Ranking constraint relaxations for mixed integer programs using a machine learning approach

Abstract

Solving large-scale Mixed Integer Linear Programs (MIP) can be difficult without advanced algorithms such as decomposition based techniques. Even if a decomposition technique might be appropriate, there are still many possible decompositions for any large MIP and it may not be obvious which will be the most effective. The quality of a decomposition depends on both the tightness of the dual bound, in our case generated via Lagrangian Relaxation, and the computational time required to produce that bound. Both of these factors are difficult to predict, motivating the use of a Machine Learning function to predict decomposition quality based a score that combines both bound quality and computational time. This paper presents a comprehensive analysis of the predictive capabilities of a ML function for predicting the quality of MIP decompositions created via constraint relaxation. In this analysis, the role of instance similarity and ML prediction quality is explored, as well as the benchmarking of a ML ranking function against existing heuristic functions. For this analysis, a new dataset consisting of over 40000 unique decompositions sampled from across 24 instances from the MIPLIB2017 library has been established. These decompostions have been created by both a greedy relaxation algorithm as well as a population based multi-objective algorithm, which has previously been shown to produce high quality decompositions. In this paper, we demonstrate that a ML ranking function is able to provide state-of-the-art predictions when benchmarked against existing heuristic ranking functions. Additionally, we demonstrate that by only considering a small set of features related to the relaxed constraints in each decomposition, a ML ranking function is still able to be competitive with heuristic techniques. Such a finding is promising for future constraint relaxation approaches, as these features can be used to guide decomposition creation. Finally, we highlight where a ML ranking function would be beneficial in a decomposition creation framework.