A new class of functions for measuring solution integrality in the Feasibility Pump approach

De Santis, Marianna and Lucidi, Stefano and Rinaldi, Francesco (2011) A new class of functions for measuring solution integrality in the Feasibility Pump approach. Technical Report. Department of Computer and System Sciences Antonio Ruberti, Roma.

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Mixed-Integer optimization is a powerful tool for modeling many optimization problems arising from real-world applications. Finding a �rst feasible solution represents the �rst step for several MIP solvers. The Feasibility pump is a heuristic for �nding feasible solutions to mixed integer linear problems which is e�ective even when dealing with hard MIP instances. In this work, we start by interpreting the Feasibility Pump as a Frank-Wolfe method applied to a nonsmooth concave merit function. Then, we de�ne a general class of functions that can be included in the Feasibility Pump scheme for measuring solution integrality and we identify some merit functions belonging to this class. We further extend our approach by dynamically combining two di�erent merit functions. Finally, we de�ne a new version of the Feasibility Pump algorithm, which includes the original version of the Feasibility Pump as a special case, and we present computational results on binary MILP problems showing the e�ectiveness of our approach

Item Type: Monograph (Technical Report)
Uncontrolled Keywords: Mixed integer programming, Concave penalty functions, Frank-Wolfe algorithm, Feasibility Problem
Subjects: 000 Scienza degli elaboratori - Scienze dell’informazione - Scienze archivistiche, librarie e dell'informazione documentaria – opere generali > 003 Sistemi (Classificare qui la Ricerca operativa; la teoria, l’analisi, la progettazione, l’ottimizzazione dei sistemi; i modelli (simulazione) applicati ai sistemi in modo reale
Depositing User: Sapienza Università di Roma Dipartimento di Ingegneria informatica, automatica e gestionale
Date Deposited: 03 May 2012 09:40
Last Modified: 03 May 2012 09:40
URI: http://eprints.bice.rm.cnr.it/id/eprint/4041

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