An expandable machine learning-optimization framework to sequential decision-making

背包问题 数学优化 计算机科学 启发式 一般化 解算器 最优化问题 人工神经网络 整数规划 人工智能 算法 数学 数学分析
作者
Dogacan Yilmaz,İ. Esra Büyüktahtakın
出处
期刊:European Journal of Operational Research [Elsevier BV]
卷期号:314 (1): 280-296 被引量:5
标识
DOI:10.1016/j.ejor.2023.10.045
摘要

We present an integrated prediction-optimization (PredOpt) framework to efficiently solve sequential decision-making problems by predicting the values of binary decision variables in an optimal solution. We address the key issues of sequential dependence, infeasibility, and generalization in machine learning (ML) to make predictions for optimal solutions to combinatorial problems. The sequential nature of the combinatorial optimization problems considered is captured with recurrent neural networks and a sliding-attention window. We integrate an attention-based encoder–decoder neural network architecture with an infeasibility-elimination and generalization framework to learn high-quality feasible solutions to time-dependent optimization problems. In this framework, the required level of predictions is optimized to eliminate the infeasibility of the ML predictions. These predictions are then fixed in mixed-integer programming (MIP) problems to solve them quickly with the aid of a commercial solver. We demonstrate our approach to tackling the two well-known dynamic NP-Hard optimization problems: multi-item capacitated lot-sizing (MCLSP) and multi-dimensional knapsack (MSMK). Our results show that models trained on shorter and smaller-dimensional instances can be successfully used to predict longer and larger-dimensional problems. The solution time can be reduced by three orders of magnitude with an average optimality gap below 0.1%. We compare PredOpt with various specially designed heuristics and show that our framework outperforms them. PredOpt can be advantageous for solving dynamic MIP problems that need to be solved instantly and repetitively.
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