arXiv subjects

Miten Mistry

Publications and source records attributed to Miten Mistry.

4 recordsLinked to original sources

arXiv2021

ENTMOOT: A Framework for Optimization over Ensemble Tree Models

Gradient boosted trees and other regression tree models perform well in a wide range of real-world, industrial applications. These tree models (i) offer insight into important prediction features, (ii) effectively manage sparse data, and (iii) have excellent prediction capabilities. Despite their advantages, they are generally unpopular for decision-making tasks and black-box optimization, which is due to their difficult-to optimize structure and the lack of a reliable uncertainty measure. ENTMOOT is our new framework for integrating (already trained) tree models into larger optimization problems. The contributions of ENTMOOT include: (i) explicitly introducing a reliable uncertainty measure that is compatible with tree models, (ii) solving the larger optimization problems that incorporate these uncertainty aware tree models, (iii) proving that the solutions are globally optimal, i.e. no better solution exists. In particular, we show how the ENTMOOT approach allows a simple integration of tree models into decision-making and black-box optimization, where it proves as a strong competitor to commonly-used frameworks.

stat.ML↗

arXiv2020

Exact Lexicographic Scheduling and Approximate Rescheduling

In industrial resource allocation problems, an initial planning stage may solve a nominal problem instance and a subsequent recovery stage may intervene to repair inefficiencies and infeasibilities due to uncertainty, e.g.\ machine failures and job processing time variations. In this context, we investigate the minimum makespan scheduling problem, a.k.a.\ $P||C_{\max}$, under uncertainty. We propose a two-stage robust scheduling approach where first-stage decisions are computed with exact lexicographic scheduling and second-stage decisions are derived using approximate rescheduling. We explore recovery strategies accounting for planning decisions and constrained by limited permitted deviations from the original schedule. Our approach is substantiated analytically, with a price of robustness characterization parameterized by the degree of uncertainty, and numerically. This analysis is based on optimal substructure imposed by lexicographic optimality. Thus, lexicographic optimization enables more efficient rescheduling. Further, we revisit state-of-the-art exact lexicographic optimization methods and propose a lexicographic branch-and-bound algorithm whose performance is validated computationally.

math.OC↗

arXiv2019

Approximation Algorithms for Process Systems Engineering

Designing and analyzing algorithms with provable performance guarantees enables efficient optimization problem solving in different application domains, e.g.\ communication networks, transportation, economics, and manufacturing. Despite the significant contributions of approximation algorithms in engineering, only limited and isolated works contribute from this perspective in process systems engineering. The current paper discusses three representative, NP-hard problems in process systems engineering: (i) pooling, (ii) process scheduling, and (iii) heat exchanger network synthesis. We survey relevant results and raise major open questions. Further, we present approximation algorithms applications which are relevant to process systems engineering: (i) better mathematical modeling, (ii) problem classification, (iii) designing solution methods, and (iv) dealing with uncertainty. This paper aims to motivate further research at the intersection of approximation algorithms and process systems engineering.

math.OC↗

arXiv2019

Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded

Decision trees usefully represent sparse, high dimensional and noisy data. Having learned a function from this data, we may want to thereafter integrate the function into a larger decision-making problem, e.g., for picking the best chemical process catalyst. We study a large-scale, industrially-relevant mixed-integer nonlinear nonconvex optimization problem involving both gradient-boosted trees and penalty functions mitigating risk. This mixed-integer optimization problem with convex penalty terms broadly applies to optimizing pre-trained regression tree models. Decision makers may wish to optimize discrete models to repurpose legacy predictive models, or they may wish to optimize a discrete model that particularly well-represents a data set. We develop several heuristic methods to find feasible solutions, and an exact, branch-and-bound algorithm leveraging structural properties of the gradient-boosted trees and penalty functions. We computationally test our methods on concrete mixture design instance and a chemical catalysis industrial instance.

math.OC↗