Lecture 12

Optimization (MSE) Lecture 12:
Heuristic optimization
Prof. Dr. Lin Himmelmann
OST - Ostschweizer Fachhochschule
Zurich, 5th December, 2022

Optimization
continuous discrete/combinatorial
linear nonlinear approximate special exact
local global
other gradient-based classical meta-heuristics special appr.
population-based trajectory-based
hybrid
Optimization (MSE) Autumn 2022 Prof. Dr. Lin Himmelmann 2 von 174
Heuristic optimization Hill climbing Tabu search Simulated annealing
Overview
1 Heuristic optimization
Introduction, examples, motivation
2 Hill climbing
Algorithm
3 Tabu search
Algorithm
4 Simulated annealing
Algorithm
Overview
2 Hill climbing
Algorithm
3 Tabu search
Algorithm
Algorithm
Example: Pathfinding
Find shortest path from current position to given goal.
We know the coordinates of start and goal.

We only see the immediate neighborhood of our position.
Model terrain by a grid graph. Vertices are cells.

Edges are only between neighboring cells.
Dijkstra...
explores new vertex closest

to start in each step.
Dijkstra always finds a shor-

test path from start (green)
to target (red).
Best-first heuristic...
explores new vertex

closest to goal (relying on
coordinates) in each step.
Very quickly finds a shortest

path if no obstacle is pre-
sent!
Dijkstra...
always finds optimal path,

but is computationally ex-
pensive.
Best-first heuristic...
runs into dead end, but

eventually finds a detour.
Less computationally expen-
sive.
A*...
Combines Dijkstra
(shortest distance to start)
and best-first heuristic
(shortest distance to goal):
Explores vertex with smal-
lest weighted sum in each
step.
Definition
A heuristic is a problem-solving strategy that is based on rules

of thumb or common sense, possibly also using expert
knowledge.
Definition

knowledge.
Heuristics are often used when no efficient (exact) algorithms

are known, or when applying such algorithms would take too
long.
Definition

knowledge.

long.
Advantage: Hopefully good solution in a reasonable amount

time.
Definition

knowledge.

long.
Advantage: Hopefully good solution in a reasonable amount

time.
Disadvantage: Usually no reliable optimality guarantees.
Problems and complexity classes

Many algorithmic problems are solvable in principle (e.g. by
enumeration), but no efficient algorithm is known.

Classification of algorithmic problems according to their

complexity (w.r.t. input length).

Conjecture!


P: solvable in polynomial time
NP: solvable in polynomial time with a non-deterministic machine
NP-hard: at least as hard as the hardest problems in NP
NP-complete: in NP and NP-hard
Conjecture!


Conjecture!

The following problems are known to be in P, i.e. a

polynomial-time algorithm is known for them:
minimum spanning tree in a graph
shortest paths in a graph
maximum flow in a network
sorting of items in alphabetically order
searching e.g. a text for instances of a word
...
The following problems are known to be in P, i.e. a

polynomial-time algorithm is known for them:
minimum spanning tree in a graph
shortest paths in a graph
maximum flow in a network
sorting of items in alphabetically order
searching e.g. a text for instances of a word
...
For many other problems no efficient (i.e. polynomial-time)

algorithm is known.
TSP - Traveling Salesman Problem
Given: A weighted graph G(V, E) on n vertices (cities).

Find: A tour through the n cities that has minimum length.


n cities ⇒ n! possibilities
5 cities ⇒ 120 possibilities
10 cities ⇒ 3’628’800 possibilities
15 cities ⇒ 1’307’674’368’000 possibilities
49 cities ⇒ 608’281’864’034’267’560’872’252’163’321’295’376’887’
’552’831’379’210’240’000’000’000 possibilities

TSP - records
1954: 49 cities?
See also: http://www.math.uwaterloo.ca/tsp/index.html

TSP - records
1954: 49 cities!

TSP - records
1977: 120 cities

TSP - records
1987: 532 cities

TSP - records
1987: 666 cities

TSP - records
1987: 2’392 points on a circuit board

TSP - records
1994: 7’397 points on a circuit board

TSP - records
1998: 13’509 cities

TSP - records
2001: 15’112 cities

TSP - records
2001: 15’112 cities
Tour length ca. 66’000 km

Computation time for verifying this
on a 500 MHz computer: 22.6
years.

TSP - records
2004: 24’978 cities

TSP - records
????: 1’904’711 cities

TSP - Nearest Neighbor Heuristic
Nearest Neighbor Heuristic: Always go to closest city next.

Start in a. Does it find an optimal tour?
5
1
2
2 c
1
b
1 d

Start in a. Does it find an optimal tour?
5
1
2
2 c
1
b
1 d

Start in a. Does it find an optimal tour? No!
Compare with the optimistic approach...
5
1
2
2 c
1
b
1 d

Start in a. Does it find an optimal tour? No!
Compare with the optimistic approach...
5
1
2
2 c
1
b
1 d
TSP - MST-based Heuristic
MST-based Heuristic
Construct a minimal spanning tree.
MST-based Heuristic
Duplicate each edge and convert them into directed edges
with opposite directions.
MST-based Heuristic
Duplicate each edge and convert them into directed edges
with opposite directions.
Starting from a node s, traverse the cycle by using every
edge exactly once, such that you visit every node one time:
- Go to unvisited nodes first.
- If a node has only visited neighbors, take a shortcut to
the next unvisited node, following the unused edges.
Do so, until all edges are used and you are back at s.
Definition
A metaheuristic is a general heuristic problem-solving strategy

that can be employed in optimization problems.
Definition

Can be employed both in discrete and continuous problems.
Definition

Can be used both when looking for local and for global optima.
Definition

Can be used both when looking for local and for global optima.
Can sometimes be combined with more rigorous local methods

(e.g. intensification strategy) to search for global optima in
continious optimization problems (hybrid methods).
Trajectory-based metaheuristics
Given a discrete or continuous optimization problem. No

efficient algorithm is known and enumerating all possibilities is
not feasible.

not feasible.
=> Trajectory-based metaheuristics:

Start with a (random) „solution“ (e.g. an initial tour in the TSP)
and improve it step by step by exploring its „neighborhood“
(improve the tour).

not feasible.

(improve the tour).
We obtain a trajectory through the solution space, similar to
e.g. gradient descent.

not feasible.

(improve the tour).
We obtain a trajectory through the solution space, similar to
e.g. gradient descent.
Often not obvious for a given problem:

- How to define and explore the solution space?
- How to define a good neighborhood?
Overview
2 Hill climbing
Algorithm
3 Tabu search
Algorithm
Algorithm
Hill climbing idea
Idea: Search for improvements in neighborhood and improve

current solution successively.
Hill climbing
Hill climbing algorithm
1 Initialization: Start with random solution.
Evaluate initial solution.
Hill climbing
2 Iteratively:
Explore neighborhood and evaluate new solution
candidates. Continue with best solution found, if this
improves the target function. (Otherwise we’re in a local
optimum.)
Hill climbing
2 Iteratively:
optimum.)
3 Return solution.
Hill climbing
2 Iteratively:
optimum.)
3 Return solution.
Variant: Always take best solution from neighborhood, even if

this decreases target function. Pros and cons?
Hill climbing
2 Iteratively:
optimum.)
3 Return solution.
Variant: Always take best solution from neighborhood, even if

this decreases target function. Pros and cons?
+ Might better escape from local optima.
- Not monotone increasing any more.
- Might go back and forth, i.e. run into a cycle.
Remarks on Hill climbing
Implementation is trivial in principle, but...

How to define a neighbourhood, or respectively
modification steps?

modification steps?
Size of neighbourhood:
Too large: Computational efforts for evaluating solution
candidates are too time consuming.
Too small: Progress is slow and it might fail to explore the
solution space & gets stuck in a local optima.

modification steps?
Always a good idea: Multiple runs from different random
starting points.

modification steps?
Always a good idea: Multiple runs from different random
starting points.
Sometimes helpful: Evaluating solutions by updates, or by
some approximate computation.
Example: Hill climbing for TSP
Find a tour through n cities with minimum length.
Example: Move-Set for TSP
Neighborhood defined through modification/move steps.
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Stochastic hill climbing
Stochastic hill climbing algorithm


2 Iteratively:
Choose random solution in neighborhood (i.e. perform a
random modification). Evaluate new solution candidate,
and accept it, if it is better. Continue until termination
criterion is reached.

2 Iteratively:
3 Return solution.

2 Iteratively:
3 Return solution.
Pros and cons?
Hill climbing: Terminating conditions
Terminate
Terminate
if no significant improvement occurs after a fixed number of
steps without improvement.
Terminate
after a fixed total number of iterations or computing time.
Terminate
after a fixed total number of iterations or computing time.
when a prescribed target value for the target function is
reached.
Continuous hill climbing
Setup as previously in continuous optimization: Find x⃗

minimizing f (x⃗ ) for a given target function f ∶ Rn → R.
1 Initialization i = 0:
Initial solution x0 .
2 Iteration i → i + 1:
Sample random solution yi near xi .
yi , if f (yi ) ≤ f (xi )
xi+1 = {
xi , if f (yi ) > f (xi )
3 Return solution.

xi+1 = {
3 Return solution.
Similar to gradient descent, but since we don’t rely on
derivatives, the idea also works in discrete settings.

xi+1 = {
3 Return solution.
Similar to gradient descent, but since we don’t rely on
derivatives, the idea also works in discrete settings.
Again: What does a random solution near xi mean?
Hill climbing: Example

2
Rosenbrock function: f (x, y ) = (1 − x)2 + 100(y − x 2 )

2
See demo.

2
Randormisiertes Hill Climbing (100 Iterationen, sigma=0.1)

3.0
800
2.5
20
600
0
2.0
400
1.5
200
1.0
100 ●
50 50
0.5
10 ●
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0.0
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10
10
−0.5
60
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40
0
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20
0 10
60
50
80
40
20
50
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−1.5 −1.0 −0.5 0.0 0.5 1.0 1.5 2.0
Overview
2 Hill climbing
Algorithm
3 Tabu search
Algorithm
Algorithm
Tabu search idea
Idea: Similar to hill climbing, but with some memory.

Try to avoid steps that go back to previously visited solutions, or
that undo the effect of previous steps. (These steps are „tabu“.)
Tabu search idea
Idea: Similar to hill climbing, but with some memory.

Try to avoid steps that go back to previously visited solutions, or
that undo the effect of previous steps. (These steps are „tabu“.)
The goal is to promote diversity of the solutions explored, in
particular to reduce cyclic behaviour and to escape from local
optima.
Tabu search
Tabu search algorithm (Fred Glover 1986)

Tabu search

2 Iteratively:
candidates. Only consider steps that are not tabu.
Proceed with step 2 with the best solution found and
update tabu list until termination criterion is reached.
Tabu search

2 Iteratively:
candidates. Only consider steps that are not tabu.
Proceed with step 2 with the best solution found and
update tabu list until termination criterion is reached.
3 Return solution.
CVRP - Capacitated Vehicle Routing Problem
Given: Graph G = (V , E). One vertex is the depot with m

identical trucks of capacity N. All other vertices represent
customers with demand ni and service time ti . All edges are
assigned travel costs kij und travel times tij .
Find: The least expensive set of delivery routes s.t.:

each customer gets his delivery, i.e. is on one of the routes,
each route begins and ends at the depot,
the total demand on each route does not exceed N, and
for each route, the total time (travel times tij plus service
times ti ) does not exceed some global limit T .
Neighborhoods, defined by possible moves:

Reassign customer to a different route.
Insert it randomly or at best possible position.

Exchange two customers (between different routes).

Exchange two customer and reoptimize involved route(s).

Chains of exchanges, e.g. of length 3

Chains of exchanges, e.g. of length 3
Optimizing the routes individually
Optimization (MSE) Autumn 2022
(cf. TSP)
Prof. Dr. Lin Himmelmann 118 von 174
Tabu lists: Customer 1 was reassigned from route 1 to route 2:

Possible entries in the tabu list to block the reverse move:

Variant 1: tabu (customer 1, route 2 → route 1)

Variant 2: tabu (customer 1, route 2 → any other route)

Variant 2: tabu (customer 1, route 2 → any other route)
Variant 3: tabu (customer 1) even within route 2
Tabu list
Organisation: Different lists for different kind of tabus?
Tabu list

Size of tabu list(s)?
Simplest variant with fixed size: Keep last k moves in the
tabu list, replace cyclically oldest entry.
Tabu list

Duration of tabus? Short-, mid- or longterm?
Tabu list

How restrictive should the tabus be?
Forbid specific configurations, certain values for certain
variables, whole classes of moves, ...?
Tabu list

How restrictive should the tabus be?
Forbid specific configurations, certain values for certain
variables, whole classes of moves, ...?
Are tabus enforced strictly? Allow exceptions?
Invalid solutions
Should we always rule out steps that violate constraints (e.g.

capacity or time constraints in CVRP)?
Invalid solutions

Good valid solutions often are very close to violating the
constraints. Considering invalid solution might help with finding
these! ⇒ Allow invalid solutions but penalize them.
Invalid solutions

Strategic oscillation: Dynamically adjust size of penalty to
reach limits of feasiblity. If we encounter many invalid solutions,
increase penalty, if we encounter few invalid solutions, maybe
decrease penalty to encourage diversity.
Invalid solutions

Strategic oscillation: Dynamically adjust size of penalty to
reach limits of feasiblity. If we encounter many invalid solutions,
increase penalty, if we encounter few invalid solutions, maybe
decrease penalty to encourage diversity.
Variants:
Fixed penalty for invalid solutions
Variable penalty, adapting to degree of violation.
Randomized tabu search
Stochastic version.
Stochastic version.
2 Iteratively:
Choose a random solution from the neighborhood.
Evaluate the new solution candidate, if its not tabu.
If a better solution is found, continue with this solution,
update tabu list and proceed with step 2. Continue until
termination criterion is reached.
Stochastic version.
2 Iteratively:
3 Return solution.
Stochastic version.
2 Iteratively:
3 Return solution.
Appropriate tabus, when optimizing a continous function?
Stochastic version.
2 Iteratively:
3 Return solution.
Appropriate tabus, when optimizing a continous function?
Disable contrary moves, i.e. moves in the opposite direction.
Remarks on Tabu search
Start tabu search with different starting configurations

and compare the best found solutions.
Especially: Restart in parts of the solution space that have
not yet been explored.

Consider common parts of solutions encountered and
rule them out to explore solution space (diversity early in
the process) or
focus on them to exploit solution space (intensification later
in the process)

Consider common parts of solutions encountered and
rule them out to explore solution space (diversity early in
the process) or
focus on them to exploit solution space (intensification later
in the process)
Keep track, if the tabus take effect.
Tabu search: Example

2

2
See demo.

2
Tabu Suche (100Iterationen, r, alpha) Gegenrichtung Tabu

3.0
800
2.5
20
600
0
2.0
400
1.5
200
1.0
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50 50 ●
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−1.5 −1.0 −0.5 0.0 0.5 1.0 1.5 2.0
Overview
2 Hill climbing
Algorithm
3 Tabu search
Algorithm
Algorithm
Simulated annealing: Idea
Idea from solid physics when cooling down crystalline

structures
◊
◊ ◊
◊
◊
◊
◊◊
◊
◊
liquid fused
crystal substance

structures
◊◊
◊◊
◊
◊◊ ◊
◊◊
fast cooling
defective crystal
◊ structure
◊ ◊
◊
◊
◊
◊◊
◊
◊
liquid fused
crystal substance

structures
◊◊
◊◊
◊
◊◊ ◊
◊◊
fast cooling
defective crystal
◊ structure
◊ ◊
◊
◊
◊
◊◊
◊
◊
liquid fused slow cooling
crystal substance ◊◊◊
◊◊◊◊
◊◊◊
perfect crystal
structure
The ideal state of minimal energy is a perfect crystal

structure. When cooling happens too quickly, the crystalline
structures cannot form properly – the liquid fused material gets
stuck in suboptimal state.
To get a perfect crystal structure it is necessary to escape from
local optima. The probability of a state (crystal structure) x with
E(x)
energy E(x) at temperature T ≥ 0 is proportional to e− T .
Determined by these probabilities the material changes its
structure and it is also possible to switch to inferior states (and
leave local optima). These probabilities increase with higher
temperature.
Do hill climbing with a high temperature T and decrease T to
zero over time according to some cooling schedule.
Simulated annealing: Algorithm
Simulated annealing is similar to hill climbing, but also allows

non-improving moves to escape from local optima.

Algorithm

Algorithm
2 Iteratively:
Propose random solution in neighborhood and evaluate it.
If it is better, accept it. If it is worse, accept it only with
some probability.
Iterate step 2 until termination criterion is reached.

Algorithm
2 Iteratively:
some probability.
3 Return solution.

Algorithm
2 Iteratively:
Idea 1: Accept with fixed probability e.g. 0.1
some probability.
3 Return solution.

Algorithm
2 Iteratively:
IfIdea
it is 2:
better, accept it.decreases
Probability If it is worse,
overaccept
time it only with
some probability.
3 Return solution.

Algorithm
2 Iteratively:
IfIdea
it is 2:
better, accept it.decreases
Probability If it is worse,
overaccept
time it only with
some probability.
Iterate
Idee 3:step 2 until termination
Probability decreases criterion is reached.
over time and
3 also
Return solution. depends on quality of solution.

Algorithm
2 Iteratively:
some probability.
3 Return solution.
Simulated annealing
1 Initialization:
Start with random solution x0 .
Simulated annealing
1 Initialization:
2 Iteratively: xi → xi+1
Propose random solution yi in the neighborhood of xi and
f (xi )−f (yi )
accept it to be xi+1 with probability min {1, e Ti
}.
Otherwise xi+1 = xi .
Simulated annealing
1 Initialization:
f (xi )−f (yi )
}.
Note:
f (xi )−f (yi )
If f (yi ) ≤ f (xi ) we have e Ti
≥ 1 and yi is accepted.
Simulated annealing
1 Initialization:
f (xi )−f (yi )
}.
Note:
f (xi )−f (yi )
If T is very large, every solution yi will be accepted.
f (xi )−f (yi ) f (xi )−f (yi )
min{1, e Ti
} = min{1, e ∞ } = min{1, e±0 } = 1
Simulated annealing
1 Initialization:
f (xi )−f (yi )
}.
Note:
f (xi )−f (yi )
If T is very large, every solution yi will be accepted.
f (xi )−f (yi ) f (xi )−f (yi )
min{1, e Ti
} = min{1, e ∞ } = min{1, e±0 } = 1
If T →0 only better solutions (f (yi )<f (xi )) will be accepted.
f (xi )−f (yi ) f (xi )−f (yi )
min{1, e Ti
} = min{1, e +0 } = min{1, e±∞ } = 0 or 1
Simulated annealing: Cooling schedules
Different cooling schedules for Ti are possible:
temperature
120
100
80
60
40
20
0
0 100 200 300 400 500 600 700 800 900 1000 iteration i
temperature
120
100
80
60
40
20
0
0 100 200 300 400 500 600 700 800 900 1000 iteration i
temperature
120
100
80
60
40
20
0
0 100 200 300 400 500 600 700 800 900 1000 iteration i
temperature
120
100
80
60
40
20
0
0 100 200 300 400 500 600 700 800 900 1000 iteration i
temperature
120
100
80
60
40
20
0
0 100 200 300 400 500 600 700 800 900 1000 iteration i
Remarks on Simulated annealing
Start Simulated annealing with different starting

configurations and compare the best found solutions.

Adjust the neighbourhood dynamically. How?

Adjust the neighbourhood dynamically. How?
wider neighbourhood to explore solution space (diversity
early in the process)
closer neighbourhood to exploit solution space
(intensification later in the process)
Simulated annealing: Example

2

2
See demo.

2
Simulated Annealing (100 Iterationen, sigma=0.1)

3.0
800
2.5
20
600
0
2.0
400
1.5
200
1.0
100 ●
50 50
0.5
●
10 ●●
● ●
●
0.0
●●
10
10
−0.5
60
0
0
0
40
0
0
20
0 10
60
50
80
40
20
50
0
−1.5 −1.0 −0.5 0.0 0.5 1.0 1.5 2.0
What’s next?
Next time: Metaheuristic optimization: Population-based

methods.
What’s next?
Next time: Metaheuristic optimization: Population-based

methods.
Exercise session: - Exercises, time for individual
questions.

Lecture 12

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Lecture 12

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Optimization (MSE) Lecture 12:

Prof. Dr. Lin Himmelmann

OST - Ostschweizer Fachhochschule

Zurich, 5th December, 2022

linear nonlinear approximate special exact

other gradient-based classical meta-heuristics special appr.

Find shortest path from current position to given goal.

We know the coordinates of start and goal.

Find shortest path from current position to given goal.

Model terrain by a grid graph. Vertices are cells.

Find shortest path from current position to given goal.

explores new vertex closest

Dijkstra always finds a shor-

Find shortest path from current position to given goal.

explores new vertex

Very quickly finds a shortest

Find shortest path from current position to given goal.

always finds optimal path,

Find shortest path from current position to given goal.

runs into dead end, but

Find shortest path from current position to given goal.

A heuristic is a problem-solving strategy that is based on rules

A heuristic is a problem-solving strategy that is based on rules

Heuristics are often used when no efficient (exact) algorithms

A heuristic is a problem-solving strategy that is based on rules

Heuristics are often used when no efficient (exact) algorithms

Advantage: Hopefully good solution in a reasonable amount

A heuristic is a problem-solving strategy that is based on rules

Heuristics are often used when no efficient (exact) algorithms

Advantage: Hopefully good solution in a reasonable amount

Disadvantage: Usually no reliable optimality guarantees.

Problems and complexity classes

Problems and complexity classes

Classification of algorithmic problems according to their

Problems and complexity classes

Classification of algorithmic problems according to their

Problems and complexity classes

Classification of algorithmic problems according to their

Problems and complexity classes

Classification of algorithmic problems according to their

Problems and complexity classes

The following problems are known to be in P, i.e. a

Problems and complexity classes

The following problems are known to be in P, i.e. a

For many other problems no efficient (i.e. polynomial-time)

TSP - Traveling Salesman Problem

Given: A weighted graph G(V, E) on n vertices (cities).

TSP - Traveling Salesman Problem

Given: A weighted graph G(V, E) on n vertices (cities).

TSP - Traveling Salesman Problem

Given: A weighted graph G(V, E) on n vertices (cities).

TSP - Traveling Salesman Problem

Given: A weighted graph G(V, E) on n vertices (cities).

See also: http://www.math.uwaterloo.ca/tsp/index.html

See also: http://www.math.uwaterloo.ca/tsp/index.html

1977: 120 cities

See also: http://www.math.uwaterloo.ca/tsp/index.html

1987: 532 cities

See also: http://www.math.uwaterloo.ca/tsp/index.html

1987: 666 cities

See also: http://www.math.uwaterloo.ca/tsp/index.html

See also: http://www.math.uwaterloo.ca/tsp/index.html

See also: http://www.math.uwaterloo.ca/tsp/index.html

1998: 13’509 cities