Predicting Solution Summaries to Integer Linear Programs under Imperfect Information with Machine Learning
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The paper provides a methodological contribution at the intersection of machine learning and operations research. Namely, we propose a methodology to quickly predict solution summaries (i.e., solution descriptions at a given level of detail) to discrete stochastic optimization problems. We approximate the solutions based on supervised learning and the training dataset consists of a large number of deterministic problems that have been solved independently and offline. Uncertainty regarding a missing subset of the inputs is addressed through sampling and aggregation methods. Our motivating application concerns booking decisions of intermodal containers on double-stack trains. Under perfect information, this is the so-called load planning problem and it can be formulated by means of integer linear programming. However, the formulation cannot be used for the application at hand because of the restricted computational budget and unknown container weights. The results show that standard deep learning algorithms allow one to predict descriptions of solutions with high accuracy in very short time (milliseconds or less).
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