Smart Predict-and-Optimize for Hard Combinatorial Optimization Problems

Authors

  • Jayanta Mandi Vrije Universiteit Brussel
  • Emir Demirovi? University of Melbourne
  • Peter J. Stuckey University of Melbourne
  • Tias Guns Vrije Universiteit Brussel

DOI:

https://doi.org/10.1609/aaai.v34i02.5521

Abstract

Combinatorial optimization assumes that all parameters of the optimization problem, e.g. the weights in the objective function, are fixed. Often, these weights are mere estimates and increasingly machine learning techniques are used to for their estimation. Recently, Smart Predict and Optimize (SPO) has been proposed for problems with a linear objective function over the predictions, more specifically linear programming problems. It takes the regret of the predictions on the linear problem into account, by repeatedly solving it during learning. We investigate the use of SPO to solve more realistic discrete optimization problems. The main challenge is the repeated solving of the optimization problem. To this end, we investigate ways to relax the problem as well as warm-starting the learning and the solving. Our results show that even for discrete problems it often suffices to train by solving the relaxation in the SPO loss. Furthermore, this approach outperforms the state-of-the-art approach of Wilder, Dilkina, and Tambe. We experiment with weighted knapsack problems as well as complex scheduling problems, and show for the first time that a predict-and-optimize approach can successfully be used on large-scale combinatorial optimization problems.

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Published

2020-04-03

How to Cite

Mandi, J., Demirovi?, E., Stuckey, P. J., & Guns, T. (2020). Smart Predict-and-Optimize for Hard Combinatorial Optimization Problems. Proceedings of the AAAI Conference on Artificial Intelligence, 34(02), 1603-1610. https://doi.org/10.1609/aaai.v34i02.5521

Issue

Section

AAAI Technical Track: Constraint Satisfaction and Optimization