Automation and combination of linear-programming based stabilization techniques in column generation

Artur Alves Pessoa 1 Ruslan Sadykov 1, 2 Eduardo Uchoa 3 François Vanderbeck 1, 2
1 Realopt - Reformulations based algorithms for Combinatorial Optimization
LaBRI - Laboratoire Bordelais de Recherche en Informatique, IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
Abstract : The convergence of a column generation algorithm can be improved in practice by using stabilization techniques. Smoothing and proximal methods based on penalizing the deviation from the incumbent dual solution have become standards of the domain. Interpreting column generation as cutting plane strategies in the dual problem, we analyze the mechanisms on which stabilization relies. In particular, the link is established between smoothing and in-out separation strategies to derive generic convergence properties. For penalty function methods as well as for smoothing, we describe proposals for parameter self-adjusting schemes. Such schemes make initial parameter tuning less of an issue as corrections are made dynamically. Such adjustments also allow to adapt the parameters to the phase of the algorithm. We provide extensive test reports that validate our self-adjusting parameter scheme and highlight their performances. Our results also show that using smoothing in combination with penalty function yields a cumulative effect on convergence speed-ups.
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Artur Alves Pessoa, Ruslan Sadykov, Eduardo Uchoa, François Vanderbeck. Automation and combination of linear-programming based stabilization techniques in column generation. INFORMS Journal on Computing, Institute for Operations Research and the Management Sciences (INFORMS), 2018, 30 (2), pp.339-360. ⟨10.1287/ijoc.2017.0784⟩. ⟨hal-01077984v4⟩

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