the largest providers of long-term care in the Canadian province of Ontario, providing care to 2,640 residents at 10 homes across Toronto. Our collaboration with LTCH&S was initiated to facilitate the increasingly challenging task of scheduling nursing staff and reduce high absenteeism rate observed among the part-time nurses. We developed a spreadsheet-based scheduling tool to automate the generation of schedules and incorporate nurses' preferences for different shifts into the schedules. At the core of the scheduling tool is a hierarchical optimization model that generates a feasible schedule with the highest total preference score while satisfying the maximum possible demand. Feasible schedules had to abide by a set of complex seniority requirements which prioritized more senior nurses when allocating the available shifts. Our scheduling tool was implemented in a 391-bed home in Toronto. The tool allowed nursing managers to generate feasible schedules within a fraction of an hour, in contrast to the status-quo manual approach which could took up to tens of hours. In addition, the schedules successfully accounted for preferences with on average above 94% of the allocated shifts ranked as most preferred.

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arXiv2021

Copositive Duality for Discrete Markets and Games

Optimization problems with discrete decisions are nonconvex and thus lack strong duality, which limits the usefulness of tools such as shadow prices and the KKT conditions. It was shown in Burer(2009) that mixed-binary quadratic programs can be written as completely positive programs, which are convex. Completely positive reformulations of discrete optimization problems therefore have strong duality if a constraint qualification is satisfied. We apply this perspective in two ways. First, we write unit commitment in power systems as a completely positive program, and use the dual copositive program to design a new pricing mechanism. Second, we reformulate integer programming games in terms of completely positive programming, and use the KKT conditions to solve for pure strategy Nash equilibria. To facilitate implementation, we also design a cutting plane algorithm for solving copositive programs exactly.

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arXiv2020

Digital Annealer for quadratic unconstrained binary optimization: a comparative performance analysis

Digital Annealer (DA) is a computer architecture designed for tackling combinatorial optimization problems formulated as quadratic unconstrained binary optimization (QUBO) models. In this paper, we present the results of an extensive computational study to evaluate the performance of DA in a systematic way in comparison to multiple state-of-the-art solvers for different problem classes. We examine pure QUBO models, as well as QUBO reformulations of three constrained problems, namely quadratic assignment, quadratic cycle partition, and selective graph coloring, with the last two being new applications for DA. For the selective graph coloring problem, we also present a size reduction heuristic that significantly increases the number of eligible instances for DA. Our experimental results show that despite being in its development stage, DA can provide high-quality solutions quickly and in that regard rivals the state of the art, particularly for large instances. Moreover, as opposed to established solvers, within its limit on the number of decision variables, DA's solution times are not affected by the increase in instance size. These findings illustrate that DA has the potential to become a successful technology in tackling combinatorial optimization problems.

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arXiv2020

Integer Programming, Constraint Programming, and Hybrid Decomposition Approaches to Discretizable Distance Geometry Problems

Given an integer dimension K and a simple, undirected graph G with positive edge weights, the Distance Geometry Problem (DGP) aims to find a realization function mapping each vertex to a coordinate in K-dimensional space such that the distance between pairs of vertex coordinates is equal to the corresponding edge weights in G. The so-called discretization assumptions reduce the search space of the realization to a finite discrete one which can be explored via the branch-and-prune (BP) algorithm. Given a discretization vertex order in G, the BP algorithm constructs a binary tree where the nodes at a layer provide all possible coordinates of the vertex corresponding to that layer. The focus of this paper is finding optimal BP trees for a class of Discretizable DGPs. More specifically, we aim to find a discretization vertex order in G that yields a BP tree with the least number of branches. We propose an integer programming formulation and three constraint programming formulations that all significantly outperform the state-of-the-art cutting plane algorithm for this problem. Moreover, motivated by the difficulty in solving instances with a large and low density input graph, we develop two hybrid decomposition algorithms, strengthened by a set of valid inequalities, which further improve the solvability of the problem.

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arXiv2020

Logic-based Benders Decomposition and Binary Decision Diagram Based Approaches for Stochastic Distributed Operating Room Scheduling

The distributed operating room (OR) scheduling problem aims to find an assignment of surgeries to ORs across collaborating hospitals that share their waiting lists and ORs. We propose a stochastic extension of this problem where surgery durations are considered to be uncertain. In order to obtain solutions for the challenging stochastic model, we use sample average approximation, and develop two enhanced decomposition frameworks that use logic-based Benders (LBBD) optimality cuts and binary decision diagram based Benders cuts. Specifically, to the best of our knowledge, deriving LBBD optimality cuts in a stochastic programming context is new to the literature. Our computational experiments on a hospital dataset illustrate that the stochastic formulation generates robust schedules, and that our algorithms improve the computational efficiency.

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arXiv2018

Network Models for Multiobjective Discrete Optimization

This paper provides a novel framework for solving multiobjective discrete optimization problems with an arbitrary number of objectives. Our framework formulates these problems as network models, in that enumerating the Pareto frontier amounts to solving a multicriteria shortest path problem in an auxiliary network. We design techniques for exploiting the network model in order to accelerate the identification of the Pareto frontier, most notably a number of operations to simplify the network by removing nodes and arcs while preserving the set of nondominated solutions. We show that the proposed framework yields orders-of-magnitude performance improvements over existing state-of-the-art algorithms on five problem classes containing both linear and nonlinear objective functions.

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arXiv2018

Lower bounds on the lattice-free rank for packing and covering integer programs

In this paper, we present lower bounds on the rank of the split closure, the multi-branch closure and the lattice-free closure for packing sets as a function of the integrality gap. We also provide a similar lower bound on the split rank of covering polyhedra. These results indicate that whenever the integrality gap is high, these classes of cutting planes must necessarily be applied for many rounds in order to obtain the integer hull.

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arXiv2018

Two-stage Linear Decision Rules for Multi-stage Stochastic Programming

Multi-stage stochastic linear programs (MSLPs) are notoriously hard to solve in general. Linear decision rules (LDRs) yield an approximation of an MSLP by restricting the decisions at each stage to be an affine function of the observed uncertain parameters. Finding an optimal LDR is a static optimization problem that provides an upper bound on the optimal value of the MSLP, and, under certain assumptions, can be formulated as an explicit linear program. Similarly, as proposed by Kuhn, Wiesemann, and Georghiou (Math. Program., 130, 177-209, 2011) a lower bound for an MSLP can be obtained by restricting decisions in the dual of the MSLP to follow an LDR. We propose a new approximation approach for MSLPs, two-stage LDRs. The idea is to require only the state variables in an MSLP to follow an LDR, which is sufficient to obtain an approximation of an MSLP that is a two-stage stochastic linear program (2SLP). We similarly propose to apply LDR only to a subset of the variables in the dual of the MSLP, which yields a 2SLP approximation of the dual that provides a lower bound on the optimal value of the MSLP. Although solving the corresponding 2SLP approximations exactly is intractable in general, we investigate how approximate solution approaches that have been developed for solving 2SLP can be applied to solve these approximation problems, and derive statistical upper and lower bounds on the optimal value of the MSLP. In addition to potentially yielding better policies and bounds, this approach requires many fewer assumptions than are required to obtain an explicit reformulation when using the standard static LDR approach. A computational study on two example problems demonstrates that using a two-stage LDR can yield significantly better primal policies and modestly better dual policies than using policies based on a static LDR.

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arXiv2016

Aggregation-based cutting-planes for packing and covering integer programs

In this paper, we study the strength of Chvatal-Gomory (CG) cuts and more generally aggregation cuts for packing and covering integer programs (IPs). Aggregation cuts are obtained as follows: Given an IP formulation, we first generate a single implied inequality using aggregation of the original constraints, then obtain the integer hull of the set defined by this single inequality with variable bounds, and finally use the inequalities describing the integer hull as cutting-planes. Our first main result is to show that for packing and covering IPs, the CG and aggregation closures can be 2-approximated by simply generating the respective closures for each of the original formulation constraints, without using any aggregations. On the other hand, we use computational experiments to show that aggregation cuts can be arbitrarily stronger than cuts from individual constraints for general IPs. The proof of the above stated results for the case of covering IPs with bounds require the development of some new structural results, which may be of independent interest. Finally, we examine the strength of cuts based on k different aggregation inequalities simultaneously, the so-called multi-row cuts, and show that every packing or covering IP with a large integrality gap also has a large k-aggregation closure rank. In particular, this rank is always at least of the order of the logarithm of the integrality gap.

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