Abstract
Bound tightening is an important component of algorithms for solving nonconvex Mixed Integer Nonlinear Programs. A probing algorithm is a bound-tightening procedure that explores the consequences of restricting a variable to a subinterval with the goal of tightening its bounds. We propose a variant of probing where exploration is based on iteratively applying a truncated Branch-and-Bound algorithm. As this approach is computationally expensive, we use a Support-Vector-Machine classifier to infer whether or not the probing algorithm should be used. Computational experiments demonstrate that the use of this classifier saves a substantial amount of CPU time at the cost of a marginally weaker bound tightening.
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Nannicini, G., Belotti, P., Lee, J., Linderoth, J., Margot, F., Wächter, A. (2011). A Probing Algorithm for MINLP with Failure Prediction by SVM. In: Achterberg, T., Beck, J.C. (eds) Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems. CPAIOR 2011. Lecture Notes in Computer Science, vol 6697. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21311-3_15
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DOI: https://doi.org/10.1007/978-3-642-21311-3_15
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