Algorithms for Multi-Objective Mixed Integer Programming Problems

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Algorithms for Multi-Objective Mixed Integer Programming Problems University of South Florida Scholar Commons Graduate Theses and Dissertations Graduate School November 2019 Algorithms for Multi-Objective Mixed Integer Programming Problems Alvaro Miguel Sierra Altamiranda University of South Florida Follow this and additional works at: https://scholarcommons.usf.edu/etd Part of the Industrial Engineering Commons, and the Operational Research Commons Scholar Commons Citation Sierra Altamiranda, Alvaro Miguel, "Algorithms for Multi-Objective Mixed Integer Programming Problems" (2019). Graduate Theses and Dissertations. https://scholarcommons.usf.edu/etd/8685 This Dissertation is brought to you for free and open access by the Graduate School at Scholar Commons. It has been accepted for inclusion in Graduate Theses and Dissertations by an authorized administrator of Scholar Commons. For more information, please contact [email protected]. x Algorithms for Multi-Objective Mixed Integer Programming Problems by Alvaro Miguel Sierra Altamiranda A dissertation submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Industrial Engineering Department of Industrial and Management Systems Engineering College of Engineering University of South Florida Major Professor: Hadi Charkhgard, Ph.D. Changhyun Kwon, Ph.D. Alex Savachkin, Ph.D. Nasir Ghani, Ph.D. He Zhang, Ph.D. Date of Approval: November 1, 2019 Keywords: Optimization Over Efficient Frontier, Open-Source Software, Machine Learning, Objective Projection, Nash Bargaining Solution Copyright c 2019, Alvaro Miguel Sierra Altamiranda To my beautiful wife María, and my beloved family, for their unconditional support. Acknowledgments First and foremost, I would like to thank my advisor, Dr. Hadi Charkhgard, for his constant support throughout my Ph.D. journey. His continuous guidance, motivation, knowledge, and trustfulness were key to achieving all my research goals. It has been an absolute pleasure to work under his supervision, and to share knowledge and experiences with the members of his research group, the so-called Multi-Objective Optimization Laboratory at the University of South Florida (USF). My sincere thanks also goes to Dr. Tapas K. Das for his consideration and encouragement to study a Ph.D. at USF. I am grateful to my friends in my native Colombia for the endless encouragement to pursue a Ph.D. in the United States. From them, I would like at least to mention Ernesto (Tico) Cantillo, who always showed true happiness for my professional and personal growth. I would also like to thank all the talented individuals I had the pleasure to work with during my journey. Specially to Dr. Julien Martin, Dr. Shahab Mofidi, Dr. Iman Dayarian, Dr. Ali Eshragh, and Nader Rezaei. I would like to acknowledge the financial support by the National Science Foundation under Grant No 1849627, and by the United States Geological Survey - Southeast Ecological Science Center under the Award No 140G0118P0352. I wish to thank my family, to whom I dedicate this dissertation. My parents, Alvaro and Mayra, who sacrificed everything to make sure I always received the best education. My hope is that I can be as you taught me to be, a better person every day. My sister Aileen and her husband Erik, who provided unconditional support. My grandmother Edith and aunt Yenny, who always kept me in their prayers. And finally, to my beautiful wife, Maria, whose endless support and unbelievable patience made of our journey the best of the adventures. Table of Contents List of Tables......................................................................................................... iv List of Figures........................................................................................................ vii Abstract................................................................................................................ ix Chapter 1 Introduction...........................................................................................1 1.1 Motivation.............................................................................................1 1.2 Contributions of the Thesis......................................................................4 1.2.1 Related Publications and Preprints..............................................5 1.3 Outline of the Thesis...............................................................................6 Chapter 2 Preliminaries..........................................................................................8 2.1 Mixed-Integer Linear Programming..........................................................8 2.2 Multi-Objective Mixed Integer Linear Programming..................................9 2.3 Single-Objective Binary Quadratically Constrained Linear Programming..... 10 Chapter 3 Optimization Over the Efficient Set of Bi-Objective Mixed Integer Linear Programs.......................................................................................................... 11 3.1 Introduction........................................................................................... 11 3.2 Preliminaries.......................................................................................... 14 3.2.1 Bi-Objective Mixed Integer Linear Programming.......................... 14 3.2.2 The Triangle Splitting Method.................................................... 16 3.2.2.1 Lexicographic Operation................................................ 18 3.2.2.2 Weighted Sum Method Operation................................... 18 3.2.2.3 Line Detector Operation................................................. 19 3.2.2.4 Triangle Split Operation................................................. 21 3.2.3 Optimization Over the Efficient Set of a BOMILP........................ 23 3.3 A New Exact Algorithm for Optimizing a Linear Function Over the Efficient Set of BOMILPs..................................................................................... 23 3.3.1 Key Operations.......................................................................... 23 3.3.1.1 Computing Local Upper Bound Solutions........................ 24 3.3.1.2 Computing Local Lower Bound Solutions......................... 25 i 3.3.1.3 Computing an Efficient Solution Based on a Local Lower Solution........................................................................ 25 3.3.2 The Algorithm........................................................................... 26 3.3.2.1 Operation Explore Triangle............................................ 31 3.3.3 Performance of the Algorithm: A Small Example.......................... 33 3.3.4 Implementation Issues and Enhancements.................................... 36 3.3.5 A Computational Study for the First Implementation of the Algo- rithm......................................................................................... 40 3.3.5.1 Overall Performance...................................................... 40 3.3.5.2 Performance of Enhancements........................................ 42 3.3.5.3 Approximate Solutions................................................... 44 3.3.5.3.1 Increasing the Optimality Gap Tolerance.......... 45 3.3.5.3.2 Imposing a Time Limit.................................... 46 3.4 OOESAlgorithm.jl: A Julia Package for Optimizing Over the Efficient Set of BOMILP............................................................................................ 48 3.4.1 Main Characteristics of the Package............................................. 49 3.4.1.1 Parallelization Techniques.............................................. 49 3.4.1.2 Single-Objective Solvers Supported................................. 53 3.4.2 A Computational Study for the Package....................................... 53 3.4.2.1 OOESAlgorithm.jl Versus C++ Implementation............... 54 3.4.2.2 Comparison Between Different Solvers............................. 55 3.4.2.3 Parallelization............................................................... 56 3.5 Conclusion............................................................................................. 59 Chapter 4 Nash Bargaining Solution: Application of a Special Case of Optimization Over the Efficient Set for Spatial Conservation Planning Problems......................... 61 4.1 Spatial Conservation Planning and the Role of Operations Research............ 61 4.2 Mathematical Formulation of an MPT-SCP Problem................................. 67 4.2.1 Return and Risk Functions......................................................... 67 4.2.2 A Bi-Objective Optimization Formulation.................................... 70 4.2.3 Issues Related to the Bi-Objective Optimization Formulation......... 71 4.3 A Nash Bargaining Solution Approach for the MPT-SCP Problem.............. 73 4.3.1 Implementation Issues................................................................ 76 4.3.2 Performance of the Approach: A Numerical Example.................... 78 4.3.3 A Computational Study.............................................................. 81 4.4 Conclusion............................................................................................. 84 Chapter 5 Learning to Project in Multi-Objective Binary Linear Programming............ 86 5.1 Introduction........................................................................................... 86 ii 5.2 Preliminaries.......................................................................................... 90 5.3 Machine Learning Framework.................................................................. 92 5.3.1 A Pre-Ordering
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