# Advances in Stochastic Mixed Integer Programming

Lecture at the INFORMS Optimization Section Conference in Miami, February 26, 2012
Suvrajeet Sen Data Driven Decisions Lab Integrated Systems Engineering Ohio State University
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Data Driven Decisions @ The Ohio State University Industrial and Systems Engineering

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Overview of this Lecture
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Some Historical Remarks Classification of SMIP SMIP Models: Risk, Recourse, Resilience Structural Properties Decomposition: Benders’ and Beyond Illustrative Computational Results

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Historical Remarks: IOS

Age of the INFORMS Optimization Section is
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0 < age  10 10 < age  15 15 < age  20 20 < age  25 age > 25

INFORMS OS was founded at the Spring ORSA/TIMS Meeting in Los Angeles, April 1995.
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Historical Remarks: My assessment of SIP/SMIP
Stochastic Linear Programming
Discrete Choice

Major Hurdles Still Remain!!

Stochastic Integer Programming

Uncertainty

Uncertainty

Discrete Choice 1950sPresent

Linear Programming

Integer Programming

1960s Present

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Why model uncertainty? For most people, that’s just reality
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In the real world:

“Risk is everywhere” “Risk is merely a 4-letter word” “There is a market for information” “Information has no value” “Hind sight is 20/20” Foresight is 20/20
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Certainty:

In the real world:

Certainty:

In the real world:

Certainty:

disjunctive cuts) d d  General Purpose Algorithms: 17 papers     d .More Historical Remarks: “Walk Before You Can Run”  Some data: [1980 – 2000) … prior to 2000   annotated bibliography (Stougie and van der Vlerk) Theory: (7+) papers    Simple Integer Recourse: 2 Structural Properties of Expected Recourse Function: 4 Complexity: (1+) Benders’-type methods: 5 Grobner-basis methods: 2 Convex Approximations for Simple Integer Recourse: 2 Other: 8 (Sampling with first-stage integer.

HTML d d d .More Historical Remarks: “Walk Before You Can Run” [1980-2000)  Books/Surveys: 6 altogether    Dissertations: 3-4 (1 prior to 2000 in North America) Habilitation: 1 Published surveys: 3 (includes hierarchical planning) Production Planning/Scheduling: 3 Network and Routing: 11 Location: 7 Other: 4  Special Purpose Models/Algorithms: 25 papers      In the 12 years: more than 350 articles listed in http://mally.eco.rug.nl/index.html?BIBLIO/SIP.

Weismantel.” Mathematical Programming-B. and M. (Aardal. R (2003) “Stochastic Programming with Integer Variables.“Now we are running” (Survey Articles 2000-)     Schultz. (2005) “Stochastic Mixed-Integer Programming Algorithms. L.” Handbook of Discrete Optimization. Nemhauser. Some newer surveys are also available ….H. van der Vlerk (2005) “Approximation in Stochastic Integer Programming” Sen. eds.) …. 285-309 Stougie. d d d . S.

Ordonez/Tambe. Guan/Zhang).… And you know we’re serious because of applications with realistic data     Manufacturing Supply Chain: Two-stage Design (IBM. Intel) Biofuel Supply Chain: Multi-stage Design (Fan et al) Homeland Security – Defender/Attacker/Defender (Wood et al – NPS. Fuel Price Hedging (Sen et al)   Military – Prioritizing Choices (Morton). UAV/MAV (Evers et al) Fighting Forest Fire (Ntaimo) d d d . Smith) Electric Power – Unit Commitment (Birge/Takriti. Philpott.

ω)] Ax = b. x ≥ 0 where.SMIP Classification: A (B-C-D-E) Notation for SMIP Two Stage Stochastic Linear Programming Min cTx + E[f(x. ω) = Min gTy Wy ≥ r(ω) – T(ω)x y≥0 Variations depend on where the randomness appears d d d . f(x.

x ∈ R 1 × Z 2 where.Stochastic MIP with First Stage Integers Min cTx + E[f(x. extremely difficult! d d d . With second-stage integers. ω) = Min gTy Wy ≥ r(ω) – T(ω)x n y∈R 3 n Z denotes integer vectors of length n. f(x. ω)] n n Ax ≥ b.

x ∈ B 1 where.(0l18 f(x. ω)] n Ax ≥ b.Stochastic Combinatorial Optimization Min cTx + E[f(x. ω) = Min gTy Wy ≥ r(ω) – T(ω) x n n y∈R 2×B 3 Here Bn denotes binary vectors of length n. Many different structures for SMIP! d d d .

notation includes whether random variables are cont/discrete) Above notation helps clarify domain of applicability of results/algorithms etc.  D = Set of stages with Discrete Vars.Describing SMIP Problems  B = Set of stages with Binary Vars. (arbitrary integers. d d d .g. not just binary)  E = Endogenous Uncertainty (Y/N)   Louveaux has proposed a notation that covers all SP problems (e.  C = Set of stages with Continuous Vars.

Tawarmalani. + Fixed Tenders  Grossman & Co.2}. C={1.2}. Poojari/Mitra: B = {1}. Norkin et al. C={1}. D ={∅}  Wollmer. C={1. D ={1} Special Structure: Simple Integer Recourse:  B = {2}. D ={2} . D ={2} + structure of second stage Global Optimization and IP  Ahmed.   Traditional Benders’ Decomposition  SLP: B = {∅}. (E = Y) d d d . Sahinidis: B = {2}. C={1.2}.

2}. Lulli/Sen.2 … N}. Sherali/Fraticelli. Disjunctive Programming for Two-Stage   Caroe/Tind. Sen/Sherali: B = {1.2}. Roemisch et al. Alonso-Ayuso et al.2 … N}b  Lagrangian-based Methods for Multi-stage   d d d .2. … N}. D ={∅} Ntaimo/Sen: B = {1. C={1.2}. C={1. D ={1. C={2}. Guan et al B = {1. D ={∅} Multi-stage SMIPs: Caroe/Schultz. Sen/Higle.

Shen et al (2010) d d d . Recourse. Saxena et al (2009). Mixing etc. and Resilience  SMIP Models     Modeling Risk Modeling Recourse Modeling Resilience Multi-stage Models  Models not Covered (Chance Constraints with Discrete Distributions)   Special Structured IP (Knapsack.Stochastic MIP Models: Risk. Küçükyavuz (2010). Dentcheva. Ruszczynski … Leudtke et al (2010).) See Prékopa.

though mathematically similar function.Risk in SMIP    We have only stated models via “Expected Values” Is the reliance on “Expectation” a handicap? Of course! But many risk measures (e. d d d . mean absolute deviation. down-side risk. etc.) can be re-formulated using expectation of a slightly modified.g. CVaR.

etc.g.SCO for Modeling Risk     We have only stated models via “Expected Values” Is the reliance on “Expectation” a handicap? Of course! But many risk measures (e. CVaR. down-side risk.) can be re-formulated using expectation of a slightly modified. though mathematically similar function Important: Inequalities are indispensible for risk modeling d d d . mean absolute deviation.

Each piece requires a binary (switch variable) d d d .SCO for Modeling Risk Example: Kahneman/Tversky “S” curve for riskaversion can be linearized using 0-1 variables. r Similar to non-convex piecewise linear programming.

SCO for Modeling Recourse: Stochastic Server Location Problem d d d .

g threats) appear.g. then assign servers to demand nodes d d d .SCO for Modeling Recourse: SSLP This SCO has two sets of decisions: 1. bases) 2. Choose server locations (e. Once demand nodes (e.

SCO for Modeling Recourse: SSLP d d d .

service site must be located within a prescribed zone (z). d d d .SCO for Modeling Recourse: SSLP Our Stochastic Server Location Problem (SSLP) also includes some policy constraints:  Policy that each customer will receive service from only one site has been established. Moreover. with each zone having no more than wz servers.  Max number to be located is v.

Σj xj ≤ v. ∀j Plus: All variables are binary d d d . ∀z demand-side. ∀i supply/demand: Σi yij(ω) – Yj(ω) ≤ ujxj. Σjyij(ω) + Yj(ω) = ωi. Σj ∈ J(z) xj ≥ wz.SCO for Modeling Recourse: SSLP The SSLP model objective: minimize Cost – Expected Revenue Potential (last term denotes Penalty for lost demand) Min Σj cjxj – E[Σijqijyij(ω) + Σj QjYj(ω)] subject to: constraints on supply-side.

Modeling Resilience Logical conditions are as follows: 0 y jk ≤ 1 – xj y1jk ≤ xj d d d .

Multi-Stage SMIP Models Non-anticipativity in the Two Stage Model (*) is the non-anticipativity constraint … all scenarios must agree on first-stage d d d .

unless Ocotillo-type Trees d d d .Two-stage: NA only on Root Node Multi-stage: Difficult.

Recursive Formulation using State Variables Challenge of Coniferous Trees d d d .

SMIP with Recursive Formulation d d d .

d d d .Structural Properties  Most structural properties and algorithms for SMIP assume relatively complete and sufficiently expensive recourse. the expected recourse function is real-valued and lower semi-continuous.  -∞ < f(x.ω) < +∞ with probability 1.  Under the above assumption.

“how many”.Complexity of Two-Stage SMIP  Two-stage stochastic programs with recourse having finitely many scenarios is #P-hard   (The class #P asks for the count (i. rather than “are there any”?) The proof reduces any graph reliability problem to a two-stage stochastic combinatorial optimization problem d d d .e.

Approximation of f (also convexification) d d d .What Do we Need? A Potent Brew! Decomposition (SP) and Convexification (IP) Two Issues in Algorithm Design: .Cuts for Second Stage IP .

Beyond Benders’ Decomposition: Second-stage IP  Gomory Cuts for SIP Decomposition   Hot off the Printer! First stage 0-1. First stage: 0-1 Second-stage: mixed 0-1  Disjunctive Decomposition (D2)    Disjunctive Decomposition with Branch-and-Cut (D2-BAC)   First stage 0-1 Second-stage: mixed-integer d d d . Second-stage General Integer.

SLP Two Stage Stochastic Linear Programming Min cTx + E[f(x.Recall --. f(x. ω)] Ax = b. ω) = Min gTy Wy ≥ r(ω) – T(ω)x y≥0 Variations depend on where the randomness appears d d d . x ≥ 0 where.

Benders’ Decomposition or L-shaped Method  Standard Benders’ Master (OR – 501) Where denote Non-negative Second-stage Dual Multipliers d d d .Recall --.

Caroe-Tind extension of Benders’ or L-shaped Method for Second-stage SIP  Gomory Cuts to represent Subadditive Value Functions Where denote Non-decreasing Secondstage value function approximations d d d .

Structure Similar to Benders’    And a More General Framework But … Need to overcome bottlenecks   Subproblems are Integer Programs Master Problems are required to Optimize Nonconvex functions d d d .

Our Recommendation: maintain Benders’ piecewise linear approximations  Notice the change below! Notice that RHS r has changed to and T to Where denote Non-negative Second-stage Dual Multipliers d d d .

d d d  We will have   .Our Suggestion: Solve Second stage using Updated LP approximations   Each iteration will involve only LP solutions in the second-stage Solve LP relaxation TWICE   Once solve with an Old Convexification Derive a Cut to Update the Convexification First-stage is same as Benders’ original proposal Second-stage are LPs.

D = {2} Use Disjunctive Value Approximations for Branch-and-Cut (Sen and Sherali)  First stage general MILP (Global Optimization) d d d .But can this be achieved? Yes under certain assumptions!  First stage pure binary (B = {1.2})  C = {∅} . D={2} Use Gomory Cuts (Gade. Sen)  If C= {2}. B = {2} Use Disjunctive Set Convexification (Sen and Higle)  If C= {2}. Küçükyavuz.

Second Stage Set Convexification Original Constraints Valid Inequalities as Functions of x Parametric Gomory Cuts: Affine Parametric Disjunctive Cuts: Piecewise Linear Concave d d d .

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33 -67.60E6 B&B + Gom Nodes 2 (6) 8 (13) 52 (50) 13224 (167) d d d . Sen) Obj -63.17 -67. Küçükyavuz.50 -66.Parametric Gomory Cuts  Finiteness with Lexicographic Dual Simplex (Gade.67 Scen 4 9 36 121 Vars 22 47 182 607 Cons 24 54 216 726 GDD-S 7 (13) 7 (39) 10 (183) 9 (526) GDD-R 7 (32) 6 (76) 6 (384) 6 (1032) B&B Nodes 54 306 1.55E7 7.

π0(x.ω) by viewing its epigraph as a disjunctive set such as the one shown below.ω) 0 First stage binary variable 1 d d d .Parametric Disjunctive Cuts Convexify π0(x.

d d d . the D2 method results in a convergent algorithm (Sen and Higle).Convergence for Disjunctive Decomposition (Set Convexification) Assumptions •Complete recourse •All integer variables are 0-1 •Maintain all cuts in Wk •Certain rules of order hold (a la lexicographic dual simplex in Gomory’s proof) Under these assumptions.

Value Approximations for Branch-andCut in Second Stage (Sen and Sherali) π0(x.ω) —There will be one piece per node of a truncated BAC tree in the second-stage —Disjunctive Programming lets us convexify the function (for each outcome ) d d d .

010 601 25 12.140 901 % ZIP Gap Iterations 6.49 209 11.010 30.53 Failed Failed Failed Failed Failed Failed Failed DEP % Gap 0.60 46.89 252 11.001 100 50.02 38.53 454 5.765 601 10.001 500 250.81 295.510 301 10 5.) 2 2 D L 110.20 5410.81 286 10.49 248.62 814 D Cuts 145 453 813 2 CPU Time (secs.29 L2 997.510 1.24 1982.75 309 11.010 60.24 Computational Results for Problem Instance SSLP_15_45 Scenarios 5 10 15 Binaries Constraints 3.60 2782.010 120.27 0.000 1.210.95 480.Illustrative Computational Results with D2 and D2-BAC Computational Results for Problem Instance SSLP_10_50 Scenarios Binaries Constraints 5 2.44 9.501 50 25.10 9055.25 171.07 322 11.72 SCALABILITY: D2 scales well with increase in number of scenarios (linear) D2 does not scale well with increase in size of master 55 program (x) d d d .88 146 6.88 Failed Failed Failed DEP 80.000 500.19 0.001 1.63 Failed DEP Failed Failed Failed DEP % Gap 1.47 1339.34 Failed 1.19 0.494.38 264 10.89 Failed 7.001 % ZIP Gap Iterations 10.000.001 2.17 99.46 1902.07 300 10.74 1284.34 0.390 301 6.010 3.010 6.) D2 78.01 308 D Cuts 189 257 281 250 299 307 321 307 2 CPU Time (secs.

Computational Results Cont… The D2 Algorithm Solves some of the largest (0-1) instances Scalability .6631S R = 0.Linear in the number of scenarios 10000 9000 8000 7000 T = 4.9888 2 T CPU Time (s) 6000 5000 4000 3000 2000 1000 0 0 500 1000 1500 S 2000 2500 Number of Scenarios D2 CPU time for SSLP_10_50 with 100 scenarios 56 d d d .

76 1902.1000 10.63 D2-BAC 0.38 2139.79 153.50.100 5.77 42.22 5677.50.100 10.50.45.70 1.15 7.47 211.74 262.37 295.95 396.56 12.1000 5.50.50 140.50.50.2000 10.41 803.25.73 3.45.50.30 222.89 7210.100 5.29 110.10 15.64 2. Yuan)  Treating Cut Generation as a Specialized Two-Stage LP Instance 5.10 34.05 64.41 1988.34 1494.2000 15.500 10.36 22.50.89 1.56 d d d .Computational Results (with Y.50.50 10.70 23.40 373.500 5.13 486.98 452.36 0.45.50 5.15 D2 1.1 9055.31 2772.26 D2-BAC++ 0.99 1313.80 > 10800 232.25.17 274.2 5410.47 603.47 3916.5 15.

Conclusions    Decomposition (SP) + Valid Inequalities (IP) provide a potent potion! But … Stochastic MIP still needs a lot of work     Specially structured cuts (already at play in Chance Constrained SP) Multi-stage extensions (very rich area) Real-world Applications …. d d d .